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Pace Select Advisors Trust · N-30D · For 7/31/96

Filed On 10/8/96   ·   Accession Number 912057-96-22269   ·   SEC File 811-08764

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  As Of                Filer                Filing    For/On/As Docs:Size              Issuer               Agent

10/08/96  Pace Select Advisors Trust        N-30D       7/31/96    1:352K                                   Merrill Corp/FA

Annual or Semi-Annual Report Mailed to Shareholders   —   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       A/R                                                  103    711K 


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103PaineWebber
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PAINEWEBBER PACE(SM) Personalized Asset Consulting and Evaluation GOING THE DISTANCE TO MEET YOUR FINANCIAL NEEDS Annual Report July 31, 1996 This material is intended for use only by current PACE investors and must be preceded or accompanied by the current PACE prospectus.
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Dear PaineWebber PACE-SM- Shareholder: PACE is an investment process in which you and your Investment Executive work together to define your financial objectives and build a portfolio designed in an effort to match your goals and risk tolerance. On an ongoing basis, your Quarterly Performance Monitor helps facilitate making any adjustments to ensure that your PACE investment continues to reflect your evolving needs. In addition to the consulting services of your Investment Executive, a significant part of the added value you receive as a PACE investor is PaineWebber's ongoing review of the PACE asset allocation recommendations and the performance of the investment managers. What follows is a summary of the results of our most recent review of the Program. ASSET ALLOCATION The objective of asset allocation is to help you determine a blend of investments designed to meet your needs and match your risk tolerance. Therefore, although each of the PACE Portfolios' performance is important on its own, the performance of your entire portfolio is emphasized over the performance of any one individual Portfolio. In light of this, the ongoing review of the PACE asset allocation recommendations, and your asset allocation in particular, is especially significant. As you may be aware, we updated the Recommended Allocations during the first quarter of 1996. Because the PACE asset allocation model is strategic in nature, updates are made when we believe they may add significant long-term value to your PACE investment. Specifically, we recommended two noteworthy adjustments. First, due to the decreasing U.S. share of the global equity market, PaineWebber determined that increasing the recommended allocation to international equities would enhance the strategic allocations within PACE. The chart below illustrates that in 1973, stocks issued by U.S. companies represented nearly two-thirds of the outstanding stock in the world. Currently, stocks of U.S. companies represent closer to one-third of all outstanding stock. We believe that international stocks will likely continue to grow as a percentage of world market capitalization going forward. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] POTENTIAL INVESTMENT OPPORTUNITIES HAVE INCREASED STEADILY OVERSEAS 1973 U.S. 64% Foreign 36% 1995 U.S. 38% Foreign 62% Over the last two decades, the share of U.S. stocks has diminished as a percentage of global worldwide stock outstanding. Source: Morgan Stanley Capital International; used with permission. In conjunction with this increased allocation to international equities, the second adjustment was on the domestic side. We recommended reducing holdings in small company stocks and increasing the allocation to large company stocks, where we believe the long-term risk/reward tradeoff is more attractive. The amount to which your Recommended Allocation changed is dependent upon your risk tolerance and the degree to which your PACE investment includes domestic and international equities. If you have not done so, please review your most recent Quarterly Performance Monitor and consult your Investment Executive if you have questions. 1
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PERFORMANCE OVERVIEW The primary goal of the PACE investment managers is to deliver above-average, long-term performance which is consistent with the segment of the market for which they are responsible. The long-term success of an asset allocation program is measured by how well the managers of each of the market segments perform TOGETHER when evaluated as a whole, rather than the performance of any one investment manager individually. It is not unusual for some investment managers to outperform and others to underperform their respective indexes, particularly in the short term. In the 11 months since the inception of the PACE Program, the PACE investment managers are already making inroads toward this long-term goal. Since August 31, 1995*, seven of the twelve investment managers either outperformed or were within 0.25% of their respective comparative market indexes. On the following pages you will find: a summary of the international and domestic market environments for the period ending July 31, 1996; detailed information regarding the performance of each PACE Portfolio since inception; and brief commentaries from each of the PACE investment managers. Please note that the opinions of the managers do not necessarily represent the opinions of PaineWebber Incorporated or Mitchell Hutchins Asset Management Inc. We appreciate the opportunity to help you achieve your financial goals. If you have any questions, please contact your Investment Executive. Sincerely, [Download Table] [SIG] [SIG] Margo Alexander Bruce A. Bursey President Senior Vice President Mitchell Hutchins Asset Management Inc. Managed Accounts Consulting Services PaineWebber Incorporated September 27, 1996 *The inception of the PACE Portfolios was on August 24, 1995. 2
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INVESTMENT OVERVIEW--DOMESTIC The time period covered in this Annual Report--August 24, 1995 (commencement of operations) through July 31, 1996--can be characterized by dramatic highs and lows. The stock and bond markets, buoyed by low interest rates and low inflation, turned in exceptional performances during most of 1995. By the end of 1995, many investors were convinced that the Federal Reserve Board (the "Fed") had achieved a "soft landing" for the economy, which led to a general consensus that the Fed would act again to cut short-term interest rates. Sentiment changed quickly in early March, however, in response to government reports showing higher-than-expected economic growth. The result was a sharp drop in bond prices, which caused significant volatility in the stock market. Despite the volatility, the stock market, as measured by the Standard & Poor's 500 Index, was up 16.28% for this reporting period. Several factors helped move stocks higher, including an overall positive environment for corporate earnings and profit growth, as well as strong cash flows into equity mutual funds. Fixed income investments, however, proved to be another story. Accelerating economic growth, reflected in strong employment, investment spending, and retail sales economic data, as well as a surprisingly robust housing sector, combined to change market expectations that the Fed would ease to expectations that the Fed would tighten. This change in expectations caused the bond markets to experience periods of significant volatility throughout the reporting period. Generally, when bond yields increase, bond prices decrease and vice versa. Meanwhile, the Federal Open Market Committee's decision to keep monetary policy unchanged at the March, May and July 1996 meetings suggests that officials did not foresee a recession or accelerating inflation. Within this environment, the yield on the benchmark 30-year U.S. Treasury Bond ended the period relatively unchanged, yielding 6.98% on July 31, 1996 versus 6.84% on August 24, 1995. INVESTMENT OVERVIEW--GLOBAL Throughout the latter part of 1995, there was a continuation of the general slowdown in worldwide economic growth. This provided a benevolent interest rate environment, which resulted in world bond market rallies. However, during the first half of 1996, world bond markets produced mixed returns. While yields of the "core" European bond markets generally declined, the stronger dollar eroded favorable returns in many markets. European governments continued to progress toward the goal of European Monetary Union ("EMU"). While it cannot be said with certainty that monetary union will be achieved by the target date of January 1, 1999, the probability of its occurrence continues to grow. Efforts toward EMU create a positive environment for European bonds because of the strict inflation and fiscal targets which its members must achieve. After taking a back-seat to the U.S. stock market during 1995, overseas stock markets rose in the first half of 1996, with many markets outperforming the U.S. market. Notable performers included France, Hong Kong, Mexico, and the Netherlands. While Europe performed well, Asian markets, with the exception of Hong Kong, reacted to fears of higher U.S. interest rates, and tended to be weak during the period. Note: Please note that, in the Portfolio commentaries on the following pages, the performance returns shown for each Portfolio are for the period since inception, August 24, 1995 through July 31, 1996. However, because performance information for most comparative indexes is available for month-end periods only, the performance period for the comparative indexes is August 31, 1995 through July 31, 1996. Performance is calculated after portfolio expenses, but does not include the PACE Program Fee. 3
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PACE MONEY MARKET INVESTMENTS MANAGED BY MITCHELL HUTCHINS ASSET MANAGEMENT INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CURRENT INCOME CONSISTENT WITH THE PRESERVATION OF CAPITAL AND LIQUIDITY THROUGH INVESTMENTS IN HIGH-QUALITY, U.S. DOLLAR- DENOMINATED MONEY MARKET INSTRUMENTS WITH MATURITIES OF 13 MONTHS OR LESS. THE PORTFOLIO MAINTAINS A DOLLAR-WEIGHTED AVERAGE PORTFOLIO MATURITY OF 90 DAYS OR LESS. INVESTMENT PROCESS MITCHELL HUTCHINS' FOCUS IS ON QUALITY, DIVERSITY AND LIQUIDITY. INVESTMENT CONSIDERATIONS INCLUDE A REVIEW OF INTEREST RATES VIS-A-VIS THE ECONOMIC ENVIRONMENT, CURRENT SUPPLY AND DEMAND OF MONEY MARKET PRODUCTS, AND A REVIEW OF CREDIT RISK. SECURITY SELECTION FOLLOWS AN APPROVED LIST OF TOP-TIER RATED SECURITIES REVIEWED BY THE MITCHELL HUTCHINS' CREDIT ANALYSTS. COMMENTS FROM MITCHELL HUTCHINS ASSET MANAGEMENT INC. Since its inception on August 24, 1995 through July 31, 1996, the Portfolio provided investors with a return of 4.75% (exclusive of the PACE Program Fee), basically in line with the 4.77% return of 90-day U.S. Treasury Bills. Also, as of July 31, 1996, the Portfolio's 7-day yield was 4.94%, and net assets of the Portfolio totaled $10.2 million. Throughout the year, we kept the Portfolio's average maturity slightly longer than the money market fund average because we were confident that short-term interest rates would not rise too dramatically. The Portfolio's average maturity on July 31st (fiscal period-end) was 75 days. This benefited the Portfolio, as did the fact that, as always, it was well diversified within the issuer and industry areas. Looking ahead, we will closely monitor the Portfolio's average weighted maturity within a target range of 60 to 70 days. We believe that the Fed is unlikely to raise interest rates until after the November elections, if at all. * For the period August 31, 1995 through July 31, 1996, since intra-month money market data is not available. 4
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PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS MANAGED BY PACIFIC INVESTMENT MANAGEMENT COMPANY ("PIMCO"), THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CURRENT INCOME THROUGH INVESTMENTS PRIMARILY IN U.S. GOVERNMENT AND AGENCY SECURITIES OF VARYING MATURITIES, AS WELL AS MORTGAGE-BACKED SECURITIES, WITH A DOLLAR-WEIGHTED PORTFOLIO DURATION OF BETWEEN TWO AND SEVEN YEARS. INVESTMENT PROCESS PIMCO'S INVESTMENT PROCESS BEGINS WITH A MACROECONOMIC ANALYSIS OF SECULAR AND CYCLICAL INTEREST RATE TRENDS. THE PORTFOLIO'S DURATION IS DETERMINED BASED ON PIMCO'S EXPECTATIONS FOR CHANGES IN INTEREST RATES. THEN, PIMCO EVALUATES THE YIELD CURVE'S POTENTIAL FOR STEEPENING OR FLATTENING. INDIVIDUAL ISSUES ARE CHOSEN FOR THEIR RELATIVE VALUE. COMMENTS FROM PACIFIC INVESTMENT MANAGEMENT COMPANY Since its inception on August 24, 1995 through July 31, 1996, the Portfolio's return of 4.35% (exclusive of the PACE Program Fee) underperformed the Lehman Brothers Mortgage Backed Securities Index (the "Index") return of 4.97%. As of July 31, 1996, net assets of the Portfolio totaled $58.8 million. Throughout much of 1995 and 1996, the Portfolio's duration was longer than that of the Index, and it was invested in lower-coupon mortgages and longer-duration collateralized mortgage obligations (CMOs). Most of the performance shortfall occurred in the first quarter of 1996, when interest rates rose sharply. The Portfolio's longer duration strategy negatively impacted returns in this environment. However, into the second quarter of 1996, the Portfolio's holdings in mortgages helped performance, since mortgage securities outperformed Treasury securities as market volatility and prepayment speeds declined. The extra yield associated with mortgage bonds can be thought of as compensation for volatility and prepayment risk. This was especially true of current and high coupon mortgages, which benefited as prepayment expectations declined. In May, PIMCO reaffirmed its long-term forecast of 5% to 7% for 30-Year Treasury Bond rates. Given that long-term rates were 6.98% on July 31, 1996, we are optimistic about the prospects for rates to decline. While economic growth clearly accelerated during the first part of 1996, we remain confident that the U.S. economy will grow less quickly than market expectations. This, together with a benign inflation outlook, creates a backdrop for potentially attractive returns for the latter part of this year. As a result, we will continue to position the Portfolio with a longer average duration than the benchmark Index. Security selection will remain concentrated in the mortgage sector, with discount coupon pass-throughs the area where we see the most relative value. Finally, continued declines in market volatility should allow mortgages to significantly outperform Treasuries, given mortgage yield advantages. 5
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PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - LEHMAN MORTGAGE Without Fee* With Fee* Backed Securities Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,008 $10,005 $10,000 9/95 $10,050 $10,034 $10,088 10/95 $10,211 $10,182 $10,178 11/95 $10,343 $10,301 $10,294 12/95 $10,493 $10,437 $10,423 1/96 $10,552 $10,482 $10,501 2/96 $10,402 $10,321 $10,413 3/96 $10,354 $10,260 $10,376 4/96 $10,297 $10,191 $10,347 5/96 $10,301 $10,182 $10,316 6/96 $10,427 $10,294 $10,458 7/96 $10,435 $10,294 $10,497 The graph depicts the performance of PACE Goverment Securities Fixed Income Investments versus the Lehman Brothers Mortgage Backed Securities Index. It is important to note that PACE Government Securities Fixed Income Investments is a professionally managed portfolio while the Lehman Brothers Mortgage Backed Securities Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 4.35% 2.94% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 6
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PACE INTERMEDIATE FIXED INCOME INVESTMENTS MANAGED BY PACIFIC INCOME ADVISORS, THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CURRENT INCOME CONSISTENT WITH REASONABLE STABILITY OF PRINCIPAL THROUGH INVESTMENTS IN FIXED INCOME SECURITIES WITH A DOLLAR-WEIGHTED AVERAGE PORTFOLIO DURATION OF BETWEEN TWO AND FOUR AND ONE-HALF YEARS. INVESTMENT PROCESS PACIFIC INCOME ADVISORS FOCUSES ON YIELD CURVE ANALYSIS AND ACTIVE SECTOR ROTATION, OVERWEIGHTING OR UNDERWEIGHTING SECTORS BASED ON A RISK/REWARD ASSESSMENT AND ANTICIPATION OF CHANGING YIELD CURVE SHAPES. THE MANAGER UTILIZES A PROPRIETARY MODEL TO IDENTIFY SECURITIES THAT ARE UNDERVALUED ON A RISK-ADJUSTED BASIS. COMMENTS FROM PACIFIC INCOME ADVISORS Since its inception on August 24, 1995 through July 31, 1996, the Portfolio provided investors with a total return of 3.59% (exclusive of the PACE Program Fee), which underperformed the Lehman Brothers Intermediate-Term Government/Corporate Index (the "Index") return of 4.35%. As of July 31, 1996, net assets of the Portfolio were $41.3 million. During the bond market rally in the latter half of 1995, the Portfolio maintained a longer duration than the Index which benefited performance as bond yields declined; however, the Portfolio's overweighting of the mortgage-backed sector caused it to lag the overall bond market during this timeframe. In the first and second quarters of 1996, the bond market was negatively impacted by stronger-than-expected economic data, which caused interest rates to rise and bond prices to decline. During this period, the Portfolio remained overweighted in the mortgage-backed securities and home equity loan sectors, which were among the best-performing sectors as the market traded off. During the second quarter of 1996, we shortened the Portfolio's duration to 0.25 years less than the Index's duration of 3.25 years, reducing maturities greater than five years from 65.0% of the Portfolio to 55.0%. Most of the proceeds were used to purchase securities under one year in maturity. As of July 31, 1996, the Portfolio's Treasury and corporate holdings remained underweighted versus the Index. Looking ahead, we do not anticipate increasing the Portfolio's weighted average duration unless there is a considerable steepening of the yield curve, since we believe the yield curve is not rewarding investors sufficiently for the risk of longer-term securities. Also, unless corporate spreads widen relative to Treasuries and mortgage-backed securities, we do not anticipate overweighting this sector. 7
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PACE INTERMEDIATE FIXED INCOME INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE LEHMAN BROTHERS INTERMEDIATE-TERM GOVERNMENT/CORPORATE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - LEHMAN INTERMEDIATE Without Fee* With Fee* Gov't/Corp. Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,108 $10,105 $10,000 9/95 $10,175 $10,159 $10,072 10/95 $10,232 $10,203 $10,184 11/95 $10,281 $10,240 $10,318 12/95 $10,396 $10,340 $10,426 1/96 $10,413 $10,344 $10,516 2/96 $10,340 $10,259 $10,393 3/96 $10,279 $10,185 $10,339 4/96 $10,227 $10,122 $10,303 5/96 $10,226 $10,108 $10,295 6/96 $10,314 $10,182 $10,404 7/96 $10,359 $10,218 $10,435 The graph depicts the performance of PACE Intermediate Fixed Income Investments versus the Lehman Brothers Intermediate-Term Government/Corporate Index. It is important to note that PACE Intermediate Fixed Income Investments is a professionally managed portfolio while the Lehman Brothers Intermediate-Term Government/Corporate Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 3.59% 2.18% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 8
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PACE STRATEGIC FIXED INCOME INVESTMENTS MANAGED BY PACIFIC INVESTMENT MANAGEMENT COMPANY ("PIMCO"), THE PORTFOLIO'S INVESTMENT OBJECTIVE IS TOTAL RETURN CONSISTING OF INCOME AND CAPITAL APPRECIATION THROUGH INVESTMENTS IN FIXED INCOME SECURITIES OF VARYING MATURITIES WITH A DOLLAR-WEIGHTED AVERAGE PORTFOLIO DURATION OF BETWEEN THREE AND EIGHT YEARS. PORTFOLIO HOLDINGS WILL BE INVESTED IN AREAS OF THE BOND MARKET (BASED ON QUALITY, SECTOR, COUPON, OR MATURITY) WHICH PIMCO BELIEVES TO BE RELATIVELY UNDERVALUED. INVESTMENT PROCESS PIMCO'S INVESTMENT PROCESS BEGINS WITH A MACROECONOMIC ANALYSIS OF SECULAR AND CYCLICAL INTEREST RATE TRENDS. THE PORTFOLIO'S DURATION IS DETERMINED BASED ON PIMCO'S EXPECTATIONS FOR CHANGES IN INTEREST RATES. THEN, PIMCO EVALUATES THE YIELD CURVE'S POTENTIAL FOR STEEPENING OR FLATTENING. INDIVIDUAL ISSUES ARE CHOSEN FOR THEIR RELATIVE VALUE. COMMENTS FROM PACIFIC INVESTMENT MANAGEMENT COMPANY From its inception on August 24, 1995 through July 31, 1996, the Portfolio's 8.15% return (exclusive of the PACE Program Fee) far outperformed the Lehman Brothers Government/Corporate Bond Index (the "Index") return of 3.97%. This was achieved primarily by positioning the Portfolio's duration longer than that of the Index during 1995's market rally and, during the latter part of 1995 and into 1996, by underweighting the Portfolio's Treasury and corporate positions as well as overweighting mortgages. Also, the Portfolio's investment in stable duration collateralized mortgage obligations (CMOs) and Federal Housing Administration (FHA) project loans provided additional yield and consistent value. As of July 31, 1996, net assets of the Portfolio totaled $42.6 million. We are optimistic that interest rates will decline going forward, given that 30-year Treasury bond rates are nearly 7% as of this update, and that our long-term forecast range is 5% to 7%. While economic growth clearly accelerated during the first part of 1996, we remain confident that, going forward, the U.S. economy will grow less rapidly than market expectation. This, together with a benign inflation outlook, creates a backdrop for potentially attractive returns for 1996. As a result, we will continue to position the Portfolio with a longer average maturity than the benchmark Index. Security selection will remain concentrated in the mortgage sector, with discount coupon pass-throughs exhibiting the most relative value. Further declines in market volatility should allow significant outperformance of Treasuries given mortgage yield advantages. We will also continue to use hedged foreign and certain corporate instruments on an opportunistic basis. 9
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PACE STRATEGIC FIXED INCOME INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE LEHMAN BROTHERS GOVERNMENT/CORPORATE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - LEHMAN Without Fee* With Fee* Gov't/Corp. Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,067 $10,063 $10,000 9/95 $10,425 $10,409 $10,101 10/95 $10,644 $10,614 $10,249 11/95 $10,859 $10,815 $10,418 12/95 $11,023 $10,964 $10,572 1/96 $11,099 $11,026 $10,637 2/96 $10,808 $10,724 $10,412 3/96 $10,779 $10,681 $10,324 4/96 $10,679 $10,569 $10,254 5/96 $10,665 $10,542 $10,236 6/96 $10,820 $10,681 $10,373 7/96 $10,815 $10,674 $10,397 The graph depicts the performance of PACE Strategic Fixed Income Investments versus the Lehman Brothers Government/Corporate Index. It is important to note that PACE Strategic Fixed Income Investments is a professionally managed portfolio while the Lehman Brothers Government/Corporate Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 8.15% 6.74% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 10
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PACE MUNICIPAL FIXED INCOME INVESTMENTS MANAGED BY MORGAN GRENFELL CAPITAL MANAGEMENT, INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS HIGH CURRENT INCOME EXEMPT FROM FEDERAL INCOME TAX THROUGH INVESTMENT IN GENERAL OBLIGATION, REVENUE, AND PRIVATE ACTIVITY BONDS AND NOTES, THE INTEREST ON WHICH IS EXEMPT FROM FEDERAL INCOME TAX, WITH A DOLLAR-WEIGHTED AVERAGE PORTFOLIO DURATION OF BETWEEN THREE AND SEVEN YEARS. INVESTMENT PROCESS MORGAN GRENFELL SEEKS TO PROVIDE CONSISTENT RETURNS WITH LOW VOLATILITY BY FOCUSING ON OPTIMAL ISSUE SELECTION AND NOT ATTEMPTING TO FORECAST INTEREST RATE MOVES. THE PORTFOLIO IS CONSTRUCTED OF HIGH-QUALITY SECURITIES ACROSS ALL MATURITIES SO THAT ITS AVERAGE DURATION IS CLOSE TO THAT OF ITS BENCHMARK INDEX. ISSUES WITH FEDERAL GOVERNMENT BACKING, MORTGAGE COLLATERAL, AND OTHER CREDIT ENHANCEMENTS ARE PREFERRED, WITH A LIMITED INVESTMENT IN REVENUE AND GENERAL OBLIGATION ISSUES. ISSUE SIZE IS NOT AS IMPORTANT AS THE ISSUER'S ABILITY TO PAY PRINCIPAL AND INTEREST. COMMENTS FROM MORGAN GRENFELL CAPITAL MANAGEMENT, INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio had a total return of 6.38% (exclusive of the PACE Program Fee), which far outperformed the Lehman Brothers Municipal Five-Year Index (the "Index") return of 3.62%. At the beginning of the period, the Portfolio benefited from a slightly longer duration than that of the Index, as well as the absence of general obligation bonds which, as a group, underperformed the overall municipal market. During the latter half of the period, the Portfolio's duration remained longer than the Index, which negatively impacted performance in the first quarter of 1996, but enhanced return in the second quarter. As of July 31, 1996, net assets of the Portfolio totaled $17.8 million. Municipal bond yields generally declined during the latter half of 1995; however, the impending threat of a flat tax hindered overall market performance. In addition, investors' preference is for a municipal bond with a yield of at least 6%, so that when the municipal long bond's yield fell below this level in November, demand dropped sharply. Therefore, during this time frame, the municipal market underperformed the Treasury bond market. During the first quarter of 1996, bond markets generally traded down--causing the municipal long bond's yield to be restored to its preferred level. This caused municipal bond prices to appreciate disproportionately. Also, a continued low supply of new issues available caused an extra buoyancy to the municipal market. Therefore, during the first half of 1996, the municipal market outperformed the U.S. Treasury bond market. Going forward, we expect the municipal supply shortage to continue and, consequently, municipals should tend to continue to trade at richer levels relative to U.S. Treasury bonds. We continue to emphasize securities of the highest investment quality. Given the current market environment, we have purposely heavily overweighted the U.S. government-backed sectors of escrowed-to-maturity and FHA-, FNMA- and GNMA-collateralized securities. 11
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PACE MUNICIPAL FIXED INCOME INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE LEHMAN BROTHERS MUNICIPAL FIVE-YEAR INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - LEHMAN MUNI Without Fee* With Fee* 5-Year Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,042 $10,038 $10,000 9/95 $10,092 $10,076 $10,025 10/95 $10,183 $10,154 $10,087 11/95 $10,355 $10,313 $10,179 12/95 $10,505 $10,449 $10,231 1/96 $10,513 $10,444 $10,334 2/96 $10,519 $10,437 $10,305 3/96 $10,386 $10,292 $10,233 4/96 $10,381 $10,274 $10,232 5/96 $10,453 $10,332 $10,227 6/96 $10,552 $10,417 $10,287 7/96 $10,638 $10,497 $10,362 The graph depicts the performance of PACE Municipal Fixed Income Investments versus the Lehman Brothers Municipal Five-Year Index. It is important to note that PACE Municipal Fixed Income Investments is a professionally managed portfolio while the Lehman Brothers Municipal Five-Year Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 6.38% 4.97% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 12
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PACE GLOBAL FIXED INCOME INVESTMENTS MANAGED BY ROGGE GLOBAL PARTNERS PLC, THE PORTFOLIO'S INVESTMENT OBJECTIVE IS HIGH TOTAL RETURN THROUGH INVESTMENT IN HIGH-GRADE FIXED INCOME SECURITIES ISSUED BY DOMESTIC AND FOREIGN GOVERNMENTS AND SUPRANATIONAL ENTITIES AND PRIVATE ISSUERS LOCATED OVERSEAS, WITH A DOLLAR-WEIGHTED AVERAGE PORTFOLIO DURATION OF BETWEEN FOUR AND EIGHT YEARS. INVESTMENT PROCESS ROGGE GLOBAL PARTNERS BELIEVES THAT, OVER TIME, FINANCIALLY HEALTHY COUNTRIES PRODUCE THE HIGHEST BOND AND CURRENCY RETURNS. THEY USE A TOP-DOWN FUNDAMENTAL APPROACH TO IDENTIFY RELATIVE VALUE ACROSS COUNTRIES. RATINGS BASED ON THIS ANALYSIS ALLOW THEM TO FORECAST EXPECTED CHANGES IN INTEREST AND EXCHANGE RATES OVER A 12-MONTH HORIZON. AN OPTIMIZATION MODEL IS THEN USED AS A TOOL TO HELP DETERMINE COUNTRY/CURRENCY AND DURATION POSITIONS. COMMENTS FROM ROGGE GLOBAL PARTNERS PLC From its inception on August 24, 1995 through July 31, 1996, the Portfolio's total return of 6.68% (exclusive of the PACE Program Fee) outperformed the Salomon Brothers World Government Index (the "Index") 5.68% return. The Portfolio's net assets as of July 31, 1996 were $38.3 million. During the first half of this time period, the Portfolio benefited from its long duration position, and, relative to the Index, was overweighted in the relatively strong performing markets of Germany, Italy, and the Netherlands, while underweighted in the underperforming Japan. While we maintained our long duration position through the first quarter of 1996, a worldwide rise in interest rates resulted in underperformance of the Portfolio relative to the Index. During the second quarter of 1996, the strong economic recovery in Japan and the U.S. held back bond performance in the major markets. Underweighting Japanese bonds helped performance but was offset by the negative impact of a long duration position in Germany. Although global bonds only returned 0.4% during the second quarter, some markets, such as Italy (which we overweighted), fared considerably better. We have trimmed back the Portfolio's overall duration exposure, reflecting the cyclical risks to bonds. Instead, we are looking to our active country analysis to generate excess return. We expect European bonds to outperform both the U.S. and Japanese markets. In the U.S., the Fed's stance is pro-growth rather than anti-inflationary, while in Japan both monetary and fiscal policy is too loose. We also believe that the European and Canadian bond markets are poised to outperform both the U.S. and Japanese markets. Within Europe, we continue to favor Germany, as well as Sweden and Italy, where considerable progress is being made to rectify previous fiscal excesses. Note: Rogge Global Partners plc agreed to be acquired by, and became a wholly-owned subsidiary of, United Asset Management Corporation ("UAM") on August 28, 1996. Rogge will continue to operate in the same manner and will retain the name Rogge Global Partners plc. Olaf Rogge, John Graham and Richard Bell will continue to have day-to-day responsibility for management of the Portfolio, and no changes are anticipated in either the investment philosophy or process under which the Portfolio is managed. 13
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PACE GLOBAL FIXED INCOME INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE SALOMON BROTHERS WORLD GOVERNMENT BOND INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - SB WORLD GOV'T Without Fee* With Fee* Bond Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $9,950 $9,947 $10,000 9/95 $10,242 $10,226 $10,223 10/95 $10,360 $10,331 $10,299 11/95 $10,460 $10,417 $10,416 12/95 $10,643 $10,586 $10,525 1/96 $10,583 $10,514 $10,395 2/96 $10,439 $10,358 $10,342 3/96 $10,346 $10,252 $10,327 4/96 $10,482 $10,374 $10,286 5/96 $10,421 $10,301 $10,288 6/96 $10,487 $10,353 $10,369 7/96 $10,668 $10,527 $10,568 The graph depicts the performance of PACE Global Fixed Income Investments versus the Salomon Brothers World Government Bond Index. It is important to note that PACE Global Fixed Income Investments is a professionally managed portfolio while the Salomon Brothers World Government Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 6.68% 5.27% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 14
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PACE LARGE COMPANY VALUE EQUITY INVESTMENTS MANAGED BY BRINSON PARTNERS, INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CAPITAL APPRECIATION AND DIVIDEND INCOME THROUGH INVESTMENT IN EQUITY SECURITIES THAT, IN BRINSON'S OPINION, ARE UNDERVALUED. UNDER NORMAL CONDITIONS, AT LEAST 65% OF THE PORTFOLIO'S TOTAL ASSETS WILL BE INVESTED IN COMMON STOCKS OF COMPANIES WITH TOTAL MARKET CAPITALIZATION OF $2.5 BILLION OR GREATER. INVESTMENT PROCESS BRINSON PARTNERS' PHILOSOPHY INCORPORATES BOTH TOP-DOWN AND BOTTOM-UP ELEMENTS. BRINSON PARTNERS LOOKS FOR UNDERVALUED ISSUES IN THE CONTEXT OF AN OVERALL MACROECONOMIC AND MARKET OUTLOOK. FUNDAMENTAL ANALYSIS IS CONDUCTED BY THE FIRM'S INDUSTRY ANALYSTS ON A UNIVERSE OF 700 STOCKS. THE RESULTS OF THEIR GROWTH AND CASH FLOW PROJECTIONS ARE INCORPORATED INTO A PROPRIETARY VALUATION MODEL. THIS MODEL AIDS IN THE CALCULATION AND RANKING OF SECURITIES. THESE QUANTITATIVE TOOLS, IN COMBINATION WITH THE JUDGMENT OF SENIOR INVESTMENT PROFESSIONALS, DETERMINE WHICH SECURITIES ARE INCLUDED IN THE PORTFOLIO. COMMENTS FROM BRINSON PARTNERS, INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio returned 17.90% (exclusive of the PACE Program Fee), which outperformed the Wilshire Large Company Value Index (the "Index") return of 15.40%. During this time period, the Portfolio's net assets grew to $80.9 million. Its top five sector allocations as of July 31, 1996 were: financial banks/thrifts (11.8%), financial non-banks (9.9%), consumer non-durables (10.2%), capital goods (9.9%) and healthcare (11.8%). During the latter part of 1995, the Portfolio benefited from its holdings in pharmaceutical and other non-cyclical stocks, as well as restructuring stocks such as Lockheed Martin Corporation (5.1% of the Portfolio's net assets as of July 31, 1996), Dial Corporation (1.1%), and Kimberly Clark Corporation (3.0%). In addition, the Portfolio's underweighting, relative to the Index, in electric and telephone utilities contributed positively to its performance. In the first half of 1996, consumer non-cyclical stocks outperformed cyclical stocks, as measured by the Morgan Stanley Consumer and Cyclical Indexes. Small capitalization stocks were very strong in April and May, but gave up some ground in June as investors grew concerned with upcoming quarterly earnings announcements. Technology stocks were particularly volatile. The Portfolio benefited from specific holdings within the non-durable and retail sectors, such as Food Lion Incorporated (0.4%), Philip Morris Companies Incorporated (1.0%), and Tyson Foods Incorporated (1.0%). Currently, we believe there are a number of undervalued securities in the financial sector, including Chase Manhattan Corporation (4.4%), which should benefit over time as a result of the merger with Chemical Bank. We also see a number of attractive opportunities in the aerospace and defense industry, as well as the drug industry. Overall, we believe that inflation fears are overstated and that interest rates should decline. Corporate profit expectations are still relatively high, and we expect these estimates to decline as well. 15
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PACE LARGE COMPANY VALUE EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE WILSHIRE LARGE COMPANY VALUE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - WILSHIRE LG. Without Fee* With Fee* Co. Value Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,117 $10,113 $10,000 9/95 $10,442 $10,425 $10,521 10/95 $10,425 $10,396 $10,510 11/95 $10,975 $10,930 $10,952 12/95 $11,169 $11,110 $11,282 1/96 $11,622 $11,545 $11,640 2/96 $11,798 $11,706 $11,716 3/96 $12,016 $11,907 $11,827 4/96 $12,242 $12,116 $11,839 5/96 $12,426 $12,283 $11,953 6/96 $12,384 $12,226 $11,891 7/96 $11,790 $11,649 $11,540 The graph depicts the performance of PACE Large Company Value Equity Investments versus the Wilshire Large Company Value Index. It is important to note that PACE Large Company Value Equity Investments is a professionally managed portfolio while the Wilshire Large Company Value Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN -------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* --------------- --------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 17.90% 16.49% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 16
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PACE LARGE COMPANY GROWTH EQUITY INVESTMENTS MANAGED BY CHANCELLOR CAPITAL MANAGEMENT, INC., THE PORTFOLIO'S OBJECTIVE IS CAPITAL APPRECIATION THROUGH INVESTMENT IN EQUITY SECURITIES OF COMPANIES THAT, IN CHANCELLOR'S OPINION, ARE CHARACTERIZED BY AN EARNINGS GROWTH RATE FASTER THAN THAT OF THE S&P 500 INDEX. UNDER NORMAL CONDITIONS, AT LEAST 65% OF TOTAL ASSETS WILL BE INVESTED IN COMMON STOCKS OF COMPANIES WITH TOTAL MARKET CAPITALIZATION OF $2.5 BILLION OR GREATER. INVESTMENT PROCESS CHANCELLOR CAPITAL MANAGEMENT, INC. SEEKS TO INVEST IN LARGE CAPITALIZATION COMPANIES THAT HAVE SECURE, ABOVE-AVERAGE SECULAR GROWTH PROFILES AND POTENTIAL FOR IMPROVING NEAR-TERM EARNINGS MOMENTUM. STOCK SELECTION IS BASED ON A RANKING SYSTEM THAT WEIGHS FUNDAMENTAL RESEARCH, QUANTITATIVE AND VALUATION INPUTS IN 40/40/20 PROPORTIONS. CHANCELLOR PURCHASES STOCKS FOR THE PORTFOLIO RANKED IN THE TOP 30% OF THE COMBINED STOCK RANKING AND BUILDS THE PORTFOLIO REFLECTING THE ESTABLISHED INDUSTRY WEIGHTS. COMMENTS FROM CHANCELLOR CAPITAL MANAGEMENT, INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio returned 10.76% (exclusive of the PACE Program Fee), underperforming the Wilshire Large Company Growth Index (the "Index") return of 19.19%. As of July 31, 1996, the Portfolio's net assets had increased to $69.2 million. Its top five sector allocations as of July 31, 1996 were: information processing (18.0% of the Portfolio's net assets), healthcare (16.0%), cyclical non-durables (9.0%), growth staples (9.0%) and commodities (8.0%). For the first four months of this reporting period, the Portfolio was negatively impacted by its exposure to the technology and retail sectors, although it was underweighted in the retail sector relative to the Index. Despite achieving sizable gains throughout most of 1995, technology stocks began a dramatic correction in September 1995. The catalyst for this was slowing demand for personal computers and cellular phones. In addition, increased capital spending by manufacturers and unsustainably high memory chip prices led to excess capacity and declining chip prices. The groups within the technology sector that were affected in the Portfolio included microprocessor companies, memory chip providers, semiconductor equipment manufacturers and telecommunications equipment. As a result, we substantially reduced the Portfolio's technology holdings; among those companies sold were: LSI Logic, Micron Technology, Teradyne, Applied Materials, KLA Instruments and ADC Telecommunications. Within the retail sector, a marked slowdown in the economy, combined with anxiety about the Christmas selling season and post-holiday price discounting, led investors to sell stocks ahead of potential earnings disappointments. During this time, however, the Portfolio's significant exposure to healthcare, information processing, and commodities helped to cushion the negative impact of the technology and retail sectors. As we moved into 1996, we saw a rise in interest rates due to a stronger-than-expected economy, record levels of net cash inflows into mutual funds, and the rotation in market leadership between growth and value stocks. All this resulted in a high level of market volatility through the end of the reporting period. Our general view of technology remained unchanged because of healthy fundamentals, although we reduced our exposure to the volatile electronics sector. As for the retail sector, while the Portfolio's underweighted position relative to the Index was beneficial in 1995, it detracted from returns early in 1996 when retail stocks were relatively strong performers. However, after increasing to a slightly overweighted position in late June and early July, retail added marginally to the Portfolio's performance. Our consumer staples position, although under market weight, was also beneficial. Exposure to other industry groups had a mixed impact on the Portfolio during 1996. Both entertainment/media and financial stocks responded adversely to the rising interest rate environment, despite showing improving fundamentals and excellent earnings gains. However, the Portfolio benefited from investments in information processing such as First Data (2.3%), HBO & Co. (1.6%) and Cascade Communications (1.8%), consumer services such as Nike (3.4%), CUC International (2.0%) and Hospitality Franchise Systems, Inc. (2.3%), and selected stable growth stocks such as Philip Morris (4.7%), Home Depot (1.5%) and Gillette (2.6%). We believe that the economy shows few immediate signs of slowing from the second quarter's accelerating pace. While most inflationary pressures remain well under control, evidence is growing that 17
