<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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 (96.9%)
CALIFORNIA (0.4%)
$ 1,000 Kaweah Delta Hospital District, Tulare
County, (Series F, due 06/01/14)...... PP NR/NR 06/01/00(a) 5.250% $ 1,022,010
-----------
CONNECTICUT (1.0%)
1,000 Mashantucket Western Pequot Tribe,
(Special Revenue, Prerefunded,
Escrowed to Maturity, Series A)
144A.................................. RB Aaa/AAA 09/01/01 6.250 1,065,340
250 Mashantucket Western Pequot Tribe,
(Special Revenue, Prerefunded,
Escrowed to Maturity, Series A)
144A.................................. RB Aaa/AAA 09/01/02 6.250 271,082
1,100 Mashantucket Western Pequot Tribe,
(Special Revenue, Series A) 144A...... RB Baa2/BBB- 09/01/01 6.250 1,165,659
250 Mashantucket Western Pequot Tribe,
(Special Revenue, Series A) 144A...... RB Baa2/BBB- 09/01/02 6.250 268,365
-----------
TOTAL CONNECTICUT................... 2,770,446
-----------
ILLINOIS (1.1%)
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 3,003,750
-----------
MICHIGAN (0.4%)
1,109 City of Detroit Public School, (Public
Power Revenue)........................ PP NR/NR 10/15/00 4.550 1,108,800
-----------
NEW YORK (94.0%)
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 4,182,240
3,100 Long Island Power Authority, (New York
Electric Systems, Refunding, Series
A), AMBAC Insured..................... RB Aaa/Baa1 12/01/09 5.500 3,451,943
4,950 Long Island Power Authority, (New York
Electric Systems, Refunding, Series
A), AMBAC insured..................... RB Aaa/Baa1 12/01/10 5.500 5,526,180
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 3,500 Long Island Power Authority, (New York
Electric Systems, Refunding, Series
A), AMBAC Insured..................... RB Aaa/Baa1 12/01/11 5.500% $ 3,914,050
4,000 Metropolitan Transportation Authority,
(Commuter Facilities, Refunding,
Series D), MBIA Insured............... RB Aaa/AAA 07/01/06 6.000 4,522,680
5,500 Metropolitan Transportation Authority,
(Dedicated Tax Fund, Series A), MBIA
Insured............................... RB Aaa/AAA 04/01/11 6.250 6,491,870
1,370 Metropolitan Transportation Authority,
(Service Contract, Commuter
Facilities, Refunding, Series N)...... RB Baa1/BBB+ 07/01/02 6.625 1,495,122
1,065 Monroe County, (Public Improvement,
Prerefunded, Escrowed to Maturity,
Series 1995), AMBAC Insured........... GO Aaa/AAA 06/01/08 5.875 1,214,419
65 Monroe County, (Public Improvement,
Unrefunded Balance, Series 1995),
AMBAC Insured......................... GO Aaa/AAA 06/01/08 5.875 74,119
4,000 Municipal Assistance Corp. for the City
of New York, (Refunding, Series E, due
07/01/07)............................. RB Aa2/AA 07/01/06(a) 5.500 4,414,520
2,150 Municipal Assistance Corp. for the City
of New York, (Refunding, Series G).... RB Aa2/AA 07/01/05 6.000 2,409,763
4,000 Municipal Assistance Corp. for the City
of New York, (Refunding, Series G).... RB Aa2/AA 07/01/07 6.000 4,573,480
1,500 Municipal Assistance Corp. for the City
of New York, (Refunding, Series J).... RB Aa2/AA 07/01/04 6.000 1,663,485
1,460 New York City Industrial Development
Agency, (Civil Facilities Revenue,
YMCA Greater New York Project)........ RB Baa3/NR 08/01/05 6.000 1,572,989
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 1,136,420
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 3,075 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Series C), AMBAC Insured..... RB Aaa/AAA 06/15/21 6.200% $ 3,372,660
2,400 New York City Transitional Finance
Authority, (Series B)................. RB Aa3/AA 11/15/04 5.250 2,578,320
3,100 New York City Transitional Finance
Authority, (Series C)................. RB Aa3/AA 05/01/05 5.000 3,282,838
4,000 New York City Transitional Finance
Authority, (Series C)................. RB Aa3/AA 05/01/03 5.000 4,194,600
650 New York City, (Prerefunded, Escrowed to
Maturity, Series M)................... GO A3/A- 06/01/00 6.000 674,284
3,295 New York City, (Prerefunded, Series C,
