<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (95.2%)
CALIFORNIA (0.3%)
$ 812 Kaweah Delta Hospital District, Tulare
County, (Series F, due 06/01/14)...... PP NR/NR 06/01/00(a) 5.250% $ 821,728
------------
ILLINOIS (1.1%)
3,000 Illinois Development Finance
Authority............................. PP NR/NR 08/01/28 4.900 2,982,420
------------
MICHIGAN (1.5%)
3,444 City of Detroit Public School........... PP NR/NR 10/15/01 5.485 3,487,278
708 City of Detroit Public School, (Public
Power Revenue)........................ PP NR/NR 10/15/00 4.550 718,564
------------
TOTAL MICHIGAN...................... 4,205,842
------------
NEW YORK (91.5%)
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 4,109,520
2,195 Erie County, FGIC Insured............... GO Aaa/AAA 11/01/02 5.000 2,247,570
3,000 Long Island Power Authority, (Electric
Systems Revenue)...................... RB Baa1/A- 04/01/02 5.000 3,038,520
4,950 Long Island Power Authority, (Electric
Systems Revenue, Refunding, Series A),
AMBAC Insured......................... RB Aaa/AAA 12/01/10 5.500 5,142,456
3,500 Long Island Power Authority, (Electric
Systems Revenue, Refunding, Series A),
AMBAC Insured......................... RB Aaa/AAA 12/01/11 5.500 3,635,310
4,000 Metropolitan Transportation Authority,
(Commuter Facilities Revenue,
Refunding, Series D), MBIA Insured.... RB Aaa/AAA 07/01/06 6.000 4,315,640
5,500 Metropolitan Transportation Authority,
(Dedicated Tax Fund, Series A), MBIA
Insured............................... RB Aaa/AAA 04/01/11 6.250 6,063,805
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,370 Metropolitan Transportation Authority,
(Service Contract, Commuter
Facilities, Refunding, Series N)...... RB Baa1/BBB+ 07/01/02 6.625% $ 1,451,912
1,065 Monroe County, (Public Improvement,
Prerefunded, Escrowed to Maturity,
Series 1995), AMBAC Insured........... GO Aaa/AAA 06/01/08 5.875 1,150,477
65 Monroe County, (Public Improvement,
Unrefunded Balance, Series 1995),
AMBAC Insured......................... GO Aaa/AAA 06/01/08 5.875 70,217
2,150 Municipal Assistance Corp. for the City
of New York, (Refunding, Series G).... RB Aa2/AA 07/01/05 6.000 2,315,206
1,500 Municipal Assistance Corp. for the City
of New York, (Refunding, Series J).... RB Aa2/AA 07/01/04 6.000 1,604,340
5,000 Municipal Assistance Corp. for the City
of New York, (Refunding, Series O).... RB Aa2/AA 07/01/05 5.000 5,127,200
1,460 New York City Industrial Development
Agency, (Civic Facilities Revenue,
YMCA Greater New York Project)........ RB Baa3/NR 08/01/05 6.000 1,547,425
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 1,057,180
5,000 New York City Transitional Finance
Authority, (Future Tax Secured,
Callable, Series A, due 11/15/12)..... RB Aa3/AA 05/15/09(a) 5.250 5,015,150
3,000 New York City Transitional Finance
Authority, (Future Tax Secured, Series
A).................................... RB Aa3/AA 08/15/07 5.500 3,140,880
2,600 New York City Transitional Finance
Authority, (Future Tax Secured, Series
A).................................... RB Aa3/AA 11/15/02 5.000 2,653,378
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,100 New York City Transitional Finance
Authority, (Future Tax Secured, Series
C).................................... RB Aa3/AA 05/01/05 5.000% $ 3,162,558
6,000 New York City, (Callable, Refunding,
Series A, due 08/01/03)............... GO A3/A- 08/01/02(a) 6.250 6,374,820
4,330 New York City, (Callable, Unrefunded
Balance, Series D, due 02/15/07)...... GO A3/A- 02/15/05(a) 5.750 4,542,646
670 New York City, (Prerefunded, Series D,
due 02/15/07)......................... GO A3/A- 02/15/05(a) 5.750 715,828
4,000 New York City, (Refunding, Series D).... GO A3/A- 11/01/09 6.500 4,457,360
1,000 New York City, (Refunding, Series G),