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both employment and wage growth pressures are mounting. We are convinced that stocks with strengthening earnings fundamentals will continue to be the most rewarding. The Portfolio continues to reflect that theme, with sizable holdings in the networking (8.7%), medical device (8.1%), commercial aerospace (4.2%), and financial services (10.7%) sectors. Our outlook for equities remains constructive, reflecting our assumption that interest rates will stabilize as the economy's pace most likely begins to moderate by the fourth quarter, and that corporate earnings will continue to grow at a modest pace. Note: In July, 1996, Liechtenstein Global Trust, parent company of GT Global and LGT Asset Management, agreed to purchase Chancellor Capital Management, Inc. After completion of the acquisition in the fourth quarter of 1996, Chancellor Capital Management, Inc. will become part of LGT Asset Management, and the new company, Chancellor LGT Asset Management, will constitute the company's North American institutional investment management business. Patricia Chadwick and Catherine Dudley will continue to have day-to-day responsibility for management of the Portfolio. There are no anticipated changes forthcoming in either the investment philosophy or process under which the Portfolio is managed. PACE LARGE COMPANY GROWTH EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE WILSHIRE LARGE COMPANY GROWTH INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - WILSHIRE LG. Without Fee* With Fee* Co. Growth Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,000 $9,997 $10,000 9/95 $10,367 $10,351 $10,554 10/95 $10,483 $10,454 $10,623 11/95 $10,675 $10,632 $11,033 12/95 $10,667 $10,610 $11,023 1/96 $10,967 $10,895 $11,445 2/96 $11,234 $11,147 $11,634 3/96 $11,284 $11,182 $11,672 4/96 $11,485 $11,367 $11,950 5/96 $11,810 $11,674 $12,483 6/96 $11,819 $11,667 $12,553 7/96 $11,076 $10,935 $11,919 The graph depicts the performance of PACE Large Company Growth Equity Investments versus the Wilshire Large Company Growth Index. It is important to note that PACE Large Company Growth Equity Investments is a professionally managed portfolio while the Wilshire Large Company Growth Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN --------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* --------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 10.76% 9.35% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 18
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PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS MANAGED BY BRANDYWINE ASSET MANAGEMENT, INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CAPITAL APPRECIATION THROUGH INVESTMENT PRIMARILY IN EQUITY SECURITIES THAT, IN BRANDYWINE'S OPINION, ARE UNDERVALUED OR OVERLOOKED IN THE MARKETPLACE AT THE TIME OF PURCHASE AND WHICH GENERALLY HAVE BELOW-MARKET AVERAGE PRICE-TO-EARNINGS RATIOS. UNDER NORMAL CONDITIONS, AT LEAST 65% OF THE PORTFOLIO'S TOTAL ASSETS WILL BE INVESTED IN COMPANIES WITH TOTAL MARKET CAPITALIZATION OF LESS THAN $2.5 BILLION. INVESTMENT PROCESS BRANDYWINE FIRST NARROWS THE SMALL COMPANY UNIVERSE TO APPROXIMATELY 650 SMALL CAPITALIZATION VALUE STOCKS THROUGH THE USE OF THREE QUANTITATIVE SCREENING CRITERIA: POSITIVE TRAILING 12-MONTH OPERATING EARNINGS; THE LOWEST PRICE-TO-EARNINGS QUARTILE BASED ON THE TRAILING 12-MONTH OPERATING EARNINGS; AND MARKET CAPITALIZATION GREATER THAN $10 MILLION BUT LOWER THAN THE MEDIAN CAPITALIZATION OF THE NEW YORK STOCK EXCHANGE. A HANDS-ON FUNDAMENTAL REVIEW OF EACH STOCK FURTHER NARROWS THE LIST BY EXCLUDING STOCKS FOR THE FOLLOWING: ADJUSTMENTS TO EARNINGS THAT ELIMINATE NON-OPERATING GAINS, THUS RAISING THE STOCK'S PRICE-TO-EARNINGS RATIO ABOVE THE LOWER QUARTILE; STRONG RECENT PRICE GAINS; OR SEVERE OR SUDDEN FUNDAMENTAL DETERIORATION. COMMENTS FROM BRANDYWINE ASSET MANAGEMENT, INC. Since its inception on August 24, 1995 through July 31, 1996, the Portfolio's 2.76% return (exclusive of the PACE Program Fee) underperformed the Wilshire Small Company Value Index (the "Index") return of 7.81%. As of July 31, 1996, the Portfolio had net assets of $63.9 million. Also, as of July 31, 1996, the Portfolio's top five sector allocations were: financials (32.4% of the Portfolio's net assets), basic materials (11.9%), industrial cyclicals (10.7%), technology (8.2%), and utilities (6.0%). The Portfolio's underperformance relative to the Index can be attributed primarily to its rapid growth at inception; incoming cash flows were a high percentage of the Portfolio's value. Since the Portfolio's inception, the stock market's volatility has increased due to uncertainty about the economy's direction. In late 1995, concern grew over a slowing U.S. economy. Investors turned away from economically sensitive issues, and moved toward stocks that were seen as providing stable earnings growth. Large capitalization stocks, particularly the traditional growth sectors of drugs and foods, were the best performers, while smaller capitalization stocks lagged. The Portfolio's strategy is to consistently rotate out of stocks and sectors that have performed well, and rotate into lagging stocks with attractive valuations and low investor expectations. Therefore, in late 1995, we reduced our holdings among healthcare, technology and financials. At the same time, we bought the economically sensitive issues, such as basic industry, producer manufacturing and retail. Financial stocks were the strongest performers in the Portfolio. Early in 1996, the market consensus of sluggish economic growth and declining interest rates proved wrong as employment reports were strong and interest rates moved sharply higher. The Portfolio's cyclical exposure, particularly in the retail sector, performed well, while financials and utilities lagged the market. Therefore, we began to add to interest sensitive stocks, such as the banks and utilities, and to reduce cyclicals, particularly the retail stocks. In the second quarter of 1996, small cap investors focused on stocks supposedly offering unique growth opportunities, especially in the technology sector. Surging speculative interest in these companies drove small caps up early in the quarter, and the Portfolio lagged broad small cap benchmarks due to its emphasis on undervalued stocks. In June and July, investors grew skeptical about many of these "hot" stocks, and the Portfolio behaved defensively as the small cap market reversed much of its earlier gains. Looking ahead, the Porfolio's largest exposure is in the interest rate sensitive stocks, such as financials and utilities. Moderate economic growth and restrained inflation should be positive for these stocks. We have increased the Portfolio's exposure in technology, which has been hit hard with a slowdown both in earnings and in computer demand from 1995's very high levels. We have cautiously moved into those technology stocks that have returned to price levels prior to the explosive run-up that occurred in 1995. 19
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PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE WILSHIRE SMALL COMPANY VALUE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - WILSHIRE SMALL Without Fee* With Fee* Co. Value Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,017 $10,013 $10,000 9/95 $10,025 $10,009 $10,316 10/95 $9,625 $9,598 $10,257 11/95 $9,867 $9,827 $10,633 12/95 $9,992 $9,939 $10,800 1/96 $10,034 $9,967 $10,885 2/96 $10,142 $10,063 $10,974 3/96 $10,376 $10,282 $11,146 4/96 $10,711 $10,601 $11,112 5/96 $10,953 $10,827 $11,274 6/96 $10,786 $10,648 $11,305 7/96 $10,276 $10,135 $10,781 The graph depicts the performance of PACE Small/Medium Company Value Equity Investments versus the Wilshire Small Company Value Index. It is important to note that PACE Small/Medium Company Value Equity Investments is a professionally managed portfolio while the Wilshire Small Company Value Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 2.76% 1.35% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 20
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PACE SMALL/MEDIUM COMPANY GROWTH EQUITY INVESTMENTS MANAGED BY WESTFIELD CAPITAL MANAGEMENT COMPANY, INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CAPITAL APPRECIATION THROUGH INVESTMENT PRIMARILY IN THE COMMON STOCK OF "EMERGING GROWTH" COMPANIES, COMPANIES CHARACTERIZED BY ABOVE-AVERAGE GROWTH OF EARNINGS RATES. UNDER NORMAL CONDITIONS, AT LEAST 80% OF THE PORTFOLIO'S TOTAL ASSETS WILL BE INVESTED IN COMMON STOCK OF ISSUERS WITH A TOTAL MARKET CAPITALIZATION OF LESS THAN $2.5 BILLION. INVESTMENT PROCESS USING AN IN-DEPTH FUNDAMENTAL APPROACH, WESTFIELD CAPITAL MANAGEMENT BUILDS PORTFOLIOS FROM THE BOTTOM UP. WE SEEK TO INVEST IN COMPANIES EXHIBITING ANNUAL EARNINGS GROWTH OF 20% OR MORE AND THAT ARE PRICED AT A DISCOUNT TO THEIR FORECASTED GROWTH RATES. THE PORTFOLIO'S PRICE/EARNINGS RATIO TYPICALLY WORKS OUT TO A MODEST PREMIUM OVER THE STANDARD & POOR'S 500 INDEX FOR EARNINGS GROWTH OF 2 TO 3 TIMES THE INDEX. STRONG COMPANY MANAGEMENT WITH SIGNIFICANT SHARE OWNERSHIP, A DIFFERENTIATED PRODUCT OR SERVICE NICHE, CASH FLOW SUFFICIENT TO FUND GROWTH INTERNALLY, AND SIGNS OF ACCELERATING EARNINGS MOMENTUM ARE DEFINING CHARACTERISTICS OF THE MANAGER'S HOLDINGS. COMMENTS FROM WESTFIELD CAPITAL MANAGEMENT COMPANY, INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio's total return was -6.55% (exclusive of the PACE Program Fee), which underperformed the Wilshire Small Company Growth Index (the "Index") return of 2.92%. As of July 31, 1996, the Portfolio had net assets of $63.4 million. This has been a volatile timeframe for the smaller capitalization, high growth stocks in which the Portfolio invests. A slowing economic environment late last year negatively impacted reported earnings in several industries, especially during the months of September and January, while a reversal of heavy, aggressive mutual fund inflows caused investors concern this past July. Within this environment, several market trends have hindered the Portfolio's performance. First, the best performing stocks over this period have been the largest companies and the highest growth names. Our investment style, outlined above, limits the Portfolio's exposure to both areas. Valuations of very high growth stocks reached extreme levels and continued to rise as mutual fund inflows had to be put to work. Our valuation guidelines pre-empted participation here, which paid off relative to other style managers during the July correction. Going forward, a more muted but still positive fund flow outlook should benefit our "growth at a price" stock-picking philosophy. Another predominant trend during this period has been the poor performance of the technology sector, our largest sector exposure. This area turned downward last September, mostly due to revised demand in semiconductor and selected hardware products. The Portfolio typically carries significantly greater weighting in the users (versus producers) of technology because these technology and business service companies possess more predictable revenue streams. This gradual softening in capital spending intentions has further skewed our allocation away from product companies. Strong stock selection within the financial, energy service and industrial sectors helped cushion the impact. The Portfolio's top five sector allocations as of July 31, 1996 were in information and computer services (12.0% of the Portfolio's net assets), wireless telecommunications (11.0%), medical providers (10.7%), computer hardware (8.0%), and energy services (8.0%). These sector weightings reflect the results of a proprietary thematic study we have conducted on stock behavior during time periods that have followed a sharp bond market sell-off, similar to that experienced in the first quarter of 1996. According to our study, out of some 20 industries reviewed, only three sectors have universally outperformed in the subsequent period: telecommunications, energy service and portions of the consumer arena. The Portfolio is well-positioned in these areas, with our weighting in energy service standing out relative to other small-cap managers. Going forward, we interpret the confusion demonstrated over the past months by economists and market prognosticators as a positive for the market. Their interpretations of new economic data seem to have alternated between fears of very strong economic growth leading to inflation or, on the other hand, a decline in corporate earnings due to a looming recession. To us, this is just as it should be during an economic soft landing. Earnings are good and can remain strong as the pace of recovery begins to moderate. The greater fear of high inflation seems less likely. Financial assets should continue to provide superior rates of return in this environment, particularly the smaller capitalization stocks in which the Portfolio specializes. 21
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PACE SMALL/MEDIUM COMPANY GROWTH EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE WILSHIRE SMALL COMPANY GROWTH INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - WILSHIRE SMALL CO. Without Fee* With Fee* Growth Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $9,942 $9,938 $10,000 9/95 $9,967 $9,951 $10,246 10/95 $9,567 $9,540 $9,702 11/95 $9,758 $9,719 $10,164 12/95 $9,863 $9,810 $10,291 1/96 $9,470 $9,408 $10,121 2/96 $10,004 $9,927 $10,630 3/96 $10,013 $9,922 $10,893 4/96 $10,881 $10,769 $11,713 5/96 $11,348 $11,217 $12,231 6/96 $10,764 $10,626 $11,499 7/96 $9,345 $9,204 $10,292 The graph depicts the performance of PACE Small/Medium Company Growth Equity Investments versus the Wilshire Small Company Growth Index. It is important to note that PACE Small/Medium Company Growth Equity Investments is a professionally managed portfolio while the Wilshire Small Company Growth Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* -------------- ------------- Commencement of operations (August 24, 1995) through July 31, 1996................. (6.55)% (7.96)% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 22
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PACE INTERNATIONAL EQUITY INVESTMENTS MANAGED BY MARTIN CURRIE INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS CAPITAL APPRECIATION THROUGH INVESTMENT IN EQUITY SECURITIES OF COMPANIES DOMICILED OUTSIDE THE UNITED STATES. UNDER NORMAL CONDITIONS, AT LEAST 65% OF THE PORTFOLIO'S TOTAL ASSETS WILL BE INVESTED IN EQUITY SECURITIES OF COMPANIES DOMICILED IN THREE OR MORE COUNTRIES OUTSIDE THE U.S. UP TO 10% OF THE PORTFOLIO'S TOTAL ASSETS MAY BE INVESTED IN EMERGING MARKETS. INVESTMENT PROCESS MARTIN CURRIE LOOKS FOR COMPANIES THAT EXHIBIT STRONG FUNDAMENTALS AND ATTRACTIVE VALUATIONS BASED ON ESTIMATES OF FUTURE EARNINGS. COUNTRY ALLOCATION DECISIONS ARE BASED ON CRITERIA THAT INCLUDE ECONOMIC AND POLITICAL STABILITY, THE BREADTH AND LIQUIDITY OF THE MARKET, THE NATURE OF THE LOCAL INVESTOR, CURRENCY OUTLOOK, SETTLEMENT SYSTEM, AND VALUATION. UP TO 75% OF THE FOREIGN CURRENCY EXPOSURE MAY BE HEDGED BACK TO THE U.S. DOLLAR. COMMENTS FROM MARTIN CURRIE INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio's return of 7.08% (exclusive of the PACE Program Fee) slightly underperformed the Morgan Stanley Capital International's Europe, Australia and Far East (MSCI EAFE) Index (the "Index") return of 7.63%. The Portfolio's underweighted positions, relative to the Index, in Continental Europe and the United Kingdom had a negative impact on performance, but this was offset by good stock selection across most regions. Japan was a positive contributor all around, with both the underweighted position and stock selection adding value. As of July 31, 1996, the Portfolio had net assets of $45.3 million. The top five country allocations were Japan (35.4% of the Portfolio's net assets on July 31, 1996), United Kingdom (12.5%), Hong Kong (6.7%), Germany (4.7%), and France (4.6%). The top five sector allocations were in financial/insurance/real estate (26.2%), consumer goods and services (22.9%), capital goods (21.1%), basic industries (14.8%), and utilities (6.0%). Throughout the reporting period, the Portfolio maintained a heavy weighting towards investments in Asia. Towards the end of the period, the Japanese market had advanced modestly, with much stronger gains being recorded by smaller companies. Corporate profits forecasts have been surprisingly modest, and we believe they are in fact somewhat conservative. In Europe, rising bond yields and weakening exchange rates provided a difficult background. The best performing markets were Italy (after the election), Spain, and Sweden. The Swiss Franc was particularly weak. Most equity markets look fully valued, but a growing number of companies are rationalizing their cost base, which is providing interesting investing opportunities. Most Asian markets were dull after a buoyant first quarter 1996, hurt by the fall in U.S. equities. We are confident, however, that they will become stronger later in the year. Latin American markets were strong again and are expected to continue to do well over the remainder of the year. With U.S. equities recouping their losses from July's correction, most regional markets should enjoy a return of confidence looking out over the next few months. We believe the Pacific Basin region will be the strongest performer over the coming quarters and have aggressively weighted the Portfolio toward this region. We also believe that Latin America will outperform MSCI EAFE, and have recently allocated money to this region at the expense of Japan. The Portfolio's Japanese exposure has also been reduced to finance an increasing number of investment opportunities in Continental Europe. 23
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PACE INTERNATIONAL EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE MSCI EAFE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - MSCI Without Fee* With Fee* EAFE Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $9,942 $9,938 $10,000 9/95 $10,008 $9,993 $10,195 10/95 $9,842 $9,814 $9,921 11/95 $9,967 $9,926 $10,197 12/95 $10,356 $10,301 $10,608 1/96 $10,691 $10,621 $10,651 2/96 $10,658 $10,575 $10,687 3/96 $10,901 $10,802 $10,914 4/96 $11,118 $11,004 $11,232 5/96 $11,009 $10,882 $11,025 6/96 $11,127 $10,984 $11,087 7/96 $10,708 $10,567 $10,763 The graph depicts the performance of PACE International Equity Investments versus the Morgan Stanley Capital International's Europe, Australia and Far East Index (MSCI EAFE Index). It is important to note that PACE International Equity Investments is a professionally managed portfolio while the MSCI EAFE Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 7.08% 5.67% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program fee is 1.50% of the value of PACE assets. 24
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PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS MANAGED BY SCHRODER CAPITAL MANAGEMENT INTERNATIONAL INC., THE PORTFOLIO'S INVESTMENT OBJECTIVE IS LONG-TERM CAPITAL APPRECIATION PRIMARILY THROUGH INVESTING, UNDER NORMAL CONDITIONS, AT LEAST 65% OF ITS TOTAL ASSETS IN EQUITY SECURITIES OF ISSUERS IN THREE OR MORE EMERGING MARKETS. INVESTMENT PROCESS SCHRODER CAPITAL MANAGEMENT INTERNATIONAL UTILIZES AN EXTENSIVE NETWORK OF REGIONAL SPECIALISTS AND ANALYSTS IN 11 COUNTRIES. THIS LOCAL PRESENCE SUPPORTS AN INTENSIVE COMPANY RESEARCH PROGRAM THAT IS ESSENTIAL IN EMERGING MARKETS. THE PROPRIETARY RESEARCH COMPILED IS THEN USED TO IDENTIFY COMPANIES WHOSE CHARACTERISTICS FALL WITHIN SCHRODER'S CRITERIA, INCLUDING PROFESSIONAL MANAGEMENT, SUSTAINABLE EARNINGS GROWTH, A HIGH DOMESTIC MARKET SHARE, AND CREDIBLE ACCOUNTING STANDARDS. COMMENTS FROM SCHRODER CAPITAL MANAGEMENT INTERNATIONAL INC. From its inception on August 24, 1995 through July 31, 1996, the Portfolio returned 4.23% (exclusive of the PACE Program Fee), which far outperformed the MSCI Emerging Markets Free Index (the "Index") return of -0.72%. As of July 31, 1996, the Portfolio had net assets of $25.5 million. The regional allocations as of the same date were: East Asia (49.9% of the Portfolio's net assets), Latin America (26.3%), and Europe/Africa (15.1%). Also, the top five sector allocations were: communications (10.0%), electric and gas (8.0%), banks (8.0%), telecommunications (7.0%), and industrials (6.0%). The Portfolio's strategy has been to emphasize the regional weighting of Asia, since we believe that Asian emerging markets provide long-term investment opportunities, particularly in the Philippines, Indonesia and Thailand. This allocation has proven to be beneficial for the Portfolio, as was the Portfolio's overweighting in Brazil, whose market was up over 15% by the end of the second quarter 1996. We believe that investors are responding positively to Latin America's improving prospects for economic reform. Other top performing securities were located in Argentina, where the market was up 15.3%; the Philippines, as investor expectations of strong economic growth after inflation peaked were a cause for a market rally in March; and Chile, where the anticipation of falling interest rates tempted investors back into the market. The impact of the Russian election, coupled with strong global liquidity conditions, contributed to the Polish market's significant recovery. The formation of a coalition government in Turkey boosted investor sentiment, while the market in Portugal was buoyed by a successful tranche (a bond series issued for sale in a foreign country) of the telecommunications utility. In South Africa, the market continued to stabilize following the recent currency crisis. Underperforming countries included Mexico, due to the weakness of the peso; Korea, as a result of its poor economic data; and Indonesia, where political tensions and poor corporate results kept investors out of the marketplace. Going forward, we have strategically over weighted regionally in Eastern Europe and Asia. In Eastern Europe, the Portfolio has invested in Poland, Hungary and Czechoslovakia where long-term growth rates should sustain GNP and proper regulatory policies are anticipated to be reflected in stock levels. In Asia, diverse markets and opportunities make the region attractive. The Portfolio did quite well in India over the past six months and has taken some profits in this region. We believe that the worst is over in Thailand, which was the worst performing market year-to-date, and that the recovery will be delayed until 1997. A recent addition to the Portfolio is Israel, where although the market has fallen slightly reflecting political concerns from the recent election, we anticipate that recovery will continue albeit at a slower pace. In Latin America, the markets have been nervous over U.S. interest rates; however, we believe that Mexico and Brazil are poised for a modest economic recovery (barring an upswing in U.S. interest rates). The Portfolio's position in Argentina has been reduced due to rising political tension. 25
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PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE PORTFOLIO AND THE MSCI EMERGING MARKETS FREE INDEX EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC [Download Table] PORTFOLIO PORTFOLIO - - MSCI EMERG. Without Fee* With Fee* Mkt. Free Index 8/24/95 $10,000 $10,000 $10,000 8/31/95 $10,017 $10,013 $10,000 9/95 $9,900 $9,885 $9,939 10/95 $9,500 $9,473 $9,549 11/95 $9,475 $9,437 $9,370 12/95 $9,814 $9,761 $9,768 1/96 $10,765 $10,694 $10,453 2/96 $10,481 $10,400 $10,270 3/96 $10,623 $10,527 $10,332 4/96 $10,965 $10,852 $10,708 5/96 $11,057 $10,929 $10,634 6/96 $11,074 $10,932 $10,677 7/96 $10,423 $10,282 $9,928 The graph depicts the performance of PACE International Emerging Markets Equity Investments versus the MSCI Emerging Markets Free Index. It is important to note that PACE International Emerging Markets Equity Investments is a professionally managed portfolio while the MSCI Emerging Markets Free Index is unmanaged. The comparison is shown for illustrative purposes only. [Enlarge/Download Table] TOTAL RETURN ----------------------------------- WITHOUT PACE WITH PACE PROGRAM FEE* PROGRAM FEE* ----------------- ---------------- Commencement of operations (August 24, 1995) through July 31, 1996................. 4.23% 2.82% Past performance is not indicative of future results. A Portfolio's share price and investment return will vary with market conditions, and the principal value of shares, when redeemed, may be more or less than original cost. * The maximum annual PACE Program Fee is 1.50% of the value of PACE assets. 26
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- Portfolios of Investments July 31, 1996 -------------------------------------------------------------------------------- PACE MONEY MARKET INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS--17.62% $100 U.S. Treasury Notes................................ 02/28/97 6.875 % $ 101,013 500 Federal Farm Credit Bank*.......................... 08/01/96 5.435 499,899 400 Federal Home Loan Bank............................. 07/02/97 to 6.000 to 6.215 400,000 07/23/97 100 Federal Home Loan Bank*............................ 09/20/96 6.000 100,000 500 Student Loan Marketing Association*................ 08/06/96 5.490 500,000 200 Student Loan Marketing Association................. 07/03/97 to 6.070 to 6.100 200,000 08/01/97 ---------- Total U.S. Government and Agency Obligations (cost--$1,800,912)............................................... 1,800,912 ---------- BANK NOTES--7.34% DOMESTIC--7.34% 150 Huntington National Bank*.......................... 08/01/96 5.450 149,996 100 Morgan Guaranty Trust Company...................... 01/15/97 5.250 100,041 100 Old Kent Bank & Trust Company...................... 12/04/96 5.530 99,987 250 PNC Bank, N.A...................................... 09/18/96 5.650 250,174 150 PNC Bank, N.A.*.................................... 08/02/96 5.440 149,925 ---------- Total Bank Notes (cost--$750,123)................................ 750,123 ---------- CERTIFICATES OF DEPOSIT--9.49% YANKEE--9.49% 200 Bayerische Vereinsbank AG.......................... 04/29/97 5.800 200,000 400 Dai-Ichi Kangyo Bank Limited....................... 08/05/96 5.520 400,000 370 Societe Generale................................... 03/31/97 to 5.580 to 6.090 370,134 06/13/97 ---------- Total Certificates of Deposit (cost--$970,134)................... 970,134 ---------- COMMERCIAL PAPER--47.17% ASSET-BACKED--16.04% 393 Asset Securitization Cooperative Corporation....... 08/12/96 5.390 392,353 250 Delaware Funding Corporation....................... 09/30/96 5.420 247,742 274 New Center Asset Trust............................. 08/01/96 5.730 274,000 477 Preferred Receivables Funding Corporation.......... 08/16/96 to 5.330 to 5.370 475,691 08/22/96 250 Triple A One Funding............................... 08/20/96 5.370 249,291 ---------- 1,639,077 ---------- BANKING--3.91% 200 Cariplo Finance Incorporated....................... 08/09/96 5.380 199,761 200 Credito Italiano Delaware Incorporated............. 08/08/96 5.310 199,793 ---------- 399,554 ---------- BANKING-SUBSIDIARY--1.46% 150 ABN Amro North America Finance Incorporated........ 08/27/96 4.950 149,464 ---------- BROKER-DEALER--4.86% 400 Lehman Brothers Holdings Incorporated.............. 08/06/96 5.400 399,700 100 Merrill Lynch & Company Incorporated............... 01/15/97 5.500 97,449 ---------- 497,149 ---------- DRUGS, HEALTH CARE--3.41% 350 Sandoz Corporation................................. 09/05/96 5.350 348,180 ---------- ELECTRONICS--2.44% 250 Sony Capital Corporation........................... 08/22/96 5.300 249,227 ---------- FINANCE-DIVERSIFIED--0.97% 100 Heller Financial Incorporated...................... 08/23/96 5.370 99,672 ---------- FOOD, BEVERAGE & TOBACCO--3.90% 400 Coca-Cola Enterprises Incorporated................. 08/26/96 5.330 398,519 ---------- GENERAL TRADE--4.63% 475 Mitsubishi International Corporation............... 08/12/96 to 5.370 to 5.450 473,522 09/27/96 ---------- INSURANCE--3.11% 318 ITT Hartford Group Incorporated.................... 08/07/96 5.400 317,714 ---------- 27
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE MONEY MARKET INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- COMMERCIAL PAPER--(CONCLUDED) [Enlarge/Download Table] TELECOMMUNICATIONS--2.44% $250 Southern New England Telecommunications............ 08/23/96 5.300 % $ 249,190 ---------- Total Commercial Paper (cost--$4,821,268)........................ 4,821,268 ---------- SHORT-TERM CORPORATE OBLIGATIONS--17.79% BANKING--2.44% 200 Bankers Trust New York Corporation*................ 08/01/96 5.540 200,000 50 NationsBank Corporation, N.A....................... 08/15/96 4.750 49,981 ---------- 249,981 ---------- BROKER-DEALER--8.46% 475 Bear Stearns Companies Incorporated................ 01/09/97 to 5.330 to 6.010 475,203 07/03/97 240 Merrill Lynch & Company Incorporated*.............. 08/01/96 to 5.480 to 5.770 240,000 08/06/96 150 Merrill Lynch & Company Incorporated............... 03/17/97 5.560 150,000 ---------- 865,203 ---------- BUSINESS SERVICES--2.45% 250 PHH Corporation*................................... 08/01/96 to 5.330 to 5.790 249,978 08/06/96 ---------- FINANCE-DIVERSIFIED--4.44% 150 Associates Corp. of North America.................. 06/15/97 8.625 153,501 300 CIT Group Holdings Incorporated*................... 08/01/96 5.350 299,797 ---------- 453,298 ---------- Total Short-Term Corporate Obligations (cost--$1,818,460)........ 1,818,460 ---------- Total Investments (cost--$10,160,897)--99.41%.................... 10,160,897 Other assets in excess of liabilities--0.59%..................... 60,227 ---------- Net Assets--100.00%.............................................. $10,221,124 ---------- ---------- --------------- * Variable rate securities--maturity date reflects earlier of reset date or maturity date. The interest rates shown are the current rates as of July 31, 1996 and reset periodically. Weighted average maturity--75 days See accompanying notes to financial statements 28
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATES RATES VALUE ------------ ------------------ ----------------- ----------- LONG-TERM U.S. GOVERNMENT OBLIGATIONS--12.37% $ 7,250 U.S. Treasury Notes++ (cost--$7,226,368).......... 05/15/99 to 6.375 to 6.875% $ 7,266,917 05/15/06 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--30.38% 994 GNMA II ARM....................................... 07/20/26 6.000 983,128 1,382 GNMA II ARM....................................... 04/20/24 6.000 1,329,918 1,185 GNMA II ARM....................................... 10/20/23 7.000 1,195,153 1,606 GNMA II ARM....................................... 10/20/24 7.000 1,620,464 459 GNMA II ARM....................................... 08/15/21 7.500 451,154 27 GNMA II ARM....................................... 09/15/23 7.500 26,745 6,000 GNMA TBA.......................................... TBA 6.500 5,555,622 1,000 GNMA TBA.......................................... TBA 6.500 925,000 5,000 GNMA TBA.......................................... TBA 7.000 4,778,125 1,000 GNMA TBA.......................................... TBA 7.500 982,187 ----------- Total Government National Mortgage Association Certificates (cost--$17,789,676)........................................... 17,847,496 ----------- FEDERAL HOME LOAN MORTGAGE CERTIFICATES--13.89% 7,000 FHLMC Gold 30 year TBA............................ TBA 7.000 6,722,184 1,500 FHLMC Gold 30 year TBA............................ TBA 7.000 1,438,593 ----------- Total Federal Home Loan Mortgage Certificates (cost--$8,083,437)............................................ 8,160,777 ----------- FEDERAL HOUSING ADMINISTRATION CERTIFICATES--2.90% 743 FHA Project Notes................................. 08/01/20 7.430 742,546 978 FHA Project Notes................................. 05/01/17 7.880 958,773 ----------- Total Federal Housing Administration Certificates (cost--$1,787,091).............................................. 1,701,319 ----------- AGENCY BACKED OBLIGATIONS--0.85% 500 Federal National Mortgage Association Discount Notes ++(cost--$499,558)........................ 08/07/96 5.300 499,558 ----------- COLLATERALIZED MORTGAGE OBLIGATIONS--21.13% 1,088 FHLMC Series 1360, Class PE....................... 12/15/17 3.500 933,972 316 FHLMC Series 1347, Class HC....................... 12/15/21 4.250 236,406 650 FHLMC Series 159, Class H......................... 09/15/21 4.500 509,989 397 FHLMC Series 1534, Class Z........................ 06/15/23 5.000 235,945 837 FHLMC Series 1755, Class B-J...................... 02/15/11 6.000 833,109 1,398 FHLMC Series 1078, Class GZ....................... 05/15/21 6.500 1,213,113 47 FHLMC Series 1628, Class LZ....................... 12/15/23 6.500 36,424 166 FHLMC Series 1694, Class Z........................ 03/15/24 6.500 122,163 615 FHLMC Series 1808, Class ZK....................... 02/15/24 6.800 463,507 99 FHLMC Series 1502, Class PX....................... 04/15/23 7.000 80,730 113 FHLMC Series 1658, Class GZ....................... 01/15/24 7.000 92,252 78 FHLMC Series 1775, Class Z........................ 03/15/25 8.500 81,390 469 FNMA REMIC Trust 1992 - 185, Class B.............. 03/25/12 5.600 466,926 486 FNMA REMIC Trust 1992 - 147, Class PD............. 12/25/13 6.000 483,418 165 FNMA REMIC Trust 1992 - 129, Class L.............. 07/25/22 6.000 138,298 1,221 FNMA REMIC Trust 1994 - 81, Class PB.............. 05/25/10 6.500 1,217,279 946 FNMA REMIC Trust 1993 - 037, Class PX-Z........... 03/25/23 7.000 766,632 243 FNMA REMIC Trust 1993 - 056, Class PZ............. 05/25/23 7.000 199,972 54 FNMA REMIC Trust 1993 - 250, Class Z.............. 12/25/23 7.000 44,637 1,765 FNMA REMIC Trust 1992 - 48, Class E............... 04/25/03 7.300 1,767,014 524 Prudential Home Mortgage 1993 - 54, Class A 19.... 01/25/24 6.500 367,086 463 Prudential Home Mortgage 1993 - 29, Class A 8..... 08/25/08 6.750 422,149 29
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE GOVERNMENT SECURITIES FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATES RATES VALUE ------------ ------------------ ----------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS--(CONCLUDED) [Enlarge/Download Table] $ 812 Resolution Trust Corporation Series 1995, Class A 3............................................... 02/25/27 5.950% $ 812,187 898 Resolution Trust Corporation Series 1992-3, Class A 2--ARM.................................. 09/25/19 6.971 892,056 ----------- Total Collateralized Mortgage Obligations (cost--$12,663,524)... 12,416,654 ----------- STRIPPED COLLATERALIZED MORTGAGE OBLIGATIONS--2.01% 3,894 FHLMC Series 1583, Class IB***.................... 11/15/13 7.000 (1) 225,416 823 FHLMC Series 173-F**.............................. 06/15/21 7.418 + 712,836 325 FHLMC Series 1700, Class D**...................... 02/15/24 9.495 + 240,414 ----------- Total Stripped Collateralized Mortgage Obligations (cost--$1,186,063)............................................ 1,178,666 ----------- COMMERCIAL PAPER--20.17% 200 American Telephone & Telegraph Company............ 08/16/96 5.250 199,562 1,300 Emerson Electric.................................. 08/05/96 5.340 1,299,229 1,700 Ford Motor Credit Company......................... 08/12/96 to 5.330 to 5.370 1,694,023 09/05/96 1,400 Pitney Bowes Credit Corporation................... 09/26/96 5.360 1,388,327 3,000 Procter & Gamble Company.......................... 08/05/96 to 5.250 to 5.330 2,995,081 08/29/96 2,200 Sara Lee Corporation.............................. 09/26/96 5.355 2,181,674 2,100 Southwestern Public Service Company............... 08/19/96 5.310 2,094,425 ----------- Total Commercial Paper (cost--$11,852,321)...................... 11,852,321 ----------- SHORT-TERM U.S. GOVERNMENT OBLIGATIONS--30.86% 18,035 U.S. Treasury Bills & Notes++ (cost--$18,123,769)............................. 11/14/96 to 5.360 to 6.500 18,130,059 05/15/97 ----------- REPURCHASE AGREEMENT--1.43% 841 Repurchase Agreement dated 07/31/96, with State Street Bank & Trust Company, collateralized by $862,196 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $841,111 (cost--$841,000)... 08/01/96 4.750 841,000 ----------- Total Investments (cost--$80,052,807)--135.99%.................. 79,894,767 Liabilities in excess of other assets--(35.99)%................. (21,142,490) ----------- Net Assets--100.00%............................................. $58,752,277 ----------- ----------- --------------- ** Principal Only Security--This security entitles the holder to receive principal payments from an underlying pool of mortgages. High prepayments return principal faster than expected and cause the yield to increase. Low prepayments return principal more slowly than expected and cause the yield to decrease. *** Interest Only Security--This security entitles the holder to receive interest payments from an underlying pool of mortgages. The risk associated with this security is related to the speed of principal paydowns. High prepayments would result in a smaller amount of interest being received and cause the yield to decrease. Low prepayments would result in a greater amount of interest being received and cause the yield to increase. + Estimated yield to maturity at July 31, 1996 ++ Entire or partial amount pledged as collateral for futures transactions. ARM Adjustable Rate Mortgage--The interest rate shown is the current rate as of July 31, 1996. REMIC Real Estate Mortgage Investment Conduit TBA To Be Assigned--Securities are purchased on a forward commitment with an approximate (generally +/-1.0%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (1) Annualized yield at date of purchase was 9.05% FUTURES CONTRACTS [Enlarge/Download Table] NUMBER OF IN EXPIRATION UNREALIZED CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATE APPRECIATION ----------------- -------------------------------------------------------------- ------------- ---------- --------------- 6 10 year U.S. Treasury Notes................................... $ 642,375 Sept 96 $ 375 ----- ----- See accompanying notes to financial statements 30
