<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL RATINGS MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY SECTOR MOODY'S/S&P DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (2.5%)
$1,000,000 California State........................ General Obligation A1/A 02/01/09 6.600% $ 1,094,960
1,000,000 Kaweah Delta Hospital District, Tulare
County (Series F)..................... Private Placement NR/NR 06/01/97(A) 5.250 1,009,580
-----------
TOTAL CALIFORNIA........................ 2,104,540
-----------
GEORGIA (7.6%)
100,000 Burke County Development Authority (PCR,
Georgia Power Authority, Vogtle
Project).............................. Revenue Bond A1/A+ 07/01/24(B) 3.800 100,000
2,000,000 Georgia Municipal Electric Power
Authority (Series O).................. Revenue Bond A/A 01/01/98(A) 8.125 2,194,800
1,000,000 Georgia Municipal Electric Power
Authority (Sixth Crossover, PJ-1-AMBAC
Insured, TCRS)........................ Insured Aaa/AAA 01/01/08 7.000 1,146,800
750,000 Georgia Municipal Electric Power
Authority (First Crossover, General
Resolution)........................... Revenue Bond A/A 01/01/08(A) 6.500 790,088
2,000,000 Gwinnett County Georgia School District
(Refunding, Series B)................. General Obligation Aa1/AA 02/01/07 6.400 2,232,560
-----------
TOTAL GEORGIA........................... 6,464,248
-----------
ILLINOIS (5.8%)
2,200,000 Chicago Illinois Motor Fuel Tax
(Refunding), AMBAC Insured............ Insured Aaa/AAA 01/01/09 6.125 2,334,376
1,000,000 Illinois State.......................... General Obligation A1/AA- 10/01/02 6.000 1,070,050
1,500,000 Illinois Sales Tax Revenue (Refunding,
Series Q)............................. Revenue Bond A1/AAA 06/15/10(A) 6.000 1,544,655
-----------
TOTAL ILLINOIS.......................... 4,949,081
-----------
MASSACHUSETTS (1.4%)
1,000,000 Massachusetts Bay Transportation
Authority (General Transportation
System, Refunding, Series A).......... Revenue Bond A1/A- 03/01/08 7.000 1,152,220
-----------
NEW JERSEY (1.5%)
1,250,000 New Jersey State Turnpike Authority
(Series A)............................ Revenue Bond A/A 01/01/01 5.700 1,306,900
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL RATINGS MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY SECTOR MOODY'S/S&P DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (74.8%)
$2,250,000 Grand Central District Management
Association Inc. (Business Improvement
District)............................. Prerefunded Aaa/AAA 01/01/02(A) 6.500% $ 2,520,293
555,000 Islip Metropolitan Transportation
Authority (NY Service Contract
Commuter Facilities, Series O), MBIA
Insured............................... Insured Aaa/AAA 06/01/98(A) 7.300 601,614
1,370,000 Metropolitan Transportation Authority
(NY Service Contract Commuter
Facilities, Series N)................. Revenue Bond Baa1/BBB 07/01/02 6.625 1,484,738
2,000,000 Metropolitan Transportation Authority
(New York Transportation, Series K)... Prerefunded Aaa/NRR 07/01/02(A) 6.625 2,261,000
1,500,000 Metropolitan Transportation Authority
(New York, Series K), MBIA Insured.... Insured Aaa/AAA 07/01/07 6.300 1,660,320
1,500,000 Metropolitan Transportation Authority
(NY Service Contract Commuter
Facilities, Refunding, Series O)...... Revenue Bond Baa1/BBB 07/01/08 5.750 1,494,480
1,130,000 Monroe County Public Improvement, AMBAC
Insured............................... Insured Aaa/AAA 06/01/08 5.875 1,195,730
3,000,000 Municipal Assistance Corp. for New York
City (Series 68)...................... Revenue Bond Aa/AA- 07/01/99 7.000 3,262,650
3,500,000 Municipal Assistance Corp. for New York
City (Series D), AMBAC Insured........ Insured Aaa/AAA 07/01/00 6.000 3,723,160
