<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (97.6%)
CALIFORNIA (0.5%)
$ 1,000 Kaweah Delta Hospital District, Tulare
County, (Series F, due 06/01/14).......... PP NR/NR 06/01/00(a) 5.250% $ 1,000,000
------------
CONNECTICUT (1.4%)
1,000 Mashantucket Western Pequot Tribe, (Special
Revenue, Prerefunded, Series A) 144A...... RB Aaa/AAA 09/01/01 6.250 1,067,740
250 Mashantucket Western Pequot Tribe, (Special
Revenue, Prerefunded, Series A) 144A...... RB Aaa/AAA 09/01/02 6.250 270,952
1,100 Mashantucket Western Pequot Tribe, (Special
Revenue, Series A) 144A................... RB Baa2/BBB- 09/01/01 6.250 1,162,326
250 Mashantucket Western Pequot Tribe, (Special
Revenue, Series A) 144A................... RB Baa2/BBB- 09/01/02 6.250 267,207
------------
TOTAL CONNECTICUT....................... 2,768,225
------------
NEW YORK (94.0%)
4,000 Erie County Water Authority, (Water Revenue,
Refunding, Series A, due 12/01/04), AMBAC
Insured................................... RB Aaa/AAA 12/01/03(a) 5.000 4,157,800
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 2,470,027
4,000 Metropolitan Transportation Authority,
(Commuter Facilities, Refunding, Series
D), MBIA Insured.......................... RB Aaa/AAA 07/01/06 6.000 4,430,280
5,500 Metropolitan Transportation Authority,
(Dedicated Tax Fund, Series A), MBIA
Insured................................... RB Aaa/AAA 04/01/11 6.250 6,251,795
2,205 Metropolitan Transportation Authority,
(Excess Loss Funding, Special Obligation),
MBIA Insured.............................. RB Aaa/AAA 07/01/05 5.000 2,282,021
1,370 Metropolitan Transportation Authority,
(Service Contract, Commuter Facilities,
Refunding, Series N)(d)................... RB Baa1/BBB+ 07/01/02 6.625 1,487,217
1,500 Metropolitan Transportation Authority,
(Service Contract, Commuter Facilities,
Refunding, Series O)...................... RB Baa1/BBB+ 07/01/08 5.750 1,610,985
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,075 Monroe County, (Public Improvement,
Partially Prerefunded, Partially Escrowed
to Maturity), AMBAC Insured............... GO Aaa/AAA 06/01/08 5.875% $ 1,199,044
55 Monroe County, (Public Improvement,
Prerefunded, Escrowed to Maturity, Series
1995), AMBAC Insured...................... GO Aaa/AAA 06/01/08 5.875 61,346
1,500 Municipal Assistance Corp. for the City of
New York, (Refunding, Series J)........... RB Aa2/AA 07/01/04 6.000 1,640,655
2,150 Municipal Assistance Corp. for the City of
New York, (Series G)(d)................... RB Aa2/AA 07/01/05 6.000 2,362,743
1,460 New York City Industrial Development Agency,
(Civil Facilities Revenue, Refunding, YMCA
Greater New York Project)(d).............. RB Baa3/NR 08/01/05 6.000 1,570,872
1,000 New York City Industrial Development Agency,
(Civil Facilities Revenue, YMCA Greater
New York Project)......................... RB Baa3/NR 08/01/06 6.000 1,077,570
1,000 New York City Industrial Development Agency,
(IDR, Brooklyn Navy Yard, Cogen Partners,
due 10/01/22)............................. RB Baa3/BBB- 10/01/21(a) 6.200 1,102,370
2,000 New York City Municipal Water Finance
Authority, (Water & Sewer System Revenue,
Series D)(d).............................. RB A2/A- 06/15/07 5.000 2,073,540
3,000 New York City Transitional Finance
Authority, (Series A)..................... RB Aa3/AA 08/15/07 5.500 3,244,770
2,400 New York City Transitional Finance
Authority, (Series B)..................... RB Aa3/AA 11/15/04 5.250 2,532,624
1,750 New York City, (Refunding, Series A)........ GO A3/BBB+ 08/01/02 5.750 1,845,498
1,250 New York City, (Refunding, Series A)........ GO A3/BBB+ 08/01/04 7.000 1,417,275
1,715 New York City, (Refunding, Series A)........ GO A3/BBB+ 08/01/02 5.700 1,805,243
6,000 New York City, (Refunding, Series A, due
08/01/03)................................. GO A3/BBB+ 08/01/02(a) 6.250 6,494,700
1,070 New York City, (Refunding, Series C)........ GO A3/BBB+ 02/01/04 6.000 1,148,923
1,500 New York City, (Refunding, Series H)........ GO A3/BBB+ 03/15/05 6.500 1,664,085