MBIA-IBC Insured...................... GO Aaa/AAA 02/01/09 6.750 1,132,950
7,992 New York Office of Temporary and
Disability Assistance, (General
Obligation)........................... PP NR/NR 03/31/05 4.480 8,019,898
2,280 New York State Dormitory Authority,
(Columbia University)................. RB Aaa/AAA 07/01/07 5.250 2,374,369
2,000 New York State Dormitory Authority,
(Cornell University, Callable,
Refunding, due 07/01/08).............. RB Aa2/AA 07/01/06(a) 5.300 2,079,500
2,885 New York State Dormitory Authority, (FHA
Hospital & Nursing Home, Refunding,
Series A), AMBAC Insured.............. RB NR/AAA 08/15/08 5.000 2,906,378
2,500 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Callable, Refunding, due 08/01/13),
AMBAC/FHA Insured..................... RB Aaa/AAA 02/01/08(a) 4.400 2,405,700
2,000 New York State Dormitory Authority, (FHA
Hospital New York & Presbyterian,
Refunding), AMBAC Insured............. RB Aaa/AAA 02/01/04 5.000 2,039,380
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 New York State Dormitory Authority,
(Lease Revenue, Municipal Health
Facilities, Series 1), FSA Insured.... RB Aaa/AAA 01/15/07 5.000% $ 2,024,740
5,280 New York State Dormitory Authority,
(Long Island Jewish Medical Center,
Refunding), MBIA Insured.............. RB Aaa/AAA 07/01/05 5.000 5,386,814
2,000 New York State Dormitory Authority,
(Memorial Sloan Kettering Cancer
Center, Series C), MBIA Insured....... RB Aaa/AAA 07/01/19 5.750 2,089,640
5,650 New York State Dormitory Authority,
(Mental Health Services Facilities,
Refunding, Series B).................. RB A3/A- 02/15/06 6.000 6,045,217
2,000 New York State Dormitory Authority, (New
York University, Series A), MBIA
Insured............................... RB Aaa/AAA 07/01/06 5.000 2,040,740
2,000 New York State Dormitory Authority,
(North General Hospital, Refunding,
Series G)............................. RB Baa1/BBB+ 02/15/05 5.500 2,059,860
2,530 New York State Dormitory Authority,
(North Shore University Hospital,
Refunding), MBIA Insured.............. RB Aaa/AAA 11/01/10 5.500 2,627,784
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding)................ RB A3/A- 05/15/01 5.250 3,051,750
1,500 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A)...... RB A3/A- 05/15/04 6.500 1,625,745
3,000 New York State Dormitory Authority,
(State University Educational
Facilities, Refunding, Series A), FGIC
Insured............................... RB Aaa/AAA 05/15/11 5.875 3,210,990
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) 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% $ 2,045,660
1,210 New York State Dormitory Authority,
(University of Rochester, Series A)... RB A1/A+ 07/01/06 6.500 1,340,910
4,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, Callable, Series A, due
06/15/01)............................. RB Aa1/AA 06/15/00(a) 7.300 4,185,920
5,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, New York City Municipal Water,
Refunding)............................ RB Aa1/AA- 06/15/11 5.750 5,284,600
2,000 New York State Environmental Facilities
Corp., (PCR, State Water, Revolving
Fund, Prerefunded, due 06/15/14)...... RB Aaa/AAA 06/15/01(a) 6.500 2,127,100
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 5,493,850
1,605 New York State Environmental Facilities
Corp., (State Clean Water & Drinking,
Revolving Funds, Second Resolution,
Series F)............................. RB Aa1/AA- 06/15/02 5.000 1,634,452
1,000 New York State Environmental Facilities
Corp., (State Clean Water & Drinking,
Revolving Funds, Second Resolution,
Series F)............................. RB Aa1/AA- 06/15/07 5.250 1,029,200
2,500 New York State Local Government
Assistance Corp., (Prerefunded, Series
A, due 04/01/11)...................... RB Aaa/A+ 04/01/01(a) 7.125 2,672,050
