<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (96.9%)
CALIFORNIA (0.3%)
$ 1,000 Kaweah Delta Hospital District, Tulare
County, (Series F, due 06/01/14)...... PP NR/NR 06/01/00(a) 5.250% $ 1,018,750
-----------
ILLINOIS (1.0%)
3,000 Illinois Development Finance Authority,
(IDR, Riverside Health & Fitness
Center Project, Series 1998-A, due
08/01/28)............................. PP NR/NR 08/01/01(a) 4.350 3,015,000
-----------
MICHIGAN (1.3%)
3,444 City of Detroit Public School........... PP NR/NR 10/15/01 5.485 3,520,305
708 City of Detroit Public School, (Public
Power Revenue)........................ PP NR/NR 10/15/00 4.550 716,065
-----------
TOTAL MICHIGAN...................... 4,236,370
-----------
NEW YORK (93.6%)
4,000 Erie County Water Authority, (Water
Revenue, Refunding, Escrowed to
Maturity, Series A, due 12/01/04),
AMBAC Insured......................... RB Aaa/AAA 12/01/03(a) 5.000 4,209,880
2,195 Erie County, FGIC Insured............... GO Aaa/AAA 11/01/02 5.000 2,289,539
4,025 Hempstead Town, (Callable, Series A, due
08/15/07), MBIA Insured............... GO Aaa/NR 08/15/06(a) 4.750 4,171,591
3,000 Long Island Power Authority, (New York
Electric Systems Revenue)............. RB Baa1/A- 04/01/02 5.000 3,087,900
3,100 Long Island Power Authority, (New York
Electric Systems Revenue, Refunding,
Series A), AMBAC Insured.............. RB Aaa/AAA 12/01/09 5.500 3,383,464
4,950 Long Island Power Authority, (New York
Electric Systems Revenue, Refunding,
Series A), AMBAC insured.............. RB Aaa/AAA 12/01/10 5.500 5,402,678
3,500 Long Island Power Authority, (New York
Electric Systems Revenue, Refunding,
Series A), AMBAC Insured.............. RB Aaa/AAA 12/01/11 5.500 3,812,585
4,000 Metropolitan Transportation Authority,
(Commuter Facilities, Refunding,
Series D), MBIA Insured............... RB Aaa/AAA 07/01/06 6.000 4,453,160
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 5,500 Metropolitan Transportation Authority,
(Dedicated Tax Fund, Series A), MBIA
Insured............................... RB Aaa/AAA 04/01/11 6.250% $ 6,349,585
1,370 Metropolitan Transportation Authority,
(Service Contract, Commuter
Facilities, Refunding, Series N)...... RB Baa1/BBB+ 07/01/02 6.625 1,483,669
3,165 Metropolitan Transportation Authority,
(Transportation Facilities Revenue,
Series 8), MBIA-IBC Insured........... RB Aaa/AAA 07/01/07 5.500 3,433,329
1,065 Monroe County, (Public Improvement,
Prerefunded, Escrowed to Maturity,
Series 1995), AMBAC Insured........... GO Aaa/AAA 06/01/08 5.875 1,196,751
65 Monroe County, (Public Improvement,
Unrefunded Balance, Series 1995),
AMBAC Insured......................... GO Aaa/AAA 06/01/08 5.875 73,041
2,150 Municipal Assistance Corp. for the City
of New York, (Refunding, Series G).... RB Aa2/AA 07/01/05 6.000 2,379,921
4,000 Municipal Assistance Corp. for the City
of New York, (Refunding, Series G).... RB Aa2/AA 07/01/07 6.000 4,485,720
1,500 Municipal Assistance Corp. for the City
of New York, (Refunding, Series J).... RB Aa2/AA 07/01/04 6.000 1,647,405
5,000 Municipal Assistance Corp. for the City
of New York, (Series O)............... RB Aa2/AA 07/01/05 5.000 5,269,800
5,560 Nassau County, (Series Y), FGIC
Insured............................... GO Aaa/AAA 03/01/05 5.000 5,812,813
1,460 New York City Industrial Development
Agency, (Civil Facilities Revenue,
YMCA Greater New York Project)........ RB Baa3/NR 08/01/05 6.000 1,582,231
1,000 New York City Industrial Development