SubSeries C-1)........................ GO Aaa/A- 08/01/18 7.000 3,715,673
670 New York City, (Prerefunded, Series D,
due 02/15/07)......................... GO A3/A- 02/15/05(a) 5.750 742,440
1,250 New York City, (Refunding, Series A).... GO A3/A- 08/01/04 7.000 1,433,012
1,500 New York City, (Refunding, Series A).... GO A3/A- 08/01/06 5.250 1,599,030
6,000 New York City, (Refunding, Series A, due
08/01/03)............................. GO A3/A- 08/01/02(a) 6.250 6,535,440
1,070 New York City, (Refunding, Series C).... GO A3/A- 02/01/04 6.000 1,166,514
1,000 New York City, (Refunding, Series G),
MBIA Insured.......................... GO Aaa/A3 02/01/09 6.750 1,197,470
1,500 New York City, (Refunding, Series H).... GO A3/A- 03/15/05 6.500 1,693,815
4,330 New York City, (Unrefunded Balance,
Series D, due 02/15/07)............... GO A3/A- 02/15/05(a) 5.750 4,708,572
2,280 New York State Dormitory Authority,
(Columbia University)................. RB Aaa/AAA 07/01/07 5.250 2,494,252
2,885 New York State Dormitory Authority, (FHA
Hospital & Nursing Home, Refunding,
Series A), AMBAC Insured.............. RB NR/AAA 08/15/08 5.000 3,054,061
2,000 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Refunding), AMBAC Insured............. RB Aaa/AAA 02/01/04 5.000 2,102,200
2,500 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Refunding, due 08/01/13), AMBAC
Insured............................... RB Aaa/AAA 02/01/08(a) 4.400 2,561,850
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 1,110 New York State Dormitory Authority,
(Lease Revenue, State University
Dormitory Facilities, Refunding,
Series A), AMBAC Insured.............. RB Aaa/AAA 07/01/11 6.000% $ 1,292,129
5,280 New York State Dormitory Authority,
(Long Island Jewish Medical Center,
Refunding), MBIA Insured.............. RB Aaa/AAA 07/01/05 5.000 5,582,280
2,000 New York State Dormitory Authority,
(Memorial Sloan Kettering Cancer,
Series C), MBIA Insured............... RB Aaa/AAA 07/01/19 5.750 2,273,660
5,650 New York State Dormitory Authority,
(Mental Health Services Facilities,
Refunding, Series B).................. RB A3/A- 02/15/06 6.000 6,273,308
2,000 New York State Dormitory Authority, (New
York University, Series A), MBIA
Insured............................... RB Aaa/AAA 07/01/06 5.000 2,129,360
2,510 New York State Dormitory Authority,
(North Shore University Hospital,
Refunding), MBIA Insured.............. RB Aaa/AAA 11/01/05 5.000 2,660,073
2,530 New York State Dormitory Authority,
(North Shore University Hospital,
Refunding), MBIA Insured.............. RB Aaa/AAA 11/01/10 5.500 2,810,349
2,000 New York State Dormitory Authority,
(Secondary Hospital, North General
Hospital, Refunding, Series G)........ RB Baa1/BBB+ 02/15/05 5.500 2,119,440
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding)................ RB A3/A- 05/15/01 5.250 3,104,010
1,500 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A)...... RB A3/A- 05/15/04 6.500 1,683,255
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A), FGIC
Insured............................... RB Aaa/AAA 05/15/11 5.875 3,436,560
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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 Dormitory Authority,
(University of Rochester, Refunding,
Series A), MBIA Insured............... RB Aaa/AAA 07/01/05 5.000% $ 2,120,560
1,210 New York State Dormitory Authority,
(University of Rochester, Series A)... RB A1/A+ 07/01/06 6.500 1,378,069
5,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, New York City Municipal Water,
Refunding)............................ RB Aa2/A+ 06/15/11 5.750 5,670,700
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 5,675,400
1,000 New York State Environmental Facilities
Corp., (State Clean Water & Drinking,
Revolving Funds, Second Resolution,
Series F)............................. RB Aa2/A+ 06/15/07 5.250 1,086,660
2,600 New York State Housing Finance Agency,
(Service Contract Obligation,
Refunding, Series C).................. RB Baa1/BBB+ 03/15/05 4.850 2,692,716