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,650 New York State Local Government
Assistance Corp., (Prerefunded, Series
A, due 04/01/19)...................... RB Aaa/A+ 04/01/02(a) 6.875% $ 3,965,031
2,525 New York State Local Government
Assistance Corp., (Refunding, Series
B), MBIA Insured...................... RB Aaa/AAA 04/01/04 5.250 2,614,435
3,350 New York State Local Government
Assistance Corp., (Refunding, Series
E).................................... RB A3/A+ 04/01/14 6.000 3,594,450
2,850 New York State Medical Care Facilities
Finance Agency, (Callable, Hospital &
Nursing Home Services, Series D, due
02/15/32)............................. RB Aa2/NR 02/15/03(a) 6.450 3,102,653
1,500 New York State Medical Care Facilities
Finance Agency, (Mental Health
Services, Refunding, Series F)........ RB A3/A- 02/15/03 6.000 1,574,670
2,620 New York State Municipal Bond Bank
Agency, (Special Program Revenue,
Refunding, Series A), AMBAC Insured... RB Aaa/AAA 03/15/06 5.000 2,671,273
2,000 New York State Power Authority, (Revenue
& General Purpose, Refunding, Escrowed
to Maturity, Series W)................ RB Aaa/AAA 01/01/03 6.625 2,149,140
4,500 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/03 5.000 4,585,860
3,350 New York State Power Authority, (Revenue
& General Purpose, Refunding, Series
A).................................... RB Aa3/AA- 02/15/05 5.500 3,498,171
3,050 New York State Thruway Authority,
(Highway & Bridge, Series B), AMBAC
Insured............................... RB Aaa/AAA 04/01/03 6.000 3,215,127
3,000 New York State Thruway Authority,
(Refunding, Series E)................. RB Aa3/AA- 01/01/07 5.500 3,142,890
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 New York State Thruway Authority,
(Service Contract Revenue, Local
Highway & Bridge)..................... RB Baa1/BBB+ 04/01/05 6.000% $ 2,120,120
2,000 New York State Thruway Authority,
(Service Contract Revenue, Local
Highway & Bridge)..................... RB Baa1/BBB+ 04/01/04 5.500 2,067,840
2,470 New York State Urban Development Corp.,
(Center for Industrial Innovation,
Refunding)............................ RB Baa1/BBB+ 01/01/06 6.250 2,669,428
2,000 New York State Urban Development Corp.,
(Correctional Capital Facilities,
Series 6)............................. RB Baa1/BBB+ 01/01/03 6.000 2,094,360
3,500 New York State Urban Development Corp.,
(Correctional Facilities Service
Contract, Series B)................... RB Baa1/BBB+ 01/01/01 5.000 3,534,895
3,500 New York State Urban Development Corp.,
(Correctional Facilities Service
Contract, Series B), AMBAC Insured.... RB Aaa/AAA 01/01/09 5.250 3,584,280
2,500 New York State Urban Development Corp.,
(Prerefunded, due 04/01/11)........... RB Aaa/BBB+ 04/01/01(a) 7.500 2,686,925
2,635 New York State Urban Development Corp.,
(Subordinated Lien, Refunding)........ RB A2/A 01/01/06 6.000 2,816,235
5,250 New York State, (Refunding, Series A)... GO A2/A 07/15/06 6.500 5,830,703
3,100 New York State, (Refunding, Series B)... GO A2/A 08/15/05 6.250 3,379,806
1,350 New York State, (Refunding, Series C)... GO A2/A 10/01/04 6.000 1,446,930
2,415 New York State, (Refunding, Series F)... GO A2/A 09/15/03 5.000 2,474,989
1,395 Niagra Falls, (City School District,
High School Facility)................. RB Baa3/BBB- 06/15/06 5.625 1,434,311
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/04 5.500% $ 1,050,970
1,000 Orange County, (Refunding).............. GO Aa2/NR 11/15/05 5.500 1,053,980
7,730 Port Authority New York & New Jersey,
(Special Obligation Revenue, Special
Obligation), MBIA Insured............. RB Aaa/AAA 12/01/11 6.250 8,495,888
2,650 Suffolk County Water Authority,
(Waterworks Revenue, Refunding, Senior
Lien), MBIA Insured................... RB Aaa/AAA 06/01/07 5.100 2,710,023
1,500 Suffolk County Water Authority,
