<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (96.4%)
ALASKA (1.2%)
$ 2,000 North Slope Borough, (Capital
Appreciation, Series A, Zero
Coupon), MBIA Insured ........... GO Aaa/AAA 06/30/01 0.000% $ 1,575,960
------------
ARIZONA (2.0%)
1,015 Tucson, (Street & Highway User
Revenue, Senior Lien, Series
1994-B), MBIA Insured ........... RB Aaa/AAA 07/01/11 7.500 1,223,958
1,250 Tucson, (Street & Highway User
Revenue, Senior Lien, Series
1994-B), MBIA Insured ........... RB Aaa/AAA 07/01/12 7.500 1,513,987
------------
TOTAL ARIZONA ................. 2,737,945
------------
CALIFORNIA (2.4%)
1,000 California ........................ GO A1/A+ 02/01/09 6.600 1,107,720
1,000 California ........................ GO A1/A+ 09/01/10 6.500 1,105,580
1,000 Kaweah Delta Hospital District,
Tulare County, (Series F, due
06/01/14) ....................... PP NR/NR 06/01/97(b) 5.250 1,009,310
------------
TOTAL CALIFORNIA .............. 3,222,610
------------
GEORGIA (4.3%)
3,500 Georgia, (Series D) ............... GO Aaa/AA+ 09/01/13 3.250 2,655,905
1,000 Gwinnett County School District,
(Refunding, Series B) ........... GO Aa1/AA 02/01/07 6.400 1,104,200
750 Municipal Electric Authority,
(First Crossover, General
Resolution) ..................... SO A/A 01/01/12 6.500 811,312
1,000 Municipal Electric Authority,
Project 1, (Sixth Crossover),
AMBAC Insured ................... RB Aaa/AAA 01/01/08 7.000 1,143,510
------------
TOTAL GEORGIA ................. 5,714,927
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (4.7%)
$ 1,355 Chicago Metropolitan Water
Reclamation District, (Greater
Chicago, Capital Improvement) ... GO Aa/AA 12/01/09 5.600% $ 1,376,612
2,200 Chicago Motor Fuel Tax Revenue,
(Refunding), AMBAC Insured ...... RB Aaa/AAA 01/01/09 6.125 2,343,418
2,500 Illinois, Sales Tax Revenue,
(Refunding, Series Q) ........... RB A1/AAA 06/15/12 6.000 2,614,000
------------
TOTAL ILLINOIS ................ 6,334,030
------------
MASSACHUSETTS (0.8%)
1,000 Massachusetts Bay Transportation
Authority, General Transportation
System, (Refunding, Series A) ... RB A1/A+ 03/01/08 7.000 1,145,120
------------
NEVADA (0.9%)
2,450 Clark County School District, Zero
Coupon, (Refunding, Series B),
FGIC Insured .................... GO Aaa/AAA 03/01/09 0.000 1,220,541
------------
NEW JERSEY (3.2%)
2,000 New Jersey Transportation Traffic
Authority, (Refunding, Series B),
MBIA Insured .................... RB Aaa/AAA 06/15/10 6.500 2,219,160
2,000 New Jersey Turnpike Authority,
(Series A) ...................... RB Baa1/BBB+ 01/01/98 5.200 2,022,560
------------
TOTAL NEW JERSEY .............. 4,241,720
------------
NEW YORK (69.0%)
2,250 Grand Central District Management
Association Inc., (Business
Improvement District,
Prerefunded, due 01/01/22) ...... SO Aaa/AAA 01/01/02(b) 6.500 2,476,057
555 Islip, (Prerefunded, due 06/01/01),
MBIA Insured .................... GO Aaa/AAA 06/01/98(b) 7.300 594,161
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,370 Metropolitan Transportation
Authority, (NY Service Contract,
Commuter Facilities, Refunding,
Series N) ....................... RB Baa1/BBB 07/01/02 6.625% $ 1,472,901
1,500 Metropolitan Transportation
Authority, (NY Service Contract,
Commuter Facilities, Refunding,
Series O) ....................... RB Baa1/BBB 07/01/08 5.750 1,499,850
1,500 Metropolitan Transportation
Authority, (NY Transportation
Facilities, Refunding, Series K),
MBIA Insured .................... RB Aaa/AAA 07/01/07 6.300 1,650,045
55 Monroe County, (Public Improvement,
Prerefunded, Escrowed to
Maturity), AMBAC Insured ........ GO Aaa/AAA 06/01/08 5.875 58,213
1,075 Monroe County, (Public Improvement,
Unrefunded Balance), AMBAC
