<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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 (96.6%)
ALASKA (1.0%)
$ 2,000 North Slope Borough, Zero Coupon, (Capital
Appreciation, Series A), MBIA Insured.......... GO Aaa/AAA 06/30/01 0.000% $ 1,693,840
-------------
CALIFORNIA (0.6%)
1,000 Kaweah Delta Hospital District, Tulare County,
(Series F, due 06/01/14)....................... PP NR/NR 06/01/00(a) 5.250 1,000,330
-------------
GEORGIA (0.5%)
750 Georgia Municipal Electric Authority, (Refunding,
Series A)...................................... RB A/A 01/01/12 6.500 844,785
-------------
NEVADA (0.8%)
2,450 Clark County School District, Zero Coupon,
(Refunding, Series B), FGIC Insured............ GO Aaa/AAA 03/01/09 0.000 1,384,666
-------------
NEW YORK (88.8%)
2,250 Grand Central District Management Association
Inc., (Business Improvement District,
Prerefunded, due 01/01/22)..................... SO Aaa/AAA 01/01/02(a) 6.500 2,484,360
4,000 Metropolitan Transportation Authority, (Commuter
Facilities, Refunding, Series D), MBIA
Insured........................................ RB Aaa/AAA 07/01/06 6.000 4,405,480
5,500 Metropolitan Transportation Authority, (Dedicated
Tax Fund, Series A), MBIA Insured.............. RB Aaa/AAA 04/01/11 6.250 6,232,985
1,370 Metropolitan Transportation Authority, (Service
Contract, Commuter Facilities, Refunding,
Series N)...................................... RB Baa1/BBB+ 07/01/02 6.625 1,488,930
1,500 Metropolitan Transportation Authority, (Service
Contract, Commuter Facilities, Refunding,
Series O)...................................... RB Baa1/BBB+ 07/01/08 5.750 1,590,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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)
$ 1,500 Metropolitan Transportation Authority,
(Transportation Facilities, Refunding, Series
K), MBIA Insured............................... RB Aaa/AAA 07/01/07 6.300% $ 1,688,400
1,075 Monroe County, (Public Improvement, Partially
Prerefunded, Partially Escrowed to Maturity),
AMBAC Insured.................................. GO Aaa/AAA 06/01/08 5.875 1,182,801
55 Monroe County, (Public Improvement, Prerefunded,
Escrowed to Maturity), AMBAC Insured........... GO Aaa/AAA 06/01/08 5.875 60,759
1,500 Municipal Assistance Corp. for the City of New
York, (Refunding, Series J).................... RB Aa2/AA- 07/01/04 6.000 1,633,290
2,000 Municipal Assistance Corp. for the City of New
York, (Series 68).............................. RB Aa2/AA 07/01/99 7.000 2,101,460
1,460 New York City Industrial Development Agency,
(Civil Facilities Revenue, YMCA Greater New
York Project).................................. RB Baa3/NR 08/01/05 6.000 1,555,528
1,000 New York City Industrial Development Agency,
(Civil Facilities Revenue, YMCA Greater New
York Project).................................. RB Baa3/NR 08/01/06 6.000 1,066,960
1,750 New York City, (Refunding, Series A)............. GO Baa1/BBB+ 08/01/02 5.750 1,837,027
1,250 New York City, (Refunding, Series A)............. GO Baa1/BBB+ 08/01/04 7.000 1,410,100
1,715 New York City, (Refunding, Series A)............. GO Baa1/BBB+ 08/01/02 5.700 1,796,600
6,000 New York City, (Refunding, Series A, due
08/01/03)...................................... GO Baa1/BBB+ 08/01/02(a) 6.250 6,472,260
1,070 New York City, (Refunding, Series C)............. GO Baa1/BBB+ 02/01/04 6.000 1,140,556
1,500 New York City, (Refunding, Series H)............. GO Baa1/BBB+ 03/15/05 6.500 1,650,360
4,135 New York City, (Refunding, Series M)............. GO Baa1/BBB+ 06/01/99 6.000 4,258,223
3,125 New York City, (Refunding, Series M)............. GO Baa1/BBB+ 06/01/00 6.000 3,254,219
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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 Dormitory Authority, (City
University System, Series D)................... RB Baa1/BBB+ 07/01/03 8.750% $ 1,200,730
1,900 New York State Dormitory Authority, (Mental
Health Services Facilities Improvement,
Refunding, Series E), AMBAC Insured............ RB Aaa/AAA 08/15/04 6.000 2,064,464
5,650 New York State Dormitory Authority, (Mental
Health Services Facilities Improvements,
Refunding, Series B)........................... RB Baa1/A- 02/15/06 6.000 6,076,405