Agency, (IDR, Brooklyn Navy Yard,
Cogen Partners, Refunding, due
10/01/22)............................. RB Baa3/BBB- 10/01/21(a) 6.200 1,123,200
3,075 New York City Municipal Water Finance
Authority, (Callable, Water & Sewer
Systems Revenue, Series C, due
06/15/21), AMBAC Insured.............. RB Aaa/AAA 06/15/02(a) 6.200 3,350,120
3,000 New York City Transitional Finance
Authority, (Future Tax Secured, Series
A).................................... RB Aa3/AA 08/15/07 5.500 3,250,980
2,600 New York City Transitional Finance
Authority, (Future Tax Secured, Series
A).................................... RB Aa3/AA 11/15/02 5.000 2,704,182
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,100 New York City Transitional Finance
Authority, (Future Tax Secured, Series
C).................................... RB Aa3/AA 05/01/05 5.000% $ 3,247,994
4,000 New York City Transitional Finance
Authority, (Future Tax Secured, Series
C).................................... RB Aa3/AA 05/01/03 5.000 4,166,640
6,000 New York City, (Callable, Series A, due
08/01/03)............................. GO A3/A- 08/01/02(a) 6.250 6,513,780
4,330 New York City, (Callable, Unrefunded
Balance, Series D, due 02/15/07)...... GO A3/A- 02/15/05(a) 5.750 4,661,505
670 New York City, (Prerefunded, Series D,
due 02/15/07)......................... GO A3/A- 02/15/05(a) 5.750 734,869
4,000 New York City, (Refunding, Series D).... GO A3/A- 11/01/09 6.500 4,636,280
1,000 New York City, (Refunding, Series G),
MBIA Insured.......................... GO Aaa/AAA 02/01/09 6.750 1,179,160
2,000 New York State Dormitory Authority,
(Callable, Cornell University, due
07/01/08)............................. RB Aa2/AA 07/01/06(a) 5.300 2,159,120
2,000 New York State Dormitory Authority,
(City University Systems, Prerefunded,
Series F, due 07/01/20), FGIC
Insured............................... RB Aaa/AAA 07/01/00(a) 7.500 2,136,660
2,280 New York State Dormitory Authority,
(Columbia University)................. RB Aaa/AAA 07/01/07 5.250 2,453,759
2,885 New York State Dormitory Authority, (FHA
Hospital & Nursing Home, Refunding,
Series A), AMBAC Insured.............. RB NR/AAA 08/15/08 5.000 3,024,144
2,500 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Callable, Refunding, due 08/01/13),
AMBAC Insured......................... RB Aaa/AAA 02/01/08(a) 4.400 2,522,500
2,000 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Refunding), AMBAC Insured............. RB Aaa/AAA 02/01/04 5.000 2,086,060
2,000 New York State Dormitory Authority,
(Lease Revenue, Municipal Health
Facilities, Series 1), FSA Insured.... RB Aaa/AAA 01/15/07 5.000 2,089,060
5,280 New York State Dormitory Authority,
(Long Island Jewish Medical Center,
Refunding), MBIA Insured.............. RB Aaa/AAA 07/01/05 5.000 5,532,226
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 New York State Dormitory Authority,
(Memorial Sloan Kettering Cancer
Center, Series C), MBIA Insured....... RB Aaa/AAA 07/01/19 5.750% $ 2,205,820
3,685 New York State Dormitory Authority,
(Mental Health Services Facilities)... RB Aaa/AAA 08/15/09 5.250 3,910,154
5,650 New York State Dormitory Authority,
(Mental Health Services Facilities,
Refunding, Series B).................. RB A3/A- 02/15/06 6.000 6,214,887
2,000 New York State Dormitory Authority, (New
York University, Series A), MBIA
Insured............................... RB Aaa/AAA 07/01/06 5.000 2,102,700
2,510 New York State Dormitory Authority,
