<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(LOCAL CURRENCY
000'S OMITTED)(1) SECURITY DESCRIPTION VALUE
- ------------------ ---------------------------------------------------------------------- -----------
<C> <S> <C>
CORPORATE OBLIGATIONS (22.2%)
GERMANY (1.9%)
ITL 175,000 Bayerische Landesbank Girozentrale, 10.75% due 03/01/03 (s)........... $ 120,003
-----------
UNITED KINGDOM (17.8%)
GBP 200 Alliance & Leicester Building Society PLC, 8.75% due 12/07/06 (s)..... 373,017
GBP 40 Alliance & Leicester Building Society PLC, 9.75% due 04/02/08 (s)..... 79,962
GBP 99 ASDA Group PLC, 8.375% due 04/24/07................................... 183,193
GBP 105 Imperial Chemical Industries, 7.625% due 08/21/07 (s)................. 185,394
GBP 100 Royal Bank of Scotland PLC, 8.375% due 01/29/07 (s)................... 183,159
GBP 62 Vodafone Group PLC, 7.50% due 03/19/04 (s)............................ 107,589
-----------
1,112,314
-----------
UNITED STATES (2.5%)
USD 155 Discover Card, 5.755% due 04/17/98, FRN (s)........................... 154,758
-----------
TOTAL CORPORATE OBLIGATIONS (COST $1,304,636)..................... 1,387,075
-----------
GOVERNMENT OBLIGATIONS (47.8%)
AUSTRALIA (9.1%)
Government of Australia
AUD 664 9.75% due 03/15/02 (s).............................................. 510,027
AUD 71 10.00% due 10/15/07 (s)............................................. 61,421
-----------
571,448
-----------
DENMARK (2.2%)
DKK 831 Kingdom of Denmark, 8.00% due 03/15/06 (s)............................ 140,346
-----------
JAPAN (28.2%)
Government of Japan
JPY 67,800 Series 157, Callable, 4.50% due 06/20/03 (s)........................ 590,442
JPY 115,050 Series 187, Callable, 3.30% due 06/20/06 (s)........................ 966,033
JPY 27,000 Series 200, Callable, 2.00% due 12/20/07 (s)........................ 205,308
-----------
1,761,783
-----------
NETHERLANDS (8.3%)
NLG 1,035 Government of the Netherlands, 5.75% due 09/15/02 (s)................. 520,311
-----------
TOTAL GOVERNMENT OBLIGATIONS (COST $3,075,556).................... 2,993,888
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(LOCAL CURRENCY
000'S OMITTED)(1) SECURITY DESCRIPTION VALUE
- ------------------ ---------------------------------------------------------------------- -----------
<C> <S> <C>
SUPRANATIONAL OBLIGATIONS (2) (1.6%)
European Investment Bank
ITL 55,000 10.875% due 12/14/05 (s)............................................ $ 41,147
ITL 79,000 12.20% due 02/18/03 (s)............................................. 56,881
-----------
TOTAL SUPRANATIONAL OBLIGATIONS (COST $93,749).................... 98,028
-----------
SHORT-TERM INVESTMENTS (21.9%)
EURO DOLLAR TIME DEPOSITS (21.1%)
1,318,000 State Street Bank & Trust Co. London, 4.50% due 04/01/98.............. 1,318,000
-----------
U.S. TREASURY OBLIGATIONS (0.8%)
50,000 United States Treasury Bill, 5.24%* due 08/20/98 (s).................. 48,989
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $1,366,989).................... 1,366,989
-----------
TOTAL INVESTMENTS (COST $5,840,930) (93.5%)........................... 5,845,980
OTHER ASSETS IN EXCESS OF LIABILITIES (6.5%).......................... 408,774
-----------
NET ASSETS (100.0%)................................................... $ 6,254,754
-----------
-----------
</TABLE>
- ------------------------------
(1) -- Principal is in the local currency of the country in which the security
is traded, which may not be the country of origin.
(2) -- International agencies
FRN -- Floating Rate Note. Maturity Date reflects the later of the next interest
rate change or next put date.
(s) -- Security is fully or partially segregated with custodian as collateral
for futures contracts or with broker as initial margin for futures contracts.
$1,877,944 of the market value has been segregated.
* -- Yield-to-Maturity.
NOTE: Based on the cost of investments of $5,846,501 for federal income tax
purposes at March 31, 1998, the aggregate gross unrealized appreciation was
$91,028 and the aggregate gross unrealized depreciation was $91,549 resulting in
a net unrealized depreciation of investments of $521.