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERMEDIATE FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATES RATES VALUE ------------ ------------------ ------------------- ---------- ASSET-BACKED SECURITIES--1.48% $ 600 UCFC Loan Trust (cost--$599,437)................. 11/15/27 8.200 % $ 611,625 ---------- CORPORATE NOTES--14.54% 500 Citicorp MTN..................................... 02/01/00 8.800 506,956 347 Continental Bank NA Chicago...................... 04/01/01 to 11.250 to 12.500 384,385 07/01/01 400 Ford Motor Credit Corporation.................... 11/19/99 7.500 407,484 250 Health Care Properties Investments Incorporated................................... 02/15/06 6.500 227,316 200 ITT Corporation.................................. 03/01/06 8.750 206,454 625 K Mart Corporation MTN........................... 08/01/97 to 7.240 to 8.700 578,301 07/06/99 250 Kimko Realty Corporation......................... 10/01/03 6.500 235,298 275 Korea Development Bank........................... 11/15/02 6.500 266,719 305 Lucent Technologies Incorporated................. 07/15/06 7.250 304,244 245 New Plan Realty Trust Corporation................ 04/06/05 7.750 246,773 1,015 New York State Electric & Gas Corporation........ 02/01/20 to 9.875 1,066,115 05/01/20 697 Resolution Trust Corporation..................... 02/25/27 6.550 693,658 894 Structured Assets Securities Corporation......... 02/25/28 5.711 to 5.751 879,192 ---------- Total Corporate Notes (cost--$6,097,514)....................... 6,002,895 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--9.89% 940 GNMA............................................. 12/15/01 to 9.000 984,639 01/15/02 2,140 GNMA............................................. 10/20/25 to 6.500 2,142,962 07/20/26 972 GNMA............................................. 02/15/24 to 7.500 955,089 12/15/25 ---------- Total Government National Mortgage Association Certificates (cost--$4,134,736)........................................... 4,082,690 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--14.07% 423 FHLMC............................................ 12/01/99 5.500 416,087 5,356 FHLMC............................................ 01/01/25 to 8.000 5,391,572 11/01/25 ---------- Total Federal Home Loan Mortgage Corporation Certificates (cost--$5,935,218)........................................... 5,807,659 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--2.98% 1,227 FNMA (cost--$1,251,877).......................... 06/01/10 to 7.500 1,229,592 09/01/10 ---------- COLLATERALIZED MORTGAGE OBLIGATIONS--10.66% 235 American Southwest Financial Company............. 03/01/18 9.000 240,823 556 FDIC REMIC Trust Series 1994 Class A............. 09/25/25 7.850 561,894 104 FHLMC Series 171, Class G........................ 04/15/04 9.000 105,045 500 FHLMC Series 1497 Class O........................ 10/15/22 7.000 478,590 1,275 FHLMC Series 1494 Class X........................ 04/15/23 7.500 1,146,327 194 FHLMC Series 1588 Class TB....................... 06/15/23 6.500 178,468 223 FNMA REMIC Trust 1991-04, Class E................ 09/25/05 8.250 227,132 675 FNMA REMIC Trust 1993-70, Class C................ 03/25/18 6.900 651,185 332 FNMA REMIC Trust 1990-09, Class D................ 08/25/18 8.500 337,563 500 FNMA REMIC Trust 1993-241, Class PC***........... 08/25/19 6.300 + 472,990 ---------- Total Collateralized Mortgage Obligations (cost--$4,527,100)... 4,400,017 ---------- FOREIGN CURRENCY DENOMINATED ISSUES--2.40% DEM 1,500 Federal Republic of Germany (1) (cost--$1,026,170)............................. 01/05/06 6.000 991,985 ---------- U.S. GOVERNMENT OBLIGATIONS--41.23% 17,130 U.S. Treasury Notes (cost--$17,284,911).......... 07/31/98 to 5.625 to 7.500 17,014,570 02/15/05 ---------- 31
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERMEDIATE FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL MATURITY INTEREST AMOUNT (000) DATE RATE VALUE ------------ ------------------ ------------------- ---------- REPURCHASE AGREEMENT--0.76% $312 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $317,468 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $312,041 (cost--$312,000)............................... 08/01/96 4.750 % $ 312,000 ---------- Total Investments (cost--$41,168,963)--98.01%.................. 40,453,033 Other assets in excess of liabilities--1.99%................... 819,590 ---------- Net Assets--100.00%............................................ $41,272,623 ---------- ---------- --------------- *** Principal Only Security--This security entitles the holder to receive principal payments from an underlying pool of mortgages. High prepayments return principal faster than expected and cause the yield to increase. Low prepayments return principal more slowly than expected and cause the yield to decrease. + Estimated yield to maturity at July 31, 1996 MTN Medium Term Note (1) Principal amount denoted in indicated currency: DEM--German Deutschemarks See accompanying notes to financial statements 32
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE STRATEGIC FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ --------------- ----------- U.S. GOVERNMENT OBLIGATIONS--0.71% $ 300 U. S. Treasury Notes (cost--$299,977)............. 08/31/97 6.000 % $ 300,093 ----------- MORTGAGE-BACKED SECURITIES--57.08% GOVERNMENT NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--4.84% 1,606 GNMA ARM.......................................... 10/20/24 7.000 1,620,465 434 GNMA ARM.......................................... 11/20/23 7.000 437,434 ----------- Total Government National Mortgage Association Certificates (cost--$2,074,900)............................................ 2,057,899 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION CERTIFICATES--2.26% 1,000 FHLMC Gold 30 Year TBA (cost--$948,438)........... TBA 7.000 959,062 ----------- FEDERAL HOUSING ADMINISTRATION CERTIFICATES--3.94% 999 FHA............................................... 12/01/21 7.430 990,159 687 FHA............................................... 08/01/20 7.430 687,213 ----------- Total Federal Housing Administration Certificates (cost--$1,738,752)............................................ 1,677,372 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION CERTIFICATES--18.09% 3,000 FNMA TBA.......................................... TBA 6.000 2,714,061 2,156 FNMA.............................................. 11/01/26 4.874 2,006,920 521 FNMA ARM.......................................... 08/01/28 6.124 514,990 48 FNMA.............................................. 12/01/17 7.375 49,097 493 FNMA ARM.......................................... 03/01/27 6.091 487,452 1,000 FNMA ARM TBA...................................... TBA 6.124 992,500 1,000 FNMA TBA.......................................... TBA 6.500 932,187 ----------- Total Federal National Mortgage Association Certificates (cost--$7,735,526)............................................ 7,697,207 ----------- COLLATERALIZED MORTGAGE OBLIGATIONS--23.56% 618 Bear Stearns Mortgage Securities Incorporated ARM............................................. 05/25/23 7.287 618,438 496 California Federal Bank Series 1990 BNI, Class A-ARM........................................... 08/25/30 6.566 491,289 500 Federal National Mortgage Association REMIC....... 05/25/22 5.000 405,514 356 Federal National Mortgage Association REMIC....... 07/25/22 7.000 318,622 42 FHLMC Series 1078 Class GZ........................ 05/15/21 6.500 36,393 1,000 FHLMC Series 1278 Class K......................... 05/15/22 7.000 925,879 100 FHLMC Series 1366 Class H......................... 08/15/07 6.000 92,968 29 FHLMC Series 1367 Class KA........................ 09/15/22 6.500 25,357 128 FHLMC Series 1502 Class PX-Z...................... 04/15/23 7.000 104,233 662 FHLMC Series 1503 Class PZ........................ 05/15/23 7.000 556,487 397 FHLMC Series 1534 Class Z......................... 06/15/23 5.000 235,945 593 FHLMC Series 1548 Class Z......................... 07/15/23 7.000 484,067 864 FHLMC Series 1562 Class Z......................... 07/15/23 7.000 699,116 64 FHLMC Series 1614 Class QZ........................ 11/15/23 6.500 47,031 136 FHLMC Series 1611 Class I......................... 02/15/23 6.000 124,743 618 FHLMC Series 1628 Class KZ........................ 12/15/23 6.250 469,030 455 FHLMC Series 1628 Class LZ........................ 12/15/23 6.500 350,579 235 FHLMC Series 1694 Class Z......................... 03/15/24 6.500 172,566 238 FHLMC Series G015 Class PZ........................ 07/25/23 7.000 186,254 107 FHLMC Series G023 Class KZ........................ 11/25/23 6.500 85,269 577 FNMA REMIC Series 1993 65 Class ZZ................ 06/25/13 7.000 496,102 158 FNMA REMIC Trust 1991 65 Class Z.................. 06/25/21 6.500 134,868 75 FNMA REMIC Trust 1992 118 Class K................. 09/25/08 7.500 75,586 160 FNMA REMIC Trust 1992 129 Class L................. 07/25/22 6.000 134,107 78 FNMA REMIC Trust 1992 G36 Class Z................. 07/25/22 7.000 71,746 33
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE STRATEGIC FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ --------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS--(CONCLUDED) [Enlarge/Download Table] $ 66 FNMA REMIC Trust 1993 037 Class PX................ 03/25/23 7.000% $ 53,153 143 FNMA REMIC Trust 1993 056 Class PZ................ 05/25/23 7.000 117,932 64 FNMA REMIC Trust 1993 060 Class Z................. 05/25/23 7.000 52,263 106 FNMA REMIC Trust 1993 070 Class Z................. 05/25/23 6.900 82,721 304 FNMA REMIC Trust 1993 096 Class PZ................ 06/25/23 7.000 251,622 279 FNMA REMIC Trust 1993 122 Class L................. 01/25/23 6.500 244,644 76 FNMA REMIC Trust 1993 149 Class L................. 08/25/23 6.000 67,375 117 FNMA REMIC Trust 1993 160 Class ZB................ 09/25/23 6.500 94,324 111 FNMA REMIC Trust 1993 163 Class ZA................ 09/25/23 7.000 89,849 79 FNMA REMIC Trust 1993 199 Class Z................. 10/25/23 7.000 63,688 118 FNMA REMIC Trust 1993 G40 Class Z................. 12/25/23 6.500 85,484 116 FNMA REMIC Trust 1994 23 Class PX................. 08/25/23 6.000 85,299 150 Residential Funding Mortgage Series 1993-530, Class A9........................................ 08/25/23 7.500 138,655 1,000 Resolution Trust Corporation Mortgage Series 92-C1 Class B ARM..................................... 08/25/23 7.500 1,016,290 300 U.S. Department of Veteran Affairs Vendee Mortgage Trust Series 1993-3, Class 2ZA.................. 06/15/20 6.500 240,510 ----------- Total Collateralized Mortgage Obligations (cost--$10,271,092)... 10,025,998 ----------- STRIPPED COLLATERALIZED MORTGAGE OBLIGATIONS--4.39% 1,646 FHLMC Series 173-F**.............................. 06/15/21 7.418 + 1,425,673 1,166 FHLMC Series 1625 Class GA***..................... 01/15/08 6.000 (1) 102,340 5 FNMA REMIC Trust 1993 134 Class EA***............. 11/25/05 1159.700 (2) 120,805 1,408 FNMA REMIC Trust 1993 201 Class JA***............. 09/25/21 6.500 (3) 220,754 ----------- Total Stripped Collateralized Mortgage Obligations (cost--$1,882,098).............................................. 1,869,572 ----------- Total Mortgage-Backed Securities (cost--$24,650,806)............ 24,287,110 ----------- CORPORATE BONDS--16.05% 250 AMR Corporation................................... 01/27/97 7.600 251,988 500 AMR Corporation................................... 02/01/01 10.000 551,447 450 Continental Cablevision Incorporated.............. 06/01/07 11.000 507,541 1,000 G I Holdings Incorporated......................... 10/01/98 9.891 # 811,250 200 Gulf States Utilities Company..................... 07/01/98 9.720 208,048 500 Niagara Mohawk Power Company...................... 04/01/24 7.875 407,884 1,300 RJR Nabisco Incorporated.......................... 12/01/02 8.625 1,314,877 1,000 Time Warner Incorporated.......................... 06/15/05 7.750 971,213 1,500 United Air Lines Incorporated..................... 11/27/12 to 10.360 to 1,806,130 02/19/15 10.850 ----------- Total Corporate Bonds (cost--$6,973,088)........................ 6,830,378 ----------- COMMERCIAL PAPER--18.04% 200 Ameritech Capital Funding Corporation............. 09/26/96 5.360 198,332 200 Bellsouth Telecommunications Incorporated......... 08/20/96 5.320 199,438 1,100 Caisse D' Amortissement........................... 08/19/96 5.320 1,097,074 800 Dupont (E.I.) de Nemours & Co..................... 08/07/96 5.320 799,291 1,900 Ford Motor Credit Company......................... 08/12/96 5.340 1,896,900 500 KFW International Finance Incorporated............ 09/19/96 5.350 496,359 200 Pitney Bowes Credit Corporation................... 08/28/96 5.260 199,211 1,300 Procter & Gamble Company.......................... 08/16/96 to 5.230 to 5.380 1,295,162 08/29/96 1,500 The Coca Cola Company............................. 08/20/96 5.250 1,495,844 ----------- Total Commercial Paper (cost--$7,677,611)....................... 7,677,611 ----------- 34
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE STRATEGIC FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT (000) ------------ VALUE ----------- OPTIONS--0.29% 10,000 Put-Eurodollar Future; due 12/31/96 par value $10,000,000; price $91.50; expiring 12/16/96 (cost--$429)......................................................................... $ 0 DEM 2,000 Call-Bundesrepublic (4); 6.875%; due 06/11/03 par value DEM 2,000,000; price DEM 93.57; expiring 08/26/96 (cost--$123,203)..................................................................... 123,203 ----------- Total Options (cost--$123,632)....................................................................... 123,203 ----------- MATURITY INTEREST DATES RATES ------------------ --------------- SHORT-TERM U.S. GOVERNMENT OBLIGATIONS--21.75% $ 260 U.S. Treasury Bills++............................. 08/29/96 to 4.900 to 5.240% 256,679 11/14/96.......... 8,000 U.S. Treasury Notes............................... 07/31/97 5.875 7,997,488 800 Federal Home Loan Bank Consolidated Discount Notes........................................... 08/05/96 5.320 799,527 200 Federal National Mortgage Association Discount Notes........................................... 08/12/96 5.200 199,682 ----------- Total Short-Term U.S. Government Obligations (cost--$9,247,767).............................................. 9,253,376 ----------- REPURCHASE AGREEMENT--2.15% 915 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $937,388 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $915,121 (cost--$915,000)... 08/01/96 4.750 915,000 ----------- Total Investments (cost--$49,887,881)--116.07%.................. 49,386,771 Liabilities in excess of other assets--(16.07)%................. (6,836,956) ----------- Net Assets--100.00%............................................. $42,549,815 ----------- ----------- [Enlarge/Download Table] WRITTEN OPTIONS OPEN PRINCIPAL AMOUNT EXPIRATION EXERCISE UNREALIZED OF OPTIONS UNDERLYING CONTRACT DATE PRICE APPRECIATION ----------- -------------------- --------- ----------- ----------- Put.............. U.S. Treasury Bond 1,800,000 Futures Sept 96 $ 110.00 $ 17,622 Put.............. 10,000 Eurodollar June 97 $ 93.50 946 ----------- $ 18,568 ----------- ----------- --------------- # Zero coupon bond--Yield to maturity at July 31, 1996. ** Principal Only Security--This security entitles the holder to receive principal payments from an underlying pool of mortgages. High prepayments return principal faster than expected and cause the yield to increase. Low prepayments return principal more slowly than expected and cause the yield to decrease. *** Interest Only--This security entitles the holder to receive interest payments from an underlying pool of mortgages. The risk associated with this security is related to the speed of the principal paydowns. High prepayments would result in a smaller amount of interest being paid and cause the yield to decrease. Low prepayments would result in a greater amount of interest being received and cause the yield to increase. + Estimated yield to maturity at July 31, 1996 ++ Entire or partial amount pledged as collateral for futures transactions. ARM Adjustable Rate Mortgage--The interest rate shown is the current rate as of July 31, 1996. REMIC Real Estate Mortgage Investment Conduit TBA To Be Assigned--Securities are purchased on a forward commitment with an approximate (generally +/- 1.0%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (1) Annualized yield at date of purchase was 8.33% (2) Annualized yield at date of purchase was 10.48% (3) Annualized yield at date of purchase was 8.31% (4) Principal amount denoted in indicated currency: DEM--German Deutschemarks FUTURES CONTRACTS [Enlarge/Download Table] NUMBER OF IN EXPIRATION UNREALIZED CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATE APPRECIATION --------------- -------------------------------------------------------------- ------------ ---------- ------------- 63 10 year U.S. Treasury Notes................................... $6,748,875 Sept 96 $ 84,656 ------------- ------------- See accompanying notes to financial statements 35
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE MUNICIPAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- MUNICIPAL BONDS AND NOTES--95.03% ALABAMA--0.87% $ 155 Pell City Alabama Industrial Development Board Revenue Shelby Steel Fabricators (Letter of Credit-- SouthTrust Bank)*....................... 09/01/01 7.700 % $ 155,422 ---------- ARKANSAS--1.63% 262 Springdale Residential Mortgage Series A (FNMA Collateralized).................................. 09/01/11 7.650 289,459 ---------- CALIFORNIA--16.88% 205 California Statewide Community Housing Senior Lien (FHA Insured).................................... 09/01/00 5.000 205,892 100 Inglewood California Residential Rehabilitation (Escrow to Maturity)............................. 08/01/10 7.500 110,759 500 Lancaster California Redevelopment Agency Multifamily High Valley Apartments (FHA Insured)......................................... 12/01/05 5.250 492,720 700 Los Angeles California Community Redevelopment..... 12/01/22 8.650 774,088 40 Palmdale California Residential (Escrow to Maturity)........................................ 11/01/12 9.250 51,511 135 Sacramento California Utility District Electricity (Escrow to Maturity)............................. 03/01/10 6.750 141,665 150 Sacramento California Utility District Electricity White Rock Project (Escrow to Maturity).......... 05/01/10 6.800 159,789 1,050 Vista California Multifamily Housing Pepperwood Apartments (Mandatory put 06/01/05 @ 100) (FNMA Collateralized)............................ 06/01/25 5.700 1,062,978 ---------- 2,999,402 ---------- COLORADO--0.76% 125 Colorado Health Facilities Authority Rose Medical Center (Escrow to Maturity)...................... 09/01/08 7.125 134,369 ---------- DELAWARE--1.28% 240 Seaford Delaware Economic Development Seaford Association Project.............................. 01/01/04 6.375 228,134 ---------- FLORIDA--0.87% 130 Altamonte Springs Florida Health Facilities Authority Revenue (Escrow to Maturity)........... 10/01/09 8.750 154,279 ---------- GEORGIA--3.42% 600 Marietta Georgia Housing Authority Multifamily Ridge Point Apartments (Mandatory put 06/01/05 @ par) (FNMA Collateralized)....................... 06/01/25 5.700 608,256 ---------- ILLINOIS--3.93% 55 Granite City Illinois Hospital Facilities Revenue (Escrow to Maturity)............................. 01/01/08 7.000 59,448 260 Illinois Health Facilities Authority Revenue Methodist Medical Center (Escrow to Maturity).... 10/01/10 9.000 307,850 305 Illinois Health Facilities Authority Revenue Ravenswood Hospital (Escrow to Maturity)......... 08/01/06 7.250 330,901 ---------- 698,199 ---------- 36
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE MUNICIPAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- MUNICIPAL BONDS AND NOTES--(CONTINUED) [Enlarge/Download Table] INDIANA--3.99% $ 235 Fort Wayne Indiana Hospital Authority Revenue Parkview Memorial Hospital Incorporated (Escrow to Maturity)............................. 01/01/05 6.500 % $ 249,934 440 Indianapolis Indiana Economic Development Revenue Knob in the Woods Project (Mandatory put 12/01/04 @ 100) (FNMA Collateralized)..................... 12/01/24 6.375 458,260 ---------- 708,194 ---------- LOUISIANA--2.33% 275 Jefferson Parish Louisiana Hospital Service District No. 001 Hospital Revenue (Escrow to Maturity)........................................ 01/01/09 7.250 310,656 90 Louisiana State Health Education Authority Alton Ochsner Medical Foundation (Escrow to Maturity)........................................ 05/01/05 8.750 103,079 ---------- 413,735 ---------- MICHIGAN--7.89% 685 Detroit Michigan Water Supply System (Escrow to Maturity)............................. 01/01/05 8.875 793,757 40 Michigan State Hospital Finance Authority Revenue Harper Grace Hospitals (Escrow to Maturity)...... 05/01/09 7.125 45,084 135 Michigan State Hospital Finance Authority Revenue Mount Carmel Mercy Hospital (Escrow to Maturity)........................................ 08/01/05 7.500 147,103 300 Michigan State Housing Development Authority*...... 12/01/12 7.650 315,552 95 Petoskey Michigan Hospital Finance Authority (Escrow to Maturity)............................. 03/01/07 6.700 100,140 ---------- 1,401,636 ---------- MINNESOTA--2.26% 190 Coon Rapids Minnesota Hospital Revenue Health Central Incorporated (Escrow to Maturity)........ 08/01/08 7.625 208,521 192 Eden Prairie Minnesota Multi Family Housing (GNMA Collateralized)............................ 01/20/06 5.500 193,703 ---------- 402,224 ---------- MISSISSIPPI--1.26% 900 Mississippi Home Corporation Residential Revenue... 09/15/16 7.375 # 223,065 ---------- MISSOURI--1.99% 340 St. Louis Missouri Single Family Housing (AMBAC Insured)......................................... 10/01/16 9.250 353,920 ---------- NEBRASKA--5.82% 1,000 Nebraska Higher Education Learning Program*........ 12/01/02 6.700 1,033,670 ---------- NEW JERSEY--2.80% 65 New Jersey Health Care Facilities St. Barnabas Medical Center (Escrow to Maturity).............. 07/01/11 7.000 68,875 290 New Jersey State Highway Garden State Parkway (Escrow to Maturity)............................. 01/01/11 6.500 309,955 65 New Jersey State Highway Garden State Parkway (Escrow to Maturity)............................. 01/01/11 6.600 68,204 45 South Jersey Port Corporation (Escrow to Maturity)........................................ 01/01/11 6.625 50,182 ---------- 497,216 ---------- 37
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE MUNICIPAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- MUNICIPAL BONDS AND NOTES--(CONTINUED) [Enlarge/Download Table] NEW MEXICO--1.39% $ 250 Taos City New Mexico Hospital (Asset Guaranty Insurance)....................................... 05/15/02 5.000 % $ 246,282 ---------- NORTH CAROLINA--1.04% 30 North Carolina Medical Care Facility Stanley County Hospital (Escrow to Maturity).................... 10/01/09 7.600 34,782 150 Vance County North Carolina Industrial Facilities (Letter of Credit--Centura Bank) (Optional put 09/01/96 @ par)*................................. 09/01/00 5.000 149,925 ---------- 184,707 ---------- OHIO--0.68% 115 Ohio Housing Finance Agency Single Family (GNMA Collateralized)*................................. 09/01/21 7.850 121,151 ---------- OKLAHOMA--2.85% 425 McAlester Oklahoma Public Works Authority (FSA Insured)......................................... 12/01/04 8.250 505,690 ---------- PENNSYLVANIA--2.94% 150 Allegenheny County Pennsylvania Industrial Development Commercial Development MPB Association...................................... 12/01/04 6.750 148,368 35 Caln Township Pennsylvania Municipal Sewer Revenue (Escrow to Maturity)............................. 01/01/09 5.700 35,402 5 Chester County Pennsylvania Hospital Authority (Escrow to Maturity)............................. 07/01/09 7.500 5,581 90 Conneaut Pennsylvania School District (Escrow to Maturity) (AMBAC Insured)............. 05/01/02 9.250 110,210 200 Montgomery County Pennsylvania Higher Education Beaver College (Escrow to Maturity).............. 10/01/00 6.750 205,650 15 Unity Township Pennsylvania Municipal Authority GTD (Escrow to Maturity)............................. 05/01/08 6.600 16,335 ---------- 521,546 ---------- SOUTH CAROLINA--1.19% 195 Charleston County South Carolina Hospital Facility Roper Hospital (Escrow to Maturity).............. 10/01/11 7.000 211,374 ---------- TENNESSEE--2.70% 190 Knox City Tennessee Health Education & Hospital Facility St. Mary's Medical Center (Escrow to Maturity)........................................ 08/01/03 7.250 203,291 275 La Follette Tennessee Housing Development Corporation (FHA/MBIA Insured)................... 01/01/05 5.400 277,205 ---------- 480,496 ---------- TEXAS--11.60% 150 Brownsville Texas Utility System Revenue (Escrow to Maturity)........................................ 01/01/10 7.375 168,236 455 Galveston County Texas Housing Finance Corporation Single Family Mortgage Revenue................... 04/01/15 9.750 488,493 235 Houston Texas Airport System Revenue (Escrow to Maturity)........................................ 07/01/10 7.600 256,319 38
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE MUNICIPAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES VALUE ------------ ------------------ ----------------- ---------- MUNICIPAL BONDS AND NOTES--(CONCLUDED) [Enlarge/Download Table] TEXAS--(CONCLUDED) $1,500 Southeast Texas Housing Finance Corporation........ 12/01/16 7.625 # $ 346,185 800 Texas State Department Housing and Community Housing Senior Dallas\Fort Worth................. 07/01/06 6.000 % 801,136 ---------- 2,060,369 ---------- UTAH--10.98% 160 Salt Lake City Utah Hospital Revenue (Escrow to Maturity)........................................ 06/01/09 7.350 175,669 700 Salt Lake County Utah Multifamily James Pointe Apartments (Mandatory put 10/01/05 @ par) (Asset Guaranty Insurance).............................. 10/01/25 5.500 701,442 200 Salt Lake County Utah Water Conservation (Escrow to Maturity) (MBIA Insured).............. 10/01/02 10.875 236,974 560 Utah State Housing Finance Agency (AMBAC Insured)......................................... 07/01/08 5.900 559,541 150 Utah State Housing Finance Agency (AMBAC Insured)......................................... 07/01/07 5.650 125,094 125 Utah State Housing Finance Agency (AMBAC Insured)......................................... 07/01/07 5.650 151,207 ---------- 1,949,927 ---------- VIRGINIA--1.40% 250 King George County Virginia Industrial Development Elementary School Project........................ 08/01/98 4.875 249,075 ---------- WEST VIRGINIA--0.28% 45 Kanawha County West Virginia Building Commission Revenue St. Francis Hospital (Escrow to Maturity)........................................ 12/01/07 7.500 49,796 ---------- Total Municipal Bonds and Notes (cost--$16,807,251).............. 16,881,593 ---------- TAX EXEMPT COLLATERALIZED MORTGAGE OBLIGATIONS--2.46% 441 FHA Insurance Trust 1996-01, Class A1 (FHA Insured) (cost--$440,782)................... 11/01/06 6.100 436,375 ---------- NUMBER OF SHARES ------------ MONEY MARKET FUNDS--4.85% 862,719 Seven Seas Money Market Fund* (cost--$862,719)..... 862,719 ---------- Total Investments (cost--$18,110,752)--102.34%................... 18,180,687 Liabilities in excess of other assets--(2.34)%................... (415,636) ---------- Net Assets--100.00%.............................................. $17,765,051 ---------- ---------- --------------- # Zero coupon bond--Annualized yield at date of purchase * Security subject to Alternative Minimum Tax AMBAC American Municipal Bond Assurance Corporation FHA Federal Housing Authority FNMA Federal National Mortgage Association FSA Financial Security Assurance GNMA Government National Mortgage Association MBIA Municipal Bond Investors Assurance See accompanying notes to financial statements 39
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE GLOBAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000)* DATES RATES VALUE ------------ ------------------ ----------------- ---------- LONG-TERM DEBT SECURITIES--82.60% CANADA--6.86% 3,530 Government of Canada.............................. 03/01/01 7.500 % $2,628,754 ---------- DENMARK--6.15% 13,117 Kingdom of Denmark................................ 12/15/04 to 7.000 to 8.000 2,355,944 03/15/06 ---------- GERMANY--24.67% 9,305 Federal Republic of Germany....................... 05/15/00 to 5.750 to 6.500 6,487,875 07/15/03 4,040 Treuhandanstalt................................... 10/01/02 to 7.125 to 7.750 2,959,025 01/29/03 ---------- 9,446,900 ---------- ITALY--7.60% 4,280,000 Republic of Italy................................. 02/01/99 to 9.500 to 10.500 2,911,234 02/01/06 ---------- NETHERLANDS--4.14% 2,330 Government of Netherlands......................... 03/15/01 8.500 1,586,521 ---------- SPAIN--1.83% 81,630 Kingdom of Spain.................................. 01/31/06 10.150 698,931 ---------- SWEDEN--3.91% 11,500 Kingdom of Sweden................................. 02/09/05 6.000 1,496,927 ---------- UNITED KINGDOM--4.59% 1,125 United Kingdom Gilt............................... 12/07/05 to 7.500 to 8.500 1,755,837 12/07/06 ---------- UNITED STATES--22.85% 8,706 U.S. Treasury Notes............................... 05/31/01 to 6.375 to 7.500 8,751,263 07/15/06 ---------- Total Long-Term Debt Securities (cost--$31,276,861)............. 31,632,311 ---------- TIME DEPOSITS--9.20% 1,533 German Time Deposit............................... 08/02/96 3.125 1,033,599 269,594 Japanese Yen Euro Time Deposit.................... 08/05/96 0.375 2,491,048 ---------- Total Time Deposits (cost--$3,524,647).......................... 3,524,647 ---------- REPURCHASE AGREEMENT--5.51% 2,111 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $2,147,999 U.S. Treasury Notes, 5.500% due 02/28/99; proceeds: $2,111,279 (cost--$2,111,000).............................. 08/01/96 4.750 2,111,000 ---------- Total Investments (cost--$36,912,508)--97.31%................... 37,267,958 Other assets in excess of liabilities--2.69%.................... 1,027,725 ---------- Net Assets--100.00%............................................. $38,295,683 ---------- ---------- --------------- Note: The Portfolio of Investments is listed by the security issuer's country of origin. * In local currency unless otherwise indicated 40
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE GLOBAL FIXED INCOME INVESTMENTS -------------------------------------------------------------------------------- FORWARD FOREIGN CURRENCY CONTRACTS [Enlarge/Download Table] UNREALIZED CONTRACT TO IN EXCHANGE MATURITY APPRECIATION DELIVER FOR DATES (DEPRECIATION) ----------- ---------------- ----------- ------------- Australian Dollars...................................... 419,042 U.S.$ 334,348 08/19/96 $ 10,528 Danish Kronas........................................... 4,323,771 U.S.$ 737,342 08/19/96 (22,807) German Deutschemarks.................................... 2,310,058 U.S.$ 1,550,000 08/19/96 (20,961) German Deutschemarks.................................... 2,800,000 U.S.$ 1,898,534 08/19/96 (5,614) Netherland Guilders..................................... 4,307,877 U.S.$ 2,525,133 08/19/96 (85,713) U.S. Dollars............................................ 332,007 AUD 419,042 08/19/96 (8,188) U.S. Dollars............................................ 925,261 DEM 1,406,397 08/19/96 31,163 U.S. Dollars............................................ 1,550,000 DEM 2,333,060 08/19/96 36,604 U.S. Dollars............................................ 1,250,000 DEM 1,844,688 08/19/96 4,485 U.S. Dollars............................................ 1,200,000 DEM 1,776,732 08/19/96 8,271 U.S. Dollars............................................ 1,623,786 JPY 178,616,409 08/19/96 54,116 U.S. Dollars............................................ 1,900,000 JPY 201,774,300 08/19/96 (4,556) U.S. Dollars............................................ 1,898,534 JPY 202,678,000 08/19/96 5,399 U.S. Dollars............................................ 435,054 NLG 716,969 08/19/96 (525) ------------- $ 2,202 ------------- ------------- CURRENCY TYPE ABBREVIATIONS: AUD - Australian Dollars DEM - German Deutschemarks JPY - Japanese Yen NLG - Netherland Guilders See accompanying notes to financial statements 41
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--96.64% AGRICULTURE, FOOD & BEVERAGE--4.48% 33,700 Coca-Cola Enterprises Incorporated...................................................... $1,187,925 15,600 Nabisco Holdings Corporation............................................................ 526,500 7,500 Philip Morris Companies Incorporated.................................................... 784,687 32,200 Tyson Foods Incorporated................................................................ 792,925 14,800 Whitman Corporation..................................................................... 331,150 ---------- 3,623,187 ---------- BANKS--11.53% 50,700 Chase Manhattan Corporation............................................................. 3,523,650 52,000 Citicorp................................................................................ 4,257,500 9,700 Comerica Incorporated................................................................... 425,587 4,200 Magna Group Incorporated................................................................ 94,500 4,100 State Street Boston Corporation......................................................... 206,025 23,900 U.S. Bancorp............................................................................ 818,575 ---------- 9,325,837 ---------- CHEMICALS--1.08% 700 Geon Company............................................................................ 16,888 38,400 Lyondell Petrochemical Company.......................................................... 859,200 ---------- 876,088 ---------- COMPUTER HARDWARE--3.54% 12,200 360 Communications Company.............................................................. 282,125 61,600 EMC Corporation*........................................................................ 1,193,500 15,100 Seagate Technology Incorporated*........................................................ 730,462 13,100 Xerox Corporation....................................................................... 659,913 ---------- 2,866,000 ---------- COMPUTER SOFTWARE--5.24% 5,400 Filenet Corporation..................................................................... 120,150 49,700 Lockheed Martin Corporation............................................................. 4,118,887 ---------- 4,239,037 ---------- DEFENSE/AEROSPACE--1.02% 9,300 Boeing Company.......................................................................... 823,050 ---------- DIVERSIFIED RETAIL--1.01% 27,000 Federated Department Stores Incorporated*............................................... 816,750 ---------- DRUGS & MEDICINE--7.90% 36,000 Allergan Incorporated................................................................... 1,467,000 35,100 Alza Corporation*....................................................................... 868,725 3,300 Biogen Incorporated*.................................................................... 201,713 23,800 Forest Labs Incorporated*............................................................... 812,175 9,200 Genzyme Corporation*.................................................................... 228,850 18,900 Pharmacia & Upjohn Incorporated......................................................... 779,625 36,900 Schering Plough Corporation............................................................. 2,034,112 ---------- 6,392,200 ---------- 42
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] ELECTRIC UTILITIES--1.71% 38,400 CMS Energy Corporation.................................................................. $1,166,400 29,500 Centerior Energy Corporation............................................................ 217,563 ---------- 1,383,963 ---------- ENVIRONMENTAL SERVICES--1.63% 44,600 WMX Technologies Incorporated........................................................... 1,321,275 ---------- FINANCIAL SERVICES--2.63% 43,800 Aon Corporation......................................................................... 2,129,775 ---------- FOREST PRODUCTS, PAPER--3.94% 20,200 James River Corporation................................................................. 510,050 32,100 Kimberly Clark Corporation.............................................................. 2,439,600 8,350 Westvaco Corporation.................................................................... 236,931 ---------- 3,186,581 ---------- FOOD RETAIL--1.08% 35,500 Food Lion Incorporated.................................................................. 319,500 14,800 Kroger Company*......................................................................... 558,700 ---------- 878,200 ---------- FREIGHT: AIR, SEA, LAND--1.08% 11,200 Federal Express Corporation*............................................................ 870,800 ---------- HEAVY MACHINERY--0.28% 7,200 Harnischfeger Industries Incorporated................................................... 223,200 ---------- HOUSEHOLD PRODUCTS--4.33% 59,000 Avon Products Incorporated.............................................................. 2,596,000 30,900 Dial Corporation........................................................................ 903,825 ---------- 3,499,825 ---------- INFORMATION & COMPUTER SERVICES--3.97% 41,200 Automatic Data Processing Incorporated.................................................. 1,632,550 10,460 First Data Corporation.................................................................. 811,958 17,500 Interpublic Group Companies Incorporated................................................ 772,187 ---------- 3,216,695 ---------- LEISURE--2.57% 83,925 Mattel Incorporated..................................................................... 2,077,144 ---------- LIFE INSURANCE--3.13% 17,400 CIGNA Corporation....................................................................... 1,853,100 9,800 Transamerica Corporation................................................................ 677,425 ---------- 2,530,525 ---------- LONG DISTANCE & PHONE COMPANIES--0.86% 19,100 Sprint Corporation...................................................................... 699,538 ---------- MANUFACTURING--GENERAL--1.63% 16,500 Pentair Incorporated.................................................................... 445,500 14,800 Timken Company.......................................................................... 542,050 7,000 York International Corporation.......................................................... 328,125 ---------- 1,315,675 ---------- 43
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] MANUFACTURING--HIGH TECHNOLOGY--1.94% 14,000 Boston Technology Incorporated*......................................................... $ 192,500 10,700 Comverse Technology Incorporated*....................................................... 330,363 19,700 Honeywell Incorporated.................................................................. 1,044,100 ---------- 1,566,963 ---------- MEDIA--2.20% 2,600 American Mobile Satellite Corporation*.................................................. 31,850 69,700 General Instrument Corporation*......................................................... 1,751,213 ---------- 1,783,063 ---------- MEDICAL PRODUCTS--1.45% 21,700 Bard C R Incorporated................................................................... 661,850 14,100 Beckman Instruments Incorporated New.................................................... 507,600 ---------- 1,169,450 ---------- MEDICAL PROVIDERS--4.03% 54,800 Corning Incorporated.................................................................... 2,020,750 20,400 Healthcare & Retirement Corporation*.................................................... 484,500 22,900 Manor Care Incorporated................................................................. 755,700 ---------- 3,260,950 ---------- MINING & METALS--0.83% 14,100 Birmingham Steel Corporation............................................................ 229,125 3,900 Inland Steel Industries Incorporated.................................................... 67,763 23,900 Owens Illinois Incorporated*............................................................ 373,437 ---------- 670,325 ---------- MOTOR VEHICLES--3.72% 35,400 Ford Motor Company...................................................................... 1,150,500 42,100 Goodyear Tire & Rubber Company.......................................................... 1,862,925 ---------- 3,013,425 ---------- OIL REFINING--4.27% 77,400 Enron Corporation....................................................................... 3,047,625 15,300 Ultramar Corporation.................................................................... 403,537 ---------- 3,451,162 ---------- OTHER INSURANCE--3.91% 21,600 Aetna Incorporated...................................................................... 1,255,500 21,700 Allstate Corporation.................................................................... 971,075 20,400 Old Republic International Corporation.................................................. 428,400 31,800 USF&G Corporation....................................................................... 504,825 ---------- 3,159,800 ---------- PUBLISHING--1.90% 23,400 Gannett Incorporated.................................................................... 1,535,625 ---------- RAILROADS--3.91% 40,100 Burlington Northern Santa Fe Incorporated............................................... 3,162,887 ---------- RESTAURANTS--0.16% 10,200 Brinker International Incorporated*..................................................... 133,875 ---------- SEMICONDUCTOR--0.71% 40,900 National Semiconductor Corporation*..................................................... 577,713 ---------- 44