1,475,000 New York City (Municipal Water
Authority, Water & Sewer System,
Series A)............................. Prerefunded NRR/AAA 06/15/99(A) 7.375 1,649,404
1,500,000 New York City (Refunding, Series H)..... Escrowed to Aaa/AAA 08/01/00 7.875 1,724,820
Maturity
1,750,000 New York City (Refunding, Series A)..... General Obligation Baa1/BBB+ 08/01/02 5.750 1,773,503
1,250,000 New York City (Series A)................ General Obligation Baa1/BBB+ 08/01/04 7.000 1,357,850
100,000 New York City (Series B)................ General Obligation A1/AA- 08/15/18(B) 4.550 100,000
100,000 New York City (Series B), FGIC
Insured............................... Insured Aaa/AAA 10/01/20(B) 3.900 100,000
200,000 New York City (Series B), FGIC
Insured............................... Insured Aaa/AAA 10/01/21(B) 3.900 200,000
100,000 New York City (Series B), FGIC
Insured............................... Insured Aaa/AAA 10/01/22(B) 4.100 100,000
1,000,000 New York Dormitory Authority (University
Educational Facilities, Series A)..... Revenue Bond Baa1/BBB+ 05/15/99 6.625 1,058,990
1,750,000 New York Dormitory Authority (Series
B).................................... Prerefunded Aaa/NRR 05/15/00(A) 7.250 1,985,235
2,700,000 New York Dormitory Authority (City
University System, Series A).......... Prerefunded Aaa/NRR 07/01/00(A) 7.625 3,113,613
1,000,000 New York Dormitory Authority (City
University System, Series D).......... Revenue Bond Baa1/BBB 07/01/03 8.750 1,212,660
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL RATINGS MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY SECTOR MOODY'S/S&P DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
$1,210,000 New York Dormitory Authority (University
of Rochester, Series A)............... Revenue Bond A1/A+ 07/01/06 6.500% $ 1,336,118
1,500,000 New York Dormitory Authority (University
Educational Facilities, Series A),
AMBAC Insured......................... Insured Aaa/AAA 05/15/07 5.500 1,545,390
1,000,000 New York Housing Finance Agency (Service
Contract Obligation Revenue, Series A) Prerefunded Aaa/AAA 03/15/01(A) 7.800 1,174,920
1,000,000 New York Local Government Assistance
Corp. (Series A)...................... Revenue Bond A/A 04/01/00 6.200 1,064,850
1,000,000 New York Local Government Assistance
Corp. (Series A)...................... Prerefunded Aaa/AAA 04/01/02(A) 7.125 1,157,890
1,000,000 New York Local Government Assistance
Corp. (Series C)...................... Revenue Bond A/A 4/1/2009(A) 6.000 1,013,090
1,000,000 New York Medical Care Facilities Finance
Agency (Mental Health Services &
Improvement Series A)................. Prerefunded Aaa/AAA 02/15/99(A) 7.800 1,127,200
1,565,000 New York Medical Care Facilities Finance
Agency (St. Luke's Hospital, Series
B), FHA Insured....................... Prerefunded Aaa/AAA 02/15/00(A) 7.450 1,778,951
1,500,000 New York Medical Care Facilities Finance
Agency (Mental Health Services, Series
F, Refunding)......................... Revenue Bond Baa1/BBB+ 02/15/03 6.000 1,558,680
1,000,000 New York State Environmental Pollution
(State Water Revolving Fund, Series
E).................................... Revenue Bond Aa/A 06/15/01 6.200 1,075,310
1,250,000 New York State Local Assistance Corp.
(Series A)............................ Prerefunded Aaa/AAA 04/01/01(A) 7.000 1,421,775
2,195,000 New York State Power Authority (Series
W).................................... Revenue Bond Aa/AA- 01/01/08 6.500 2,419,527
500,000 New York State Urban Development Corp.
(Correctional Capital Facilities,
Series 1)............................. Revenue Bond Aaa/NR 01/01/00(A) 7.750 572,610
3,000,000 New York State Urban Development Corp.