(Waterworks Revenue, Refunding, Senior
Lien), MBIA Insured................... RB Aaa/AAA 06/01/09 5.100 1,520,025
2,945 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
SR, due 01/01/07)..................... RB Aa3/A+ 01/01/00(a) 5.000 2,988,557
1,500 Triborough Bridge & Tunnel Authority,
(General Purpose, Refunding, Series
Y).................................... RB Aa3/A+ 01/01/07 5.900 1,605,690
3,960 Triborough Bridge & Tunnel Authority,
(Special Obligation, Refunding, Series
A), FGIC Insured...................... RB Aaa/AAA 01/01/07 5.500 4,143,546
2,000 Trust for Cultural Resources of the City
of New York, (Public Power Revenue,
Series 1999).......................... PP NR/NR 01/01/08 4.600 1,975,600
4,000 United Nations Development Corp.,
(Senior Lien, Prerefunded, Series A,
due 07/01/26)......................... RB Aaa/NR 07/01/03(a) 6.000 4,317,320
3,230 Yonkers, (Series C), AMBAC Insured...... GO Aaa/AAA 08/01/04 5.500 3,376,254
------------
TOTAL NEW YORK...................... 253,366,970
------------
PUERTO RICO (0.8%)
2,033 Commonwealth of Puerto Rico, (General
Obligation)........................... PP NR/NR 12/04/03 7.469 2,107,458
------------
TOTAL LONG-TERM INVESTMENTS (COST $264,087,421)................................ 263,484,418
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (2.3%)
ALABAMA (0.0%)
$ 50 West Jefferson Industrial Development
Board, (PCR, Alabama Power Co.
Project, Refunding, due 06/01/28)..... VRDN VMIG1/A-1 08/02/99(a) 3.450% $ 50,000
------------
GEORGIA (0.3%)
300 Burke County Development Authority,
(PCR, Georgia Power Co., Vogtle
Project-1st Series, Callable, due
04/01/32)............................. VRDN VMIG1/A-1 08/02/99(a) 3.450 300,000
600 Monroe County Development Authority,
(PCR, Georgia Power Co., Scherer
Project-2nd Series, Refunding, due
07/01/25)............................. VRDN VMIG1/A-1 08/02/99(a) 3.450 600,000
------------
900,000
------------
LOUISIANA (0.1%)
300 East Baton Rouge Parish, (PCR, Exxon
Project, Refunding, due 11/01/19)..... VRDN P-1/A-1+ 08/02/99(a) 3.400 300,000
------------
MICHIGAN (0.3%)
950 Michigan State, (Strategic Fund Limited,
Reserve 1, due 09/01/30), LOC Barclays
Bank PLC.............................. VRDN P-1/A-1+ 08/02/99(a) 3.400 950,000
------------
NEW YORK (1.6%)
800 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Callable, Refunding, Series
A, due 06/15/25), FGIC Insured........ VRDN VMIGI/A-1+ 08/02/99(a) 3.500 800,000
400 New York City Municipal Water Finance
Authority, (Water & Sewer Systems
Revenue, Callable, Series C, due
06/15/22), FGIC Insured............... VRDN VMIG1/A-1+ 08/02/99(a) 3.400 400,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/
PRINCIPAL SECURITY S&P
AMOUNT TYPE RATING MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- -------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,200 New York City Municipal Water Finance
Authority, (Water and Sewer Systems
Revenue, Callable, Series C, due
06/15/23), FGIC Insured............... VRDN VMIG1/A-1+ 08/02/99(a) 3.400% $ 3,200,000
------------
4,400,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $6,600,000)................................. 6,600,000
------------
TOTAL INVESTMENTS (COST $270,687,421) (97.5%)...................................... 270,084,418
OTHER ASSETS IN EXCESS OF LIABILITIES (2.5%)....................................... 6,913,600
------------
NET ASSETS (100.0%)................................................................ $276,998,018
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $270,706,542 for federal income tax
purposes at July 31, 1999, the aggregate gross unrealized appreciation and
depreciation was $2,612,375 and $3,234,499, respectively, resulting in net
unrealized depreciation of investments of $622,124.