4,000 New York State Local Government
Assistance Corp., (Prerefunded, Series
C, due 04/01/10)...................... RB Aaa/A+ 04/01/01(a) 7.000 4,389,160
2,000 New York State Local Government
Assistance Corp., (Refunding, Series
A).................................... RB A3/A+ 04/01/06 6.000 2,243,140
2,525 New York State Local Government
Assistance Corp., (Refunding, Series
B), MBIA Insured...................... RB Aaa/AAA 04/01/04 5.250 2,692,660
3,350 New York State Local Government
Assistance Corp., (Refunding, Series
E).................................... RB A3/A+ 04/01/14 6.000 3,893,772
2,850 New York State Medical Care Facilities
Finance Agency, (Hospital & Nursing
Home Services, Series D, due
02/15/32)............................. RB Aa2/AA 02/15/03(a) 6.450 3,192,969
1,500 New York State Medical Care Facilities
Finance Agency, (Mental Health
Services, Refunding, Series F)........ RB A3/A- 02/15/03 6.000 1,620,750
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 4,000 New York State Medical Care Facilities
Finance Agency, (Prerefunded, due
08/15/20)............................. RB Aaa/AAA 08/15/00(a) 7.875% $ 4,379,760
2,620 New York State Municipal Bond Bank
Agency, (Special Program, Refunding,
Series A), AMBAC Insured.............. RB Aaa/AAA 03/15/06 5.000 2,783,907
2,000 New York State Power Authority, (Revenue
& General Purpose, Refunding, Escrowed
to Maturity, Series W)................ RB Aaa/AAA 01/01/03 6.625 2,215,000
4,500 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/03 5.000 4,703,805
3,350 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/05 5.500 3,641,082
3,000 New York State Thruway Authority,
(Refunding, Series E)................. RB Aa3/AA- 01/01/07 5.500 3,293,790
2,000 New York State Thruway Authority,
(Service Contract, Local Highway &
Bridge)............................... RB Baa1/BBB+ 04/01/05 6.000 2,206,080
2,000 New York State Thruway Authority,
(Service Contract, Local Highway &
Bridge, Refunding).................... RB Baa1/BBB+ 04/01/04 5.500 2,137,920
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 10,719,368
2,470 New York State Urban Development Corp.,
(Center for Industrial Innovation,
Refunding)............................ RB Baa1/BBB+ 01/01/06 6.250 2,776,700
2,000 New York State Urban Development Corp.,
(Correctional Capital Facilities,
Series 6)............................. RB Baa1/BBB+ 01/01/03 6.000 2,152,700
2,635 New York State Urban Development Corp.,
(Sub Lien, Corporate Purpose,
Refunding)............................ RB A2/A 01/01/06 6.000 2,933,625
5,250 New York State, (Refunding, Series A)... GO A2/A 07/15/06 6.500 6,101,498
3,100 New York State, (Refunding, Series B)... GO A2/A 08/15/05 6.250 3,514,842
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 1,350 New York State, (Refunding, Series C)... GO A2/A 10/01/04 6.000% $ 1,498,419
2,415 New York State, (Refunding, Series F)... GO A2/A 09/15/03 5.000 2,540,339
1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/04 5.500 1,092,350
1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/05 5.500 1,100,500
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 9,094,113
3,000 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
SR, due 01/01/07)..................... RB Aa3/A+ 01/01/99(a) 5.000 3,185,370
1,500 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
Y).................................... RB Aa3/A+ 01/01/07 5.900 1,686,300
3,960 Triborough Bridge & Tunnel Authority,
(Special Obligation, Refunding, Series
A), FGIC Insured...................... RB Aaa/AAA 01/01/07 5.500 4,353,624
1,000 Trust for Cultural Resources of the City
of New York, (Series 1997, due
04/01/05)............................. PP NR/NR 10/01/01(a) 5.250 1,030,450
4,000 United Nations Development Corp.,
(Senior Lien, Series A, Prerefunded,
due 07/01/26)......................... RB Aaa/NR 07/01/03(a) 6.000 4,445,000
3,230 Yonkers, (Series C), AMBAC Insured...... GO Aaa/AAA 08/01/04 5.500 3,490,887