(Correctional Capital Facilities,
Series 2)............................. Prerefunded Aaa/NR 01/01/01(A) 6.500 3,282,180
3,000,000 New York Thruway Authority (Series A)... Insured Aaa/AAA 04/01/04 6.250 3,300,810
1,030,000 Suffolk County Water Authority,
(Waterworks Revenue Refunding), AMBAC
Insured............................... Prerefunded Aaa/AAA 06/01/00(A) 6.600 1,141,487
3,000,000 Triborough Bridge & Tunnel Authority
(Series T)............................ Prerefunded Aaa/A+ 01/01/01(A) 7.000 3,397,770
1,500,000 Triborough Bridge & Tunnel Authority
(Series Y)............................ Revenue Bond Aa/A+ 01/01/07 5.900 1,587,165
1,000,000 Triborough Bridge & Tunnel Authority
(Series X)............................ Revenue Bond Aa/A+ 01/01/12 6.625 1,101,560
-----------
TOTAL NEW YORK.......................... 63,637,343
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL RATINGS MATURITY
AMOUNT SECURITY DESCRIPTION SECURITY SECTOR MOODY'S/S&P DATE RATE VALUE
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
PUERTO RICO (5.5%)
$1,250,000 Puerto Rico Electric Power Authority
(Refunding, Series W), MBIA Insured... Insured Aaa/AAA 07/01/00 6.000% $ 1,333,763
3,000,000 University of Puerto Rico (University
Revenues, Refunding, Series N)........ Insured Aaa/AAA 06/01/05 6.250 3,330,720
-----------
TOTAL PUERTO RICO....................... 4,664,483
-----------
TEXAS (3.8%)
200,000 Austin, Water Sewer & Electric
(Refunding, Escrowed to Maturity)..... Revenue Bond A/A- 11/15/97 13.500 237,366
3,021,859 Texas State (Tax & Revenue Anticipation
Note, Series A)....................... TRAN MIG1/Spl+ 08/30/96(B) 4.750 3,021,960
-----------
TOTAL TEXAS............................. 3,259,326
-----------
TOTAL INVESTMENTS (102.9%)
(COST $85,164,955) 87,538,141
LIABILITIES IN EXCESS OF OTHER ASSETS
(-2.9%) (2,506,592)
-----------
NET ASSETS (100.0%) $85,031,549
-----------
-----------
<FN>
(A) The date shown represents a mandatory/optional put date or call date.
(B) The interest rates on variable rate notes are reset periodically. The rates stated are the current rates as of
September 30, 1995. The maturity dates shown are the stated maturities.
1. Based on the cost of investments of $85,164,955 for federal income tax purposes at September 30, 1995 the aggregate
gross unrealized appreciation and depreciation was $2,396,506 and $23,320 respectively, resulting in net unrealized
appreciation of investments of $2,373,186.
2. Abbreviations used in the schedule of investments are as follows: AMBAC -- American Municipal Bond Assurance
Corporation; FGIC -- Financial Guaranty Insurance Company; FHA -- Federal Housing Authority; MBIA -- Municipal Bond
Investors Assurance Corp.; NRR -- Not Rerated; PCR --Pollution Control Revenue; TRAN -- Tax Revenue Anticipation
Note.
3. Prerefunded -- Bonds for which the issuer of the bond invests the proceeds from a subsequent bond issuance in
treasury securities whose maturity coincides with the first call date of the first bond.
Refunding -- Bonds for which the issuer has issued new bonds and cancelled the old issue.
Escrowed to Maturity -- Bonds for which cash and/or securities have been deposited with a third party to cover the
payments of principal and interest at the maturity of the bond.
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $85,164,955)
$87,538,141
Interest Receivable
1,324,525
Deferred Organization Expenses
8,298
Prepaid Insurance
693
-----------
Total Assets
88,871,657
-----------
LIABILITIES
Payable for Securities Purchased
3,732,108
Advisory Fee Payable
28,407
Payable to Custodian
24,690
Custody Fee Payable
21,401
Fund Service Fee Payable
586
Administration Fee Payable
375
Accrued Expenses
32,541
-----------
Total Liabilities
3,840,108
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests
$85,031,549
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest $1,884,398
EXPENSES
Advisory Fee $107,385
Professional Fees 22,762
Custodian Fees and Expenses 15,376
Financial and Fund Accounting Services Fee 6,529
Fund Services Fee 3,090
Administration Fee 2,144
Amortization of Organization Expenses 1,155
Trustees' Fees and Expenses 824
Miscellaneous 7,092
--------
Total Expenses (166,357)
----------
NET INVESTMENT INCOME 1,718,041
NET REALIZED GAIN ON INVESTMENTS 323,340
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS 1,389,171
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,430,552
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX APRIL 11, 1994
MONTHS ENDED (COMMENCEMENT
SEPTEMBER 30, OF
1995 OPERATIONS) TO
INCREASE IN NET ASSETS (UNAUDITED) MARCH 31, 1995
--------------- ---------------
<S> <C> <C>
FROM OPERATIONS
Net Investment Income $ 1,718,041 $ 1,840,235
Net Realized Gain (Loss) on Investments 323,340 (125,677)
Net Change in Unrealized Appreciation of Investments 1,389,171 984,015
--------------- ---------------
Net Increase in Net Assets Resulting from Operations 3,430,552 2,698,573
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 27,123,153 72,754,445
Withdrawals (4,353,463) (16,721,811)
--------------- ---------------
Net Increase from Investors' Transactions 22,769,690 56,032,634
--------------- ---------------
Total Increase in Net Assets 26,200,242 58,731,207
NET ASSETS
Beginning of Period 58,831,307 100,100