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONCLUDED) [Enlarge/Download Table] SPECIALTY RETAIL--2.31% 47,700 Melville Corporation.................................................................... $1,866,262 ---------- WIRELESS TELECOMMUNICATIONS--0.66% 35,400 Nextel Communications Incorporated*..................................................... 535,425 ---------- Total Common Stocks (cost--$76,982,357)............................................................... 78,182,270 ---------- PREFERRED STOCK--0.87% TOBACCO--0.87% 114,200 RJR Nabisco Holdings Corporation (cost--$728,274)....................................... 699,475 ---------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES ------------ ------------------ ----------------- U.S. GOVERNMENT OBLIGATIONS--0.16% $ 130 U.S. Treasury Bills+ (cost--$128,051).............. 11/14/96 5.140% 128,051 ---------- REPURCHASE AGREEMENT--1.96% 1,586 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $1,613,797 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $1,586,209 (cost--$1,586,000).......... 08/01/96 4.750 1,586,000 ---------- Total Investments (cost--$79,424,682)--99.63%.................... 80,595,796 Other assets in excess of liabilities--0.37%..................... 300,978 ---------- Net Assets--100.00%.............................................. $80,896,774 ---------- ---------- --------------- * Non-income producing security + Entire or partial amount pledged as collateral for futures transactions. FUTURES CONTRACTS [Enlarge/Download Table] NUMBER OF IN EXPIRATION UNREALIZED CONTRACTS CONTRACTS TO RECEIVE EXCHANGE FOR DATE DEPRECIATION ---------- --------------------------------------------------------------------- ------------ ----------- --------------- 5 September 96 S&P 500 Futures Contracts............................... $1,606,000 Sept 96 ($ 650) ----- ----- See accompanying notes to financial statements 45
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--96.64% AGRICULTURE, FOOD & BEVERAGE--7.46% 60,700 PepsiCo, Incorporated................................................................... $1,919,637 31,000 Philip Morris Company................................................................... 3,243,375 ---------- 5,163,012 ---------- APPAREL, TEXTILES--4.55% 23,100 Nike, Incorporated...................................................................... 2,376,412 24,200 Sara Lee Corporation.................................................................... 774,400 ---------- 3,150,812 ---------- BANKS--4.23% 19,200 BankAmerica Corporation................................................................. 1,531,200 16,300 Nationsbank Corporation................................................................. 1,399,762 ---------- 2,930,962 ---------- BUSINESS MACHINES--4.41% 21,000 Ascend Communications, Incorporated*.................................................... 1,018,500 19,900 Cascade Communications Corporation*..................................................... 1,223,850 29,700 Fore Systems*........................................................................... 813,038 ---------- 3,055,388 ---------- CHEMICALS--8.14% 21,700 Allied-Signal, Incorporated............................................................. 1,274,875 21,600 Grace W R & Company..................................................................... 1,377,000 69,200 Monsanto Company........................................................................ 2,162,500 21,400 Praxair, Incorporated................................................................... 821,225 ---------- 5,635,600 ---------- COMPUTER HARDWARE--4.04% 47,200 3 Com Corporation*...................................................................... 1,858,500 18,100 Cisco Systems Incorporated*............................................................. 936,675 ---------- 2,795,175 ---------- COMPUTER SOFTWARE--4.96% 27,750 Computer Associates International, Incorporated......................................... 1,411,781 9,900 Lockheed Martin Corporation............................................................. 820,463 17,800 Peoplesoft, Incorporated*............................................................... 1,202,613 ---------- 3,434,857 ---------- DEFENSE/AEROSPACE--5.39% 16,100 Boeing Company.......................................................................... 1,424,850 21,100 Hercules, Incorporated.................................................................. 1,057,638 11,100 United Technologies Corporation......................................................... 1,250,137 ---------- 3,732,625 ---------- DIVERSIFIED RETAIL--4.58% 38,700 Dayton Hudson Corporation............................................................... 1,170,675 21,600 Federated Department Stores, Incorporated*.............................................. 653,400 24,500 Kohls Corporation*...................................................................... 768,688 24,000 Wal Mart Stores, Incorporated........................................................... 576,000 ---------- 3,168,763 ---------- 46
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] DRUGS & MEDICINE--4.30% 15,500 Lilly Eli & Company..................................................................... $ 868,000 21,500 Merck & Company, Incorporated........................................................... 1,381,375 10,400 Pfizer Incorporated..................................................................... 726,700 ---------- 2,976,075 ---------- ENTERTAINMENT--0.66% 13,200 Time Warner, Incorporated............................................................... 460,350 ---------- ENVIRONMENTAL SERVICES--0.82% 19,100 WMX Technologies, Incorporated.......................................................... 565,837 ---------- FINANCIAL SERVICES--4.85% 34,100 Federal National Mortgage Association................................................... 1,082,675 21,900 Student Loan Marketing Association...................................................... 1,598,700 8,500 Textron Incorporated.................................................................... 680,000 ---------- 3,361,375 ---------- HOUSEHOLD PRODUCTS--3.31% 12,000 Avon Products, Incorporated............................................................. 528,000 27,700 Gillette Company........................................................................ 1,762,412 ---------- 2,290,412 ---------- HOTELS--3.38% 7,100 Hilton Hotels Corporation............................................................... 724,200 26,900 Hospitality Franchise Systems, Incorporated*............................................ 1,614,000 ---------- 2,338,200 ---------- INDUSTRIAL SERVICES & SUPPLIES--1.96% 39,100 CUC International, Incorporated*........................................................ 1,358,725 ---------- INFORMATION & COMPUTER SERVICES--5.05% 27,500 America Online, Incorporated*........................................................... 838,750 20,340 First Data Corporation.................................................................. 1,578,892 17,600 HBO & Company........................................................................... 1,078,000 ---------- 3,495,642 ---------- MANUFACTURING--HIGH TECHNOLOGY--2.40% 19,900 Honeywell, Incorporated................................................................. 1,054,700 16,250 Thermo Electron Corporation*............................................................ 607,344 ---------- 1,662,044 ---------- MEDIA--1.34% 26,000 Comcast Corporation, Class A Special.................................................... 367,250 39,200 Tele Communications, Incorporated New Common Series A*.................................. 558,600 ---------- 925,850 ---------- MEDICAL PRODUCTS--6.47% 25,200 Boston Scientific Corporation*.......................................................... 1,203,300 15,500 Guidant Corporation..................................................................... 786,625 33,500 Johnson & Johnson....................................................................... 1,599,625 18,800 Medtronic, Incorporated................................................................. 890,650 ---------- 4,480,200 ---------- 47
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE LARGE COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONCLUDED) [Enlarge/Download Table] MEDICAL PROVIDERS--2.81% 23,600 Oxford Health Plans, Incorporated*...................................................... $ 814,200 20,500 Service Corporation, International...................................................... 1,130,063 ---------- 1,944,263 ---------- OTHER INSURANCE--3.86% 19,400 Aetna Life & Casualty Company........................................................... 1,127,625 36,600 Travelers Group Incorporated............................................................ 1,546,350 ---------- 2,673,975 ---------- RESTAURANTS--1.26% 33,000 Boston Chicken, Incorporated*........................................................... 874,500 ---------- SEMICONDUCTOR--2.16% 18,600 Atmel Corporation....................................................................... 513,825 13,100 Intel Corporation....................................................................... 984,138 ---------- 1,497,963 ---------- SPECIALTY RETAIL--4.11% 12,400 Autozone, Incorporated*................................................................. 358,050 16,200 Corporate Express Incorporated*......................................................... 605,475 20,500 Home Depot Incorporated................................................................. 1,035,250 50,850 Staples, Incorporated*.................................................................. 845,381 ---------- 2,844,156 ---------- TELECOMMUNICATION SERVICES--0.14% 7,600 Orange plc ADR*......................................................................... 102,600 ---------- Total Common Stocks (cost--$64,901,915)............................................................... 66,919,361 ---------- PRINCIPAL AMOUNT MATURITY INTEREST (000) DATE RATE ------------ ------------------ ----------------- REPURCHASE AGREEMENT--3.61% $2,503 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $2,546,870 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $2,503,330 (cost--$2,503,000).................... 08/01/96 4.750% 2,503,000 ---------- Total Investments (cost--$67,404,915)--100.25%................... 69,422,361 Liabilities in excess of other assets--(0.25%)................... (174,124) ---------- Net Assets--100.00%.............................................. $69,248,237 ---------- ---------- --------------- * Non-income producing security ADR American Depositary Receipt See accompanying notes to financial statements 48
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--91.13% AGRICULTURE, FOOD & BEVERAGE--1.53% 2,100 Alpine Lace Brands Incorporated*......................................................... $ 11,419 3,500 Cagle's Incorporated..................................................................... 50,750 5,600 Chock Full of Nuts Corporation*.......................................................... 25,900 1,575 ERLY Industries Incorporated*............................................................ 14,372 3,900 Grist ML Company......................................................................... 21,450 1,700 Hain Food Group Incorporated*............................................................ 5,366 14,700 Hudson Foods Incorporated................................................................ 207,637 12,900 International Multifoods Incorporated.................................................... 214,462 12,600 Michaels Foods, Incorporated............................................................. 144,900 7,700 Morningstar Group Incorporated*.......................................................... 81,813 5,300 Nash Finch Company....................................................................... 85,462 3,800 Orange Company, Incorporated New......................................................... 30,875 3,600 Sanfilippo John B & Son Incorporated*.................................................... 19,800 2,800 Sylvan, Incorporated*.................................................................... 30,100 3,000 Tasty Baking Corporation................................................................. 35,250 --------- 979,556 --------- APPAREL, RETAIL--0.28% 6,000 Designs, Incorporated*................................................................... 34,500 9,800 Syms Corporation*........................................................................ 79,625 6,900 The Dress Barn*.......................................................................... 62,100 --------- 176,225 --------- APPAREL, TEXTILES--1.36% 6,400 Chic By HIS Incorporated*................................................................ 30,400 750 Conso Products Company*.................................................................. 11,438 7,600 Culp, Incorporated....................................................................... 93,100 1,333 Decorator Industries, Incorporated....................................................... 12,164 7,900 Dyersburg Corporation.................................................................... 41,475 5,100 Galey & Lord Incorporated*............................................................... 58,012 7,200 Guilford Mills, Incorporated............................................................. 165,600 1,700 Hampshire Group, Limited*................................................................ 19,550 21,400 Hartmarx Corporation*.................................................................... 104,325 13,700 Justin Industries Incorporated........................................................... 152,412 700 LAT Sportswear Incorporated*............................................................. 1,313 2,300 Maxwell Shoe Incorporated*............................................................... 12,075 3,400 Norton McNaughton Incorporated*.......................................................... 22,950 5,500 Pillowtex Corporation.................................................................... 65,312 2,300 Sirena Apparel Group Incorporated*....................................................... 5,463 2,300 Supreme International Corporation*....................................................... 35,362 6,800 Worldtex, Incorporated*.................................................................. 39,950 --------- 870,901 --------- BANKS--10.79% 1,500 American Bank Incorporated............................................................... 38,250 10,300 Bancorpsouth Incorporated................................................................ 225,312 615 Bank of Boston Corporation............................................................... 32,595 4,600 Banknorth Group Incorporated............................................................. 150,650 1,100 CCB Financial Corporation*............................................................... 56,925 3,300 CFX Corporation*......................................................................... 44,550 3,460 CVB Financial Corporation................................................................ 55,360 49
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] BANKS--(CONCLUDED) 3,400 Center Financial Corporation............................................................. $ 82,875 5,300 Citizens Bancorp......................................................................... 156,350 7,700 Citizens Banking Corporation............................................................. 211,750 7,100 Colonial Bancgroup Incorporated.......................................................... 231,637 7,300 Commerce Bancorp, Incorporated........................................................... 175,200 4,300 Community First Bankshares Incorporated.................................................. 97,825 3,500 Corus Bank Shares Incorporated........................................................... 102,375 12,000 Cullen Frost Bankers Incorporated........................................................ 327,000 1,650 Eastern Bancorp Incorporated............................................................. 28,256 1,100 Evergreen Bancorp Incorporated........................................................... 27,363 8,600 F & M National Corporation............................................................... 149,425 4,100 First Citizens Bancshares, Incorporated.................................................. 260,350 3,500 First Western Bancorp Incorporated....................................................... 76,125 4,700 Firstbank Illinois Company............................................................... 138,650 8,600 HUBCO, Incorporated...................................................................... 175,225 5,100 Hancock Holding Company.................................................................. 187,425 1,725 Interchange Financial Services Incorporated.............................................. 32,775 2,400 Irwin Financial Corporation.............................................................. 91,800 18,300 Magna Group Incorporated................................................................. 411,750 3,500 Mark Twain Banc Shares Incorporated...................................................... 129,500 5,100 Mid America Bancorp...................................................................... 85,425 3,700 National Bancorp Alaska Incorporated..................................................... 225,700 1,300 National Penn Banc Shares Incorporated................................................... 35,100 700 Newmill Bancorp Incorporated............................................................. 4,900 15,400 North Fork Bank Corporation Incorporated................................................. 435,050 6,700 Onbancorp Incorporated................................................................... 219,425 10,800 One Valley Bancorp West Virginia Incorporated............................................ 373,950 9,200 Peoples Heritage Financial Group......................................................... 181,700 5,100 Provident Bancorp, Incorporated.......................................................... 181,050 700 Redwood Empire Bancorp*.................................................................. 6,913 18,300 Riggs National Corporation............................................................... 241,331 3,500 Sterling Bancorp......................................................................... 37,188 6,900 Susquehanna Bank Shares Incorporated..................................................... 190,612 7,400 Transport Financial Incorporated......................................................... 132,275 19,000 Trustmark Corporation.................................................................... 394,250 3,300 United Bank Shares Incorporated.......................................................... 92,400 12,000 United Carolina Bank Shares.............................................................. 271,500 1,800 Westamerica Bank Corporation............................................................. 89,550 --------- 6,895,617 --------- CHEMICALS--3.97% 2,310 Aceto Corporation........................................................................ 32,918 5,200 Applied Extrusion Technologies, Incorporated*............................................ 52,000 6,800 Bairnco Corporation...................................................................... 44,200 1,200 Engineered Support Systems Incorporated.................................................. 8,850 13,500 First Mississippi Corporation............................................................ 286,875 21,000 Gencorp Incorporated..................................................................... 270,375 16,000 Griffon Corporation*..................................................................... 132,000 1,600 Holopak Technologies Incorporated*....................................................... 5,800 14,500 Mississippi Chemical Corporation......................................................... 291,812 23,200 NL Industries Incorporated............................................................... 234,900 5,600 Park Ohio Industries Incorporated*....................................................... 93,800 50
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] CHEMICALS--(CONCLUDED) 1,100 Raven Industies Incorporated............................................................. $ 20,900 10,400 Rexene Corporation....................................................................... 124,800 11,800 Spartech Corporation..................................................................... 112,100 5,600 Stepan Chemical Company.................................................................. 98,000 23,500 Sterling Chemicals, Incorporated*........................................................ 273,187 3,800 Synalloy Corporation..................................................................... 50,350 1,000 Total Containment Incorporated*.......................................................... 2,750 2,500 Triple S Plastics, Incorporated*......................................................... 12,813 16,700 Wellman Incorporated..................................................................... 325,650 2,700 Wynn's International Incorporated........................................................ 65,137 --------- 2,539,217 --------- COMPUTER HARDWARE--0.58% 3,200 Amplicon Incorporated.................................................................... 51,200 5,500 Banctec, Incorporated*................................................................... 115,500 6,100 Genicom Corporation*..................................................................... 25,163 2,600 Gradco Systems Incorporated*............................................................. 10,075 1,500 McRae Industries Incorporated............................................................ 11,250 2,800 Proxima Corporation*..................................................................... 30,800 7,100 Sequent Computer Systems Incorporated*................................................... 78,987 7,500 Sequoia Systems, Incorporated*........................................................... 15,938 4,800 Southern Electronics Corporation*........................................................ 28,500 --------- 367,413 --------- COMPUTER SOFTWARE--0.17% 3,200 Alpha Technologies Group Incorporated*................................................... 17,200 7,100 MacNeal Schwendler Corporation........................................................... 46,150 2,100 Software Spectrum, Incorporated*......................................................... 47,250 --------- 110,600 --------- CONSTRUCTION--1.08% 3,600 American Buildings Company New*.......................................................... 77,400 10,000 D.R. Horton Incorporated*................................................................ 96,250 6,500 Giant Cement Holding, Incorporated*...................................................... 83,687 7,350 Granite Construction Incorporated........................................................ 155,269 1,800 International Aluminum Corporation....................................................... 44,100 1,333 MYR Group, Incorporated.................................................................. 14,830 1,100 Monroc Incorporated*..................................................................... 5,500 5,800 Schottenstein Homes Incorporated......................................................... 51,475 7,400 United States Home Corporation New*...................................................... 161,875 --------- 690,386 --------- CONSUMER DURABLES--1.28% 2,400 Chromcraft Revington Incorporated*....................................................... 56,100 45,200 Collins & Aikman Corporation*............................................................ 299,450 500 Craftmade International Incorporated..................................................... 3,188 2,900 HMI Industries Incorporated.............................................................. 18,125 2,000 Image Industries Incorporated*........................................................... 23,500 12,300 Mikasa Incorporated*..................................................................... 113,775 3,100 Movado Group Incorporated................................................................ 58,125 2,600 Stanley Furniture Company, Incorporated*................................................. 33,475 6,200 Toro Company............................................................................. 188,325 2,200 Virco Manufacturing Corporation.......................................................... 20,350 --------- 814,413 --------- 51
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] DEFENSE/AEROSPACE--0.93% 5,900 Alliant Techsystems Incorporated*........................................................ $ 280,250 5,000 ECC International Corporation*........................................................... 40,625 7,700 Thiokol Corporation...................................................................... 271,425 --------- 592,300 --------- DIVERSIFIED RETAIL--0.75% 5,300 Ames Department Stores Incorporated*..................................................... 11,925 6,800 Carson Pirie Scott & Company*............................................................ 151,300 6,500 Hills Store Company*..................................................................... 47,125 18,200 Shopko Stores Incorporated............................................................... 268,450 --------- 478,800 --------- DRUGS & MEDICINE--0.29% 5,700 Bindley Western Industries, Incorporated................................................. 88,350 4,500 ICN Pharmaceuticals Incorporated......................................................... 94,500 --------- 182,850 --------- ELECTRIC UTILITIES--3.53% 3,800 Bangor Hydro Electric Company............................................................ 38,950 11,500 Central Hudson Gas & Electric Corporation................................................ 342,125 18,500 Central Maine Power Company.............................................................. 222,000 7,900 Central Vermont Public Service Corporation............................................... 96,775 14,000 Commonwealth Energy Systems*............................................................. 322,000 13,400 Eastern Utilities Associates............................................................. 212,725 2,600 Green Mountain Power Corporation......................................................... 62,400 500 Maine Public Service Company............................................................. 8,938 5,800 Northwestern Public Service Company...................................................... 158,775 2,000 Public Service Company of New Mexico..................................................... 39,750 3,200 Saint Joseph Light & Power Company....................................................... 50,000 5,100 TNP Enterprises Incorporated............................................................. 133,237 11,200 Tucson Electric Power Company*........................................................... 159,600 9,200 United Illuminating Company.............................................................. 327,750 2,300 Unitil Corporation....................................................................... 48,012 1,900 Upper Peninsula Energy Corporation....................................................... 33,725 --------- 2,256,762 --------- ELECTRICAL POWER--0.21% 3,200 AFC Cable Systems Incorporated*.......................................................... 51,200 2,300 Aztec Manufacturing Company.............................................................. 14,375 4,300 Exide Electronics Group Incorporated*.................................................... 41,925 2,300 ILC Technology Incorporated*............................................................. 25,875 --------- 133,375 --------- ELECTRONIC COMPONENTS--0.32% 4,700 Adflex Solutions Incorporated*........................................................... 45,825 1,100 Fusion Systems Corporation............................................................... 22,275 2,100 Merix Corporation........................................................................ 34,125 11,900 Oak Technology........................................................................... 77,350 2,700 Videonics, Incorporated*................................................................. 21,938 --------- 201,513 --------- 52
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] ENERGY RESERVES & PRODUCTION--0.12% 1,900 Maynard Oil Company*..................................................................... $ 15,913 2,400 McFarland Energy Incorporated*........................................................... 24,150 1,800 Prima Energy Corporation*................................................................ 27,900 1,600 Wilshire Oil Company..................................................................... 9,400 --------- 77,363 --------- ENTERTAINMENT--0.34% 7,400 All American Communications Incorporated*................................................ 68,450 2,700 Celebrity Incorporated*.................................................................. 10,125 6,300 Marcus Corporation....................................................................... 137,025 --------- 215,600 --------- ENVIRONMENTAL SERVICES--0.30% 1,900 Harding Lawson Associates Group*......................................................... 9,738 5,200 Schnitzer Steel Industries Incorporated.................................................. 130,000 2,500 Sevenson Environmental Services.......................................................... 38,125 3,300 TRC Companies Incorporated*.............................................................. 11,962 --------- 189,825 --------- FINANCIAL SERVICES--1.97% 3,800 BHC Financial Incorporated............................................................... 55,100 14,700 Cash America International Incorporated.................................................. 102,900 20,500 Commerce Group Incorporated.............................................................. 422,812 6,800 Consumer Portfolio Services Incorporated................................................. 57,800 866 Investors Financial Services Corporation*................................................ 18,511 9,900 North American Mortgage Company.......................................................... 165,825 10,000 Resource Bank Shares Mortgage Group Incorporated......................................... 120,000 7,000 Student Loan Corporation................................................................. 237,125 2,100 Transport Leasing International Incorporated............................................. 6,956 3,200 Winthrop Resources Corporation........................................................... 68,800 --------- 1,255,829 --------- FOOD RETAIL--0.39% 9 Carr-Gottstein Foods Company*............................................................ 37 10,100 Ingles Markets Incorporated.............................................................. 117,413 5,500 Marsh Supermarkets Incorporated*......................................................... 61,875 2,000 Schultz Sav O Stores Incorporated........................................................ 25,750 1,100 Seaway Food Town Incorporated............................................................ 19,525 3,000 Western Beef, Incorporated*.............................................................. 27,375 --------- 251,975 --------- FOREST PRODUCTS, PAPER--2.26% 15,600 Chesapeake Corporation................................................................... 366,600 4,100 Fibreboard Corporation New*.............................................................. 108,138 26,400 Gaylord Container Corporation*........................................................... 176,550 22,500 Glatfelter PH Company.................................................................... 407,812 2,600 National Picture & Frame Company*........................................................ 26,975 7,500 Rock-Tennessee Company................................................................... 142,500 1,700 Specialty Paperboard Incorporated*....................................................... 23,800 1,800 Tranzonic Companies*..................................................................... 22,275 7,900 Triangle Pacific Corporation*............................................................ 166,887 --------- 1,441,537 --------- 53
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] FREIGHT: AIR, SEA, LAND--0.24% 3,675 International Shipholding Corporation.................................................... $ 67,987 800 Marten Transport Limited*................................................................ 10,400 2,700 Matlack Systems Incorporated*............................................................ 20,250 500 Morgan Group Incorporated................................................................ 3,813 1,700 Old Dominion Freight Lines Incorporated*................................................. 16,150 3,300 PAM Transportation Services Incorporated*................................................ 20,213 2,900 Trism Incorporated*...................................................................... 15,950 --------- 154,763 --------- GAS UTILITY--2.24% 5,000 Bay State Gas Company.................................................................... 133,125 800 Berkshire Gas Company.................................................................... 13,000 1,800 Chesapeake Utilities Corporation......................................................... 27,450 4,300 Colonial Gas Company..................................................................... 92,450 2,000 Connecticut Energy Corporation........................................................... 39,000 4,800 Connecticut Natural Gas Corporation...................................................... 108,600 1,700 Connecticut Water Service Incorporated................................................... 42,075 1,900 Consumers Water Company.................................................................. 32,300 2,200 Energen Corporation...................................................................... 49,775 1,100 Energynorth Incorporated................................................................. 21,175 10,300 Indiana Energy Incorporated.............................................................. 260,075 9,700 Laclede Gas Company...................................................................... 218,250 1,600 Mobile Gas Service Corporation........................................................... 35,600 4,000 NUI Corporation.......................................................................... 73,000 2,500 Providence Energy Corporation............................................................ 41,562 1,300 SJW Corporation.......................................................................... 47,450 2,300 South Jersey Industries Incorporated..................................................... 46,575 6,800 Yankee Energy Systems Incorporated....................................................... 151,300 --------- 1,432,762 --------- HEAVY MACHINERY--1.93% 3,100 Alamo Group Incorporated................................................................. 43,400 4,900 Allied Products Corporation.............................................................. 119,438 5,200 Astec Industries Incorporated*........................................................... 43,550 7,800 Cascade Corporation...................................................................... 100,913 7,800 CMI Corporation*......................................................................... 36,075 3,400 Gehl Company*............................................................................ 25,925 12,800 Global Industrial Technologies Incorporated*............................................. 217,600 5,900 NACCO Industries Incorporated............................................................ 303,112 4,830 Raymond Corporation...................................................................... 82,110 1,300 Richton International Corporation*....................................................... 4,956 1,800 Tennant Company.......................................................................... 46,800 14,700 Titan Wheel International Incorporated................................................... 205,800 --------- 1,229,679 --------- HOTELS--0.39% 1,800 Black Hawk Gaming & Development Incorporated*............................................ 12,600 7,700 Casino America Incorporated*............................................................. 52,938 19,200 Players International, Incorporated*..................................................... 156,000 2,200 Sholodge, Incorporated*.................................................................. 28,600 --------- 250,138 --------- 54