1,175 New York State Dormitory Authority, (Mental
Health Services Facilities Improvements, Series
B)............................................. RB Baa1/A- 02/15/09 6.500 1,326,411
1,750 New York State Dormitory Authority, (State
University Educational Facilities, Prerefunded,
Series B, due 05/15/15)........................ RB Aaa/BBB+ 05/15/00(a) 7.250 1,919,050
1,500 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series A)...................................... RB Baa1/BBB+ 05/15/04 6.500 1,648,500
1,500 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series A), AMBAC Insured....................... RB Aaa/AAA 05/15/07 5.500 1,605,150
3,000 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series A), FGIC Insured........................ RB Aaa/AAA 05/15/11 5.875 3,291,210
1,580 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series B), AMBAC Insured....................... RB Aaa/AAA 05/15/09 5.250 1,644,116
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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 Dormitory Authority, (State
University Educational Facilities, Series A)... RB Baa1/BBB+ 05/15/99 6.625% $ 1,040,200
1,210 New York State Dormitory Authority, (University
of Rochester, Series A)........................ RB A1/A+ 07/01/06 6.500 1,373,072
1,110 New York State Dormitory Authority, (Lease
Revenue, State University Dormitory Facilities,
Series A), AMBAC Insured....................... RB Aaa/AAA 07/01/11 6.000 1,228,681
5,000 New York State Environmental Facilities Corp.,
(PCR, Refunding)............................... RB Aa2/A- 06/15/11 5.750 5,363,300
5,000 New York State Environmental Facilities Corp.,
(Special Obligation, Prerefunded, due
04/01/22)...................................... RB Aaa/AAA 04/01/02(a) 7.375 5,721,400
1,000 New York State Housing Finance Agency, (Service
Contract Obligation, Prerefunded, Series A, due
09/15/20)...................................... RB Aaa/AAA 03/15/01(a) 7.800 1,132,400
1,250 New York State Local Government Assistance Corp.,
(Prerefunded, Series A, due 04/01/16).......... RB Aaa/AAA 04/01/01(a) 7.000 1,386,900
1,000 New York State Local Government Assistance Corp.,
(Prerefunded, Series A, due 04/01/21).......... RB Aaa/AAA 04/01/02(a) 7.125 1,134,130
2,000 New York State Local Government Assistance Corp.,
(Refunding, Series A), AMBAC Insured........... RB Aaa/AAA 04/01/06 6.000 2,191,540
3,350 New York State Local Government Assistance Corp.,
(Refunding, Series E).......................... RB A3/A+ 04/01/14 6.000 3,679,707
1,000 New York State Local Government Assistance Corp.,
(Series A)..................................... RB A3/A+ 04/01/00 6.200 1,047,530
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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.,
(Series C)..................................... RB A3/A+ 04/01/12 6.000% $ 1,095,770
1,500 New York State Medical Care Facilities Finance
Agency, (Mental Health Services, Refunding,
Series F)...................................... RB Baa1/A- 02/15/03 6.000 1,593,045
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(a) 7.450 1,713,065
2,000 New York State Power Authority, (Revenue &
General Purpose, Refunding, Series W).......... RB Aa2/AA- 01/01/03 6.625 2,209,460
2,195 New York State Power Authority, (Revenue &
General Purpose, Refunding, Series W).......... RB Aa2/AA- 01/01/08 6.500 2,505,658
2,000 New York State Thruway Authority, (Service
Contract, Local Highway & Bridge).............. RB Baa1/BBB 04/01/05 6.000 2,145,820
2,000 New York State Thruway Authority, (Service
Contract, Local Highway & Bridge, Refunding)... RB Baa1/BBB+ 04/01/04 5.500 2,084,200
2,470 New York State Urban Development Corp., (Center
for Industrial Innovation, Refunding).......... RB Baa1/BBB+ 01/01/06 6.250 2,695,635
1,155 New York State Urban Development Corp., (Center
for Industrial Innovation, Refunding).......... RB Baa1/BBB+ 01/01/07 6.250 1,265,279
3,000 New York State Urban Development Corp.,
(Correctional Capital Facilities, Prerefunded,
Series 2, due 01/01/21)........................ RB Aaa/BBB+ 01/01/01(a) 6.500 3,215,040
2,000 New York State Urban Development Corp.,
(Correctional Capital Facilities, Series 6).... RB Baa1/BBB+ 01/01/03 6.000 2,122,480