(North Shore University Hospital,
Refunding), MBIA Insured.............. RB Aaa/AAA 11/01/05 5.000 2,635,726
2,530 New York State Dormitory Authority,
(North Shore University Hospital,
Refunding), MBIA Insured.............. RB Aaa/AAA 11/01/10 5.500 2,760,154
2,000 New York State Dormitory Authority,
(Secondary Hospital, North General
Hospital, Refunding, Series G)........ RB Baa1/BBB+ 02/15/05 5.500 2,126,900
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding)................ RB A3/A- 05/15/01 5.250 3,093,960
1,500 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A)...... RB A3/A- 05/15/04 6.500 1,668,300
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A), FGIC
Insured............................... RB Aaa/AAA 05/15/11 5.875 3,363,030
2,000 New York State Dormitory Authority,
(University of Rochester, Refunding,
Series A), MBIA Insured............... RB Aaa/AAA 07/01/05 5.000 2,101,160
1,210 New York State Dormitory Authority,
(University of Rochester, Series A)... RB A1/A+ 07/01/06 6.500 1,386,188
4,000 New York State Environmental Facilities
Corp., (Callable, PCR, State Water,
Revolving Fund, Series A, due
06/15/01)............................. RB Aa1/AA 06/15/00(a) 7.300 4,251,880
5,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, New York City Municipal Water,
Refunding)............................ RB Aa1/AA- 06/15/11 5.750 5,574,950
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, Prerefunded, due 06/15/14)...... RB Aaa/AA+ 06/15/01(a) 6.500% $ 2,160,260
5,000 New York State Environmental Facilities
Corp., (Special Obligation, Riverbank
State Park, Prerefunded, due
04/01/22)............................. RB Aaa/AAA 04/01/02(a) 7.375 5,604,550
1,605 New York State Environmental Facilities
Corp., (State Clean Water & Drinking,
Revolving Funds, Second Resolution,
Series F)............................. RB Aa1/AA- 06/15/02 5.000 1,664,738
1,000 New York State Environmental Facilities
Corp., (State Clean Water & Drinking,
Revolving Funds, Second Resolution,
Series F)............................. RB Aa1/AA- 06/15/07 5.250 1,070,110
2,600 New York State Housing Finance Agency,
(Service Contract Obligation,
Refunding, Series C).................. RB Baa1/BBB+ 03/15/05 4.850 2,676,466
3,260 New York State Local Government
Assistance Corp., (Prerefunded, Series
C, due 04/01/18)...................... RB Aaa/A+ 04/01/02(a) 6.250 3,556,236
2,000 New York State Local Government
Assistance Corp., (Refunding, Series
A).................................... RB A3/A+ 04/01/06 6.000 2,214,780
2,525 New York State Local Government
Assistance Corp., (Refunding, Series
B), MBIA Insured...................... RB Aaa/AAA 04/01/04 5.250 2,669,077
3,350 New York State Local Government
Assistance Corp., (Refunding, Series
E).................................... RB A3/A+ 04/01/14 6.000 3,732,537
1,550 New York State Local Government
Assistance Corp., (Series A).......... RB A3/A+ 04/01/05 5.400 1,661,709
2,850 New York State Medical Care Facilities
Finance Agency, (Callable, Hospital &
Nursing Home Services, Series D, due
02/15/32)............................. RB Aa2/NR 02/15/03(a) 6.450 3,167,804
1,500 New York State Medical Care Facilities
Finance Agency, (Mental Health
Services, Refunding, Series F)........ RB A3/A- 02/15/03 6.000 1,606,740
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,620 New York State Municipal Bond Bank
Agency, (Special Program, Refunding,