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] HOUSEHOLD PRODUCTS--0.54% 3,800 Allou Health & Beauty Care, Incorporated*................................................ $ 22,800 6,200 American Safety Razor Company*........................................................... 70,525 1,700 Dixon Ticonderoga Company*............................................................... 12,856 5,000 Jean Phillippe Fragrances Incorporated*.................................................. 35,000 7,300 Libbey Incorporated...................................................................... 192,538 6,600 Scotts Liquid Gold Incorporated.......................................................... 11,550 --------- 345,269 --------- INDUSTRIAL SERVICES & SUPPLIES--1.42% 1,700 Foilmark Incorporated*................................................................... 5,738 1,600 Heist CH Corporation*.................................................................... 10,800 11,300 Interpool, Incorporated.................................................................. 223,175 9,500 Kinder Care Learning Centers, Incorporated*.............................................. 144,281 5,400 McGrath Rentcorp......................................................................... 124,200 5,600 PLM International, Incorporated*......................................................... 18,550 23,300 Rollins Truck Leasing Corporation........................................................ 250,475 7,300 Supercuts Incorporated*.................................................................. 63,875 5,300 Superior Surgical Manufacturing Incorporated............................................. 55,650 2,200 Travel Ports America Incorporated*....................................................... 7,219 --------- 903,963 --------- INFORMATION & COMPUTER SERVICES--0.99% 11,300 Advo Incorporated........................................................................ 105,937 1,000 Analysis & Technology Incorporated....................................................... 14,250 2,400 Computer Data Systems Incorporated....................................................... 54,900 10,300 Dames & Moore Incorporated............................................................... 126,175 4,000 Devon Group Incorporated New*............................................................ 110,000 2,300 Ea Engineering Science & Technology*..................................................... 6,900 2,500 Innodata Corporation*.................................................................... 7,500 2,000 Isomedix Incorporated*................................................................... 28,250 1,500 Pomeroy Computer Resources*.............................................................. 24,375 1,300 Smith Environmental Technologies*........................................................ 1,463 8,800 Triad Systems Corporation*............................................................... 45,100 4,700 URS Corporation New*..................................................................... 33,488 2,300 Value Line Incorporated.................................................................. 76,475 --------- 634,813 --------- LEISURE--0.97% 8,000 Aldila, Incorporated*.................................................................... 31,500 1,000 Baldwin Piano & Organ Company*........................................................... 15,500 1,800 Boston Acoustics Incorporated............................................................ 35,550 14,100 Department 56 Incorporated*.............................................................. 308,437 5,400 ERO Incorporated*........................................................................ 27,675 2,700 Ellett Brothers Incorporated............................................................. 16,875 3,700 First Team Sports Incorporated*.......................................................... 40,237 1,700 Johnson Worldwide Associates, Incorporated*.............................................. 24,650 1,500 Koss Corporation*........................................................................ 10,875 5,400 Oneida Limited........................................................................... 83,700 3,884 Swing 'n Slide Corporation*.............................................................. 12,138 750 Valley Forge Corporation................................................................. 9,188 --------- 616,325 --------- 55
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] LIFE INSURANCE--4.28% 3,100 Allied Life Financial Corporation........................................................ $ 48,438 28,900 American Annuity Group Incorporated...................................................... 364,862 9,300 American Heritage Life Investment Corporation............................................ 182,512 5,600 Amvestors Financial Corporation.......................................................... 78,400 11,400 Capitol American Financial Corporation................................................... 273,600 1,600 Central Reserve Life Corporation......................................................... 12,400 1,500 Cotton States Life Insurance Company..................................................... 16,875 5,700 Delphi Financial Group, Incorporated*.................................................... 154,612 10,900 Home Beneficial Corporation.............................................................. 277,950 3,400 Independence Holding Company New......................................................... 31,450 13,100 Liberty Corporation...................................................................... 404,462 5,500 Life Re Corporation...................................................................... 151,938 13,300 Life USA Holdings Incorporated*.......................................................... 104,738 500 National Western Life Insurance Company*................................................. 33,938 5,600 Pioneer Financial Services Incorporated.................................................. 87,500 11,000 Presidential Life Corporation............................................................ 105,875 5,800 Security-Connecticut Company............................................................. 152,975 8,000 Washington National Corporation.......................................................... 221,000 3,900 Westbridge Capital Corporation*.......................................................... 32,175 --------- 2,735,700 --------- MACHINERY--0.01% 4,800 Stevens International Incorporated*...................................................... 8,700 --------- MANUFACTURING-GENERAL--3.88% 5,800 Amcast Industrial Corporation............................................................ 100,050 800 Amistar Corporation*..................................................................... 2,800 4,400 Ampco Pittsburgh Corporation............................................................. 46,750 2,800 Amtrol Incorporated...................................................................... 67,900 9,700 Baldwin Technology Incorporated*......................................................... 29,706 2,800 Barnes Group Incorporated................................................................ 134,400 11,200 Blount International Incorporated........................................................ 331,800 4,100 CPAC Incorporated*....................................................................... 42,025 10,700 Detroit Diesel Corporation*.............................................................. 193,937 2,700 Esterline Technologies Corporation*...................................................... 54,338 2,400 Farr Company*............................................................................ 33,000 1,400 Farrel Corporation....................................................................... 5,250 19,600 Fedders USA Incorporated................................................................. 112,700 8,400 Gasonics International Corporation*...................................................... 60,900 6,900 Genlyte Group Incorporated*.............................................................. 47,438 2,300 Knape & Vogt Manufacturing Company....................................................... 31,050 3,700 Kysor Industrial Corporation............................................................. 86,025 5,500 Mestek, Incorporated*.................................................................... 79,063 4,200 Nortek, Incorporated*.................................................................... 53,550 2,900 Owosso Corporation....................................................................... 21,025 2,000 Panatech Research & SWV Corporation...................................................... 8,250 2,400 Portec, Incorporated*.................................................................... 23,400 8,800 Quanex Corporation....................................................................... 172,700 6,100 Regal Beloit Corporation................................................................. 97,600 4,600 Scotsman Industries, Incorporated........................................................ 91,425 2,500 Secom General Corporation................................................................ 5,625 56
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] MANUFACTURING-GENERAL--(CONCLUDED) 2,875 Shelter Components Corporation........................................................... $ 33,781 9,100 Standex International Corporation........................................................ 255,937 3,400 Starrett LS Company...................................................................... 78,625 2,000 Transtechnology Corporation.............................................................. 35,750 1,800 Twin Discount, Incorporated.............................................................. 40,050 6,500 Watts Industries Incorporated............................................................ 104,812 --------- 2,481,662 --------- MANUFACTURING-HIGH TECHNOLOGY--1.96% 1,900 Active Voice Corporation*................................................................ 19,712 3,300 Aeroflex, Incorporated*.................................................................. 18,563 1,500 Aseco Corporation*....................................................................... 14,625 2,800 Bel Fuse Incorporated.................................................................... 26,950 1,000 Buffton Corporation*..................................................................... 1,625 5,500 Cherry Corporation*...................................................................... 59,125 2,900 Circuit Systems, Incorporated*........................................................... 14,863 3,800 Core Industries Incorporated............................................................. 47,975 12,100 Credence Systems Corporation*............................................................ 160,325 2,500 CTS Corporation.......................................................................... 107,500 1,000 DSP Technology Incorporated*............................................................. 5,250 4,200 First Alert, Incorporated*............................................................... 19,425 2,200 Hutchinson Technology Incorporated*...................................................... 85,525 3,900 IEC Electronics Corporation New*......................................................... 26,325 1,800 Innovex Incorporated..................................................................... 27,000 7,000 Jabil Circuit Incorporated*.............................................................. 83,125 1,000 M-Wave Incorporated*..................................................................... 3,750 4,900 Numerex Corporation...................................................................... 19,600 5,300 Park Electrochemical Corporation......................................................... 94,737 6,600 Pioneer Standard Electronics, Incorporated............................................... 85,800 4,700 Sterling Electronics Corporation*........................................................ 59,337 1,200 Technology Research Corporation.......................................................... 5,700 16,700 Tencor Industries*....................................................................... 267,200 --------- 1,254,037 --------- MARINE TRANSPORT--0.52% 14,300 APL Limited.............................................................................. 334,263 --------- MEDICAL PRODUCTS--0.19% 9,100 Advanced Medical Incorporated*........................................................... 21,044 3,500 Allied Healthcare Products, Incorporated................................................. 24,500 500 Lakeland Industries, Incorporated*....................................................... 2,000 1,600 Safetytek Corporation*................................................................... 15,600 800 Sullivan Dental Products Incorporated.................................................... 8,500 3,700 Sybron Chemicals Incorporated*........................................................... 52,262 --------- 123,906 --------- MEDICAL PROVIDERS--1.51% 3,600 Advocat Services, Incorporated*.......................................................... 28,800 8,300 Geriatric & Medical Companies, Incorporated*............................................. 44,353 14,000 Integrated Health Services, Incorporated................................................. 311,500 2,300 Morrison Health Care Incorporated........................................................ 27,888 19,500 Novacare Incorporated*................................................................... 153,562 31,200 Sun Healthcare Group Incorporated*....................................................... 397,800 --------- 963,903 --------- 57
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] MINING & METALS--5.67% 7,700 Acme Metals Incorporated*................................................................ $ 115,500 7,100 Ashland Coal Incorporated................................................................ 170,400 8,700 Bayou Steel Corporation*................................................................. 26,100 10,900 Carpenter Technology Corporation......................................................... 362,425 8,400 Castech Aluminum Group, Incorporated*.................................................... 111,300 9,000 Chaparral Steel Company.................................................................. 104,625 4,100 Chase Brass Industries Incorporated*..................................................... 67,650 9,800 Citation Corporation*.................................................................... 113,925 8,000 Cleveland Cliffs Incorporated............................................................ 294,000 3,700 Cold Metal Products Incorporated*........................................................ 20,350 7,900 Commercial Metals Company................................................................ 239,962 6,000 Commonwealth Aluminum Corporation........................................................ 84,000 13,100 Falcon Building Products Incorporated*................................................... 147,375 6,500 Foster LB Company*....................................................................... 25,188 4,010 Friedman Industries, Incorporated........................................................ 18,045 2,700 Green AP Industries Incorporated......................................................... 55,013 21,800 J & L Specialty Steel Incorporated....................................................... 294,300 2,000 Lindberg Corporation..................................................................... 18,000 4,700 Maxxam Incorporated*..................................................................... 188,000 3,400 National Standard Company*............................................................... 23,375 23,900 National Steel Corporation*.............................................................. 236,012 16,300 Northwestern Steel & Wire Company*....................................................... 83,537 1,300 Oglebay Norton Company................................................................... 55,575 800 Pitt Desmoines Incorporated.............................................................. 34,800 4,400 Pittston Minerals Group.................................................................. 53,900 5,800 Roanoke Electric Steel Corporation....................................................... 73,950 14,300 Rouge Steel Company...................................................................... 293,150 4,600 Steel West Virginia Incorporated*........................................................ 33,925 6,900 Sudbury Incorporated*.................................................................... 58,650 1,700 Texas Industries Incorporated............................................................ 113,900 700 United States Lime & Minerals, Incorporated.............................................. 7,263 21,300 Weirton Steel Corporation*............................................................... 63,900 4,630 Zemex Corporation*....................................................................... 36,461 --------- 3,624,556 --------- MOTOR VEHICLES & PARTS--3.92% 3,610 Autocam Corporation*..................................................................... 34,295 17,500 Breed Technologies, Incorporated......................................................... 347,812 3,300 Coachmen Industries, Incorporated........................................................ 119,625 2,600 Coast Distribution Systems*.............................................................. 14,625 2,800 Defiance, Incorporated................................................................... 15,750 7,000 Excel Industries, Incorporated........................................................... 107,625 1,200 Hilite Industries Incorporated*.......................................................... 11,700 1,700 JPE Incorporated*........................................................................ 14,875 2,300 Lund International Holdings, Incorporated*............................................... 31,625 1,100 McClain Industries Incorporated*......................................................... 5,638 10,900 Modine Manufacturing Company............................................................. 286,125 1,100 Monaco Coach Corporation*................................................................ 12,650 1,800 National R.V. Holdings Incorporated*..................................................... 22,050 28,600 Navistar International Corporation Incorporated*......................................... 286,000 5,100 Oshkosh Truck Corporation................................................................ 70,125 3,400 R & B Incorporated*...................................................................... 23,800 1,700 Republic Automotive Parts Incorporated*.................................................. 28,687 58
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] MOTOR VEHICLES & PARTS--(CONCLUDED) 1,420 Rexhall Industries, Incorporated*........................................................ $ 8,698 1,200 Safety Components International Incorporated............................................. 13,200 6,300 Shiloh Industries Incorporated*.......................................................... 82,687 11,800 Simpson Industries, Incorporated......................................................... 110,625 14,200 Smith AO Corporation..................................................................... 315,950 5,500 Standard Motor Products Incorporated..................................................... 82,500 11,000 Stant Corporation........................................................................ 118,250 3,820 Supreme Industries, Incorporated*........................................................ 25,308 12,000 TBC Corporation*......................................................................... 82,500 4,000 Thor Industries, Incorporated............................................................ 75,500 400 Treadco Incorporated..................................................................... 3,450 2,860 Varlen Corporation....................................................................... 59,702 3,400 Walbro Corporation....................................................................... 67,097 9,400 Williams Controls Incorporated*.......................................................... 23,500 --------- 2,501,974 --------- OFFICE/PLANT AUTOMATION--0.01% 500 Autologic Information International Incorporated......................................... 4,000 --------- OIL REFINING--0.34% 2,400 Adams Resources & Energy Incorporated.................................................... 17,100 1,500 Castle Energy Corporation*............................................................... 15,375 3,910 Mercury Air Group, Incorporated.......................................................... 28,836 13,700 Tesoro Petroleum Corporation*............................................................ 157,550 --------- 218,861 --------- OIL SERVICES--0.16% 1,400 Atrion Corporation....................................................................... 31,850 2,800 ICO Incorporated......................................................................... 16,800 2,100 RPC Energy Services, Incorporated*....................................................... 23,888 1,900 World Fuel Services Corporation.......................................................... 31,587 --------- 104,125 --------- OTHER INSURANCE--8.88% 2,300 ACMAT Corporation*....................................................................... 27,313 7,500 Allied Group Incorporated................................................................ 270,000 4,600 American Eagle Group Incorporated........................................................ 19,550 1,800 Amwest Insurance Group, Incorporated..................................................... 22,275 7,200 Capital Re Corporation................................................................... 243,000 3,500 Capitol Transamerica Corporation......................................................... 70,000 19,400 Citizens Corporation..................................................................... 361,325 1,600 Donegal Group Incorporated............................................................... 26,000 5,800 EMC Insurance Group Incorporated......................................................... 71,050 11,300 Enhance Financial Services Group Incorporated............................................ 329,112 5,600 Fidelity National Financial Incorporated................................................. 83,300 3,200 First American Financial Corporation..................................................... 95,600 1,800 First Central Financial Corporation...................................................... 9,450 3,000 Foremost Corporation of America.......................................................... 163,500 3,600 Fremont General Corporation.............................................................. 90,000 3,045 Gainsco Incorporated..................................................................... 30,450 2,900 Gryphon Holdings Incorporated*........................................................... 41,325 3,081 Guaranty National Corporation New........................................................ 44,289 8,600 Harleysville Group Incorporated.......................................................... 223,600 3,100 Home State Holdings Incorporated*........................................................ 22,475 59
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] OTHER INSURANCE--(CONCLUDED) 10,600 Horace Mann Educators Corporation New.................................................... $ 331,250 8,100 Integon Corporation...................................................................... 158,962 4,400 Intercargo Corporation................................................................... 36,300 1,100 Investors Title Insurance Company........................................................ 13,200 3,000 Kaye Group Incorporated.................................................................. 13,875 5,000 Lawyers Title Corporation................................................................ 100,000 6,226 MAIC Holdings, Incorporated*............................................................. 193,006 3,700 Meridian Insurance Group, Incorporated................................................... 49,950 8,400 Nac Re-Insurance Corporation............................................................. 289,800 11,000 National Re Corporation.................................................................. 565,125 3,700 Navigators Group Incorporated*........................................................... 63,825 6,100 Nymagic Incorporated..................................................................... 112,850 8,700 Orion Capital Corporation................................................................ 426,300 5,900 PXRE Corporation......................................................................... 134,225 3,800 RLI Corporation.......................................................................... 90,250 9,400 Selective Insurance Group Incorporated................................................... 304,325 6,000 State Auto Financial Corporation......................................................... 82,500 2,800 Stewart Information Services Corporation................................................. 57,050 4,245 Titan Holdings Incorporated.............................................................. 59,430 3,100 Transnational Re Corporation............................................................. 70,525 4,300 Trenwick Group Incorporated.............................................................. 209,625 3,900 UNICO American Healthcare Company........................................................ 28,275 2,300 US Facilities Corporation................................................................ 37,663 --------- 5,671,925 --------- PUBLISHING--0.99% 11,800 Bowne & Company Incorporated............................................................. 241,900 1,000 Courier Corporation...................................................................... 14,500 12,300 Franklin Quest Company................................................................... 242,925 7,300 Graphic Industries, Incorporated......................................................... 67,525 2,000 Plenum Publishing Corporation............................................................ 67,250 --------- 634,100 --------- RAILROADS--0.19% 9,300 Greenbrier Companies Incorporated........................................................ 110,438 3,600 Johnstown America Industries Incorporated*............................................... 11,025 --------- 121,463 --------- REAL PROPERTY--3.61% 5,200 American Woodmark Corporation............................................................ 27,300 1,700 Ameron International, Incorporated....................................................... 59,500 4,900 Amrep Corporation*....................................................................... 22,663 4,300 Beazer Homes USA Incorporated*........................................................... 68,263 3,900 Butler Manufacturing Company............................................................. 110,662 6,100 Cameron Ashley Building Products, Incorporated*.......................................... 61,000 12,700 Centex Construction Products Incorporated................................................ 173,037 1,300 Continental Homes Holding Corporation.................................................... 24,863 900 Drew Industries Incorporated New*........................................................ 16,538 1,700 Eljer Industries Incorporated*........................................................... 16,150 3,700 Engle Homes Incorporated................................................................. 25,206 6,200 Florida Rock Industries, Incorporated.................................................... 144,150 14,400 Hovnanian Enterprises Incorporated*...................................................... 81,000 2,900 Insituform East Incorporated............................................................. 9,063 60
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] REAL PROPERTY--(CONCLUDED) 2,400 Liberty Homes, Incorporated.............................................................. $ 31,500 600 Lindal Cedar Homes, Incorporated*........................................................ 2,250 6,200 Lone Star Industries, Incorporated....................................................... 189,875 10,200 M.D.C. Holdings, Incorporated............................................................ 67,575 9,100 Medusa Corporation....................................................................... 266,175 1,400 NCI Building Systems Incorporated*....................................................... 35,000 6,500 NVR Incorporated*........................................................................ 70,687 3,000 Patrick Industries Incorporated.......................................................... 37,500 7,100 Polyphase Corporation*................................................................... 15,975 625 Somerset Group, Incorporated............................................................. 9,531 11,300 Southdown, Incorporated.................................................................. 227,412 2,600 Starrett Housing Corporation............................................................. 26,650 18,700 Toll Brothers Incorporated*.............................................................. 306,212 5,200 Washington Homes Incorporated New*....................................................... 20,150 9,200 Webb Delaware Corporation................................................................ 161,000 --------- 2,306,887 --------- RECREATIONAL PRODUCTS/TOYS--0.03% 1,500 EXX Incorporated*........................................................................ 4,406 2,600 Variflex Incorporated*................................................................... 15,600 --------- 20,006 --------- RESTAURANTS--0.49% 4,300 Davco Restaurants Incorporated*.......................................................... 38,700 2,700 El Chico Restaurants, Incorporated*...................................................... 20,587 3,100 ELXSI Corporation*....................................................................... 16,663 3,600 Mainstreet Bankgroup Incorporated........................................................ 59,400 1,725 Morrison Restaurants Incorporated........................................................ 8,194 22,600 Ryan's Family Steak Houses, Incorporated*................................................ 172,325 --------- 315,869 --------- RETAIL (ALL OTHER)--0.03% 5,800 Sportmart Incorporated*.................................................................. 15,588 --------- SECURITIES & ASSET MANAGEMENT--2.47% 2,700 Advest Group Incorporated................................................................ 26,663 2,900 Alex Brown, Incorporated................................................................. 135,575 4,600 Eaton Vance Corporation.................................................................. 165,600 7,650 Intermediate Regional Financial Group Incorporated....................................... 168,300 4,000 Interstate Johnson Lane, Incorporated.................................................... 44,000 2,000 Jefferies Group, Incorporated............................................................ 55,500 5,200 Legg Mason Incorporated.................................................................. 148,200 5,000 McDonald & Company Investments Incorporated.............................................. 89,375 11,500 Morgan Keegan, Incorporated.............................................................. 140,875 11,500 Piper Jaffray Companies, Incorporated.................................................... 136,562 4,500 Quick & Reilly Group Incorporated........................................................ 127,687 10,700 Raymond James Financial, Incorporated.................................................... 223,362 945 Ryan Beck & Company...................................................................... 5,788 116 Scott & Stringfellow Financial, Incorporated............................................. 1,994 7,500 Sherwood Group Incorporated*............................................................. 83,438 900 Southwest Securities Group Incorporated.................................................. 9,900 1,000 Ziegler Companies Incorporated........................................................... 17,500 --------- 1,580,319 --------- 61
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] SEMICONDUCTOR--4.15% 21,700 Alliance Semiconductor Corporation*...................................................... $ 141,050 3,570 Bell Industries, Incorporated*........................................................... 59,798 5,600 Bell Microproducts Incorporated*......................................................... 38,500 8,200 Brooktree Corporation*................................................................... 119,284 4,900 BTU International Incorporated*.......................................................... 15,925 2,400 Diodes Incorporated*..................................................................... 14,400 11,800 Electroglas Incorporated*................................................................ 148,975 3,300 Exar Corporation*........................................................................ 43,725 13,400 FSI International Incorporated*.......................................................... 145,725 6,300 Integrated Circuit Systems Incorporated*................................................. 51,975 13,500 Lam Research Corporation*................................................................ 300,375 7,000 Lattice Semiconductor Corporation........................................................ 181,125 11,300 Marshall Industries*..................................................................... 303,687 6,000 Micro Linear Corporation*................................................................ 42,000 8,500 Novellus Systems Incorporated*........................................................... 306,000 2,600 Quality Semiconductor Incorporated*...................................................... 12,675 2,500 Semtech Corporation*..................................................................... 18,125 9,300 Silicon Valley Group Incorporated........................................................ 152,869 6,700 Trident Microsystems Incorporated*....................................................... 85,425 15,200 VLSI Technology Incorporated*............................................................ 186,200 2,300 Veeco Industries Incorporated*........................................................... 29,325 5,300 Watkins Johnson Company.................................................................. 114,613 6,200 Zilog Incorporated....................................................................... 142,600 --------- 2,654,376 --------- SPECIALTY RETAIL--2.29% 1,600 Advanced Marketing Services, Incorporated*............................................... 18,600 2,600 Barrys Jewelers, Incorporated New*....................................................... 10,400 6,300 Blair Corporation........................................................................ 144,900 4,300 Cole National Corporation*............................................................... 72,025 3,000 Gantos Incorporated New*................................................................. 12,938 6,600 Haverty Furniture Companies Incorporated................................................. 65,175 3,300 Holiday RV Superstores Incorporated*..................................................... 6,600 5,300 Intertan Incorporated*................................................................... 29,813 12,500 MacFrugals Bargains Closeouts Incorporated*.............................................. 229,687 5,900 Rex Stores Corporation*.................................................................. 75,962 2,900 Rhodes Incorporated New*................................................................. 26,100 3,200 Roberds Incorporated*.................................................................... 30,000 55,100 Service Merchandise Company, Incorporated*............................................... 254,837 3,300 Strober Organization Incorporated*....................................................... 13,200 11,700 Sun Television & Appliances.............................................................. 43,875 8,800 The Good Guys, Incorporated*............................................................. 77,000 2,400 Trak Auto Corporation*................................................................... 40,200 4,700 Ultimate Electronics Incorporated*....................................................... 16,450 13,900 Waban Incorporated*...................................................................... 264,100 3,200 Wolohan Lumber Company................................................................... 32,000 --------- 1,463,862 --------- THRIFT--3.97% 480 Albank Financial......................................................................... 12,060 750 Anchor Bancorp Wisconsin Incorporated*................................................... 26,156 8,800 Bankers Corporation...................................................................... 157,300 62
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY VALUE EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ --------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] THRIFT--(CONCLUDED) 5,100 BMJ Financial Corporation................................................................ $ 67,894 5,625 Chittenden Corporation................................................................... 122,344 13,300 Collective Bancorp, Incorporated......................................................... 315,044 1,000 Community Bankshares Incorporated........................................................ 18,000 3,700 D & N Savings Financial Corporation*..................................................... 46,712 2,200 Eagle Financial Corporation.............................................................. 52,800 16,800 First Financial Corporation.............................................................. 369,600 2,100 First Liberty Financial Corporation...................................................... 43,050 1,500 First State Financial Services Incorporated.............................................. 19,406 500 Grove Bank of Brighton Massachusetts..................................................... 14,750 2,300 Keystone Heritage Group Incorporated..................................................... 51,462 1,500 Leader Financial Corporation............................................................. 66,750 3,500 MAF Bancorp Incorporated................................................................. 86,625 6,700 Metrowest Bank........................................................................... 25,963 6,200 New York Bancorp Incorporated............................................................ 168,175 1,700 Parkvale Financial Corporation........................................................... 43,350 1,000 Queens County Bancorp.................................................................... 47,250 7,600 RCSB Financial Incorporated.............................................................. 185,250 8,100 Roosevelt Financial Group, Incorporated.................................................. 129,600 3,300 Saint Francis Capital Corporation........................................................ 85,800 33,290 Sovereign Bancorp, Incorporated.......................................................... 320,416 1,000 Suncoast Savings & Loan Association...................................................... 6,625 1,600 Washington Savings Bank FSB.............................................................. 8,200 2,700 York Financial Corporation............................................................... 43,200 --------- 2,533,782 --------- TRUCKING/FREIGHT--0.22% 1,700 MTL Incorporated......................................................................... 29,750 3,600 Sunrise Leasing Corporation.............................................................. 11,700 5,700 US Freightways Corporation............................................................... 100,819 --------- 142,269 --------- WHOLESALE DISTRIBUTOR--0.15% 6,900 Republic Group Incorporated.............................................................. 95,738 --------- WIRELESS TELECOMMUNICATIONS--0.04% 2,500 Applied Voice Technology Incorporated.................................................... 27,813 --------- Total Common Stocks (cost--$59,070,288)................................................................ 58,229,453 --------- PRINCIPAL AMOUNT MATURITY INTEREST (000) DATE RATE ------------ ------------------ ----------------- REPURCHASE AGREEMENT--8.48% $5,418 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $5,512,960 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $5,418,715 (cost--$5,418,000).................... 08/01/96 4.750% 5,418,000 ---------- Total Investments (cost--$64,488,288)--99.61%.................... 63,647,453 Other assets in excess of liabilities--0.39%..................... 246,873 ---------- Net Assets--100.00%.............................................. $63,894,326 ---------- ---------- --------------- * Non-income producing security See accompanying notes to financial statements 63