3,125 New York City, (Refunding, Series M)........ GO A3/BBB+ 06/01/00 6.000 3,247,031
2,070 New York State Dormitory Authority, (City
University System, Series A).............. RB Baa1/BBB+ 07/01/00 5.000 2,106,743
1,000 New York State Dormitory Authority, (City
University System, Series D).............. RB Baa1/BBB+ 07/01/03 8.750 1,197,280
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 New York State Dormitory Authority,
(Hospital New York & Presbyterian), AMBAC
Insured................................... RB Aaa/AAA 02/01/04 5.000% $ 2,065,740
5,650 New York State Dormitory Authority, (Mental
Health Services Facilities Improvements,
Refunding, Series B)(d)................... RB A3/A- 02/15/06 6.000 6,117,029
1,175 New York State Dormitory Authority, (Mental
Health Services Facilities Improvements,
Series B)................................. RB A3/A- 02/15/09 6.500 1,333,566
1,440 New York State Dormitory Authority, (Mental
Health Services Facilities, Series C)..... RB A3/A- 08/15/07 5.375 1,509,955
2,000 New York State Dormitory Authority, (New
York University, Series A), MBIA
Insured................................... RB Aaa/AAA 07/01/06 5.000 2,065,600
2,500 New York State Dormitory Authority,
(Refunding, Hospital-New York &
Presbyterian, due 08/01/13), AMBAC
Insured................................... RB Aaa/AAA 02/01/08(a) 4.400 2,508,200
2,000 New York State Dormitory Authority,
(Secondary Hospital, North General
Hospital, Refunding, Series G)............ RB Baa1/BBB+ 02/15/05 5.500 2,091,540
2,000 New York State Dormitory Authority, (Sloan
Kettering Cancer, Series C), MBIA
Insured(c)................................ RB Aaa/AAA 07/01/19 5.750 2,175,700
3,000 New York State Dormitory Authority, (State
University Educational Facilities)........ RB A3/A- 05/15/01 5.250 3,099,810
1,750 New York State Dormitory Authority, (State
University Educational Facilities,
Prerefunded, Series B, due 05/15/15)...... RB Aaa/A- 05/15/00(a) 7.250 1,898,278
1,500 New York State Dormitory Authority, (State
University Educational Facilities,
Refunding, Series A)...................... RB A3/A- 05/15/04 6.500 1,669,605
1,500 New York State Dormitory Authority, (State
University Educational Facilities,
Refunding, Series A), AMBAC Insured....... RB Aaa/AAA 05/15/07 5.500 1,609,200
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,000 New York State Dormitory Authority, (State
University Educational Facilities,
Refunding, Series A), FGIC Insured(d)..... RB Aaa/AAA 05/15/11 5.875% $ 3,294,960
1,580 New York State Dormitory Authority, (State
University Educational Facilities,
Refunding, Series B), AMBAC Insured....... RB Aaa/AAA 05/15/09 5.250 1,660,912
1,210 New York State Dormitory Authority,
(University of Rochester, Series A)....... RB A1/A+ 07/01/06 6.500 1,369,224
2,000 New York State Dormitory Authority,
(University of Rochester, Series A), MBIA
Insured(c)................................ RB Aaa/AAA 07/01/05 5.000 2,068,600
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 1,233,332
5,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving Fund,
New York City Municipal Water)............ RB Aa2/A+ 06/15/11 5.750 5,438,450
5,000 New York State Environmental Facilities
Corp., (Special Obligation, Prerefunded,
due 04/01/22)............................. RB Aaa/AAA 04/01/02(a) 7.375 5,672,800
2,000 New York State Government Assistance Corp.,
(Series B, due 04/01/20).................. RB Aaa/AAA 04/01/01(a) 7.500 2,225,200
2,600 New York State Housing Finance Agency,
(Service Contract Obligation, Refunding,
Series C)................................. RB Baa1/BBB+ 03/15/05 4.850 2,616,484
1,500 New York State Local Government Assistance
Corp., (Refunding, Series B), MBIA
Insured................................... RB Aaa/AAA 04/01/04 5.250 1,577,565
3,350 New York State Local Government Assistance
Corp., (Refunding, Series E).............. RB A3/A+ 04/01/14 6.000 3,707,747