Series A), AMBAC Insured.............. RB Aaa/AAA 03/15/06 5.000% $ 2,749,795
9,667 New York State Office of Temporary and
Disability Assistance, (General
Obligation)........................... PP NR/NR 03/31/05 4.480 9,721,899
2,000 New York State Power Authority, (Revenue
& General Purpose, Refunding, Escrowed
to Maturity, Series W)................ RB Aaa/AAA 01/01/03 6.625 2,191,260
4,500 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/03 5.000 4,688,595
3,350 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/05 5.500 3,602,121
3,000 New York State Thruway Authority,
(Refunding, Series E)................. RB Aa3/AA- 01/01/07 5.500 3,251,370
2,000 New York State Thruway Authority,
(Service Contract, Local Highway &
Bridge)............................... RB Baa1/BBB+ 04/01/05 6.000 2,187,400
2,000 New York State Thruway Authority,
(Service Contract, Local Highway &
Bridge, Refunding).................... RB Baa1/BBB+ 04/01/04 5.500 2,121,680
9,935 New York State Thruway Authority,
(Service Contract, Local Highway &
Bridge, Series A-2), MBIA Insured..... RB Aaa/AAA 04/01/06 5.250 10,579,377
2,470 New York State Urban Development Corp.,
(Center for Industrial Innovation,
Refunding)............................ RB Baa1/BBB+ 01/01/06 6.250 2,744,294
2,000 New York State Urban Development Corp.,
(Correctional Capital Facilities,
Series 6)............................. RB Baa1/BBB+ 01/01/03 6.000 2,135,960
3,500 New York State Urban Development Corp.,
(Correctional Facilities Service
Contract, Series B)................... RB Baa1/BBB+ 01/01/01 5.000 3,571,505
2,500 New York State Urban Development Corp.,
(Prerefunded, due 04/01/11)........... RB Aaa/BBB+ 04/01/01(a) 7.500 2,734,375
2,635 New York State Urban Development Corp.,
(Sub Lien, Corporate Purpose,
Refunding)............................ RB A2/A 01/01/06 6.000 2,905,667
5,250 New York State, (Refunding, Series A)... GO A2/A 07/15/06 6.500 6,007,365
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,100 New York State, (Refunding, Series B)... GO A2/A 08/15/05 6.250% $ 3,476,712
1,350 New York State, (Refunding, Series C)... GO A2/A 10/01/04 6.000 1,484,312
2,415 New York State, (Refunding, Series F)... GO A2/A 09/15/03 5.000 2,531,355
1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/04 5.500 1,082,270
1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/05 5.500 1,083,850
7,730 Port Authority of New York & New Jersey,
(Special Project, JFK International
Air Terminal, Series 6), MBIA
Insured............................... RB Aaa/AAA 12/01/11 6.250 8,892,747
2,650 Suffolk County, (Water Authority
Waterworks Revenue, Refunding, Senior
Lien), MBIA Insured................... RB Aaa/AAA 06/01/07 5.100 2,800,388
1,500 Suffolk County, (Water Authority
Waterworks Revenue, Refunding, Senior
Lien), MBIA Insured................... RB Aaa/AAA 06/01/09 5.100 1,589,580
2,945 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
SR, due 01/01/07)..................... RB Aa3/A+ 01/01/00(a) 5.000 3,095,372
1,500 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
Y).................................... RB Aa3/A+ 01/01/07 5.900 1,664,955
3,960 Triborough Bridge & Tunnel Authority,
(Special Obligation, Refunding, Series
A), FGIC Insured...................... RB Aaa/AAA 01/01/07 5.500 4,278,226
2,000 Trust for Cultural Resources of the City
of New York, (Public Power Revenue,
Series 1999, due 08/01/05)............ PP NR/NR 01/01/08(a) 4.600 2,000,000