(a) The date listed under the heading maturity date represents an optional
tender date or the next interest rate reset date. The final maturity date is
indicated in the security description.
AMBAC - Ambac Indemnity Corp.
FGIC - Financial Guaranty Insurance Company
FHA - Federal Housing Authority
FSA - Financial Securities Assurance
GO - General Obligation
IBC - IBC Financial Data, Inc.
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.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $270,687,421 ) $270,084,418
Cash 72,492
Interest Receivable 3,643,242
Receivable for Investments Sold 3,345,551
Prepaid Trustees' Fees 433
Prepaid Expenses and Other Assets 1,213
------------
Total Assets 277,147,349
------------
LIABILITIES
Advisory Fee Payable 69,727
Custody Fee Payable 14,279
Administrative Services Fee Payable 9,284
Administration Fee Payable 334
Fund Services Fee Payable 62
Accrued Expenses 55,645
------------
Total Liabilities 149,331
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $276,998,018
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOUR
MONTHS ENDED FOR THE FISCAL
JULY 31, YEAR ENDED
1999 MARCH 31, 1999
------------ --------------
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 4,479,189 $ 12,318,506
------------ --------------
EXPENSES
Advisory Fee 298,444 796,521
Professional Fees and Expenses 41,583 44,238
Custodian Fees and Expenses 26,097 85,723
Administrative Services Fee 25,575 73,366
Fund Services Fee 2,300 6,630
Trustees' Fees and Expenses 1,114 3,306
Administration Fee 880 3,052
Amortization of Organization Expenses 19 2,304
Miscellaneous 4,088 5,476
------------ --------------
Total Expenses 400,100 1,020,616
------------ --------------
NET INVESTMENT INCOME 4,079,089 11,297,890
NET REALIZED GAIN (LOSS) ON INVESTMENTS (774,564) 2,712,515
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF INVESTMENTS (7,106,907) 142,962
------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $(3,802,382) $ 14,153,367
------------ --------------
------------ --------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOUR
MONTHS ENDED FOR THE FISCAL FOR THE FISCAL
JULY 31, YEAR ENDED YEAR ENDED
1999 MARCH 31, 1999 MARCH 31, 1998
------------ -------------- --------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,079,089 $ 11,297,890 $ 7,914,129
Net Realized Gain (Loss) on Investments (774,564) 2,712,515 1,111,960
Net Change in Unrealized Appreciation
(Depreciation) of Investments (7,106,907) 142,962 4,862,341
------------ -------------- --------------
Net Increase (Decrease) in Net Assets
Resulting from Operations (3,802,382) 14,153,367 13,888,430
------------ -------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 30,864,819 162,950,459 87,771,218
Withdrawals (70,994,351) (53,185,304) (52,571,222)
------------ -------------- --------------
Net Increase (Decrease) from Investors'
Transactions (40,129,532) 109,765,155 35,199,996
------------ -------------- --------------
Total Increase (Decrease) in Net Assets (43,931,914) 123,918,522 49,088,426
NET ASSETS
Beginning of Period 320,929,932 197,011,410 147,922,984
------------ -------------- --------------
End of Period $276,998,018 $ 320,929,932 $ 197,011,410
------------ -------------- --------------
------------ -------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOUR FOR THE FISCAL YEAR ENDED APRIL 11, 1994
MONTHS ENDED MARCH 31, (COMMENCEMENT OF
JULY 31, ------------------------- OPERATIONS) THROUGH
1999 1999 1998 1997 1996 MARCH 31, 1995
------------ ---- ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.40%(a) 0.38% 0.40% 0.43% 0.44% 0.48%(a)
Net Investment Income 4.10%(a) 4.26% 4.62% 4.75% 4.72% 4.59%(a)
Expenses without Reimbursement 0.40%(a) 0.38% 0.40% 0.43% 0.44% 0.51%(a)
Portfolio Turnover 8%(b) 44% 51% 35% 41% 63%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JULY 31, 1999
- --------------------------------------------------------------------------------