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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)
$ 2,635 New York State Urban Development Corp.,
(Sub-Lien, Refunding).......................... RB A/A 01/01/06 6.000% $ 2,872,519
5,250 New York State, (Refunding, Series A)............ GO A2/A- 07/15/06 6.500 5,960,115
1,000 Orange County, (Refunding)....................... GO Aa2/NR 11/15/04 5.500 1,068,490
1,000 Orange County, (Refunding)....................... GO Aa2/NR 11/15/05 5.500 1,073,000
7,730 Port Authority of New York & New Jersey, (Special
Obligation, Series 6), MBIA Insured............ RB Aaa/AAA 12/01/11 6.250 8,693,545
1,030 Suffolk County Water Authority, Water Systems
Revenue, (Prerefunded, due 06/01/04), AMBAC
Insured........................................ RB Aaa/AAA 06/01/00(a) 6.600 1,113,986
1,000 Triborough Bridge & Tunnel Authority, (General
Purpose, Series A)............................. RB Aa/A+ 01/01/11 6.000 1,104,150
1,000 Triborough Bridge & Tunnel Authority, (General
Purpose, Series X)............................. RB Aa/A+ 01/01/12 6.625 1,167,490
1,500 Triborough Bridge & Tunnel Authority, (General
Purpose, Series Y)............................. RB Aa/A+ 01/01/07 5.900 1,639,575
3,000 Triborough Bridge & Tunnel Authority,
(Prerefunded, Series T, due 01/01/20).......... RB Aaa/A+ 01/01/01(a) 7.000 3,312,810
1,000 Trust for Cultural Resources of the City of New
York, (Series 1997, due 01/01/05).............. PP NR/NR 10/01/01(a) 5.250 1,011,960
2,000 United Nations Development Corp., (Senior Lien,
Series A, Prerefunded, due 07/01/26)........... RB A2/NR 07/01/03(a) 6.000 2,204,980
3,230 Yonkers, (Series C), AMBAC Insured............... GO Aaa/AAA 08/01/04 5.500 3,414,175
-------------
TOTAL NEW YORK............................... 150,667,441
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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 (3.2%)
$ 2,000 Puerto Rico Commonwealth, (Refunding)............ GO Baa1/A 07/01/99 5.500% $ 2,049,480
3,000 University of Puerto Rico, (Refunding, Series N),
MBIA Insured................................... RB Aaa/AAA 06/01/05 6.250 3,357,750
-------------
TOTAL PUERTO RICO............................ 5,407,230
-------------
TEXAS (0.1%)
120 Austin, Water Sewer & Electric Revenue, (Escrowed
to Maturity, Refunding)........................ RB A/NR 11/15/97 13.500 121,418
-------------
MISCELLANEOUS (1.6%)
2,100 Mashantucket Western Pequot Tribe, (Special
Revenue, Series A), 144A....................... RB Baa2/BBB- 09/01/01 6.250 2,230,620
500 Mashantucket Western Pequot Tribe, (Special
Revenue, Series A), 144A....................... RB Baa2/BBB- 09/01/02 6.250 535,930
-------------
TOTAL MISCELLANEOUS.......................... 2,766,550
-------------
TOTAL LONG TERM INVESTMENTS (COST $157,651,093)............................................... 163,886,260
-------------
SHORT-TERM INVESTMENTS (3.4%)
GEORGIA (0.6%)
1,000 Bartow County, Georgia Development Authority,
(PCR, Georgia Power Co.,
1st Series, due 06/01/23)...................... VRDN VMIG1/NR 10/01/97(a) 4.000 1,000,000
NEW YORK (2.5%)
700 New York City Municipal Water Finance Authority,
(Water and Sewer Systems Revenue, Series A, due
06/15/25), FGIC Insured........................ VRDN VMIGI/A-1+ 10/01/97(a) 4.100 700,000
900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems Revenue, Series C, due
06/15/23), FGIC Insured........................ VRDN VMIGI/A-1+ 10/01/97(a) 3.850 900,000
100 New York City, (Series B, due 10/01/21), FGIC
Insured........................................ VRDN VMIGI/A-1+ 10/01/97(a) 4.100 100,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<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)
$ 2,000 New York State Energy Research and Development
Authority, (PCR, New York Electric and Gas,
Refunding, Series B, due 02/01/29), LOC Union
Bank of Switzerland............................ VRDN VMIGI/A-1+ 10/01/97(a) 3.900% $ 2,000,000
500 New York State Energy Research and Development
Authority, (PCR, New York Electric and Gas,
Refunding, Series D, due 10/01/29), LOC Union
Bank of Switzerland............................ VRDN VMIGI/A-1+ 10/01/97(a) 3.700 500,000
-------------