4,000 United Nations Development Corp.,
(Senior Lien, Series A, Prerefunded,
due 07/01/26)......................... RB Aaa/NR 07/01/03(a) 6.000 4,417,560
3,230 Yonkers, (Series C), AMBAC Insured...... GO Aaa/AAA 08/01/04 5.500 3,459,039
-----------
TOTAL NEW YORK...................... 300,327,146
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
PUERTO RICO (0.7%)
$ 2,220 Commonwealth of Puerto Rico, (General
Obligation)........................... PP NR/NR 12/04/03 7.469% $ 2,339,062
-----------
TOTAL LONG TERM INVESTMENTS (COST $304,432,424)................................ 310,936,328
-----------
SHORT-TERM INVESTMENTS (1.5%)
ARIZONA (0.0%)
100 Maricopa County, (Callable, PCR,
Refunding, Series D, due 05/01/29),
LOC - Bank of America................. VRDN P-1/A-1+ 04/01/99(b) 3.300 100,000
-----------
GEORGIA (1.1%)
900 Burke County Development Authority,
(Callable, PCR, Georgia Power Co.,
Vogtle Project 1-st Series, due
04/01/32)............................. VRDN VMIG1/A-1 04/01/99(b) 3.300 900,000
2,550 Burke County Development Authority,
(Callable, PCR, Georgia Power Co.,
Vogtle Project-4th Series, Refunding,
due 09/01/25)......................... VRDN VMIG1/A-1 04/01/99(b) 3.300 2,550,000
-----------
3,450,000
-----------
LOUISIANA (0.0%)
80 Louisiana Public Facilities Authority,
(Callable, due 12/01/15), LOC -
Deutsche Bank A.G..................... VRDN P-1/NR 04/01/99(b) 3.300 80,000
-----------
NEW YORK (0.0%)
200 New York City Municipal Water Finance
Authority, (Callable, Water & Sewer
Systems Revenue, Series C, due
06/15/22), FGIC Insured............... VRDN VMIG1/A-1+ 04/01/99(b) 3.300 200,000
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL S&P
AMOUNT SECURITY RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ -----------
<C> <S> <C> <C> <C> <C> <C>
OTHER (0.4%)
$ 895 Puttable Floating Options (Tax Exempt
Receipts, Callable, Series SG P-5, due
07/02/27), LIQ FAC-Societe Generale... VRDN NR/A-1+c 04/01/99(b) 3.360% $ 895,000
275 Puttable Floating Options (Tax Exempt
Receipts, Callable, Series SG P-6, due
01/01/28), LIQ FAC-Societe Generale... VRDN NR/A-1+c 04/01/99(b) 3.360 275,000
-----------
1,170,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $5,000,000)................................. 5,000,000
-----------
TOTAL INVESTMENTS (COST $309,432,424) (98.4%)...................................... 315,936,328
OTHER ASSETS IN EXCESS OF LIABILITIES (1.6%)....................................... 4,993,604
-----------
NET ASSETS (100.0%)................................................................ $320,929,932
-----------
-----------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $309,451,545 for federal income tax
purposes at March 31, 1999, the aggregate gross unrealized appreciation and
depreciation was $7,074,669 and $589,886, respectively, resulting in net
unrealized appreciation of investments of $6,484,783.
(a) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
(b) Variable Rate Demand Notes tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
AMBAC - Ambac Indemnity Corporation.
FGIC - Financial Guaranty Insurance Company.
FHA - Federal Housing Authority.
FSA - Financial Security Assurance.
GO - General Obligation.
IDR - Industrial Development Revenue.
LIQ FAC - Liquidity Facility.
LOC - Letter of Credit.
MBIA - Municipal Bond Investors Assurance Corp.
NR - Not Rated.
PCR - Pollution Control Revenue.
PP - Private Placement.
RB - Revenue Bond.
VRDN - Variable Rate Demand Note.