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. The portfolio's investment objective is to provide
a high level of tax exempt income 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. At a meeting on November 12, 1998, the
trustees elected to change the portfolio's fiscal year end from March 31 to July
31.
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 portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or, in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Independent
pricing service procedures may also include the use of prices based upon
yields or prices of securities of comparable quality, coupon, maturity and
type; indications as to values from dealers, operating data, and general
market conditions. Unlisted securities are valued at the average of the
quoted bid and asked prices in the over-the-counter market provided by a
principal market maker or dealer. If prices are not supplied by the
portfolio's independent pricing service or principal market maker or
dealer such securities are priced using fair values in accordance with
procedures adopted by the portfolio's trustees. All short-term securities
with a remaining maturity of 60 days or less are valued using 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.
30
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
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"), a
wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P. 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 is J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly
owned subsidiary of J.P. Morgan, and the terms of the agreement remain the
same. For the four months ended July 31, 1999 and for the fiscal year
ended March 31, 1999, such fees amounted to $298,444 and $796,521,
respectively.
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 four months ended July 31, 1999 and for the
fiscal year ended March 31, 1999, the fees for these services amounted to
$880 and $3,052, respectively.
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 Morgan provides similar services, and J.P.
Morgan Series Trust. For the four months ended July 31, 1999 and for the
fiscal year ended March 31, 1999, the fees for these services amounted to
$25,575 and $73,366, respectively.
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 $2,300 and $6,630 for the four months ended July 31, 1999 and
for the fiscal year ended March 31, 1999, respectively.
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
31
<PAGE>
THE NEW YORK TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JULY 31, 1999
- --------------------------------------------------------------------------------
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 $400 and $1,400 for the four months ended July
31, 1999 and for the fiscal year ended March 31, 1999, respectively.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) were as follows:
<TABLE>
<CAPTION>
FOR THE FOUR
MONTHS ENDED FOR THE FISCAL
JULY 31, YEAR ENDED
1999 MARCH 31, 1999
------------ --------------
<S> <C> <C>
Cost of Purchases................................ $ 21,698,896 $ 230,648,580
Proceeds from Sales.............................. $ 60,575,478 $ 113,320,935
</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.
32
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The New York Tax Exempt 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 Tax Exempt Bond Portfolio (the
"portfolio") at July 31, 1999, the results of its operations for the four months
ended July 31, 1999 and for the year ended March 31, 1999, and the changes in
its net assets for the four months ended July 31, 1999 and for the two years
ended March 31, 1999 and supplementary data for the four months ended July 31,
1999 and for the four years ended March 31, 1999 and for the period April 11,
1994 (commencement of operations) through 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 July 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
September 15, 1999
33