Insured ......................... GO Aaa/AAA 06/01/08 5.875 1,131,061
2,000 Municipal Assistance Corporation
for City of New York, (Refunding,
Series 68) . RB Aa/AA- 07/01/99 7.000 2,130,580
2,000 Municipal Assistance Corporation
for City of New York, (Refunding,
Series D), AMBAC Insured ........ RB Aaa/AAA 07/01/00 6.000 2,100,260
1,475 New York City Municipal Water
Finance Authority, (Water and
Sewer Systems, Prerefunded,
Series A, due 06/15/09) ......... RB NR/AAA 06/15/99(b) 7.375 1,609,771
1,750 New York City, (Refunding, Series
A) .............................. GO Baa1/BBB+ 08/01/02 5.750 1,775,795
1,250 New York City, (Refunding, Series
A) .............................. GO Baa1/BBB+ 08/01/04 7.000 1,349,788
6,000 New York City, (Refunding, Series
A, due 08/01/03) ................ GO Baa1/BBB+ 08/01/02(b) 6.250 6,214,980
1,070 New York City, (Refunding, Series
C) .............................. GO Baa1/BBB+ 02/01/04 6.000 1,087,644
1,500 New York City, (Refunding, Series
H) .............................. GO Baa1/BBB+ 03/15/05 6.500 1,568,340
1,500 New York City, (Refunding, Series
H, Escrowed to Maturity) ........ GO Aaa/AAA 08/01/00 7.875 1,676,415
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,700 New York State Dormitory Authority,
(City University System,
Prerefunded, Series A, due
07/01/20) ....................... RB Aaa/BBB 07/01/00(b) 7.625% $ 4,158,800
1,000 New York State Dormitory Authority,
(City University System,
Refunding, Series D) ............ RB Baa1/BBB 07/01/03 8.750 1,192,820
1,175 New York State Dormitory Authority,
(Mental Health Services
Facilities Improvements, Series
B) .............................. RB Baa1/BBB+ 02/15/09 6.500 1,258,625
1,750 New York State Dormitory Authority,
(State University Educational
Facilities, Prerefunded, Series
B, due 05/15/15) ................ RB Aaa/BBB+ 05/15/00(b) 7.250 1,939,595
1,500 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series
A) .............................. RB Baa1/BBB+ 05/15/04 6.500 1,607,700
1,500 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A),
AMBAC Insured ................... RB Aaa/AAA 05/15/07 5.500 1,544,925
1,000 New York State Dormitory Authority,
(State University Educational
Facilities, Series A) ........... RB Baa1/BBB 05/15/99 6.625 1,050,480
1,210 New York State Dormitory Authority,
(University of Rochester, Series
A) .............................. RB A1/A+ 07/01/06 6.500 1,331,944
1,000 New York State Housing Finance
Agency, (Service Contract
Obligation, Prerefunded, Series
A, due 09/15/20) ................ RB Aaa/AAA 03/15/01(b) 7.800 1,142,480
1,250 New York State Local Government
Assistance Corp., (Prerefunded,
Series A, due 04/01/16), GO of
Corp. ........................... RB Aaa/AAA 04/01/01(b) 7.000 1,391,675
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,000 New York State Local Government
Assistance Corp., (Prerefunded,
Series A, due 04/01/21), GO of
Corp. ........................... RB Aaa/AAA 04/01/02(b) 7.125% $ 1,133,440
3,350 New York State Local Government
Assistance Corp., (Refunding,
Series E) ....................... RB A/A 04/01/14 6.000 3,505,909
1,000 New York State Local Government
Assistance Corp., (Series A) .... RB A/A 04/01/00 6.200 1,049,570
1,000 New York State Local Government
Assistance Corp., (Series C) .... RB A/A 04/01/12 6.000 1,048,500
1,500 New York State Medical Care
Facilities Finance Agency,
(Mental Health Services,
Refunding, Series F) ............ RB Baa1/BBB+ 02/15/03 6.000 1,556,895
1,000 New York State Medical Care
Facilities Finance Agency,
(Prerefunded, due 02/15/19) . RB Aaa/AAA 02/15/99(b) 7.800 1,097,470
1,565 New York State Medical Care
Facilities Finance Agency, (St.