1,000 New York State Local Government Assistance
Corp., (Series A)......................... RB A3/A+ 04/01/00 6.200 1,040,790
1,000 New York State Local Government Assistance
Corp., (Series C, due 04/01/12)........... RB A3/A+ 04/01/09(a) 6.000 1,108,140
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 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% $ 3,169,286
1,500 New York State Medical Care Facilities
Finance Agency, (Mental Health Services,
Refunding, Series F)...................... RB A3/A- 02/15/03 6.000 1,596,735
2,000 New York State Power Authority, (Revenue &
General Purpose, Escrowed to Maturity,
Series W)................................. RB Aa2/NR 01/01/03 6.625 2,201,980
2,195 New York State Power Authority, (Revenue &
General Purpose, Escrowed to Maturity,
Series W, due 01/01/08)................... RB Aa2/NR 01/01/06(a) 6.500 2,538,035
2,000 New York State Thruway Authority, (Service
Contract, Local Highway & Bridge) (d)..... RB Baa1/BBB+ 04/01/05 6.000 2,160,860
2,000 New York State Thruway Authority, (Service
Contract, Local Highway & Bridge,
Refunding)................................ RB Baa1/BBB+ 04/01/04 5.500 2,085,540
2,470 New York State Urban Development Corp.,
(Center for Industrial Innovation,
Refunding)................................ RB Baa1/BBB+ 01/01/06 6.250 2,711,146
1,155 New York State Urban Development Corp.,
(Center for Industrial Innovation,
Refunding)................................ RB Baa1/BBB+ 01/01/07 6.250 1,275,374
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 3,184,830
2,000 New York State Urban Development Corp.,
(Correctional Capital Facilities, Series
6)........................................ RB Baa1/BBB+ 01/01/03 6.000 2,127,720
2,635 New York State Urban Development Corp.,
(Sub-Lien, Refunding)..................... RB A2/A 01/01/06 6.000 2,887,538
5,250 New York State, (Refunding, Series A)....... GO A2/A 07/15/06 6.500 5,981,798
1,350 New York State, (Refunding, Series C)....... GO A2/A 10/01/04 6.000 1,477,143
1,000 Orange County, (Refunding).................. GO Aa2/NR 11/15/04 5.500 1,072,520
1,000 Orange County, (Refunding).................. GO Aa2/NR 11/15/05 5.500 1,076,610
7,730 Port Authority of New York & New Jersey,
(Special Obligation, Series 6), MBIA
Insured................................... RB Aaa/AAA 12/01/11 6.250 8,750,051
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 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% $ 1,103,748
1,000 Triborough Bridge & Tunnel Authority,
(General Purpose, Series A)............... RB Aa3/A+ 01/01/11 6.000 1,120,200
3,000 Triborough Bridge & Tunnel Authority,
(General Purpose, Series SR, due
01/01/07)................................. RB Aa3/A+ 01/01/99(a) 5.000 3,121,110
1,000 Triborough Bridge & Tunnel Authority,
(General Purpose, Series X)............... RB Aa3/A+ 01/01/12 6.625 1,176,320
1,500 Triborough Bridge & Tunnel Authority,
(General Purpose, Series Y)............... RB Aa3/A+ 01/01/07 5.900 1,657,575
4,000 Triborough Bridge & Tunnel Authority,
(Prerefunded, Series T, due 01/01/20)..... RB Aaa/A+ 01/01/01(a) 7.000 4,369,400
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 1,022,020
2,000 United Nations Development Corp., (Senior
Lien, Series A, Prerefunded, due
07/01/26)................................. RB Aaa/NR 07/01/03(a) 6.000 2,199,880
3,230 Yonkers, (Series C), AMBAC Insured.......... GO Aaa/AAA 08/01/04 5.500 3,445,861
------------
TOTAL NEW YORK.......................... 185,154,144
------------
PUERTO RICO (1.7%)
3,000 University of Puerto Rico, (Refunding,
Series N), MBIA Insured................... RB Aaa/AAA 06/01/05 6.250 3,361,170
------------
TOTAL LONG TERM INVESTMENTS (COST $185,922,597)........................................ 192,283,539
------------
SHORT-TERM INVESTMENTS (3.0%)
CALIFORNIA (0.0%)
100 Los Angeles Regional Airports Improvement
Corp., (Los Angeles International Airport,
due 12/01/25), LOC Societe Generale....... VRDN NR/A-1+ 04/01/98(b) 3.750 100,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