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--86.42% AIRLINES--1.46% 29,500 America West Airlines Incorporated*..................................................... $ 472,000 18,000 Continental Airlines Incorporated Class B*.............................................. 454,500 ---------- 926,500 ---------- COMPUTER HARDWARE--7.85% 20,000 Ascend Communications Incorporated*..................................................... 970,000 13,500 CBT Group plc*.......................................................................... 590,625 30,000 3 Com Corporation*...................................................................... 1,181,250 26,400 VeriFone Incorporated*.................................................................. 1,151,700 38,500 VideoServer Incorporated*............................................................... 1,082,813 ---------- 4,976,388 ---------- COMPUTER SOFTWARE--2.31% 19,600 HNC Software Incorporated*.............................................................. 504,700 14,000 Sterling Software Incorporated*......................................................... 962,500 ---------- 1,467,200 ---------- CONSUMER DURABLES--4.32% 18,000 Oakley Incorporated*.................................................................... 609,750 88,600 Republic Industries Incorporated*....................................................... 2,126,400 ---------- 2,736,150 ---------- DRUGS & MEDICINE--4.11% 43,400 Apria Healthcare Group Incorporated*.................................................... 1,068,725 66,200 Lumisys Incorporated*................................................................... 670,275 35,000 Vertex Pharmaceuticals Incorporated*.................................................... 866,250 ---------- 2,605,250 ---------- ENERGY RESERVES & PRODUCTION--3.37% 18,000 Cooper Cameron Corporation*............................................................. 832,500 80,000 NGC Corporation......................................................................... 1,300,000 ---------- 2,132,500 ---------- ENTERTAINMENT--1.35% 36,000 Cinar Films Incorporated*............................................................... 855,000 ---------- HEAVY MACHINERY--1.56% 57,400 Trident International Incorporated*..................................................... 990,150 ---------- HOUSEHOLD PRODUCTS--1.51% 40,000 First Brands Corporation................................................................ 955,000 ---------- INDUSTRIAL SERVICES & SUPPLIES--0.75% 40,700 BI Incorporated*........................................................................ 478,225 ---------- INFORMATION & COMPUTER SERVICES--11.69% 62,500 Axent Technologies Incorporated*........................................................ 890,625 20,000 Ceridian Corporation*................................................................... 870,000 60,000 Computervision Corporation*............................................................. 442,500 35,000 Fiserv Incorporated*.................................................................... 1,172,500 7,500 Geoworks*............................................................................... 153,750 16,600 HCIA Incorporated*...................................................................... 950,350 39,400 IDX Systems Corporation*................................................................ 1,137,675 18,700 MetaTools Incorporated*................................................................. 238,425 13,100 Netscape Communications Corporation*.................................................... 517,450 57,400 USCS International Incorporated*........................................................ 1,033,200 ---------- 7,406,475 ---------- 64
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONCLUDED) [Enlarge/Download Table] MANUFACTURING-GENERAL--4.15% 30,000 Danaher Corporation..................................................................... $1,196,250 35,000 Tyco International LTD.................................................................. 1,435,000 ---------- 2,631,250 ---------- MANUFACTURING-HIGH TECHNOLOGY--6.05% 100,000 AMX Corporation*........................................................................ 700,000 79,600 Boston Communications Group*............................................................ 1,114,400 180,900 Compression Labs Incorporated*.......................................................... 1,221,075 66,000 Metricom Incorporated*.................................................................. 800,250 ---------- 3,835,725 ---------- MEDICAL PRODUCTS--1.43% 24,600 C.R. Bard Incorporated.................................................................. 750,300 16,700 ReSound Corporation*.................................................................... 154,475 ---------- 904,775 ---------- MEDICAL PROVIDERS--9.55% 30,000 Genesis Health Ventures Incorporated*................................................... 753,750 85,500 Osteotech Incorporated*................................................................. 555,750 40,000 Quorum Health Group Incorporated*....................................................... 940,000 35,000 Renal Care Group Incorporated*.......................................................... 1,120,000 24,000 Service Corporation International....................................................... 1,323,000 50,000 Summit Care Corporation*................................................................ 962,500 85,800 Transcend Services Incorporated*........................................................ 396,825 ---------- 6,051,825 ---------- OIL SERVICES--5.89% 40,000 BJ Services Company*.................................................................... 1,325,000 84,600 Coflexip................................................................................ 1,543,950 35,000 Weatherford Enterra Incorporated*....................................................... 861,875 ---------- 3,730,825 ---------- RESTAURANTS--1.62% 34,000 Quality Dining Incorporated*............................................................ 1,024,250 ---------- SEMICONDUCTORS--1.30% 110,000 Alpha Industries Incorporated*.......................................................... 825,000 ---------- SPECIALTY RETAIL--5.38% 34,000 Corporate Express Incorporated*......................................................... 1,270,750 55,000 General Nutrition Cos Incorporated*..................................................... 783,750 40,800 SunGlass Hut International Incorporated*................................................ 484,500 50,000 Zale Corporation*....................................................................... 868,750 ---------- 3,407,750 ---------- WIRELESS TELECOMMUNICATIONS--10.77% 45,000 LIN Television Corporation*............................................................. 1,670,625 25,000 McLeod Incorporated*.................................................................... 631,250 8,200 Premisys Communications Incorporated*................................................... 248,050 10,000 Premiere Technologies Incorporated*..................................................... 220,000 30,800 Sawtek Incorporated*.................................................................... 993,300 30,000 Sinclair Broadcast Group*............................................................... 1,215,000 12,500 Telecomunicacoes Brasilieras ADR........................................................ 906,250 25,000 Xylan Corporation*...................................................................... 937,500 ---------- 6,821,975 ---------- Total Common Stocks (cost--$57,386,814)............................................................... 54,762,213 ---------- 65
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE SMALL/MEDIUM COMPANY GROWTH EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATE RATE VALUE ------------ ------------------ ----------------- ---------- REPURCHASE AGREEMENT--13.29% $8,421 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Co., collateralized by $8,568,593 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $8,422,111 (cost--$8,421,000)............................... 08/01/96 4.750 % $8,421,000 ---------- Total Investments (cost--$65,807,814)--99.71%.................... 63,183,213 Other assets in excess of liabilities--0.29%..................... 181,139 ---------- Net Assets--100.00%.............................................. $63,364,352 ---------- ---------- --------------- * Non-income producing security ADR American Depositary Receipt See accompanying notes to financial statements 66
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--90.50% ARGENTINA--0.44% ENERGY/UTILITIES--0.44% 8,600 Capex S.A. GDR.......................................................................... $ 120,400 14,000 Compania Perez Companc S.A.............................................................. 80,500 ---------- 200,900 ---------- AUSTRALIA--2.85% BASIC INDUSTRIES--2.49% 47,200 Broken Hill Proprietary Company Limited................................................. 621,716 140,000 MIM Holdings Limited.................................................................... 163,508 51,500 Western Mining Corporation Holdings Limited............................................. 342,563 ---------- 1,127,787 ---------- TRANSPORTATION & STORAGE--0.36% 105,000 Qantas Airways.......................................................................... 164,050 ---------- Total Australia Common Stocks......................................................................... 1,291,837 ---------- AUSTRIA--0.45% TRANSPORTATION & STORAGE--0.45% 3,100 Flughafen Wien AG....................................................................... 203,465 ---------- BELGIUM--0.49% FINANCE/INSURANCE/REAL ESTATE--0.49% 700 Kredietbank............................................................................. 223,262 ---------- BRAZIL--1.74% ENERGY/UTILITIES--0.45% 7,000 Centrais Electricas Brasileiras S.A. ADR................................................ 92,750 4,000 Compania Energetica De Minas ADR........................................................ 109,740 ---------- 202,490 ---------- CAPITAL GOODS/BASIC INDUSTRIES--1.29% 7,000 Compania Vale Do Rio Doce ADR........................................................... 132,160 4,800 Telecomunicacoes Brasileiras S.A. ADR................................................... 348,000 10,000 Usiminas USI SD MG ADR.................................................................. 106,500 ---------- 586,660 ---------- Total Brazil Common Stocks............................................................................ 789,150 ---------- CHILE--0.49% BASIC INDUSTRIES--0.12% 1,000 Sociedad Quimica Y Minera ADR........................................................... 54,875 ---------- CAPITAL GOODS--0.15% 4,000 Maderas Y Sinteticos Sociedad........................................................... 68,000 ---------- UTILITIES--0.22% 3,300 Enersis S.A............................................................................. 100,650 ---------- Total Chile Common Stocks............................................................................. 223,525 ---------- FRANCE--4.57% BASIC INDUSTRIES--1.04% 1,600 Air Liquide S.A......................................................................... 281,831 1,300 Imetal S.A. ............................................................................ 188,134 ---------- 469,965 ---------- 67
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] FRANCE--(CONCLUDED) CAPITAL GOODS--0.63% 6,300 Schneider S.A. ......................................................................... $ 286,885 ---------- CONSUMER GOODS & SERVICES--1.46% 770 L'Oreal................................................................................. 239,512 1,100 Peugeot S.A. ........................................................................... 132,989 6,600 Seita................................................................................... 291,695 ---------- 664,196 ---------- ENERGY--0.41% 2,600 Elf Aquitaine (Ste Nationale)........................................................... 185,584 ---------- FINANCE/INSURANCE/REAL ESTATE--1.03% 8,500 AXA..................................................................................... 465,672 ---------- Total France Common Stocks............................................................................ 2,072,302 ---------- GERMANY--4.66% BASIC INDUSTRIES--1.16% 15,900 Hoechst AG.............................................................................. 524,132 ---------- CAPITAL GOODS--1.68% 1,500 Mannesmann AG........................................................................... 538,480 2,000 SGL Carbon AG........................................................................... 220,351 ---------- 758,831 ---------- FINANCE/INSURANCE/REAL ESTATE--0.60% 5,400 Deutsche Bank AG........................................................................ 273,521 ---------- UTILITIES--1.22% 10,900 Veba AG................................................................................. 554,921 ---------- Total Germany Common Stocks........................................................................... 2,111,405 ---------- HONG KONG--6.68% COMMERCIAL BANKS & OTHER BANKS--1.59% 45,258 HSBC Holdings plc....................................................................... 722,766 ---------- DIVERSIFIED HOLDING COMPANIES--2.52% 106,000 Hutchison Whampoa Limited............................................................... 633,261 59,500 Swire Pacific Limited................................................................... 509,727 ---------- 1,142,988 ---------- REAL ESTATE--0.90% 366,000 Amoy Properties Limited................................................................. 407,019 ---------- UTILITIES--1.67% 81,500 China Light & Power Company Limited..................................................... 337,243 254,400 Hong Kong Telecom Company Limited....................................................... 419,433 ---------- 756,676 ---------- Total Hong Kong Common Stocks......................................................................... 3,029,449 ---------- ITALY--1.37% CAPITAL GOODS--0.89% 214,000 Telecom Italia.......................................................................... 404,759 ---------- CONSUMER GOODS & SERVICES--0.48% 33,000 La Rinascente........................................................................... 214,929 ---------- Total Italy Common Stocks............................................................................. 619,688 ---------- 68
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] JAPAN--34.02% AUTOMOBILES--1.82% 34,000 Toyota Motor Corporation................................................................ $ 824,879 ---------- BEVERAGE & TOBACCO INDUSTRIES--0.34% 10,000 Kirin Beverage.......................................................................... 154,560 ---------- CHEMICALS--2.30% 80,000 Asahi Chemical Industries Company Limited............................................... 547,047 28,000 Shin-Etsu Chemical Company Limited...................................................... 495,714 ---------- 1,042,761 ---------- COMMERCIAL BANKS & OTHER BANKS--1.91% 66,000 Sumitomo Trust & Banking Company Limited................................................ 865,533 ---------- COMPUTERS/OFFICE/TELECOM EQUIPMENT--1.27% 71 DDI Corporation......................................................................... 573,959 ---------- CONSTRUCTION & BUILDING MATERIALS--1.28% 37,000 Sumitomo Forestry Company Limited....................................................... 582,268 ---------- ELECTRONICS/CONTROL EQUIPMENT--8.07% 47,000 Canon Incorporated...................................................................... 889,326 57,000 Hitachi Limited......................................................................... 519,517 10,000 Kyocera Corporation..................................................................... 684,745 4,000 Mabuchi Motor Company Limited........................................................... 245,422 13,000 Nitto Denko Corporation................................................................. 210,669 10,000 Rohm Company............................................................................ 599,504 8,000 Sony Corporation........................................................................ 505,831 ---------- 3,655,014 ---------- ELECTRICAL EQUIPMENT--1.13% 37,000 Sumitomo Electric Industries Limited.................................................... 512,950 ---------- FABRICATED METAL PRODUCTS--0.96% 42,000 Hitachi Metals Limited*................................................................. 436,701 ---------- FINANCIAL INSTITUTIONS & SERVICES--3.28% 26,000 Daiwa Securities Company Limited........................................................ 314,177 31,000 Nomura Securities Company Limited....................................................... 543,019 50,000 Tokio Marine & Fire Insurance........................................................... 622,922 ---------- 1,480,118 ---------- HEALTH & PERSONAL CARE--0.33% 7,000 Taisho Pharmaceutical Company........................................................... 150,813 ---------- HEAVY ENGINEERING/SHIPBUILDING--2.06% 110,000 Mitsubishi Heavy Industries Limited..................................................... 932,509 ---------- MACHINERY/ENGINEERING SERVICES--1.50% 10,000 Amano Corporation....................................................................... 133,952 11,000 Asahi Diamond Industries Company Limited................................................ 132,921 12,000 Daifuku Comany Limited.................................................................. 179,851 10,000 Komori Corporation...................................................................... 232,308 ---------- 679,032 ---------- REAL ESTATE--1.11% 39,000 Mitsui Fudosan Company Limited.......................................................... 504,145 ---------- RETAIL TRADE--3.00% 13,000 Ito-Yokado Company Limited.............................................................. 751,347 69
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] JAPAN--(CONCLUDED) 14,000 Marui Company Limited................................................................... $ 292,445 10,000 Shimachu Company Limited................................................................ 315,676 ---------- 1,359,468 ---------- TRANSPORTATION & STORAGE--2.47% 52,000 Kamigumi Company Limited................................................................ 466,151 69,000 Nippon Express Corporation Limited...................................................... 652,803 ---------- 1,118,954 ---------- WHOLESALE TRADE--1.19% 82,000 Itochu Corporation...................................................................... 537,680 ---------- Total Japan Common Stocks............................................................................. 15,411,344 ---------- MALAYSIA--3.11% BASIC INDUSTRIES--0.59% 40,000 United Engineers Malaysia............................................................... 269,252 ---------- CONSUMER GOODS & SERVICES--1.42% 43,000 Edaran Otomobil Nasional................................................................ 415,218 48,000 Resorts World Berhad.................................................................... 228,864 ---------- 644,082 ---------- FINANCE/INSURANCE/REAL ESTATE--1.10% 41,000 AMMB Holdings Berhad.................................................................... 496,935 ---------- Total Malaysia Common Stocks.......................................................................... 1,410,269 ---------- MEXICO--1.81% BASIC INDUSTRIES--0.96% 39,250 Cementos Apasco, S.A. de C.V............................................................ 219,191 30,000 Cemex, S.A.............................................................................. 107,206 8,000 Empresas ICA Sociedad ADR............................................................... 107,000 ---------- 433,397 ---------- CAPITAL GOODS--0.44% 29,200 Grupo Industrial San Luis S.A. *........................................................ 170,961 800 Corporacion Industrial San Luis, S.A. de C.V. .......................................... 28,600 ---------- 199,561 ---------- CONSUMER GOODS & SERVICES--0.24% 80,000 Cifra S.A. de C.V....................................................................... 108,446 ---------- FINANCE/INSURANCE/REAL ESTATE--0.17% 42,000 Grupo Financiero Banamex................................................................ 79,952 ---------- Total Mexico Common Stocks............................................................................ 821,356 ---------- NETHERLANDS--2.25% CONSUMER GOODS & SERVICES--1.20% 35,800 Elsevier N.V............................................................................ 543,869 ---------- FINANCE/INSURANCE/REAL ESTATE--1.05% 15,500 International Nederlanden Groep N.V..................................................... 475,639 ---------- Total Netherlands Common Stocks....................................................................... 1,019,508 ---------- NEW ZEALAND--0.38% BASIC INDUSTRIES--0.38% 75,000 Carter Holt Harvey Holdings Limited..................................................... 173,769 ---------- 70
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] PERU--0.18% CAPITAL GOODS/BASIC INDUSTRIES--0.18% 3,700 Telefonica Del Peru S.A................................................................. $ 80,938 ---------- SINGAPORE--2.77% CONSUMER GOODS & SERVICES--1.06% 79,879 Jardine Matheson & Company Limited...................................................... 483,268 ---------- FINANCE/INSURANCE/REAL ESTATE--1.71% 35,000 City Developements...................................................................... 262,543 41,000 Developement Bank of Singapore Limited.................................................. 464,228 19,000 First Capital Corporation............................................................... 46,791 ---------- 773,562 ---------- Total Singapore Common Stocks......................................................................... 1,256,830 ---------- SPAIN--1.69% CONSUMER GOODS & SERVICES--0.97% 20,300 Centros Comerciales Continente.......................................................... 439,740 ---------- FINANCE/INSURANCE/REAL ESTATE--0.72% 6,800 Banco de Santander S.A.................................................................. 327,639 ---------- Total Spain Common Stocks............................................................................. 767,379 ---------- SOUTH AFRICA--0.69% BASIC INDUSTRIES--0.25% 11,500 Sasol................................................................................... 114,975 ---------- FINANCE/INSURANCE/REAL ESTATE--0.44% 11,000 Barlow Limited.......................................................................... 105,348 40,000 Safmarine & Rennie Holdings Limited..................................................... 92,117 ---------- 197,465 ---------- Total South African Common Stocks..................................................................... 312,440 ---------- SWEDEN--1.29% BASIC INDUSTRIES--0.58% 21,000 Stora Kopparberg AB..................................................................... 263,595 ---------- CAPITAL GOODS--0.71% 16,100 Ericsson L.M............................................................................ 322,614 ---------- Total Sweden Common Stocks............................................................................ 586,209 ---------- SWITZERLAND--3.48% BASIC INDUSTRIES--1.02% 390 Ciba-Geigy AG........................................................................... 462,866 ---------- CONSUMER GOODS & SERVICES--1.88% 490 Nestle S.A.--Registered................................................................. 559,450 40 Roche Holdings AG....................................................................... 294,996 ---------- 854,446 ---------- FINANCE/INSURANCE/REAL ESTATE--0.58% 1,000 Zurich Versicherun...................................................................... 261,422 ---------- Total Switzerland Common Stocks....................................................................... 1,578,734 ---------- THAILAND--1.49% FINANCE/INSURANCE/REAL ESTATE--1.49% 141,000 Thai Military Bank Public Company, Limited.............................................. 480,352 42,000 TPI Polene plc.......................................................................... 192,995 ---------- 673,347 ---------- 71
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONCLUDED) [Enlarge/Download Table] TAIWAN--1.09% FINANCE/INSURANCE/REAL ESTATE--1.09% 52 Taipei Fund IDR......................................................................... $ 416,000 1 Taipei Fund Unit........................................................................ 80,000 ---------- 496,000 ---------- UNITED KINGDOM--12.51% BUILDING MATERIALS & MERCHANDISE--0.85% 57,000 Wolseley plc............................................................................ 383,458 ---------- DIVERSIFIED INDUSTRIALS--0.47% 51,000 Wassall plc............................................................................. 212,599 ---------- ELECTRICITY--0.65% 32,000 East Midland Electricity plc*........................................................... 296,158 ---------- ENGINEERING--0.86% 25,000 McKechnie plc........................................................................... 190,932 17,732 Smiths Industries plc................................................................... 196,792 ---------- 387,724 ---------- ENGINEERING, VEHICLES--0.65% 19,000 GKN plc................................................................................. 295,093 ---------- FOOD MANUFACTURERS--0.97% 23,000 Unilever plc............................................................................ 440,932 ---------- HOUSEHOLD GOODS--0.86% 38,000 Reckill and Colman plc.................................................................. 387,152 ---------- LEISURE & HOTELS--1.48% 122,000 Ladbroke Group plc...................................................................... 355,810 25,000 Granada Group plc....................................................................... 312,646 ---------- 668,456 ---------- OIL, INTEGRATED--0.76% 24,000 Shell Transport & Trading Company....................................................... 344,377 ---------- OIL, EXPLORATION & PRODUTION--0.52% 85,000 Lasmo plc............................................................................... 236,662 ---------- PHARMACEUTICALS--0.98% 32,000 Glaxo Wellcome plc...................................................................... 445,233 ---------- RETAIL BANKS--1.01% 85,000 Lloyds TSB Group plc.................................................................... 457,458 ---------- RETAILERS, FOOD--0.52% 46,193 Safeway plc............................................................................. 235,671 ---------- TELECOMMUNICATIONS--1.06% 45,000 British Telecommunications plc.......................................................... 254,083 36,000 Cable & Wireless plc.................................................................... 227,625 ---------- 481,708 ---------- TRANSPORT--0.87% 130,000 NFC plc................................................................................. 396,330 ---------- Total United Kingdom Common Stocks.................................................................... 5,669,011 ---------- Total Common Stocks (cost--$41,119,751)............................................................... 41,022,117 ---------- 72
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- WARRANTS--0.02% UNITED KINGDOM--0.02% DIVERSIFIED INDUSTRIALS--0.02% 142,000 BTR plc warrant expiring 10/18/96; exercise price GBP 2.58 (cost--$141,710)............. $ 11,044 ---------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATES RATES ------------ -------------------- ---------------- LONG-TERM DEBT SECURITIES--1.33% $ 555 MBL International Finance (cost--$606,650)... 11/30/02 3.000 % 603,625 ------------ REPURCHASE AGREEMENT--10.61% 4,810 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $4,894,304 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $4,810,634 (cost--$4,810,000).............. 08/01/96 4.750 4,810,000 ------------ Total Investments (cost--$46,678,111)--102.46%............. 46,446,786 Liabilities in excess of other assets--(2.46%)............. (1,116,222) ------------ Net Assets--100.00%........................................ $45,330,564 ------------ ------------ --------------- * Non-income producing security ADR American Depositary Receipt GBP British Pounds GDR Global Depositary Receipt IDR International Depositary Receipt FORWARD FOREIGN CURRENCY CONTRACTS [Enlarge/Download Table] CONTRACT TO IN EXCHANGE MATURITY UNREALIZED DELIVER FOR DATES APPRECIATION ----------- -------------- --------- ------------ Japanese Yen................................................. 328,701,178 U.S.$3,080,250 08/14/96 $ 5,187 Japanese Yen................................................. 507,111,638 U.S.$4,897,500 08/14/96 137,348 Japanese Yen................................................. 174,557,130 U.S.$1,688,500 08/14/96 49,958 ------------ $ 192,493 ------------ ------------ See accompanying notes to financial statements 73
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--81.09% ARGENTINA--3.27% AUTOMOBILES--0.60% 27,000 CIADEA S.A.............................................................................. $ 152,550 ---------- BEVERAGE MANUFACTURERS--0.65% 17,270 Quilmes Industrial S.A. ADR............................................................. 166,224 ---------- MISCELLANEOUS INDUSTRY--1.17% 51,770 Perez Companc S.A. Class B.............................................................. 297,678 ---------- OIL & GAS--0.54% 91,601 Astra Cia Argentina De Petroleo S.A., ARA Class B....................................... 137,401 ---------- UTILITIES-ELECTRIC--0.31% 33,500 Telefonica de Argentina S.A............................................................. 78,390 ---------- Total Argentina Common Stocks......................................................................... 832,243 ---------- AUSTRIA--0.84% PHARMACEUTICALS--0.84% 5,300 Gedeon Richter.......................................................................... 214,854 ---------- BRAZIL--1.85% ENGINEERING--0.13% 3,000 Usinas Siderurgicas de Minas Gerais S.A.--Usiminas Sponsor ADR.......................... 31,950 ---------- TELECOMMUNICATIONS--1.00% 3,500 Telecomunicacoes Brasileiras S.A.--Telebras ADR......................................... 253,750 ---------- UTILITIES-ELECTRIC--0.72% 2,100,000 Cia Paulista de Forca e Luz............................................................. 184,720 ---------- Total Brazil Common Stocks............................................................................ 470,420 ---------- CHILE--3.80% BANKS--1.34% 26,200 Banco Santander Chile ADR............................................................... 340,600 ---------- CHEMICALS--0.46% 5,100 A.F.P. Provida S.A. ADR................................................................. 116,663 ---------- RETAILERS, FOOD--0.82% 7,800 Santa Isabel ADS*....................................................................... 210,600 ---------- UTILITIES-TELECOMMUNICATIONS--1.18% 3,100 Compania de Telecomunicaciones de Chile S.A............................................. 301,088 ---------- Total Chile Common Stocks............................................................................. 968,951 ---------- CHINA--1.88% UTILITIES-ELECTRIC--1.88% 27,000 Huaneng Power International Incorporated ADS*........................................... 479,250 ---------- CROATIA--1.02% HEALTH/PERSONAL CARE--1.02% 6,600 Pliva DD GDR*........................................................................... 259,050 ---------- CZECHOSLOVAKIA--0.54% TELECOMMUNICATIONS--0.54% 1,100 SPT Telecom a.s.*....................................................................... 138,647 ---------- GREECE--0.72% BANKS--0.29% 1,333 Alpha Credit Bank....................................................................... 73,787 ---------- 74
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] GREECE--(CONCLUDED) BEVERAGE MANUFACTURERS--0.43% 3,200 Hellenic Bottling Company S.A. ......................................................... $ 109,703 ---------- Total Greece Common Stocks............................................................................ 183,490 ---------- HONG KONG--1.84% UTILITIES-ELECTRIC--1.84% 640,000 Guangdong Electric Power Development Company Limited.................................... 467,588 ---------- HUNGARY--0.31% HEALTHCARE--0.31% 1,600 Egis Gyogyszergyarszolgaltatasi Resz*................................................... 79,331 ---------- INDIA--9.13% AUTOMOBILES--0.81% 13,400 Tata Engineering and Locomotive GDR..................................................... 206,360 ---------- BUILDING MATERIALS--1.53% 40,000 Gujarat Ambuga Cement Limited GDR....................................................... 390,000 ---------- CONSTRUCTION--1.60% 800 Tata Electric Companies GDR............................................................. 406,800 ---------- FINANCE--0.73% 19,000 Morgan Stanley India Investment Fund.................................................... 185,250 ---------- LEISURE/ENTERTAINMENT--0.98% 9,500 The Indian Hotels Company GDR*.......................................................... 249,375 ---------- MISCELLANEOUS FINANCE--0.69% 22,500 India Fund ADR.......................................................................... 177,188 ---------- PHARMACEUTICALS--0.71% 9,000 Ranbaxy Labs GDS........................................................................ 180,000 ---------- UTILITIES-ELECTRIC--2.08% 16,000 BSES Limited GDR........................................................................ 292,000 33,000 Crompton Greaves Limited................................................................ 239,250 ---------- 531,250 ---------- Total India Common Stocks............................................................................. 2,326,223 ---------- INDONESIA--8.78% CONSTRUCTION/BUILDING MATERIALS--0.29% 33,000 PT Semen Gresik......................................................................... 74,729 ---------- FINANCIAL--1.23% 140,000 PT Bank International Indonesia......................................................... 312,566 ---------- FOOD/GROCERY PRODUCTS--1.64% 102,000 PT Indofood Sukses Makmur............................................................... 418,584 ---------- MULTI-INDUSTRY--0.51% 46,000 PT Indocement Tunggal Prakarsa.......................................................... 127,642 ---------- PHARMACEUTICALS--1.12% 172,000 PT Kalbe Farme.......................................................................... 285,265 ---------- TELECOMMUNICATIONS--1.45% 120,000 PT Indosat.............................................................................. 369,977 ---------- TELEPHONE, TELEGRAPH--1.69% 16,000 PT Telekomunikasi Indonesia............................................................. 432,000 ---------- 75
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] INDONESIA--(CONCLUDED) TOBACCO MANUFACTURERS--0.85% 60,000 Gudang Garam............................................................................ $ 215,607 ---------- Total Indonesia Common Stocks......................................................................... 2,236,370 ---------- KOREA--7.81% AIRLINES--0.71% 8,200 Korea Air Lines......................................................................... 179,555 ---------- BANKS--0.65% 9,000 Shinhan Bank............................................................................ 166,072 ---------- CONSTRUCTION--0.52% 5,500 Lg Industrial Systems................................................................... 133,288 ---------- IRON & STEEL--0.37% 4,000 Pohang Iron & Steel Company Limited ADR................................................. 94,000 ---------- RETAIL--0.30% 1,132 Shinsegae Department Store Company...................................................... 75,913 ---------- TELECOMMUNICATIONS--2.63% 380 Korea Mobile Telecommunications GDS..................................................... 331,898 2,456 L.G. Information and Communication Limited.............................................. 338,492 ---------- 670,390 ---------- TRANSPORTATION--0.81% 16,000 Hyundai Motor Company GDR............................................................... 206,000 ---------- UTILITIES-ELECTRIC--1.82% 11,000 Korea Electric Power ADR................................................................ 341,001 1,431 Samsung Electronics Company............................................................. 122,411 ---------- 463,412 ---------- Total Korea Common Stocks............................................................................. 1,988,630 ---------- MAURITIUS--0.41% FINANCIAL--0.41% 250,000 State Bank of Mauritius Limited......................................................... 103,659 ---------- MEXICO--7.47% CONSTRUCTION--1.02% 79,200 Cemex S.A............................................................................... 259,004 ---------- ENGINEERING--0.94% 15,100 Bufete Industrial, S.A. ADR............................................................. 239,713 ---------- MINING METALS/MINERALS--1.12% 69,000 Industrias Penoles, S.A. de C.V......................................................... 286,609 ---------- MULTI-INDUSTRY--1.15% 36,000 Sanluis Corporacion, S.A. de C.V. ...................................................... 210,773 20,400 Grupo Carso, S.A. de C.V.--Series A..................................................... 81,105 ---------- 291,878 ---------- PAPER--0.48% 7,200 Kimberly-Clark de Mexico, S.A. de C.V. ................................................. 121,147 ---------- RETAIL, GENERAL--1.19% 38,030 ALFA, S.A. de C.V. ..................................................................... 151,448 112,000 Cifra, S.A. de C.V. .................................................................... 151,824 ---------- 303,272 ---------- 76