Lukes Hospital, Prerefunded,
Series B, due 02/15/29), FHA
Insured ......................... RB Aaa/AAA 02/15/00(b) 7.450 1,733,848
2,000 New York State Power Authority,
Revenue & General Purpose,
(Refunding, Series W) ........... RB Aa/AA- 01/01/03 6.625 2,192,700
2,195 New York State Power Authority,
Revenue & General Purpose,
(Refunding, Series W) ........... RB Aa/AA- 01/01/08 6.500 2,406,115
2,000 New York State Thruway Authority
Service Contract, (Local Highway
& Bridge) ....................... RB Baa1/BBB 04/01/05 6.000 2,071,300
3,000 New York State Thruway Authority,
(Highway & Bridge, Series A),
MBIA Insured .................... RB Aaa/AAA 04/01/04 6.250 3,261,510
2,470 New York State Urban Development
Corp., (Center for Industrial
Innovation, Refunding) .......... RB Baa1/BBB 01/01/06 6.250 2,568,183
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,155 New York State Urban Development
Corp., (Center for Industrial
Innovation, Refunding) .......... RB Baa1/BBB 01/01/07 6.250% $ 1,214,679
500 New York State Urban Development
Corp., (Correctional Capital
Facilities, Prerefunded, Series
1, due 01/01/14) ................ RB Aaa/NR 01/01/00(b) 7.750 558,070
3,000 New York State Urban Development
Corp., (Correctional Capital
Facilities, Series 2, due
01/01/21) ....................... RB Aaa/NR 01/01/01(b) 6.500 3,220,020
5,250 New York State, (Refunding, Series
A) .............................. GO A/A- 07/15/06 6.500 5,793,480
2,000 New York State, (Refunding, Series
A) .............................. GO A/A- 07/15/07 6.000 2,115,440
3,500 New York State, (Refunding, Series
C) .............................. GO A/A- 10/01/04 6.000 3,740,415
1,030 Suffolk County Water Authority,
(due 06/01/04), AMBAC Insured ... RB Aaa/AAA 06/01/00(b) 6.600 1,120,413
3,000 Triborough Bridge & Tunnel
Authority, (Prerefunded, Series
T, due 01/01/20) ................ RB Aaa/A+ 01/01/01(b) 7.000 3,325,650
1,000 Triborough Bridge & Tunnel
Authority, (Refunding, Series
X) .............................. RB Aa/A+ 01/01/12 6.625 1,118,330
1,500 Triborough Bridge & Tunnel
Authority, (Refunding, Series
Y) .............................. RB Aa/A+ 01/01/07 5.900 1,583,955
------------
TOTAL NEW YORK ................ 92,430,797
------------
PUERTO RICO (5.5%)
1,750 Puerto Rico Commonwealth Aqueduct &
Sewer Authority, (Refunding),
MBIA Insured . RB Aaa/AAA 07/01/07 6.000 1,878,958
1,000 Puerto Rico Commonwealth Highway &
Transportation Authority, (Series
Y), MBIA Insured ................ RB Aaa/AAA 07/01/06 6.250 1,093,040
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
14
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
PUERTO RICO (CONTINUED)
$ 1,000 Puerto Rico Commonwealth Highway &
Transportation Authority, (Series
Y), MBIA Insured ................ RB Aaa/AAA 07/01/07 6.250% $ 1,094,190
3,000 University of Puerto Rico,
(Refunding, Series N) ........... RB Aaa/AAA 06/01/05 6.250 3,291,930
------------
TOTAL PUERTO RICO ............. 7,358,118
------------
TEXAS (0.2%)
200 Austin, Water Sewer & Electric,
(Refunding, Escrowed to
Maturity) ....................... RB A/A- 11/15/97 13.500 220,610
------------
MISCELLANEOUS (0.4%)
500 Mashantucket Western Pequot Tribe,
(Special Revenue, Series A),
144A ............................ RB Baa/BBB 09/01/02 6.250 511,610
------------
U.S. TREASURY OBLIGATIONS (1.8%)
2,500 United States Treasury Bonds ...... 08/15/26 6.750 2,441,675
------------
TOTAL LONG TERM INVESTMENTS (COST $127,087,952) ............................... 129,155,663
------------
SHORT-TERM INVESTMENTS (2.2%)
GEORGIA (0.4%)
500 Burke County Development Authority,
(PCR, Georgia Power Co., Series
1994, Vogtle Project-4th Series,
due 09/01/25) ................... VRDN VMIG1/NR 10/01/96(a) 3.900 500,000
------------
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- ----------------------------------- -------- ----------- -------------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (1.8%)
$ 200 New York City Municipal Water
Finance Authority, (Water and
Sewer Systems, Series 1995A, due
06/15/25), FGIC Insured ......... VRDN VMIGI/A-1+ 10/01/96(a) 4.000% $ 200,000