GEORGIA (0.6%)
$ 200 Appling County Development Authority, (PCR,
Georgia Power Co. Plant, Hatch Project,
due 09/01/29)............................. VRDN VMIG1/A-1 04/01/98(b) 3.800% $ 200,000
400 Burke County Development Authority, (PCR,
Georgia Power Co., Vogtle Project 1-st
Series, due 04/01/32)..................... VRDN VMIG1/A-1 04/01/98(b) 3.800 400,000
500 Burke County Development Authority, (PCR,
Georgia Power Co., Vogtle Project-4th
Series, due 09/01/25)..................... VRDN VMIG1/A+ 04/01/98(b) 3.800 500,000
100 Burke County Development Authority, (PCR,
Georgia Power Co., Vogtle Project-5th
Series, due 07/01/24)..................... VRDN VMIG1/A-1 04/01/98(b) 3.750 100,000
------------
1,200,000
------------
ILLINOIS (0.3%)
500 Illinois Development Finance Authority,
(Olin Corp. Project, Refunding, Series A,
due 06/01/04), LOC Wachovia Bank.......... VRDN NR/A-1+ 04/01/98(b) 3.850 500,000
------------
MASSACHUSETTS (0.0%)
100 Massachusetts State Industrial Finance
Agency, (PCR, Refunding, due 10/01/22).... VRDN VMIG1/A-1 04/01/98(b) 3.650 100,000
------------
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 04/01/98(b) 3.850 200,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (0.3%)
$ 200 New York City Municipal Water Finance
Authority, (Water and Sewer Systems
Revenue, Series C, due 06/15/23), FGIC
Insured................................... VRDN VMIG1/A-1+ 04/01/98(b) 3.850% $ 200,000
100 New York City, (Series B, due 10/01/21),
FGIC Insured.............................. VRDN VMIG1/A-1+ 04/01/98(b) 3.800 100,000
200 New York State Energy Research & Development
Authority, (PCR, New York State Electric &
Gas, Refunding, Series C, due 06/01/29)
LOC Morgan Guaranty Trust................. VRDN VMG1/A-1+ 04/01/98(b) 3.650 200,000
------------
500,000
------------
TENNESSEE (0.4%)
100 Bradley County Industrial Development Board,
(Olin Corp., Series C, due 11/01/17), LOC
Wachovia Bank............................. VRDN NR/A-1+ 04/01/98(b) 3.850 100,000
600 Tennessee State (Adjustable Bond,
Anticipation Notes, Series A, due
07/02/01)................................. VRDN VMIG1/A-1+ 04/01/98(b) 3.650 600,000
------------
700,000
------------
TEXAS (0.4%)
800 North Central Health Facilities Development
Corp., (Hospital Revenue, Presbyterian
Medical Center, Series D, due 12/01/15),
MBIA Insured.............................. VRDN VMIG1/A-1+ 04/01/98(b) 3.750 800,000
------------
WEST VIRGINIA (0.1%)
300 Marshall County, (Bayer Corp. Project,
Refunding, due 03/01/09).................. VRDN P-1/A-1+ 04/01/98(b) 3.850 300,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- -------------------------------------------- -------- ------------ ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
WYOMING (0.8%)
$ 200 Lincoln County, (PCR, Exxon Project, Series
B, due 11/01/14).......................... VRDN P-1/A-1+ 04/01/98(b) 3.850% $ 200,000
1,400 Platte County, (PCR, Tri-State G&T, Series
A, due 07/01/14), LOC Societe Generale.... VRDN P-1/NR 04/01/98(b) 4.000 1,400,000
------------
1,600,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $6,000,000)............................................. 6,000,000
------------
TOTAL INVESTMENTS (COST $191,922,597) (100.6%)............................................. 198,283,539
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.6%).............................................. (1,272,129)
------------
NET ASSETS (100.0%)........................................................................ $197,011,410
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $191,955,850 for federal income tax
purposes at March 31, 1998, the aggregate gross unrealized appreciation and
depreciation was $6,504,546 and $176,857 respectively, resulting in net
unrealized appreciation of investments of $6,327,689.
(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 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.
(c) When-issued security.