--------------- ---------------
End of Period $85,031,549 $58,831,307
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX APRIL 11, 1994
MONTHS ENDED (COMMENCEMENT OF
SEPTEMBER 30, 1995 OPERATIONS) TO
(UNAUDITED) MARCH 31, 1995
------------------- -------------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS (A)
Expenses 0.46% 0.48%
Net Investment Income 4.80% 4.59%
Decrease Reflected in Expense Ratio due to Expense Reimbursement by Morgan -- 0.03%
Portfolio Turnover 24% 63%
<FN>
- ------------------------
(a) Annualized
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The New York Total Return Bond Portfolio (the "Portfolio") is registered under
the Investment Company Act of 1940, as amended, as a non-diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio commenced operations on April 11, 1994. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)Portfolio securities are valued by an outside independent pricing service
approved by the Trustees. 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 readily
available closing bid price on such exchanges, or at the quoted bid price
in the over-the-counter market. Because of the large number of municipal
bond issues outstanding and the varying maturity dates, coupons and risk
factors applicable to each issuer's bonds, no readily available market
quotations exist for most municipal securities. Securities or other assets
for which market quotations are not readily available are valued in
accordance with procedures established by the Portfolio's Trustees. Such
procedures include the use of comparable quality, coupon, maturity and
type, indications as to values from dealers, and general market
conditions. All 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 by the Portfolio on a
straight-line basis over a five-year period from 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 taxable 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.
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan a fee at an annual rate of
0.30% of the Portfolio's average daily net assets. For the six months
ended September 30, 1995, this fee amounted to $107,385.
b)The Portfolio retains Signature Broker-Dealer Services, Inc. ("Signature")
to serve as Administrator and exclusive placement agent. Signature
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 Portfolio's
officers affiliated with Signature. The agreement provides for a fee to be
paid to Signature at an annual fee rate determined by the following
schedule: 0.01% of the first $1 billion of the aggregate average daily net
assets of the Portfolio and the other portfolios subject to the
Administrative Services Agreement, 0.008% of the next $2 billion of such
net assets, 0.006% of the next $2 billion of such net assets, and 0.004%
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied daily to the net assets of the Fund. For the six
months ended September 30, 1995, Signature's fee for these services
amounted to $2,144.
c)During the six months ended September 30, 1995, the Portfolio had a
Financial and Fund Accounting Services Agreement ("Services Agreement")
with Morgan under which Morgan received a fee, based on the percentages
described below, for overseeing certain aspects of the administration and
operation of the Portfolio which was also designed to provide an expense
limit for certain expenses of the Portfolio. The fee was calculated at
0.10% of the Portfolio's average daily net assets up to $200 million,
0.05% of the next $200 million of average daily net assets, and 0.03% of
average daily net assets thereafter. For the six months ended September
30, 1995, the fee for these services amounted to $6,529. Effective
September 1, 1995, the Services Agreement was terminated and an interim
agreement was entered into between the Portfolio and Morgan, which
provides for the continuation of the oversight services that were outlined
under the prior agreement and that Morgan shall bear all of its expenses
incurred in connection with these services.
d)The Portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the Trustees in exercising their overall supervisory
responsibilities for the Portfolio's affairs. The Trustees of the
Portfolio represent all the existing shareholders of Group. The
Portfolio's allocated portion of Group's costs in performing its services
amounted to $3,090 for the six months ended September 30, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
Trustee of The Pierpont Funds, The JPM Institutional Funds, and their
corresponding Portfolios and The Series Portfolio. The Trustees' Fees and
Expenses shown in the financial statements represent the Portfolio's
allocated portion of these total fees and expenses. The Trustee who serves
as Chairman and Chief Executive Officer of these Funds and Portfolios also
serves as Chairman of Group and received
23
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
SEPTEMBER 30, 1995
- --------------------------------------------------------------------------------
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 $400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended September 30, 1995, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
------------- -------------
<S> <C> <C>
Municipal Obligations $ 43,560,858 $ 16,607,976
</TABLE>
24