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] MEXICO--(CONCLUDED) TELECOMMUNICATIONS--0.01% 20,400 Invercorporacion, S.A................................................................... $ 3,336 ---------- TELEPHONE, TELEGRAPH--1.06% 20,400 Carso Global Telecom.................................................................... 59,181 6,900 Telefonos de Mexico, S.A. de C.V.--Series L ADR......................................... 211,312 ---------- 270,493 ---------- TOBACCO--0.50% 29,000 Empresas La Moderna, S.A. de C.V. Series A*............................................. 126,960 ---------- Total Mexico Common Stocks............................................................................ 1,902,412 ---------- PERU--0.43% TELEPHONE, TELEGRAPH--0.43% 5,000 Telefonica del Peru, S.A. ADR........................................................... 109,375 ---------- PHILIPPINES--9.88% BANKS--1.85% 22,250 Metropolitan Bank & Trust Company....................................................... 471,236 ---------- CONSTRUCTION--0.31% 695,000 Southeast Asia Cement................................................................... 79,565 ---------- REAL ESTATE--2.90% 190,000 Ayala Land Incorporated................................................................. 329,899 150,000 C & P Homes Incorporated................................................................ 113,051 210,000 Fil-Estate Land Incorporated............................................................ 220,378 312,000 SM Prime Holdings....................................................................... 77,390 ---------- 740,718 ---------- TELECOMMUNICATIONS--1.43% 276,000 Pilipino Telephone Corporation.......................................................... 363,366 ---------- TELEPHONE, TELEGRAPH--1.71% 7,500 Philippine Long Distance Telephone Company.............................................. 436,463 ---------- UTILITES-ELECTRIC--1.68% 58,400 Manila Electric Company Class B......................................................... 427,888 ---------- Total Philippines Common Stocks....................................................................... 2,519,236 ---------- POLAND--1.05% AUTO COMPONENTS--0.32% 7,100 Stomil Olsztyn S.A...................................................................... 82,772 ---------- BEVERAGE MANUFACTURERS--0.31% 1,490 Zaklady Piwowarskie e Zywcu S.A. (Zywiec)............................................... 79,959 ---------- CONSTRUCTION\BUILDING MATERIALS--0.42% 4,100 Gorazdze S.A............................................................................ 106,218 ---------- Total Poland Common Stocks............................................................................ 268,949 ---------- PORTUGAL--2.34% BUILDING MATERIALS--1.02% 20,300 Semapa- Sociedade de Investimento e Gestao, SGPS, S.A................................... 261,042 ---------- CONSTRUCTION--0.31% 9,400 Engil Sociedade de Constreao Civil, S.A................................................. 78,622 ---------- 77
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONTINUED) [Enlarge/Download Table] PORTUGAL--(CONCLUDED) RETAIL--1.01% 3,000 Estabelecimentos Jeronimo Martins & Filho, Sociedade Gestorade Participacoes Sociais, S.A................................................................................... $ 257,092 ---------- Total Portugal Common Stocks.......................................................................... 596,756 ---------- SLOVAKIA--0.95% IRON & STEEL--0.95% 11,000 Vychodoslovenske Zeleziame (VSZ a.s.)................................................... 242,967 ---------- SOUTH AFRICA--4.21% BEVERAGES--0.55% 5,342 South African Breweries................................................................. 141,357 ---------- CHEMICALS--0.00% 285 Sentrachem Limited...................................................................... 887 ---------- MULTI-INDUSTRY--1.70% 5,041 Anglo American Industrial Corporation Limited........................................... 173,298 15,800 Barlow Limited.......................................................................... 151,318 25,700 Malbak Limited.......................................................................... 109,834 ---------- 434,450 ---------- OIL & GAS--0.43% 38,000 Energy Africa Limited................................................................... 109,389 ---------- OIL SERVICES--0.85% 21,560 Sasol Limited........................................................................... 215,552 ---------- RETAIL--0.68% 79,345 Waltons Stationery Company Limited...................................................... 172,184 ---------- Total South Africa Common Stocks...................................................................... 1,073,819 ---------- THAILAND--9.43% BANKS--3.36% 21,000 Bangkok Bank Public Company Limited..................................................... 247,900 111,000 Krung Thai Bank plc..................................................................... 430,914 18,000 Thai Farmers Bank Public Company Limited................................................ 176,834 ---------- 855,648 ---------- CONSTRUCTION/BUILDING MATERIALS--0.19% 1,200 Siam Cement Public Company Limited...................................................... 47,536 ---------- FINANCIAL INSTITUTIONS/SERVICES--0.34% 20,000 Bank of Ayudhya Public Company Limited.................................................. 87,149 ---------- LEISURE/ENTERTAINMENT--0.60% 12,000 Grammy Entertainment Public Company Limited............................................. 152,115 ---------- PRODUCERS' GOODS--0.91% 46,000 Siam Makro Public Company Limited....................................................... 233,244 ---------- REAL ESTATE--1.35% 25,000 Land and House Public Company Limited................................................... 344,636 ---------- SERVICES--1.53% 34,000 United Communication Industry Public Company Limited.................................... 390,588 ---------- UTILITIES-ELECTRIC--1.15% 93,100 Electricity Generating Public Company Limited........................................... 293,196 ---------- Total Thailand Common Stocks.......................................................................... 2,404,112 ---------- 78
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Download Table] NUMBER OF SHARES VALUE ------------ ---------- COMMON STOCKS--(CONCLUDED) [Enlarge/Download Table] TURKEY--3.13% CERAMICS--0.44% 1,600,000 Eczacibasi Yapi Gerecelri Sanayii ve Ticaret A.S........................................ $ 111,385 ---------- CONSTRUCTION--0.63% 2,691,870 Adana Cimento Sanayii................................................................... 159,932 ---------- RETAIL (ALL OTHER)--1.21% 337,875 Migros Turk T.A.S....................................................................... 308,210 ---------- TELECOMMUNICATION EQUIPMENT--0.85% 1,035,000 Northern Elektrik Telekomunikasyon A.S. (NETAS)......................................... 217,398 ---------- Total Turkey Common Stocks............................................................................ 796,925 ---------- Total Common Stocks (cost--$20,866,939)............................................................... 20,663,257 ---------- PREFERRED STOCKS--9.85% BRAZIL--9.85% BEVERAGE MANUFACTURERS--0.51% 212,000 Cia Cervejaria Brahma................................................................... 129,698 ---------- CONSTRUCTION--0.43% 103,000,000 Cia Uniao de Seguros Gerais............................................................. 109,943 ---------- ELECTRICITY & GAS--1.51% 1,324,000 Centrais Electricas Brasileiras S.A. (Electrobras)...................................... 384,716 ---------- ELECTRONICS MANUFACTURERS--1.81% 287,885 Multibras S.A. Electrodomesticos........................................................ 460,935 ---------- MISCELLANEOUS INDUSTRY--0.98% 323,000 Itausa Investmentos..................................................................... 249,002 ---------- PAPER/PACKAGING & PRINTING--0.41% 100,000 Klabin Fabricadora...................................................................... 103,775 ---------- OIL & GAS--0.70% 1,600,000 Petrol Brasilerios--Petrobras........................................................... 179,482 ---------- TELECOMMUNICATIONS--3.11% 6,590,000 Telecomunicacoes Brasileiras S.A.--Telebras............................................. 479,367 1,580,000 Telecomunicacoes de Sao Paulo--TELESP................................................... 312,315 ---------- 791,682 ---------- UTILITIES--0.39% 3,470,000 CESP Cia Energy Sao Paulo............................................................... 99,456 ---------- Total Brazil Preferred Stocks......................................................................... 2,508,689 ---------- Total Preferred Stocks (cost--$1,990,031)............................................................. 2,508,689 ---------- 79
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS -------------------------------------------------------------------------------- [Enlarge/Download Table] PRINCIPAL AMOUNT MATURITY INTEREST (000) DATE RATE VALUE ------------ ------------------ ----------------- ---------- REPURCHASE AGREEMENT--10.08% $2,568 Repurchase Agreement dated 07/31/96 with State Street Bank & Trust Company, collateralized by $2,613,009 U.S. Treasury Notes, 5.500%, due 02/28/99; proceeds: $2,568,339 (cost--$2,568,000)............................... 08/01/96 4.750 % $2,568,000 ---------- Total Investments (cost--$25,424,970)--101.01%................... 25,739,946 Liabilities in excess of other assets--(1.01)%................... (258,522) ---------- Net Assets--100.00%.............................................. $25,481,424 ---------- ---------- --------------- * Non-income producing security ADR American Depositary Receipt ADS American Depositary Shares GDR Global Depositary Receipt GDS Global Depositary Shares See accompanying notes to financial statements 80
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- Statement of Assets and Liabilities July 31, 1996 -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE GOVERNMENT PACE PACE PACE SECURITIES INTERMEDIATE STRATEGIC MONEY MARKET FIXED INCOME FIXED INCOME FIXED INCOME INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------- ------------ ------------ ------------ ASSETS Investments, at value (cost--$10,160,897; $79,211,807; $40,856,963; $48,972,881; $18,110,752; $34,801,508; $77,838,682; $64,901,915; $59,070,288; $57,386,814; $41,868,111 and $22,856,970, respectively)....... $10,160,897 $79,053,767 $40,141,033 $48,471,771 Repurchase agreements, at value (cost--$0; $841,000; $312,000; $915,000; $0; $2,111,000; $1,586,000; $2,503,000; $5,418,000; $8,421,000; $4,810,000 and $2,568,000, respectively)........................ -- 841,000 312,000 915,000 ------------- ------------ ------------ ------------ 10,160,897 79,894,767 40,453,033 49,386,771 Cash (including cash denominated in foreign currencies).................. 441 -- 678 7,603 Receivable for investments sold....... -- 47,941,324 -- -- Receivable for shares of beneficial interest sold........................ 67,125 306,118 228,327 167,180 Receivable from investment adviser.... 88,375 -- -- 6,464 Unrealized appreciation of forward foreign currency contracts........... -- -- -- -- Dividends and interest receivable..... 70,562 477,975 612,995 310,667 Deferred organizational costs......... 76,997 76,997 76,997 76,997 Other assets.......................... 15,731 23,043 20,955 32,992 ------------- ------------ ------------ ------------ Total assets........................ 10,480,128 128,720,224 41,392,985 49,988,674 ------------- ------------ ------------ ------------ LIABILITIES Payable for shares of beneficial interest repurchased................. 67,768 28,376 26,840 18,963 Dividends payable..................... 22,489 -- -- -- Payable for investments purchased..... 100,000 69,839,761 -- 7,296,752 Outstanding options written........... -- -- -- 59,850 Unrealized depreciation of forward foreign currency contracts........... -- -- -- -- Payable to investment adviser......... -- 25,661 2,484 -- Accrued expenses and other liabilities.......................... 68,747 74,149 91,038 63,294 ------------- ------------ ------------ ------------ Total liabilities................... 259,004 69,967,947 120,362 7,438,859 ------------- ------------ ------------ ------------ NET ASSETS Beneficial interest shares of $0.001 par value outstanding -- (10,220,865; 4,868,139; 3,453,533; 3,420,071; 1,441,533; 3,106,966; 5,748,080; 5,217,826; 5,200,144; 5,656,569; 3,544,517 and 2,040,237, respectively) (unlimited amount authorized).......................... 10,220,865 59,227,132 41,852,783 43,015,672 Accumulated net investment income (loss)............................... -- 249,681 195,940 208,742 Accumulated net realized gains (losses) from investment transactions......................... 259 (566,881) (60,804) (276,666) Net unrealized appreciation (depreciation) of investments, futures contracts, options written and other assets and liabilities denominated in foreign currencies.... -- (157,655) (715,296) (397,933) ------------- ------------ ------------ ------------ Net assets.......................... $10,221,124 $58,752,277 $41,272,623 $42,549,815 ------------- ------------ ------------ ------------ ------------- ------------ ------------ ------------ Net asset value, offering price and redemption value per share............. $1.00 $12.07 $11.95 $12.44 ------------- ------------ ------------ ------------ ------------- ------------ ------------ ------------ 82
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-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE PACE PACE PACE PACE PACE SMALL/MEDIUM SMALL/MEDIUM MUNICIPAL GLOBAL FIXED LARGE COMPANY LARGE COMPANY COMPANY VALUE COMPANY FIXED INCOME INCOME VALUE EQUITY GROWTH EQUITY EQUITY GROWTH EQUITY INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------ ------------ -------------- -------------- ------------- ------------- ASSETS Investments, at value (cost--$10,160,897; $79,211,807; $40,856,963; $48,972,881; $18,110,752; $34,801,508; $77,838,682; $64,901,915; $59,070,288; $57,386,814; $41,868,111 and $22,856,970, respectively)....... $18,180,687 $35,156,958 $ 79,009,796 $ 66,919,361 $58,229,453 $54,762,213 Repurchase agreements, at value (cost--$0; $841,000; $312,000; $915,000; $0; $2,111,000; $1,586,000; $2,503,000; $5,418,000; $8,421,000; $4,810,000 and $2,568,000, respectively)........................ -- 2,111,000 1,586,000 2,503,000 5,418,000 8,421,000 ------------ ------------ -------------- -------------- ------------- ------------- 18,180,687 37,267,958 80,595,796 69,422,361 63,647,453 63,183,213 Cash (including cash denominated in foreign currencies).................. -- 65,883 568 686 404 599 Receivable for investments sold....... -- -- 467,885 413,141 21,549 -- Receivable for shares of beneficial interest sold........................ 156,496 161,021 391,758 344,164 254,503 274,788 Receivable from investment adviser.... 27,427 2,241 -- -- -- -- Unrealized appreciation of forward foreign currency contracts........... -- 150,566 -- -- -- -- Dividends and interest receivable..... 239,505 814,890 103,876 22,471 69,263 8,043 Deferred organizational costs......... 76,997 76,997 76,997 76,997 76,997 76,997 Other assets.......................... 16,616 37,596 31,808 20,094 13,378 24,563 ------------ ------------ -------------- -------------- ------------- ------------- Total assets........................ 18,697,728 38,577,152 81,668,688 70,299,914 64,083,547 63,568,203 ------------ ------------ -------------- -------------- ------------- ------------- LIABILITIES Payable for shares of beneficial interest repurchased................. 28,516 27,097 69,945 70,796 56,015 64,236 Dividends payable..................... -- -- -- -- -- -- Payable for investments purchased..... 839,341 -- 513,761 836,271 -- -- Outstanding options written........... -- -- -- -- -- -- Unrealized depreciation of forward foreign currency contracts........... -- 148,364 -- -- -- -- Payable to investment adviser......... -- -- 31,182 38,122 8,291 21,212 Accrued expenses and other liabilities.......................... 64,820 106,008 157,026 106,488 124,915 118,403 ------------ ------------ -------------- -------------- ------------- ------------- Total liabilities................... 932,677 281,469 771,914 1,051,677 189,221 203,851 ------------ ------------ -------------- -------------- ------------- ------------- NET ASSETS Beneficial interest shares of $0.001 par value outstanding -- (10,220,865; 4,868,139; 3,453,533; 3,420,071; 1,441,533; 3,106,966; 5,748,080; 5,217,826; 5,200,144; 5,656,569; 3,544,517 and 2,040,237, respectively) (unlimited amount authorized).......................... 17,601,482 38,155,629 77,351,866 68,107,346 63,063,973 67,393,945 Accumulated net investment income (loss)............................... 73,816 (125,003) 402,281 75,115 296,025 1,131 Accumulated net realized gains (losses) from investment transactions......................... 19,818 (119,095) 1,972,190 (951,670) 1,375,163 (1,406,123) Net unrealized appreciation (depreciation) of investments, futures contracts, options written and other assets and liabilities denominated in foreign currencies.... 69,935 384,152 1,170,437 2,017,446 (840,835) (2,624,601) ------------ ------------ -------------- -------------- ------------- ------------- Net assets.......................... $17,765,051 $38,295,683 $ 80,896,774 $ 69,248,237 $63,894,326 $63,364,352 ------------ ------------ -------------- -------------- ------------- ------------- ------------ ------------ -------------- -------------- ------------- ------------- Net asset value, offering price and redemption value per share.............. $12.32 $12.33 $14.07 $13.27 $12.29 $11.20 ------------ ------------ -------------- -------------- ------------- ------------- ------------ ------------ -------------- -------------- ------------- ------------- PACE PACE INTERNATIONAL INTERNATIONAL EMERGING MARKETS EQUITY EQUITY INVESTMENTS INVESTMENTS ------------ ----------------- ASSETS Investments, at value (cost--$10,160,897; $79,211,807; $40,856,963; $48,972,881; $18,110,752; $34,801,508; $77,838,682; $64,901,915; $59,070,288; $57,386,814; $41,868,111 and $22,856,970, respectively)....... $41,636,786 $23,171,946 Repurchase agreements, at value (cost--$0; $841,000; $312,000; $915,000; $0; $2,111,000; $1,586,000; $2,503,000; $5,418,000; $8,421,000; $4,810,000 and $2,568,000, respectively)........................ 4,810,000 2,568,000 ------------ ----------------- 46,446,786 25,739,946 Cash (including cash denominated in foreign currencies).................. 25,462 554,993 Receivable for investments sold....... 24,114 8,354 Receivable for shares of beneficial interest sold........................ 240,377 122,124 Receivable from investment adviser.... -- 288 Unrealized appreciation of forward foreign currency contracts........... 192,493 -- Dividends and interest receivable..... 66,902 71,367 Deferred organizational costs......... 76,997 76,997 Other assets.......................... 52,665 16,617 ------------ ----------------- Total assets........................ 47,125,796 26,590,686 ------------ ----------------- LIABILITIES Payable for shares of beneficial interest repurchased................. 43,275 24,829 Dividends payable..................... -- -- Payable for investments purchased..... 1,617,481 893,090 Outstanding options written........... -- -- Unrealized depreciation of forward foreign currency contracts........... -- -- Payable to investment adviser......... 22,486 -- Accrued expenses and other liabilities.......................... 111,990 191,343 ------------ ----------------- Total liabilities................... 1,795,232 1,109,262 ------------ ----------------- NET ASSETS Beneficial interest shares of $0.001 par value outstanding -- (10,220,865; 4,868,139; 3,453,533; 3,420,071; 1,441,533; 3,106,966; 5,748,080; 5,217,826; 5,200,144; 5,656,569; 3,544,517 and 2,040,237, respectively) (unlimited amount authorized).......................... 44,733,659 25,253,688 Accumulated net investment income (loss)............................... 284,929 81,527 Accumulated net realized gains (losses) from investment transactions......................... 348,907 (155,888) Net unrealized appreciation (depreciation) of investments, futures contracts, options written and other assets and liabilities denominated in foreign currencies.... (36,931) 302,097 ------------ ----------------- Net assets.......................... $45,330,564 $25,481,424 ------------ ----------------- ------------ ----------------- Net asset value, offering price and redemption value per share.............. $12.79 $12.49 ------------ ----------------- ------------ ----------------- See accompanying notes to financial statements 83
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- Statement of Operations For the Period August 24, 1995 (commencement of operations) through July 31, 1996 -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE GOVERNMENT PACE PACE PACE SECURITIES INTERMEDIATE STRATEGIC MONEY MARKET FIXED INCOME FIXED INCOME FIXED INCOME INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------- ------------ ------------ ------------ INVESTMENT INCOME: Interest (net of foreign withholding taxes, if any)....................... $310,106 $1,851,124 $1,477,005 $1,476,537 Dividends (net of foreign withholding taxes, if any)....................... -- -- -- -- ------------- ------------ ------------ ------------ 310,106 1,851,124 1,477,005 1,476,537 ------------- ------------ ------------ ------------ EXPENSES: Investment advisory and administration fees................................. 19,992 218,140 138,291 154,381 Trustees' fees and expenses........... 28,193 28,193 28,193 28,193 Transfer agency fees and expenses..... 18,223 10,946 17,860 18,782 Amortization of organizational expenses............................. 17,836 17,836 17,836 17,836 Federal and state registration fees... 16,475 22,240 17,868 24,862 Custody and accounting................ 16,235 32,053 30,232 41,672 Legal and audit....................... 8,305 10,431 11,439 8,292 Reports and notices to shareholders... 6,996 13,327 14,666 9,433 Other expenses........................ 4,705 5,206 5,804 6,508 ------------- ------------ ------------ ------------ 136,960 358,372 282,189 309,959 Less: Fee waivers and expense reimbursements from investment adviser......... (108,383) (93,208) (86,338) (120,611) ------------- ------------ ------------ ------------ Net expenses.......................... 28,577 265,164 195,851 189,348 ------------- ------------ ------------ ------------ Net investment income (loss).......... 281,529 1,585,960 1,281,154 1,287,189 ------------- ------------ ------------ ------------ REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT TRANSACTIONS: Net realized gains (losses) from: Investment transactions............. 259 (535,600) (59,871) (101,261) Futures contracts................... -- (9,363) -- (129,040) Options............................. -- -- -- (30,360) Foreign currency transactions....... -- -- -- (5,129) Net change in unrealized appreciation/depreciation of: Investments......................... -- (158,040) (715,930) (501,110) Futures contracts................... -- 385 -- 84,656 Options............................. -- -- -- 18,568 Other assets, liabilities and forward contracts denominated in foreign currencies................. -- -- 634 (47) ------------- ------------ ------------ ------------ Net realized and unrealized gains (losses) from investment transactions......................... 259 (702,618) (775,167) (663,723) ------------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations............ $281,788 $ 883,342 $ 505,987 $ 623,466 ------------- ------------ ------------ ------------ ------------- ------------ ------------ ------------ 84
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-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE PACE PACE PACE PACE PACE SMALL/MEDIUM SMALL/MEDIUM MUNICIPAL GLOBAL FIXED LARGE COMPANY LARGE COMPANY COMPANY VALUE COMPANY FIXED INCOME INCOME VALUE EQUITY GROWTH EQUITY EQUITY GROWTH EQUITY INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------- ------------ -------------- -------------- ------------- ------------- INVESTMENT INCOME: Interest (net of foreign withholding taxes, if any)....................... $ 556,753 $1,374,166 $ 118,738 $ 115,323 $ 223,360 $ 282,063 Dividends (net of foreign withholding taxes, if any)....................... -- -- 853,092 357,593 556,891 69,273 ------------- ------------ -------------- -------------- ------------- ------------- 556,753 1,374,166 971,830 472,916 780,251 351,336 ------------- ------------ -------------- -------------- ------------- ------------- EXPENSES: Investment advisory and administration fees................................. 57,596 177,669 350,054 285,409 302,383 325,385 Trustees' fees and expenses........... 28,193 28,193 28,193 28,193 28,193 28,193 Transfer agency fees and expenses..... 11,964 21,419 32,698 19,675 24,447 20,277 Amortization of organizational expenses............................. 17,836 17,836 17,836 17,836 17,836 17,836 Federal and state registration fees... 15,605 20,326 36,699 23,467 31,773 31,189 Custody and accounting................ 17,153 61,197 102,570 61,986 120,851 46,562 Legal and audit....................... 7,918 10,694 6,621 11,898 9,404 13,809 Reports and notices to shareholders... 5,289 14,247 25,341 19,862 31,617 22,720 Other expenses........................ 4,930 5,353 12,722 7,790 3,000 10,439 ------------- ------------ -------------- -------------- ------------- ------------- 166,484 356,934 612,734 476,116 569,504 516,410 Less: Fee waivers and expense reimbursements from (84,888) (142,634) (175,159) (119,180) (191,665) (109,433) ------------- ------------ -------------- -------------- ------------- ------------- Net expenses.......................... 81,596 214,300 437,575 356,936 377,839 406,977 ------------- ------------ -------------- -------------- ------------- ------------- Net investment income (loss).......... 475,157 1,159,866 534,255 115,980 402,412 (55,641) ------------- ------------ -------------- -------------- ------------- ------------- REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT TRANSACTIONS: Net realized gains (losses) from: Investment transactions............. 21,457 (113,009) 1,889,130 (951,670) 1,375,163 (1,406,123) Futures contracts................... -- -- 134,735 -- -- -- Options............................. -- 3,112 -- -- -- -- Foreign currency transactions....... -- (333,354) -- -- -- -- Net change in unrealized appreciation/depreciation of: Investments......................... 69,935 355,450 1,171,114 2,017,446 (840,835) (2,624,601) Futures contracts................... -- -- (650) -- -- -- Options............................. -- -- -- -- -- -- Other assets, liabilities and forward contracts denominated in foreign currencies................. -- 28,702 (27) -- -- -- ------------- ------------ -------------- -------------- ------------- ------------- Net realized and unrealized gains (losses) from investment 91,392 (59,099) 3,194,302 1,065,776 534,328 (4,030,724) ------------- ------------ -------------- -------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations............ $ 566,549 $1,100,767 $3,728,557 $1,181,756 $ 936,740 $(4,086,365) ------------- ------------ -------------- -------------- ------------- ------------- ------------- ------------ -------------- -------------- ------------- ------------- PACE PACE INTERNATIONAL INTERNATIONAL EMERGING MARKETS EQUITY EQUITY INVESTMENTS INVESTMENTS ------------- ----------------- INVESTMENT INCOME: Interest (net of foreign withholding taxes, if any)....................... $ 139,524 $ 72,271 Dividends (net of foreign withholding taxes, if any)....................... 464,978 261,884 ------------- ----------------- 604,502 334,155 ------------- ----------------- EXPENSES: Investment advisory and administration fees................................. 190,817 151,151 Trustees' fees and expenses........... 28,193 28,193 Transfer agency fees and expenses..... 20,429 16,805 Amortization of organizational expenses............................. 17,836 17,836 Federal and state registration fees... 18,318 9,156 Custody and accounting................ 86,123 73,714 Legal and audit....................... 8,288 8,896 Reports and notices to shareholders... 10,338 8,387 Other expenses........................ 3,330 8,545 ------------- ----------------- 383,672 322,683 Less: Fee waivers and expense reimbursements from (65,626) (117,600) ------------- ----------------- Net expenses.......................... 318,046 205,083 ------------- ----------------- Net investment income (loss).......... 286,456 129,072 ------------- ----------------- REALIZED AND UNREALIZED GAINS (LOSSES) FROM INVESTMENT TRANSACTIONS: Net realized gains (losses) from: Investment transactions............. 348,907 (155,888) Futures contracts................... -- -- Options............................. -- -- Foreign currency transactions....... 65,353 (33,045) Net change in unrealized appreciation/depreciation of: Investments......................... (231,325) 314,976 Futures contracts................... -- -- Options............................. -- -- Other assets, liabilities and forward contracts denominated in foreign currencies................. 194,394 (12,879) ------------- ----------------- Net realized and unrealized gains (losses) from investment 377,329 113,164 ------------- ----------------- Net increase (decrease) in net assets resulting from operations............ $ 663,785 $ 242,236 ------------- ----------------- ------------- ----------------- See accompanying notes to financial statements 85
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- Statement of Changes in Net Assets For the Period August 24, 1995 (commencement of operations) through July 31, 1996 -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE GOVERNMENT PACE PACE PACE SECURITIES INTERMEDIATE STRATEGIC MONEY MARKET FIXED INCOME FIXED INCOME FIXED INCOME INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------- ------------ ------------ ------------ FROM OPERATIONS: Net investment income (loss).......... $ 281,529 $1,585,960 $1,281,154 $1,287,189 Net realized gains (losses) from: Investment transactions............. 259 (535,600) (59,871) (106,289) Futures contracts................... -- (9,363) -- (129,040) Options............................. -- -- -- (30,360) Foreign currency transactions....... -- -- -- (101) Net change in unrealized appreciation/depreciation of: Investments......................... -- (158,030) (715,930) (501,110) Futures contracts................... -- 375 -- 84,656 Options............................. -- -- -- 18,568 Other assets and liabilities and forward contracts denominated in foreign currencies................. -- -- 634 (47) ------------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations............ 281,788 883,342 505,987 623,466 ------------- ------------ ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (281,529) (1,336,279) (1,084,542) (1,073,318) Net realized gains from investment transactions......................... -- (21,918) (1,605) (16,005) ------------- ------------ ------------ ------------ (281,529) (1,358,197) (1,086,147) (1,089,323) ------------- ------------ ------------ ------------ FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares............................... 13,137,911 64,648,903 46,296,354 46,496,942 Cost of shares repurchased............ (3,184,468) (6,772,705) (5,521,723) (4,565,887) Proceeds from dividends reinvested.... 255,422 1,342,934 1,070,152 1,076,617 ------------- ------------ ------------ ------------ Net increase in net assets derived from beneficial interest transactions................ 10,208,865 59,219,132 41,844,783 43,007,672 ------------- ------------ ------------ ------------ Net increase in net assets............ 10,209,124 58,744,277 41,264,623 42,541,815 NET ASSETS: Beginning of period................... 12,000 8,000 8,000 8,000 ------------- ------------ ------------ ------------ End of period......................... $10,221,124 $58,752,277 $41,272,623 $42,549,815 ------------- ------------ ------------ ------------ ------------- ------------ ------------ ------------ 86
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-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE PACE PACE PACE PACE PACE SMALL/MEDIUM SMALL/MEDIUM MUNICIPAL GLOBAL FIXED LARGE COMPANY LARGE COMPANY COMPANY VALUE COMPANY FIXED INCOME INCOME VALUE EQUITY GROWTH EQUITY EQUITY GROWTH EQUITY INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS ------------ ------------ -------------- -------------- ------------- ------------- FROM OPERATIONS: Net investment income (loss).......... $ 475,157 $1,159,866 $ 534,255 $ 115,980 $ 402,412 $ (55,641) Net realized gains (losses) from: Investment transactions............. 21,457 (113,009) 1,889,130 (951,670) 1,375,163 (1,406,123) Futures contracts................... -- -- 134,735 -- -- -- Options............................. -- 3,112 -- -- -- -- Foreign currency transactions....... -- (333,354) -- -- -- -- Net change in unrealized appreciation/depreciation of: Investments......................... 69,935 355,450 1,171,114 2,017,446 (840,835) (2,624,601) Futures contracts................... -- -- (650) -- -- -- Options............................. -- -- -- -- -- -- Other assets and liabilities and forward contracts denominated in foreign currencies................. -- 28,702 (27) -- -- -- ------------ ------------ -------------- -------------- ------------- ------------- Net increase (decrease) in net assets resulting from operations............ 566,549 1,100,767 3,728,557 1,181,756 936,740 (4,086,365) ------------ ------------ -------------- -------------- ------------- ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (401,342) (954,517) (131,974) (40,865) (106,387) (43,687) Net realized gains from investment transactions......................... (1,638) (6,196) (51,675) -- -- -- ------------ ------------ -------------- -------------- ------------- ------------- (402,980) (960,713) (183,649) (40,865) (106,387) (43,687) ------------ ------------ -------------- -------------- ------------- ------------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares............................... 18,980,590 45,114,536 86,420,710 74,971,178 76,414,917 81,509,326 Cost of shares repurchased............ (1,780,463) (7,920,148) (9,259,029) (6,912,342) (13,464,534) (14,066,285) Proceeds from dividends reinvested.... 393,355 953,241 182,185 40,510 105,590 43,363 ------------ ------------ -------------- -------------- ------------- ------------- Net increase in net assets derived from beneficial interest transactions................ 17,593,482 38,147,629 77,343,866 68,099,346 63,055,973 67,486,404 ------------ ------------ -------------- -------------- ------------- ------------- Net increase in net assets............ 17,757,051 38,287,683 80,888,774 69,240,237 63,886,326 63,356,352 NET ASSETS: Beginning of period................... 8,000 8,000 8,000 8,000 8,000 8,000 ------------ ------------ -------------- -------------- ------------- ------------- End of period......................... $17,765,051 $38,295,683 $ 80,896,774 $ 69,248,237 $63,894,326 $63,364,352 ------------ ------------ -------------- -------------- ------------- ------------- ------------ ------------ -------------- -------------- ------------- ------------- PACE PACE INTERNATIONAL INTERNATIONAL EMERGING MARKETS EQUITY EQUITY INVESTMENTS INVESTMENTS ------------ ----------------- FROM OPERATIONS: Net investment income (loss).......... $ 286,456 $ 129,072 Net realized gains (losses) from: Investment transactions............. 348,907 (155,888) Futures contracts................... -- -- Options............................. -- -- Foreign currency transactions....... 65,353 (33,045) Net change in unrealized appreciation/depreciation of: Investments......................... (231,325) 314,976 Futures contracts................... -- -- Options............................. -- -- Other assets and liabilities and forward contracts denominated in foreign currencies................. 194,394 (12,879) ------------ ----------------- Net increase (decrease) in net assets resulting from operations............ 663,785 242,236 ------------ ----------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income................. (66,880) (14,500) Net realized gains from investment transactions......................... -- -- ------------ ----------------- (66,880) (14,500) ------------ ----------------- FROM BENEFICIAL INTEREST TRANSACTIONS: Net proceeds from the sale of shares............................... 48,735,143 28,516,539 Cost of shares repurchased............ (4,075,938) (3,285,267) Proceeds from dividends reinvested.... 66,454 14,416 ------------ ----------------- Net increase in net assets derived from beneficial interest transactions................ 44,725,659 25,245,688 ------------ ----------------- Net increase in net assets............ 45,322,564 25,473,424 NET ASSETS: Beginning of period................... 8,000 8,000 ------------ ----------------- End of period......................... $45,330,564 $25,481,424 ------------ ----------------- ------------ ----------------- See accompanying notes to financial statements 87
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Managed Accounts Services Portfolio Trust Notes to Financial Statements ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Managed Accounts Services Portfolio Trust (the "Trust") is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended, as an open-end management investment company currently composed of twelve separate investment portfolios and was organized as a Delaware business trust under the laws of the State of Delaware by Certificate of Trust dated September 9, 1994, as amended June 9, 1995. The trustees of the Trust have authority to issue an unlimited number of shares of beneficial interest, par value $0.001 per share. The Trust has twelve Portfolios of shares available for investment, each having its own investment objectives and policies: PACE Money Market Investments, PACE Government Securities Fixed Income Investments, PACE Intermediate Fixed Income Investments, PACE Strategic Fixed Income Investments, PACE Municipal Fixed Income Investments, PACE Global Fixed Income Investments, PACE Large Company Value Equity Investments, PACE Large Company Growth Equity Investments, PACE Small/Medium Company Value Equity Investments, PACE Small/Medium Company Growth Equity Investments, PACE International Equity Investments and PACE International Emerging Markets Equity Investments (collectively referred to as the "Portfolios"). All Portfolios are diversified with the exception of PACE Intermediate Fixed Income Investments and PACE Global Fixed Income Investments. Shares of the Portfolios currently are available only to participants in the PaineWebber PACE-SM- Program. ORGANIZATIONAL MATTERS--Prior to June 16, 1995, the Trust had no activities other than organizational matters and activities related to the initial public offering and issuance, at net asset value, of 19,337 shares of beneficial interest of the Trust for a total of $100,000 to Mitchell Hutchins Asset Management Inc. ("Mitchell Hutchins"), a wholly owned subsidiary of PaineWebber Incorporated ("PaineWebber"). The Trust incurred costs of approximately $1,138,000 in connection with the organization of the Trust and the registration of its shares. Such costs have been deferred and are being amortized using the straight-line method over the period of benefit, not to exceed five years, beginning with the commencement of operations of the Trust. The preparation of financial statements in accordance with generally accepted accounting principles requires the Trust's management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies: VALUATION OF INVESTMENTS--Securities which are listed on U.S. and foreign stock exchanges are valued at the last sale price on the day the securities are being valued or, lacking any sales on such day, at the last available bid price. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by Mitchell Hutchins or the applicable sub-adviser as the primary market for each Portfolio. Securities traded in the over-the-counter ("OTC") market and listed on The Nasdaq Stock Market, Inc. ("Nasdaq") are valued at the last available trade price on Nasdaq prior to the time of valuation; other OTC securities are valued at the last bid price available prior to valuation. The amortized cost method of valuation, which approximates market value, is used to value debt obligations with sixty days or less remaining to maturity unless the Trust's board of trustees determines that this does not represent fair value. Securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by or under the direction of the Trust's board of trustees. Investments made by PACE Money Market Investments are valued at amortized cost which approximates market value. All investments quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by the Portfolios' custodian, unless the board of trustees determines that this does not represent fair value. Foreign currency exchange 88