-----------
TOTAL NEW YORK...................... 250,848,720
-----------
TOTAL LONG TERM INVESTMENTS (COST $248,739,622)................................ 258,753,726
-----------
SHORT-TERM INVESTMENTS (3.1%)
ARIZONA (0.4%)
1,200 Chandler Arizona Industrial Development
Authority, (Multifamily Housing,
Southpark Apartments Project,
Refunding, due 12/01/02), LOC Citibank
NA.................................... VRDN NR/A-1+ 10/01/98(b) 3.700 1,200,000
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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>
FLORIDA (0.1%)
$ 200 Dade County, Florida Industrial
Development Authority, (PCR, Florida
Power & Light Co. Project, Refunding,
due 04/01/20)......................... VRDN VMIG1/A-1+ 10/01/98(b) 4.200% $ 200,000
-----------
GEORGIA (0.7%)
1,400 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th Series, due 07/01/24)..... VRDN VMIG1/A-1 10/01/98(b) 4.150 1,400,000
300 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-4th Series, Refunding, due
09/01/25)............................. VRDN VMIG1/A+ 10/01/98(b) 4.200 300,000
200 Monroe County Development Authority,
(PCR, Georgia Power Co., Scherer
Project-2nd Series, Refunding, due
07/01/25)............................. VRDN VMIG1/A-1 10/01/98(b) 4.150 200,000
-----------
1,900,000
-----------
MICHIGAN (0.1%)
200 Midland County Economic Development
Corp., (Dow Chemical Co. Project,
Refunding, Series B, due 12/01/15).... VRDN P-1/A-1 10/01/98(b) 4.250 200,000
-----------
MISSOURI (0.3%)
700 Missouri Environmental Impact Authority
& Energy Resource Authority, (Bayer
Corp. Project, Refunding, due
03/01/09)............................. VRDN P-1/NR 10/01/98(b) 4.250 700,000
-----------
NEW YORK (1.3%)
700 New York City Municipal Water Finance
Authority, (Water and Sewer Systems
Revenue, Refunding, Series A, due
06/15/25), FGIC Insured............... VRDN VMIGI/A-1+ 10/01/98(b) 4.250 700,000
100 New York City, (Series B, due 10/01/21),
FGIC Insured.......................... VRDN VMIG1/A-1+ 10/01/98(b) 4.250 100,000
100 New York City, (Series B, due 10/01/22),
FGIC Insured.......................... VRDN VMIG1/A-1+ 10/01/98(b) 4.250 100,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<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)
$ 200 New York City, (Sub-Series B-4, due
08/15/21), LOC Union Bank of
Switzerland........................... VRDN VMIG1/A-1+ 10/01/98(b) 4.250% $ 200,000
100 New York City, (Sub-Series B-4, due
08/15/22), LOC Union Bank of
Switzerland........................... VRDN VMIG1/A-1+ 10/01/98(b) 4.250 100,000
2,400 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+ 10/01/98(b) 4.100 2,400,000
-----------
3,600,000
-----------
WASHINGTON (0.2%)
400 Washington State Health Care Facilities
Authority, (VA Mason Medical Center,
Refunding, Series B, due 02/15/27).... VRDN VMIG1/A-1+ 10/01/98(b) 4.100 400,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $8,200,000)..................................... 8,200,000
-----------
TOTAL INVESTMENTS (COST $256,939,622) (100.0%)..................................... 266,953,726
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%)....................................... 61,736
-----------
NET ASSETS (100.0%)................................................................ $267,015,462
-----------
-----------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $256,939,622 for federal income tax
purposes at September 30, 1998, the aggregate gross unrealized appreciation and
depreciation was $10,043,015 and $28,911, respectively, resulting in net
unrealized appreciation of investments of $10,014,104.
(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.
Abbreviations used in Schedule of Investments are as follows:
AMBAC - Ambac Indemnity Corp., FGIC - Financial Guaranty Insurance Company, FHA
- -Federal Housing Authority, GO - General Obligation, IDR - Industrial
Development Revenue, 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.