4,200,000
-------------
WASHINGTON (0.3%)
500 Washington State Health Care Facilities Authority
(VA Mason Medical Center, Refunding, Series B,
due 02/15/27).................................. VRDN VMIG1/A-1+ 10/01/97(a) 3.850 500,000
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $5,700,000).................................................... 5,700,000
-------------
TOTAL INVESTMENTS (COST $163,351,093) (100.0%).................................................... 169,586,260
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%)...................................................... 45,631
-------------
NET ASSETS (100.0%)............................................................................... $ 169,631,891
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $163,351,093 for federal income tax
purposes at September 30, 1997, the aggregate gross unrealized appreciation and
depreciation was $6,241,720 and $6,553, respectively, resulting in net
unrealized appreciation of investments of $6,235,167.
(a) 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, MBIA - Municipal Bond
Investors Assurance Corp., LOC - Letter of Credit, PCR - Pollution Control
Revenue, PP - Private Placement, RB - Revenue Bond, SO - Special Obligation,
VRDN - Variable Rate Demand Note.
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 coincides with the first call date of the first 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.
25
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $163,351,093 ) $169,586,260
Cash 4,810
Receivable for Investments Sold 4,146,440
Interest Receivable 2,584,157
Deferred Organization Expenses 3,472
Prepaid Trustees' Fees 171
Prepaid Expenses and Other Assets 1,087
------------
Total Assets 176,326,397
------------
LIABILITIES
Payable for Investments Purchased 6,601,140
Advisory Fee Payable 41,576
Custody Fee Payable 12,432
Administrative Services Fee Payable 7,540
Administration Fee Payable 381
Fund Services Fee Payable 105
Accrued Expenses 31,332
------------
Total Liabilities 6,694,506
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $169,631,891
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $4,154,261
EXPENSES
Advisory Fee $243,251
Custodian Fees and Expenses 28,950
Administrative Services Fee 24,950
Professional Fees and Expenses 18,384
Fund Services Fee 2,822
Trustees' Fees and Expenses 1,552
Administration Fee 1,452
Amortization of Organization Expenses 1,155
Miscellaneous 4,428
--------
Total Expenses 326,944
----------
NET INVESTMENT INCOME 3,827,317
NET REALIZED GAIN ON INVESTMENTS 310,536
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 4,736,566
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $8,874,419
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
SEPTEMBER 30, 1997 YEAR ENDED
(UNAUDITED) MARCH 31, 1997
------------------ --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,827,317 $ 6,033,800
Net Realized Gain (Loss) on Investments 310,536 (18,872)
Net Change in Unrealized Appreciation
(Depreciation) of Investments 4,736,566 (401,871)
------------------ --------------
Net Increase in Net Assets Resulting from
Operations 8,874,419 5,613,057
------------------ --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 46,409,477 71,063,672
Withdrawals (33,574,989) (27,423,240)
------------------ --------------
Net Increase from Investors' Transactions 12,834,488 43,640,432
------------------ --------------
Total Increase in Net Assets 21,708,907 49,253,489
NET ASSETS
Beginning of Period 147,922,984 98,669,495
------------------ --------------
End of Period $ 169,631,891 $ 147,922,984
------------------ --------------
------------------ --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
FOR THE YEAR ENDED APRIL 11, 1994
SIX MONTHS ENDED MARCH 31, (COMMENCEMENT OF
SEPTEMBER 30, 1997 ------------------ OPERATIONS) TO
(UNAUDITED) 1997 1996 MARCH 31, 1995
------------------ ------ ------ ----------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.40%(a) 0.43% 0.44% 0.48%(a)
Net Investment Income 4.72%(a) 4.75% 4.72% 4.59%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- -- -- 0.03%(a)
Portfolio Turnover 27% 35% 41% 63%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30,1997