(d) Segregated either partially or fully with the custodian for when-issued
securities.
Abbreviations used in the Schedule of Investments are as follows:
AMBAC - Ambac Indemnity Corp., FHA - Federal Housing Authority, FGIC - Financial
Guaranty Insurance Company, GO - General Obligation, IDR - Industrial
Development Revenue, 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 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 TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $191,922,597 ) $198,283,539
Cash 86,692
Interest Receivable 2,976,889
Deferred Organization Expenses 2,323
Prepaid Trustees' Fees 595
Prepaid Expenses and Other Assets 562
------------
Total Assets 201,350,600
------------
LIABILITIES
Payable for Investments Purchased 4,262,273
Advisory Fee Payable 49,802
Administrative Services Fee Payable 8,246
Custody Fee Payable 5,053
Administration Fee Payable 367
Fund Services Fee Payable 258
Accrued Expenses 13,191
------------
Total Liabilities 4,339,190
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $197,011,410
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 8,603,253
EXPENSES
Advisory Fee $513,516
Custodian Fees and Expenses 57,278
Administrative Services Fee 52,013
Professional Fees and Expenses 43,922
Fund Services Fee 5,740
Administration Fee 2,869
Trustees' Fees and Expenses 2,516
Amortization of Organization Expenses 2,304
Miscellaneous 8,966
--------
Total Expenses 689,124
-----------
NET INVESTMENT INCOME 7,914,129
NET REALIZED GAIN ON INVESTMENTS 1,111,960
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 4,862,341
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $13,888,430
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MARCH 31, 1998 MARCH 31, 1997
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 7,914,129 $ 6,033,800
Net Realized Gain (Loss) on Investments 1,111,960 (18,872)
Net Change in Unrealized Appreciation
(Depreciation) of Investments 4,862,341 (401,871)
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 13,888,430 5,613,057
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 87,771,218 71,063,672
Withdrawals (52,571,222) (27,423,240)
-------------- --------------
Net Increase from Investors' Transactions 35,199,996 43,640,432
-------------- --------------
Total Increase in Net Assets 49,088,426 49,253,489
NET ASSETS
Beginning of Fiscal Year 147,922,984 98,669,495
-------------- --------------
End of Fiscal Year $ 197,011,410 $ 147,922,984
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR APRIL 11, 1994
ENDED MARCH 31, (COMMENCEMENT OF
--------------------- OPERATIONS) TO
1998 1997 1996 MARCH 31, 1995
----- ----- ----- ----------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.40% 0.43% 0.44% 0.48%(a)
Net Investment Income 4.62% 4.75% 4.72% 4.59%(a)
Decrease Reflected in Expense Ratio due
to Expense Reimbursement -- -- -- 0.03%(a)
Portfolio Turnover 51% 35% 41% 63%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MARCH 31,1998
- --------------------------------------------------------------------------------
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 on June 16, 1993. The portfolio commenced
operations on April 11, 1994. The portfolio's investment objective is to provide
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 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 TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31,1998
- --------------------------------------------------------------------------------
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 at an annual rate of 0.30% of the portfolio's
average daily net assets. For the fiscal year ended March 31, 1998, this
fee amounted to $513,516.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as 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 annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the fiscal year ended March 31, 1998, the fee for
these services amounted to $2,869.
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 J.P. Morgan Series Trust (formerly
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 J.P. Morgan Series Trust. For the fiscal year ended March
31, 1998, the fee for these services amounted to $52,013.
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 $5,740 for the fiscal year ended March 31, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of J.P.Morgan Funds, J.P. Morgan Institutional Funds, the master
portfolios and J.P. Morgan Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the portfolio's allocated
portion of the total fees and expenses. The portfolio's Chairman and Chief
Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $1,200.
32
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31,1998
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended March 31, 1998, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ -----------
<S> <C> <C>
Municipal Obligations............................ $116,007,339 $83,855,522
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the underlying investor fund's Notes to the Financial
Statements which are included elsewhere in this report.
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The New York Total Return Bond Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The New York Total Return Bond Portfolio
(the "portfolio") at March 31, 1998, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and supplementary data for each of the three years in the
period then ended and for the period April 11, 1994 (commencement of operations)
to March 31, 1995 in conformity with generally accepted accounting principles.
These financial statements and supplementary data (hereafter referred to as
"financial statements") are the responsibility of the portfolio's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with generally accepted auditing standards which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1998 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
May 19, 1998
34