2,200 New York City, (Series B, due
10/01/20) ....................... VRDN VMIGI/A-1+ 10/01/96(a) 4.000 2,200,000
------------
TOTAL NEW YORK ................ 2,400,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $2,900,000) ................................ 2,900,000
------------
TOTAL INVESTMENTS (COST $129,987,952) (98.6%) ..................................... 132,055,663
OTHER ASSETS IN EXCESS OF LIABILITIES (1.4%) ...................................... 1,934,497
------------
NET ASSETS (100.0%) ............................................................... $133,990,160
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $129,987,952 for federal income tax
purposes at September 30, 1996, the aggregate gross unrealized appreciation and
depreciation was $2,553,337 and $485,626, respectively, resulting in net
unrealized appreciation of investments of $2,067,711.
(a)Variable Rate Demand Note 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.
(b)The date listed under the heading maturity date represents an optional tender
date. The actual maturity date is indicated in the security description.
Definition of terms used:
AMBAC - Ambac Indemnity Corp., FHA - Federal Housing Authority, FGIC - Financial
Guaranty Insurance Company, GO - General Obligation, GO of Corp. - General
Obligation of Corp., MBIA - Municipal Bond Investors Assurance Corp., PCR -
Pollution Control Revenue, PP - Private Placement, RB - Revenue Bond, SO -
Special Obligation, VRDN - Variable Rate Demand Note.
Crossover Refunded-Bonds for which the issuer of the bond invests the proceeds
from a subsequent bond issue in cash and/or securities which have been
deposited.
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.
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.
144A-Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $129,987,952 ) $ 132,055,663
Cash 24,404
Interest Receivable 1,980,269
Deferred Organization Expenses 5,776
Prepaid Expenses and Other Assets 647
--------------
Total Assets 134,066,759
--------------
LIABILITIES
Advisory Fee Payable 31,602
Administrative Services Fee Payable 10,176
Custody Fee Payable 2,777
Accrued Trustees' Fees and Expenses 613
Fund Services Fee Payable 298
Administration Fee Payable 252
Accrued Expenses 30,881
--------------
Total Liabilities 76,599
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $ 133,990,160
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $2,958,675
EXPENSES
Advisory Fee $171,461
Custodian Fees and Expenses 26,509
Professional Fees and Expenses 24,674
Administrative Services Fee 15,672
Administration Fee 5,082
Fund Services Fee 2,757
Trustees' Fees and Expenses 2,004
Amortization of Organization Expenses 1,157
Miscellaneous 4,046
--------
Total Expenses 253,362
----------
NET INVESTMENT INCOME 2,705,313
NET REALIZED GAIN ON INVESTMENTS 7,928
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 167,238
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $2,880,479
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,705,313 $ 3,877,559
Net Realized Gain on Investments 7,928 547,038
Net Change in Unrealized Appreciation of
Investments 167,238 916,458
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 2,880,479 5,341,055
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 39,141,553 45,071,889
Withdrawals (6,701,367) (10,574,756)
-------------- --------------
Net Increase from Investors' Transactions 32,440,186 34,497,133
-------------- --------------
Total Increase in Net Assets 35,320,665 39,838,188
NET ASSETS
Beginning of Period 98,669,495 58,831,307
-------------- --------------
End of Period $ 133,990,160 $ 98,669,495
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
APRIL 11, 1994
FOR THE (COMMENCEMENT
SIX MONTHS ENDED FOR THE FISCAL OF
SEPTEMBER 30, 1996 YEAR ENDED OPERATIONS) TO
(UNAUDITED) MARCH 31, 1996 MARCH 31, 1995
------------------ -------------- --------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.44%(a) 0.44% 0.48%(a)
Net Investment Income 4.72%(a) 4.72% 4.59%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- -- 0.03%(a)
Portfolio Turnover 7%(b) 41% 63%(b)
</TABLE>
- ------------------------
(a)Annualized.