- --------------------------------------------------------------------------------
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 on June 16, 1993. 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 with a maturity of more than 60 days, including
securities that are listed on an exchange or traded over the counter, are
valued using prices supplied daily by an independent pricing service or
services that (i) are based 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 exchange or at the quoted bid price in
the OTC market, if such exchange or market constitutes the broadest and
most representative market for the security and (ii) in other cases, take
into account various factors affecting market value, including yields and
prices of comparable securities, indications as to value from dealers and
general market conditions. If such prices are not supplied by the Fund's
independent pricing service, such securities are priced in accordance with
procedures adopted by the Trustees. All portfolio securities with a
remaining maturity of 60 days or less are valued by the amortized cost
method. 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. The Portfolio values municipal securities on the
basis of prices from a pricing service which uses information with respect
to transactions in bonds, quotations from bond dealers, market
transactions in comparable securities and various relationships between
securities in determining values.
b) The Portfolio incurred organization expenses in the amount of $11,473.
Morgan Guaranty Trust Company of New York ("Morgan") has agreed to pay the
organization expenses of the Portfolio. The Portfolio has agreed to
reimburse Morgan for these costs which are being deferred and amortized on
a straight-line basis over a period not to exceed five years beginning
with the commencement of operations of the Portfolio.
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.
29
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30,1997
- --------------------------------------------------------------------------------
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. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) The Portfolio has an Investment Advisory Agreement with Morgan. Under the
terms of the agreement, the Portfolio pays Morgan at an annual rate of
0.30% of the Portfolio's average daily net assets. For the six months
ended September 30, 1997, such fees amounted to $243,251.
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 six months ended September 30, 1997, the fee
for these services amounted to $1,452.
c) The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the Portfolio.
Under the Services Agreement, the Portfolio has agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated based on the aggregate average daily net assets of the
Portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "Master Portfolios") and JPM 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 JPM Series Trust. For the
six months ended September 30, 1997, the fee for these services amounted
to $24,950.
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 $2,822 for the six months ended September 30, 1997.
e) An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the Portfolio's allocated
portion of the total
30
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30,1997
- --------------------------------------------------------------------------------
fees and expenses. Prior to April 1, 1997, the aggregate annual Trustee
Fee was $65,000. The Portfolio's Chairman and Chief Executive Officer also
serves as Chairman of Group and receives compensation and employee
benefits from Group in his role as Group's Chairman. The allocated portion
of such compensation and benefits included in the Fund Services Fee shown
in the financial statements was $600.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended September 30, 1997, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------- -----------
<S> <C> <C>
Municipal Obligations............................ $53,258,216 $49,017,433
</TABLE>
4. CREDIT AGREEMENT
The Portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the Fund's Notes to the Financial
Statements which are included elsewhere in this report.
31