Escrowed to Maturity: Bonds for which cash and/or securities have been deposited
with a third party to cover payments of principal and interest at the maturity
which coincides with the first call date of the first bond.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $309,432,424 ) $315,936,328
Cash 30,603
Interest Receivable 5,097,693
Prepaid Trustees' Fees 184
Deferred Organization Expenses 19
Prepaid Expenses and Other Assets 1,566
------------
Total Assets 321,066,393
------------
LIABILITIES
Advisory Fee Payable 80,827
Administrative Services Fee Payable 10,289
Administration Fee Payable 374
Fund Services Fee Payable 234
Accrued Expenses 44,737
------------
Total Liabilities 136,461
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $320,929,932
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $12,318,506
EXPENSES
Advisory Fee $ 796,521
Custodian Fees and Expenses 85,723
Administrative Services Fee 73,366
Professional Fees and Expenses 44,238
Fund Services Fee 6,630
Trustees' Fees and Expenses 3,306
Administration Fee 3,052
Amortization of Organization Expense 2,304
Miscellaneous 5,476
----------
Total Expenses 1,020,616
-----------
NET INVESTMENT INCOME 11,297,890
NET REALIZED GAIN ON INVESTMENTS 2,712,515
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 142,962
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $14,153,367
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MARCH 31, 1999 MARCH 31, 1998
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 11,297,890 $ 7,914,129
Net Realized Gain on Investments 2,712,515 1,111,960
Net Change in Unrealized Appreciation of
Investments 142,962 4,862,341
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 14,153,367 13,888,430
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 162,950,459 87,771,218
Withdrawals (53,185,304) (52,571,222)
-------------- --------------
Net Increase from Investors' Transactions 109,765,155 35,199,996
-------------- --------------
Total Increase in Net Assets 123,918,522 49,088,426
NET ASSETS
Beginning of Fiscal Year 197,011,410 147,922,984
-------------- --------------
End of Fiscal Year $ 320,929,932 $ 197,011,410
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR ENDED APRIL 11, 1994
MARCH 31, (COMMENCEMENT OF
------------------------- OPERATIONS) THROUGH
1999 1998 1997 1996 MARCH 31, 1995
---- ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.38% 0.40% 0.43% 0.44% 0.48%(a)
Net Investment Income 4.26% 4.62% 4.75% 4.72% 4.59%(a)
Expenses without Reimbursement 0.38% 0.40% 0.43% 0.44% 0.51%(a)
Portfolio Turnover 44% 51% 35% 41% 63%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The New York Tax Exempt Bond Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, non-diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York on June 16, 1993. The portfolio commenced
operations on April 11, 1994. Prior to November 2, 1998, the portfolio's name
was The New York Total Return Bond Portfolio. The portfolio's investment
objective is to provide a high level of current income that is exempt from
federal income tax for New York residents, consistent with moderate risk of
capital. The portfolio invests a significant amount of its assets in debt
obligations issued by political subdivisions and authorities in the State of New
York. The issuers' ability to meet their obligations may be affected by economic
and political developments within the State of New York. The Declaration of
Trust permits the trustees to issue an unlimited number of beneficial interests
in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by portfolio's trustees. Such procedures include the use of
independent pricing services, which use prices based upon yields or prices
of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
b) The portfolio incurred organization expenses in the amount of $11,473.
These costs were deferred and are being amortized on a straight-line basis
over a period not to exceed five years beginning with the commencement of
operations.
c) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
d) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
31
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 28, 1998, the portfolio had an Investment Advisory
Agreement with Morgan Guaranty Trust Company of New York ("Morgan"), a
wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan").
Under the terms of the Agreement, the portfolio paid Morgan at an annual
rate of 0.30% of the portfolio's average daily net assets. Effective
October 28, 1998, the portfolio's Investment Advisor is J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly
owned subsidiary of J.P. Morgan, and the terms of the Agreement remain the
same. For the fiscal year ended March 31, 1999, such fees amounted to
$796,521.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the fiscal year ended March 31, 1999, the fee for
these services amounted to $3,052.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which JPMIM acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the fiscal year ended March 31, 1999, the fee for
these services amounted to $73,366.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $6,630 for the fiscal year ended March 31, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios and J.P. Morgan Series Trust.
The Trustees' Fees and Expenses shown in the financial statements
represents the portfolio's allocated portion of the total fees and
expenses. The portfolio's Chairman and Chief Executive Officer also serves
32
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1999
- --------------------------------------------------------------------------------
as Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $1,400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended March 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES
PROCEEDS FROM SALES
- ---------------- ------------
<S> <C>
$230,648,580..... $113,320,935
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the fund's Notes to the Financial Statements which are
included elsewhere in this report.
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The New York Tax Exempt Bond Portfolio
(Formerly The New York Total Return Bond Portfolio)
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The New York Tax Exempt Bond Portfolio (the
"portfolio") at March 31, 1999, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and the supplementary data for each of the four years in the period
then ended and for the period April 11, 1994 (commencement of operations) to
March 31, 1995, in conformity with generally accepted accounting principles.
These financial statements and supplementary data (hereafter referred to as
"financial statements") are the responsibility of the portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with generally accepted auditing standards which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
May 13, 1999
34