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $5,840,930 ) $5,845,980
Cash 594
Foreign Currency at Value (Cost $221,664 ) 221,530
Unrealized Appreciation of Forward Foreign
Currency Contracts 166,617
Interest Receivable 78,614
Receivable for Expense Reimbursement 22,705
Prepaid Trustees' Fees 237
Prepaid Expenses and Other Assets 713
----------
Total Assets 6,336,990
----------
LIABILITIES
Unrealized Depreciation of Forward Foreign
Currency Contracts 31,845
Variation Margin Payable 7,010
Advisory Fee Payable 2,331
Fund Services Fee Payable 1,449
Administrative Services Fee Payable 197
Accrued Expenses 39,404
----------
Total Liabilities 82,236
----------
NET ASSETS
Applicable to Investors' Beneficial Interests $6,254,754
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income (Net of Foreign Withholding Tax
of $38,764 ) $3,285,323
EXPENSES
Advisory Fee $ 253,881
Custodian Fees and Expenses 68,276
Professional Fees and Expenses 25,688
Administrative Services Fee 21,879
Printing Expenses 4,249
Fund Services Fee 3,732
Administration Fee 1,576
Trustees' Fees and Expenses 794
Miscellaneous 808
-----------
Total Expenses 380,883
Less: Reimbursement of Expenses (29,048)
-----------
NET EXPENSES 351,835
----------
NET INVESTMENT INCOME 2,933,488
NET REALIZED GAIN (LOSS) ON
Investment Transactions (including $463,811 net
realized gain from futures contracts) (1,055,109)
Foreign Currency Transactions 5,122,408
-----------
Net Realized Gain 4,067,299
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (including $166,971 net unrealized
appreciation from futures contracts) (2,747,166)
Foreign Currency Contracts and Translations 3,492,377
-----------
Net Change in Unrealized Appreciation 745,211
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $7,745,998
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
MARCH 31, 1998 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1997
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,933,488 $ 8,781,811
Net Realized Gain on Investment and Foreign
Currency Transactions 4,067,299 16,464,548
Net Change in Unrealized Appreciation
(Depreciation) of Investment and Foreign
Currency Translations 745,211 (3,985,721)
-------------- ------------------
Net Increase in Net Assets Resulting from
Operations 7,745,998 21,260,638
-------------- ------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 9,442,001 151,112,076
Withdrawals (245,280,117) (83,928,855)
-------------- ------------------
Net Increase (Decrease) from Investors'
Transactions (235,838,116) 67,183,221
-------------- ------------------
Total Increase (Decrease) in Net Assets (228,092,118) 88,443,859
NET ASSETS
Beginning of Period 234,346,872 145,903,013
-------------- ------------------
End of Period $ 6,254,754 $ 234,346,872
-------------- ------------------
-------------- ------------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE FISCAL FOR THE PERIOD
SIX MONTHS YEAR ENDED OCTOBER 11, 1994
ENDED SEPTEMBER 30, (COMMENCEMENT OF
MARCH 31, 1998 ---------------- OPERATIONS) TO
(UNAUDITED) 1997 1996 SEPTEMBER 30, 1995
--------------- ---- ---- ----------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.49%(a) 0.52% 0.51% 0.55%(a)
Net Investment Income 4.04%(a) 4.72% 5.34% 5.73%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.04%(a) -- -- --
Portfolio Turnover 143%(b) 346% 330% 288%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Non-U.S. Fixed Income Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, non-diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York. The portfolio commenced operations on October 11,
1994. The portfolio's investment objective is to provide high total return,
consistent with moderate risk of capital, by investing in a portfolio of
international fixed income securities. The Declaration of Trust permits the
trustees to issue an unlimited number of beneficial interests in the portfolio.
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign countries could adversely affect
the liquidity or value, or both, of such securities in which the portfolio is
invested. The ability of the issuers of the debt securities held by the
portfolio to meet their obligations may be affected by economic and political
developments in a specific industry or region.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value for such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the portfolio's trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the portfolio's trustees.
b) The books and records of the portfolio are maintained in U.S. dollars. The
market values of investment securities, other assets and liabilities and
forward foreign currency contracts are translated at the prevailing
exchange rates at the end of the period. Purchases, sales, income and
expenses are translated
21
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
at the exchange rates prevailing on the respective dates of such
transactions. Translation gains and losses resulting from changes in
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations.
Although the net assets of the portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the portfolio
does not isolate the portion of the results of operations arising as a
result of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities during the period.
c) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
d) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the portfolio's trustees, and the
change in the market value is recorded by the portfolio as unrealized
appreciation or depreciation of forward foreign currency contract
translations. At March 31, 1998 the portfolio had open forward foreign
currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
COST/ VALUE AT APPRECIATION/
PURCHASE CONTRACTS PROCEEDS 3/31/98 (DEPRECIATION)
- ------------------------------------------------- ----------------- ----------- --------------
<S> <C> <C> <C>
Canadian Dollar 601,302, expiring 4/21/98........ $ 424,819 $ 423,040 $ (1,779)
Canadian Dollar 340,946 for AUD 359,808, expiring
4/21/98......................................... 238,702 239,869 1,167
Danish Krone 1,179,325, expiring 4/21/98......... 169,443 167,477 (1,966)
Deutsche Mark 16,564 for AUD 13,492, expiring
4/21/98......................................... 8,949 8,968 19
Deutsche Mark 242,593 for CAD 190,943, expiring
4/21/98......................................... 134,336 131,347 (2,989)
French Franc 3,167,967, expiring 4/21/98......... 519,187 511,988 (7,199)
Italian Lira 500,000,000, expiring 4/21/98....... 278,842 274,300 (4,542)
Japanese Yen 180,879,704, expiring 4/21/98....... 1,409,415 1,360,821 (48,594)
Swedish Krona 6,778,774, expiring 4/21/98........ 850,195 848,556 (1,639)
<CAPTION>
SALES CONTRACTS
- -------------------------------------------------
<S> <C> <C> <C>
Australian Dollar 494,002, expiring 4/21/98...... 328,651 327,728 923
British Pound 749,582, expiring 4/21/98.......... 1,231,183 1,253,807 (22,624)
</TABLE>
22
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
COST/ VALUE AT APPRECIATION/
SALES CONTRACTS (CONTINUED) PROCEEDS 3/31/98 (DEPRECIATION)
- ------------------------------------------------- ----------------- ----------- --------------
<S> <C> <C> <C>
Canadian Dollar 741,275, expiring 4/21/98........ $ 515,792 $ 521,516 $ (5,724)
Danish Krone 2,079,942, expiring 4/21/98......... 301,117 295,377 5,740
Danish Krone 83,620 for DEM 21,932, expiring
4/21/98......................................... 11,875 11,875 --
Deutsche Mark 461,778, expiring 4/21/98.......... 254,575 250,021 4,554
French Franc 3,215,181, expiring 4/21/98......... 529,730 519,618 10,112
Italian Lira 986,417,454, expiring 4/21/98....... 549,349 541,150 8,199
Japanese Yen 415,856,212, expiring 4/21/98....... 3,328,433 3,128,632 199,801
Japanese Yen 1,485,534 for DEM 20,897, expiring
4/21/98......................................... 11,314 11,176 138
Netherlands Guilder 1,114,754, expiring
4/21/98......................................... 545,780 535,472 10,308
Spanish Peseta 2,262,675, expiring 4/21/98....... 14,722 14,420 302
Swedish Krona 6,778,774, expiring 4/21/98........ 839,121 848,556 (9,435)
--------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 134,772
--------------
--------------
</TABLE>
e) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets, and the possible inability of counterparties to
meet the terms of their contracts.
23
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
SUMMARY OF OPEN CONTRACTS AT MARCH 31, 1998
<TABLE>
<CAPTION>
NUMBER OF NET UNREALIZED PRINCIPAL AMOUNT
CONTRACTS LONG DEPRECIATION OF CONTRACTS
-------------- -------------- ----------------
<S> <C> <C> <C>
Ten-Year French Government Bond, expiring June
1998............................................ 4 $ (1,458) $ 335,941
Ten-Year German Government Bond, expiring June
1998............................................ 7 (319) 1,015,649
-------------- -------------- ----------------
Totals........................................... 11 $ (1,777) $ 1,351,590
-------------- -------------- ----------------
-------------- -------------- ----------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF NET UNREALIZED PRINCIPAL AMOUNT
CONTRACTS SHORT DEPRECIATION OF CONTRACTS
--------------- -------------- ----------------
<S> <C> <C> <C>
Ten-Year Long Gilt, expiring June 1998........... 6 $ (1,100) $ 542,391
--------------- -------------- ----------------
--------------- -------------- ----------------
</TABLE>
f) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be subject to
taxation on its share of the portfolio's ordinary income and capital
gains. It is intended that the portfolio's assets will be managed in such
a way that an investor in the portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code. The portfolio
earns foreign income which may be subject to foreign withholding taxes at
various rates.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the portfolio pays Morgan at an annual rate of 0.35% of the portfolio's
average daily net assets. For the six months ended March 31, 1998, such
fees amounted to $253,881.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and exclusive placement agent.
Under a Co-Administration Agreement between FDI and the portfolio, FDI
provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI.
For the six months ended March 31, 1998, the fee for these services
amounted to $1,576.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the portfolio.
Under the Services Agreement, the portfolio has agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
24
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services and J.P.
Morgan Series Trust. For the six months ended March 31,1998, the fee for
these services amounted to $21,879.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $3,732 for the six months ended March 31, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses.The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $800.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended March 31, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$ 172,318,550 $159,784,443
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the fund's Notes to the Financial Statements which are
included elsewhere in this report.
5. OTHER MATTERS
On January 20, 1998, the portfolio received a withdrawal request in the amount
of $217,929,049 as discussed in Note 5 of the fund's Notes to Financial
Statements which are included elsewhere in this report. This amount is included
in Withdrawals shown on the Statement of Changes in Net Assets. The withdrawal
which was made in-kind by transferring certain assets and liabilities, including
securities, directly to a non-U.S. fund resulted in a net realized gain on
transfer of the securities in the amount of $9,820, which is included in the Net
Realized Gain on Investment and Foreign Currency Transactions in the Statement
of Operations.
25