(b)Not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
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 no-load, non-diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York. The Portfolio commenced operations on April 11,
1994. The Portfolio's investment objective is to provide a high after-tax total
return 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)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 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 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.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the Portfolio pays Morgan a fee at an annual rate of 0.30% of the
Portfolio's average daily net assets. For the six months ended September
30, 1996, such fees amounted to $171,461.
b)The Portfolio had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Under an Administration Agreement, Signature provided administrative
services necessary for the operations of the Portfolio, furnished office
space and facilities required for conducting the business of the Portfolio
and paid the compensation of the Portfolio's officers affiliated with
Signature. The agreement provided for a fee to be paid to Signature equal
to the Portfolio's proportionate share of a complex-wide charge based on
the following annual schedule: 0.03% on the first $7 billion of the
aggregate average daily net assets of the Portfolio and the other
portfolios (the "Master Portfolios") in which The JPM Pierpont Funds, The
JPM Institutional Funds or The JPM Advisor Funds invest and 0.01% on the
aggregate average daily net assets of the Master Portfolios in excess of
$7 billion. The portion of this charge paid by the Portfolio was
determined by the proportionate share its net assets bore to the total net
assets of The JPM Pierpont Funds, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period from April 1, 1996
through July 31, 1996, such fees amounted to $4,617. The Administration
Agreement with Signature was terminated July 31, 1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ("FDI"), a
registered broker-dealer, and by Morgan. FDI also serves as the
Portfolio's exclusive placement agent. Under a Co-Administration Agreement
between FDI and the Portfolio, the Portfolio has agreed to pay FDI fees
equal to its allocable share of 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 JPM Pierpont Funds, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period from August 1,
1996 through September 30, 1996, the fee for these services amounted to
$465.
c)The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the Portfolio.
Under the Services Agreement, the Portfolio has agreed to pay Morgan a fee
equal to its proportionate share of an annual complex-wide charge. Until
July 31, 1996, this charge was calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.06% on the first $7 billion of the Master Portfolios'
aggregate average daily net assets and 0.03% of the Master Portfolios'
aggregate average daily net assets in excess of $7 billion. The portion of
this charge paid by the Portfolio was determined by the proportionate
share its net assets bore to the net assets of the Master Portfolios and
investors in the Master Portfolios for which Morgan provided similar
services. For the period from April 1, 1996 through July 31, 1996, the fee
for these services amounted to $8,835.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios'
aggregate average daily net assets and 0.04% of the Master Portfolios'
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The allocation of the Portfolio's
portion of this charge is described above (see Note 2b). For the period
from August 1, 1996 through September 30, 1996, the fee for these services
amounted to $6,837.
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 $2,757 for the six months ended September 30, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represents the Portfolio's allocated portion of the total fees
and expenses. The Portfolio's Chairman and Chief Executive Officer also
serves as Chairman of Group and received 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, 1996, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------------- -----------------
<S> <C> <C>
Municipal Obligations............................. $ 36,456,970 $ 7,389,836
U.S. Government and Agency Obligations............ 2,376,171 --
----------------- -----------------
$ 38,833,141 $ 7,389,836
----------------- -----------------
----------------- -----------------
</TABLE>
22