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 canceled the old
issue.
144A: Securities restricted for resale to Qualified Institutional Buyers.
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 (UNAUDITED)
SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $256,939,622 ) $266,953,726
Cash 73,015
Interest Receivable 3,729,006
Deferred Organization Expenses 1,169
Prepaid Trustees' Fees 551
Prepaid Expenses and Other Assets 20
------------
Total Assets 270,757,487
------------
LIABILITIES
Payable for Investments Purchased 3,653,947
Advisory Fee Payable 63,429
Administrative Services Fee Payable 9,366
Custody Fee Payable 2,475
Administration Fee Payable 677
Fund Services Fee Payable 211
Accrued Expenses 11,920
------------
Total Liabilities 3,742,025
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $267,015,462
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 5,606,070
EXPENSES
Advisory Fee $351,242
Custodian Fees and Expenses 33,692
Administrative Services Fee 33,560
Professional Fees and Expenses 20,459
Fund Services Fee 3,379
Administration Fee 1,519
Trustees' Fees and Expenses 1,427
Amortization of Organization Expense 1,154
Miscellaneous 4,870
--------
Total Expenses 451,302
-----------
NET INVESTMENT INCOME 5,154,768
NET REALIZED GAIN ON INVESTMENTS 1,919,979
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 3,653,162
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $10,727,909
-----------
-----------
</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 SIX
MONTHS ENDED FOR THE FISCAL
SEPTEMBER 30, 1998 YEAR ENDED
(UNAUDITED) MARCH 31, 1998
------------------ --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 5,154,768 $ 7,914,129
Net Realized Gain on Investments 1,919,979 1,111,960
Net Change in Unrealized Appreciation of
Investments 3,653,162 4,862,341
------------------ --------------
Net Increase in Net Assets Resulting from
Operations 10,727,909 13,888,430
------------------ --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 83,977,775 87,771,218
Withdrawals (24,701,632) (52,571,222)
------------------ --------------
Net Increase from Investors' Transactions 59,276,143 35,199,996
------------------ --------------
Total Increase in Net Assets 70,004,052 49,088,426
NET ASSETS
Beginning of Period 197,011,410 147,922,984
------------------ --------------
End of Period $ 267,015,462 $ 197,011,410
------------------ --------------
------------------ --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
FOR THE YEAR ENDED MARCH APRIL 11, 1994
SIX MONTHS ENDED 31, (COMMENCEMENT OF
SEPTEMBER 30, 1998 ------------------ OPERATIONS) THROUGH
(UNAUDITED) 1998 1997 1996 MARCH 31, 1995
------------------ ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.40%(a) 0.40% 0.43% 0.44% 0.48%(a)
Net Investment Income 4.40%(a) 4.62% 4.75% 4.72% 4.59%(a)
Expenses without Reimbursement -- -- -- -- 0.51%(a)
Portfolio Turnover 33%(b) 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 (UNAUDITED)
SEPTEMBER 30,1998
- --------------------------------------------------------------------------------
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 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. The cost of securities is substantially the
same for book and tax purposes.
31
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30,1998
- --------------------------------------------------------------------------------
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"). 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 will be J.P. Morgan Investment
Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly owned
subsidiary of J.P. Morgan & Co. Inc. ("J.P. Morgan"), and the terms of the
Agreement will remain the same. For the six months ended September 30,
1998, such fees amounted to $351,242.
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, 1998, the fee
for these services amounted to $1,519.
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 JPMIM provides similar services, and J.P.
Morgan Series Trust. For the six months ended September 30, 1998, the fee
for these services amounted to $33,560. In addition, J.P. Morgan has
agreed to reimburse the portfolio to the extent necessary to maintain the
total operating expenses of the portfolio at no more than 0.50% of the
average net assets of the portfolio. This reimbursement arrangement can be
changed or terminated at any time at the option of J.P. Morgan.
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 $3,379 for the six months ended September 30, 1998.
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
32
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30,1998
- --------------------------------------------------------------------------------
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
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 $700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended September 30, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ------------ -----------
<S> <C>
$137,113,120 $75,571,990
</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