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- rates are generally determined prior to the close of trading on the New York Stock Exchange ("NYSE"). Occasionally, events affecting the value of foreign investments and such exchange rates occur between the time at which they are determined and the close of trading on the NYSE, which will not be reflected in a computation of the Portfolios' net asset value. If events materially affecting the value of such investments or currency exchange rates occur during such time period, the securities will be valued at their fair value as determined in good faith by or under the direction of the Trust's board of trustees. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME--Investment transactions are recorded on the trade date. Realized gains and losses from investment transactions and foreign exchange transactions are calculated using the identified cost basis. Dividend income and other distributions are recorded on the ex-dividend date ("ex-date") (except for certain dividends from foreign securities that are recorded as soon after the ex-date as the respective Portfolio becomes aware of such dividends). Interest income is recorded on an accrual basis. Discounts are accreted and premiums are amortized as adjustments to interest income and the identified cost of investments. FOREIGN CURRENCY TRANSLATION--The books and records of the Portfolios are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resulting exchange gains and losses are included in the Statement of Operations. The Portfolios do not generally isolate the effect of fluctuations in foreign exchange rates from the effects of fluctuations in the market price of investment securities. However, the Portfolios do isolate the effect of fluctuations in foreign exchange rates when determining the realized gain or loss upon the sale or maturity of foreign currency-denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign exchange gain or loss for both financial reporting and income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS--Certain Portfolios may enter into forward foreign currency exchange contracts ("forward contracts") in connection with planned purchases or sales of securities to hedge the U.S. dollar value of portfolio securities denominated in a particular currency. These Portfolios may also engage in cross-hedging by using forward contracts in one currency to hedge fluctuations in the value of securities denominated in a different currency if Mitchell Hutchins, or the applicable sub-adviser, anticipates that there is a correlation between the two currencies. Forward contracts may also be used to shift a Portfolio's exposure to foreign currency fluctuations from one country to another. The Portfolios have no specific limitation on the percentage of assets which may be committed to such contracts; however, the value of all forward contracts will not exceed the total market value of a Portfolio's total assets. The Portfolios may enter into forward contracts or maintain a net exposure to forward contracts only if (1) the consummation of the contracts would not obligate the Portfolio to deliver an amount of foreign currency in excess of the value of the positions being hedged by such contracts or (2) the Portfolios maintain cash, U.S. government securities or liquid, high-grade debt securities in a segregated account in an amount not less than the value of the Portfolio's total assets committed to the consummation of the forward contracts and not covered as provided in (1) above, as marked-to-market daily. Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar. Fluctuations in the value of open forward contracts are recorded for book purposes as unrealized gains or losses by the Portfolios. Realized gains and losses include net gains or losses recognized by the Portfolio on contracts which have matured. 89
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- OPTION WRITING--When a Portfolio writes a call or a put option, an amount equal to the premium received by the Portfolio is included in the Portfolio's Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. If an option which the Portfolio has written either expires on its stipulated expiration date or the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Portfolio has written is exercised, the Portfolio realizes a capital gain or loss (long-term or short-term, depending on the holding period of the underlying security) from the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a put option which the Portfolio has written is exercised, the amount of the premium originally received reduces the cost of the security which the Portfolio purchases upon exercise of the option. FUTURES CONTRACTS--Using financial futures contracts involves various market risks. The maximum amount at risk from the purchase of a futures contract is the contract value. The Portfolios are subject to a number of guidelines which reduce the risk by seeking to ensure that financial futures contracts are used for hedging purposes or to manage the average duration of a portfolio and not for leverage. However, imperfect correlations between futures contracts and the portfolio securities being hedged, or market disruptions, do not normally permit full control of these risks at all times. Upon entering into a financial futures contract, a Portfolio is required to pledge to a broker an amount equal to a certain percentage of the contract amount. This amount is known as the "initial margin." Subsequent payments known as "variation margin," are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying financial futures contracts. Such variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized. REPURCHASE AGREEMENTS--The Portfolios' custodian takes possession of the collateral pledged for investments in repurchase agreements. The underlying collateral is valued daily on a mark-to-market basis to ensure that the value, including accrued interest, is at least equal to the repurchase price. In the event of default of the obligation to repurchase, the Portfolios have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. Each Portfolio (with the exception of PACE Municipal Fixed Income Investments) occasionally participates in joint repurchase agreement transactions with other funds managed by Mitchell Hutchins. DIVIDENDS AND DISTRIBUTIONS--Dividends and distributions to shareholders are recorded on the ex-date. The amounts of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed net investment income and net realized capital gains for financial reporting purposes but not for tax purposes are reported as dividends in excess of net investment income or distributions in excess of net realized capital gains. To the extent they exceed net investment income and net realized capital gains for tax purposes, they are reported as distributions of paid-in capital. 90
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONCENTRATION OF RISK Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investments in the United States. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region, which could cause the securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. These risks are greater with respect to securities of issuers located in emerging market countries in which the PACE Global Fixed Income Investments, PACE International Equity Investments and PACE International Emerging Markets Equity Investments Portfolios are authorized to invest. Small cap companies may be more vulnerable than larger companies to adverse business or economic developments. Small cap companies may also have limited product lines, markets or financial resources, and may be dependent on a relatively small management group. Securities of such companies may be less liquid and more volatile than securities of larger companies or the market averages in general and, therefore, may involve greater risk than investing in larger companies. In addition, small cap companies may not be well-known to the investing public, may not have institutional ownership and may have only cyclical, static or moderate growth prospects. The ability of the issuers of debt securities held by the Portfolios to meet their obligations may be affected by economic and political developments particular to a specific industry, country or region. INVESTMENT ADVISER AND ADMINISTRATOR The Trust has entered into an Investment Advisory and Administration Contract ("Advisory Contract") with Mitchell Hutchins. In accordance with the Advisory Contract, each Portfolio pays Mitchell Hutchins an investment advisory and administration fee, which is accrued daily and payable monthly, in accordance with the following schedule: [Enlarge/Download Table] ANNUAL RATE AS A PERCENTAGE OF EACH PORTFOLIO'S AVERAGE NET PORTFOLIO ASSETS -------------------------------------------------------------------------------------- ------------------- PACE Money Market Investments......................................................... 0.35% PACE Government Securities Fixed Income Investments................................... 0.70% PACE Intermediate Fixed Income Investments............................................ 0.60% PACE Strategic Fixed Income Investments............................................... 0.70% PACE Municipal Fixed Income Investments............................................... 0.60% PACE Global Fixed Income Investments.................................................. 0.80% PACE Large Company Value Equity Investments........................................... 0.80% PACE Large Company Growth Equity Investments.......................................... 0.80% PACE Small/Medium Company Value Equity Investments.................................... 0.80% PACE Small/Medium Company Growth Equity Investments................................... 0.80% PACE International Equity Investments................................................. 0.90% PACE International Emerging Markets Equity Investments................................ 1.10% 91
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Under separate Sub-Advisory Agreements, with the exception of PACE Money Market Investments, Mitchell Hutchins (not the Portfolios) pays each Sub-Adviser a fee, which is accrued daily and paid monthly, in accordance with the following schedule: [Enlarge/Download Table] ANNUAL RATE AS A PERCENTAGE OF EACH PORTFOLIO'S AVERAGE NET PORTFOLIO SUB-ADVISER ASSETS ---------------------------------------------------- ----------------------------------------- ------------------- PACE Government Securities Fixed Income Investments Pacific Investment Management Company 0.25% PACE Intermediate Fixed Income Investments Pacific Income Advisors, Inc. 0.20% PACE Strategic Fixed Income Investments Pacific Investment Management Company 0.25% PACE Municipal Fixed Income Investments Morgan Grenfell Capital Management, Incorporated 0.20% PACE Global Fixed Income Investments Rogge Global Partners plc 0.35% PACE Large Company Value Equity Investments Brinson Partners, Inc. 0.30% PACE Large Company Growth Equity Investments Chancellor Capital Management, Inc. 0.30% PACE Small/Medium Company Value Equity Investments Brandywine Asset Management, Inc. 0.30% PACE Small/Medium Company Growth Equity Investments Westfield Capital Management Company, Inc. 0.30% PACE International Equity Investments Martin Currie Inc. 0.40% PACE International Emerging Markets Equity Schroder Capital Management International Investments Inc. 0.50% In compliance with applicable state securities laws, Mitchell Hutchins will reimburse the Portfolios if and to the extent that the aggregate operating expenses in any fiscal year, exclusive of taxes, distribution fees, interest, brokerage fees and extraordinary expenses, exceed limitations imposed by various state regulations. Currently, the most restrictive limitation applicable to each of the Portfolios is 2.5% of the first $30 million of average daily net assets, 2.0% of the next $70 million and 1.5% of any excess over $100 million. In addition, Mitchell Hutchins has agreed to voluntarily waive all or a portion of its investment advisory and administration fee and subsidize certain operating expenses, not otherwise required pursuant to the above limitation, for the fiscal year ending July 31, 1996, which will lower the overall expenses of each Portfolio. During the fiscal year ended July 31, 1996, Large Company Growth Equity Investments, Small/Medium Company Value Equity Investments and Small/Medium Company Growth Equity Investments paid $1,026, $156 and $660, respectively, in brokerage commissions to PaineWebber for transactions executed on behalf of the Portfolios. 92
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INVESTMENTS IN SECURITIES At July 31, 1996, the components of net unrealized appreciation (depreciation) of investments were as follows: [Enlarge/Download Table] NET UNREALIZED GROSS GROSS APPRECIATION PORTFOLIO APPRECIATION DEPRECIATION (DEPRECIATION) --------------------------------------------------------------------- ------------ ------------- ------------- PACE Government Securities Fixed Income Investments.................. $ 255,724 $ (413,764) $ (158,040) PACE Intermediate Fixed Income Investments........................... $ 41,806 $ (757,736) $ (715,930) PACE Strategic Fixed Income Investments.............................. $ 117,260 $ (618,370) $ (501,110) PACE Municipal Fixed Income Investments.............................. $ 167,821 $ (97,886) $ 69,935 PACE Global Fixed Income Investments................................. $ 379,099 $ (23,649) $ 355,450 PACE Large Company Value Equity Investments.......................... $ 3,483,045 $ (2,311,931) $ 1,171,114 PACE Large Company Growth Equity Investments......................... $ 5,376,176 $ (3,358,730) $ 2,017,446 PACE Small/Medium Company Value Equity Investments................... $ 3,096,352 $ (3,937,187) $ (840,835) PACE Small/Medium Company Growth Equity Investments.................. $ 4,379,321 $ (7,003,922) $(2,624,601) PACE International Equity Investments................................ $ 1,437,686 $ (1,669,011) $ (231,325) PACE International Emerging Markets Equity Investments............... $ 2,255,768 $ (1,940,792) $ 314,976 For U.S. federal income tax purposes, the cost of securities owned at July 31, 1996 was substantially the same as the cost of securities for financial statement purposes. For the period August 24, 1995 (commencement of operations) to July 31, 1996, aggregate purchases and sales of portfolio securities, excluding short-term securities, were as follows: [Enlarge/Download Table] PORTFOLIO PURCHASES SALES --------------------------------------------------------------------------------- -------------- -------------- PACE Government Securities Fixed Income Investments.............................. $ 372,815,425 $ 305,394,836 PACE Intermediate Fixed Income Investments....................................... $ 50,647,204 $ 8,422,631 PACE Strategic Fixed Income Investments.......................................... $ 74,878,307 $ 34,792,857 PACE Municipal Fixed Income Investments.......................................... $ 24,917,691 $ 7,700,406 PACE Global Fixed Income Investments............................................. $ 68,914,857 $ 37,090,017 PACE Large Company Value Equity Investments...................................... $ 93,014,421 $ 17,192,920 PACE Large Company Growth Equity Investments..................................... $ 89,461,370 $ 23,607,785 PACE Small/Medium Company Value Equity Investments............................... $ 68,437,476 $ 10,742,351 PACE Small/Medium Company Growth Equity Investments.............................. $ 102,667,810 $ 43,874,873 PACE International Equity Investments............................................ $ 46,560,575 $ 5,041,371 PACE International Emerging Markets Equity Investments........................... $ 25,864,364 $ 2,851,506 93
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- FEDERAL TAX STATUS Each of the Portfolios intends to distribute substantially all of its taxable income and to comply with the other requirements of the Internal Revenue Code applicable to regulated investment companies. Accordingly, no provision for federal income taxes is required. In addition, by distributing during each calendar year substantially all of its net investment income, capital gains and certain other amounts, if any, each Portfolio intends not to be subject to a federal excise tax. At July 31, 1996, PACE Large Company Growth Equity Investments and PACE Small/Medium Company Growth Equity Investments had net capital loss carryforwards of $50,903 and $125,087, respectively. These carryforward losses are available as reductions, to the extent provided in the regulations, of future net capital gains and will expire on July 31, 2004. To the extent that such losses are used to offset future capital gains, the gains so offset will not be distributed to shareholders. In accordance with U.S. Treasury regulations, the following Portfolios have elected to defer realized capital losses and foreign currency losses arising after October 31, 1995. Such losses are treated for tax purposes as arising on August 1, 1996. [Enlarge/Download Table] FOREIGN CAPITAL CURRENCY PORTFOLIO LOSSES LOSSES ----------------------------------------------------------------------------------------- ------------ --------- PACE Government Securities Fixed Income Investments...................................... $ 566,656 -- PACE Intermediate Fixed Income Investments............................................... $ 60,804 -- PACE Strategic Fixed Income Investments.................................................. $ 173,482 $ 5,129 PACE Global Fixed Income Investments..................................................... $ 113,841 $ 66,119 PACE Large Company Growth Equity Investments............................................. $ 843,203 -- PACE Small/Medium Company Growth Equity Investments...................................... $ 1,281,036 -- PACE International Emerging Markets Equity Investments................................... $ 139,564 $ 26,247 At July 31, 1996, the effect of permanent "book/tax" reclassifications resulted in increases (decreases) to the components of net assets as follows: [Enlarge/Download Table] ACCUMULATED ACCUMULATED NET REALIZED NET INVESTMENT GAINS PAID-IN PORTFOLIO INCOME (LOSS) (LOSSES) CAPITAL ----------------------------------------------------------------------- -------------- ------------ ----------- PACE Intermediate Fixed Income Investments............................. $ (672) $ 672 -- PACE Strategic Fixed Income Investments................................ $ (5,129) $ 5,129 -- PACE Global Fixed Income Investments................................... $ (330,352) $ 330,352 -- PACE Small/Medium Company Growth Equity Investments.................... $ 100,459 -- $ (100,459) PACE International Equity Investments.................................. $ 65,353 $ (65,353) -- PACE International Emerging Markets Equity Investments................. $ (33,045) $ 33,045 -- WRITTEN OPTION ACTIVITY Written option activity for the period August 24, 1995 (commencement of operations) to July 31, 1996 for PACE Strategic Fixed Income Investments was as follows: [Enlarge/Download Table] NUMBER OF AMOUNT OF OPTIONS PREMIUMS --------------- ----------- Options written during the period ended July 31, 1996..................................... 3 $ 63,651 Options terminated in closing purchased transactions...................................... -- -- Options expired prior to exercise......................................................... -- -- Options exercised......................................................................... (1) (3,801) -- ----------- Options outstanding at July 31, 1996...................................................... 2 $ 59,850 -- -- ----------- ----------- 94
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Written option activity for the period August 24, 1995 (commencement of operations) to July 31, 1996 for PACE Global Fixed Income Investments was as follows: [Enlarge/Download Table] NUMBER OF AMOUNT OF OPTIONS PREMIUMS --------------- ----------- Options written during the period ended July 31, 1996..................................... 1 $ 3,112 Options terminated in closing purchased transactions...................................... -- -- Options expired prior to exercise......................................................... (1) (3,112) Options exercised......................................................................... -- -- -- ----------- Options outstanding at July 31, 1996...................................................... 0 $ 0 -- -- ----------- ----------- SHARES OF BENEFICIAL INTEREST For the period August 24, 1995 (commencement of operations) through July 31, 1996, transactions in shares of beneficial interest for each of the Portfolios were as follows: [Enlarge/Download Table] DIVIDENDS REINVESTED IN NET INCREASE SHARES ADDITIONAL IN SHARES PORTFOLIO SHARES SOLD REPURCHASED SHARES OUTSTANDING --------------------------------------------------------- ------------ ------------ ------------ ------------ PACE Money Market Investments............................ 13,137,911 (3,184,468) 255,422 10,208,865 PACE Government Securities Fixed Income Investments...... 5,313,084 (556,221) 110,609 4,867,472 PACE Intermediate Fixed Income Investments............... 3,821,298 (457,307) 88,875 3,452,866 PACE Strategic Fixed Income Investments.................. 3,696,020 (362,210) 85,594 3,419,404 PACE Municipal Fixed Income Investments.................. 1,554,054 (145,285) 32,097 1,440,866 PACE Global Fixed Income Investments..................... 3,677,505 (648,832) 77,626 3,106,299 PACE Large Company Value Equity Investments.............. 6,391,534 (657,955) 13,834 5,747,413 PACE Large Company Growth Equity Investments............. 5,728,398 (514,434) 3,195 5,217,159 PACE Small/Medium Company Value Equity Investments....... 6,270,736 (1,080,132) 8,873 5,199,477 PACE Small/Medium Company Growth Equity Investments...... 6,801,662 (1,149,473) 3,713 5,655,902 PACE International Equity Investments.................... 3,856,472 (318,003) 5,381 3,543,850 PACE International Emerging Markets Equity Investments... 2,296,420 (258,068) 1,218 2,039,570 95
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Managed Accounts Services Portfolio Trust -------------------------------------------------------------------------------- Financial Highlights For the Period August 24, 1995 (commencement of operations) through July 31, 1996 -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding of each Portfolio throughout the period is presented below: [Enlarge/Download Table] PACE GOVERNMENT PACE PACE PACE SECURITIES INTERMEDIATE STRATEGIC MONEY MARKET FIXED INCOME FIXED INCOME FIXED INCOME INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS --------------- ------------- ------------- ------------- Net asset value, beginning of period.... $ 1.00 $ 12.00 $ 12.00 $ 12.00 ------- ------------- ------------- ------------- Net investment income (loss)............ 0.05 0.49 0.53 0.59 Net realized and unrealized gains (losses) from investments, futures contracts and foreign currency transactions........................... 0.00 0.03 (0.09) 0.38 ------- ------------- ------------- ------------- Net increase (decrease) from investment operations............................. 0.05 0.52 0.44 0.97 ------- ------------- ------------- ------------- Dividends from net investment income.... (0.05) (0.44) (0.48) (0.52) Distributions from net realized gains... -- (0.01) (0.01) (0.01) ------- ------------- ------------- ------------- Total dividends and distributions....... (0.05) (0.45) (0.49) (0.53) ------- ------------- ------------- ------------- Net asset value, end of period.......... $ 1.00 $ 12.07 $ 11.95 $ 12.44 ------- ------------- ------------- ------------- ------- ------------- ------------- ------------- Total investment return (1)............. 4.75% 4.35% 3.59% 8.15% ------- ------------- ------------- ------------- ------- ------------- ------------- ------------- Ratios/Supplemental Data: Net assets, end of period (000's)....... $ 10,221 $ 58,752 $ 41,273 $ 42,550 Ratio of: Expenses to average net assets, net of fee waivers and expense reimbursements......................... 0.50%* 0.85%* 0.85%* 0.85%* Expenses to average net assets, before fee waivers and expense reimbursements......................... 2.40%* 1.15%* 1.23%* 1.40%* Net investment income (loss) to average net assets, net of fee waivers and expense reimbursements................. 4.93%* 5.09%* 5.56%* 5.85%* Net investment income (loss) to average net assets, before fee waivers and expense reimbursements................. 3.03%* 4.79%* 5.18%* 5.30%* Portfolio turnover...................... -- 978% 36% 166% --------------- * Annualized (1) Total investment return is calculated assuming a $1,000 investment on the first day of each period reported, reinvestment of all dividends and distributions, if any, at net asset value on the payable dates, and a sale at net asset value on the last day of each period reported. The figures do not include the PACE Program Fee; results for each Portfolio would be lower if this fee was included. Total investment returns for periods of less than one year have not been annualized. 96
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-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- [Enlarge/Download Table] PACE PACE PACE PACE PACE SMALL/MEDIUM MUNICIPAL FIXED GLOBAL FIXED LARGE COMPANY LARGE COMPANY COMPANY VALUE INCOME INCOME VALUE EQUITY GROWTH EQUITY EQUITY INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS --------------- ------------- --------------- --------------- --------------- 2 $ 12.00 $ 12.00 $ 12.00 $ 12.00 $ 12.00 3 ------ ------------- ------- ------- ------- Net investment income (loss)............ 0.49 0.53 0.12 0.03 0.10 Net realized and unrealized gains (losses) from investments, futures contracts and foreign currency transactions............................ 0.27 0.27 2.02 1.26 0.23 ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Net increase (decrease) from investment operations.............................. 0.76 0.80 2.14 1.29 0.33 ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Dividends from net investment income.... (0.43) (0.46) (0.05) (0.02) (0.04) Distributions from net realized gains... (0.01) (0.01) (0.02) -- -- ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Total dividends and distributions....... (0.44) (0.47) (0.07) (0.02) (0.04) ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Net asset value, end of period.......... $ 12.32 $ 12.33 $ 14.07 $ 13.27 $ 12.29 ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Total investment return (1)............. 6.38% 6.68% 17.90% 10.76% 2.76% ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- ------ ------------- ------- ------- ------- Ratios/Supplemental Data: Net assets, end of period (000's)....... $ 17,765 $ 38,296 $ 80,897 $ 69,248 $ 63,894 Ratio of: Expenses to average net assets, net of fee waivers and expense reimbursements.......................... 0.85%* 0.95%* 1.00%* 1.00%* 1.00%* Expenses to average net assets, before fee waivers and expense reimbursements.......................... 1.74%* 1.61%* 1.40%* 1.33%* 1.51%* Net investment income (loss) to average net assets, net of fee waivers and expense reimbursements.................. 4.95%* 5.24%* 1.22%* 0.33%* 1.07%* Net investment income (loss) to average net assets, before fee waivers and expense reimbursements.................. 4.07%* 4.58%* 0.82%* (0.01 )%* 0.56%* Portfolio turnover...................... 78% 197% 38% 65% 30% PACE PACE SMALL/MEDIUM PACE INTERNATIONAL COMPANY GROWTH INTERNATIONAL EMERGING MARKETS EQUITY EQUITY EQUITY INVESTMENTS INVESTMENTS INVESTMENTS --------------- ------------- ----------------- 2 $ 12.00 $ 12.00 $ 12.00 3 ------- ------------- ------- Net investment income (loss)............ 0.00 0.12 0.07 Net realized and unrealized gains (losses) from investments, futures contracts and foreign currency transactions............................ (0.78) 0.73 0.44 ------- ------------- ------- ------- ------------- ------- Net increase (decrease) from investment operations.............................. (0.78) 0.85 0.51 ------- ------------- ------- ------- ------------- ------- Dividends from net investment income.... (0.02) (0.06) (0.02) Distributions from net realized gains... -- -- -- ------- ------------- ------- ------- ------------- ------- Total dividends and distributions....... (0.02) (0.06) (0.02) ------- ------------- ------- ------- ------------- ------- Net asset value, end of period.......... $ 11.20 $ 12.79 $ 12.49 ------- ------------- ------- ------- ------------- ------- ------- ------------- ------- ------- ------------- ------- Total investment return (1)............. (6.55)% 7.08% 4.23% ------- ------------- ------- ------- ------------- ------- ------- ------------- ------- ------- ------------- ------- Ratios/Supplemental Data: Net assets, end of period (000's)....... $ 63,364 $ 45,331 $ 25,481 Ratio of: Expenses to average net assets, net of fee waivers and expense reimbursements.......................... 1.00%* 1.50%* 1.50%* Expenses to average net assets, before fee waivers and expense reimbursements.......................... 1.27%* 1.81%* 2.35%* Net investment income (loss) to average net assets, net of fee waivers and expense reimbursements.................. (0.14 )%* 1.35%* 0.94%* Net investment income (loss) to average net assets, before fee waivers and expense reimbursements.................. (0.41 )%* 1.04%* 0.08%* Portfolio turnover...................... 115% 25% 22% 97
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Managed Accounts Services Portfolio Trust Report of Ernst & Young LLP, Independent Auditors The Board of Trustees and Shareholders of Managed Accounts Services Portfolio Trust We have audited the accompanying statement of assets and liabilities of Managed Accounts Services Portfolio Trust (comprising, respectively, PACE Money Market Investments, PACE Government Securities Fixed Income Investments, PACE Intermediate Fixed Income Investments, PACE Strategic Fixed Income Investments, PACE Municipal Fixed Income Investments, PACE Global Fixed Income Investments, PACE Large Company Value Equity Investments, PACE Large Company Growth Equity Investments, PACE Small/Medium Company Value Equity Investments, PACE Small/Medium Company Growth Equity Investments, PACE International Equity Investments and PACE International Emerging Markets Equity Investments) (the "Trust"), including the portfolios of investments as of July 31, 1996, and the related statements of operations, the changes in net assets, and the financial highlights for the period from August 24, 1995 (commencement of operations) to July 31, 1996. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned at July 31, 1996 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting Managed Accounts Services Portfolio Trust at July 31, 1996, the results of their operations, the changes in their net assets, and the financial highlights for the period from August 24, 1995 to July 31, 1996, in conformity with generally accepted accounting principles. [SIGNATURE] New York, New York September 11, 1996 98
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Managed Accounts Services Portfolio Trust Tax Information (unaudited) We are required by subchapter M of the Internal Revenue Code of 1986, as amended, to advise you within 60 days of each Portfolio's fiscal year end (July 31, 1996) as to the federal tax status of distributions received by shareholders during such fiscal year. Accordingly, we are advising you that the following distributions paid during the fiscal year by the Portfolios were derived from the following sources: [Enlarge/Download Table] NET SHORT-TERM LONG-TERM DIVIDEND* INVESTMENT CAPITAL CAPITAL RECEIVED PER SHARE DATA: INCOME GAINS GAINS DEDUCTION ----------------------------------------------------------------- ----------- ----------- ----------- ----------- PACE Money Market Investments.................................... $ 0.0475 -- -- -- PACE Government Securities Fixed Income Investments.............. 0.4378 $ 0.0110 -- -- PACE Intermediate Fixed Income Investments....................... 0.4772 0.0010 -- -- PACE Strategic Fixed Income Investments.......................... 0.5244 0.0122 -- -- PACE Municipal Fixed Income Investments.......................... 0.4344 0.0025 -- -- PACE Global Fixed Income Investments............................. 0.4597 0.0040 -- -- PACE Large Company Value Equity Investments...................... 0.0521 0.0130 $ 0.0074 33.85 PACE Large Company Growth Equity Investments..................... 0.0200 -- -- 100.00 PACE Small/Medium Company Value Equity Investments............... 0.0400 -- -- 29.09 PACE Small/Medium Company Growth Equity Investments.............. 0.0150 -- -- -- PACE International Equity Investments............................ 0.0575 -- -- 6.24 PACE International Emerging Markets Equity Investments........... 0.0165 -- -- 19.91 ------------ *Percentage of ordinary income dividends qualifying for the dividends received deduction available to corporate shareholders. Dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income. Some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting. Since each Portfolio's fiscal year is not the calendar year, another notification will be sent with respect to calendar year 1996. Such notification, which will reflect the amount to be used by calendar year taxpayers on their federal income tax returns, will be made in conjunction with Form 1099 DIV and will be mailed in January 1997. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in each of the Portfolios. SPECIAL INFORMATION FOR PACE INTERNATIONAL EQUITY INVESTMENTS AND PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS The Portfolios intend to make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Portfolios to its shareholders. The amount of foreign taxes paid for PACE International Equity Investments and PACE International Emerging Markets Equity Investments for the fiscal year ended July 31, 1996, on a per share basis, is $0.01844 and $0.01260, respectively. Accordingly, shareholders would report this amount as an additional income dividend on a federal income tax return and would be entitled to a foreign tax credit, or an itemized deduction, at their option, for this amount in computing their U.S. income tax liability. Generally, it is more advantageous to claim a credit rather than to take a deduction. The following tables identify the foreign source income earned through July 31, 1996 by its source on a per share basis. Since the Portfolio's fiscal year is not the calendar year, shareholders should refer to their Form 1099 DIV mailed in January 1997 to determine the amounts to be included on their respective tax returns for 1996. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investments in each of the Portfolios. 99
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Tax Information (unaudited) (concluded) PACE INTERNATIONAL EQUITY INVESTMENTS [Enlarge/Download Table] GROSS FOREIGN NET GROSS FOREIGN NET COUNTRY AMOUNT TAX AMOUNT COUNTRY AMOUNT TAX AMOUNT ------------- ------------------------------- ------------------- ------------------------------- Argentina 0.00051 0.00000 0.00051 Japan 0.01162 0.00174 0.00988 ---------------------------------------------- ---------------------------------------------------- Australia 0.00326 0.00008 0.00318 Malaysia 0.00196 0.00047 0.00149 ---------------------------------------------- ---------------------------------------------------- Austria 0.00097 0.00011 0.00087 Malaysia 0.00156 0.00000 0.00156 ---------------------------------------------- ---------------------------------------------------- Belgium 0.00198 0.00030 0.00169 Peru 0.00021 0.00000 0.00021 ---------------------------------------------- ---------------------------------------------------- Brazil 0.00294 0.00000 0.00294 Singapore 0.00364 0.00029 0.00334 ---------------------------------------------- ---------------------------------------------------- Chile 0.00090 0.00004 0.00085 South Africa 0.00104 0.00000 0.00104 ---------------------------------------------- ---------------------------------------------------- France 0.01122 0.00197 0.00925 Spain 0.00540 0.00097 0.00443 ---------------------------------------------- ---------------------------------------------------- Germany 0.00932 0.00093 0.00839 Sweden 0.00350 0.00052 0.00297 ---------------------------------------------- ---------------------------------------------------- Holland 0.00407 0.00061 0.00346 Switzerland 0.00542 0.00081 0.00461 ---------------------------------------------- ---------------------------------------------------- Hong Kong 0.01547 0.00000 0.01547 Thailand 0.00161 0.00013 0.00148 ---------------------------------------------- ---------------------------------------------------- Italy 0.00335 0.00050 0.00285 United Kingdom 0.05966 0.00895 0.05071 ---------------------------------------------- ---------------------------------------------------- PACE INTERNATIONAL EMERGING MARKETS EQUITY INVESTMENTS [Enlarge/Download Table] GROSS FOREIGN NET GROSS FOREIGN NET COUNTRY AMOUNT TAX AMOUNT COUNTRY AMOUNT TAX AMOUNT ------------- ------------------------------- ---------------------------------------------------- Argentina 0.00660 0.00000 0.00660 Mexico 0.01119 0.00000 0.00000 ---------------------------------------------- ---------------------------------------------------- Brazil 0.04387 0.00448 0.03939 Peru 0.00086 0.00000 0.00086 ---------------------------------------------- ---------------------------------------------------- Chile 0.00351 0.00118 0.00233 Phillipines 0.00393 0.00098 0.00294 ---------------------------------------------- ---------------------------------------------------- Greece 0.00312 0.00000 0.00312 Poland 0.00173 0.00026 0.00147 ---------------------------------------------- ---------------------------------------------------- Hong Kong 0.00853 0.00000 0.00853 Portugal 0.00476 0.00083 0.00393 ---------------------------------------------- ---------------------------------------------------- Hungary 0.00214 0.00043 0.00171 Slovakia 0.00284 0.00043 0.00242 ---------------------------------------------- ---------------------------------------------------- India 0.00018 0.00000 0.00018 South Africa 0.00735 0.00004 0.00731 ---------------------------------------------- ---------------------------------------------------- Indonesia 0.01189 0.00238 0.00951 South Korea 0.00195 0.00043 0.00152 ---------------------------------------------- ---------------------------------------------------- Korea 0.00200 0.00000 0.00200 Thailand 0.01153 0.00115 0.01038 ---------------------------------------------- ---------------------------------------------------- Mauritius 0.00125 0.00000 0.00125 Turkey 0.01172 0.00000 0.01172 ---------------------------------------------- ---------------------------------------------------- 100
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MANAGED ACCOUNTS SERVICES PAINEWEBBER -C- 1996 PaineWebber Incorporated 960109-012

Dates Referenced Herein   and   Documents Incorporated By Reference

Referenced-On Page
This N-30D Filing   Date First   Last      Other Filings
9/9/9490
6/9/9590
6/16/9590
8/24/953100
8/31/9535
10/31/9596
For The Period Ended7/31/96110124F-2NT, NSAR-B
8/1/9696
8/28/9614
9/11/96100
9/27/963
Filed On / Filed As Of10/8/96
1/1/994
7/31/049624F-2NT, N-CSR, NSAR-B
 
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