<PAGE>
REPUBLIC FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------- -----
CORPORATE OBLIGATIONS -- 12.6%
BANKING -- 0.3%
<S> <C> <C>
$ 49,000 Blue Bell Funding, 11.85%, due 5/1/99 ...................... $ 48,516
100,000 First National Bank of Chicago, 8.08%, due 1/15/18 ......... 101,494
-----------
150,010
-----------
BROADCASTING AND PUBLISHING -- 1.7%
205,000 Comcast Corporation, 9.375%, due 5/15/05 ................... 204,743
200,000 Continental Cablevision, 8.3%, due 5/15/06 ................. 206,250
100,000 Continental Cablevision, 9.5%, due 8/1/13 .................. 109,250
185,000 Paramount Communications, 8.25%, due 8/1/22 ................ 175,785
110,000 Rogers Cable Systems Ltd., 10.00%, due 3/15/05 ............. 112,888
70,000 Time Warner Inc., 9.15%, due 2/1/23 ........................ 72,636
-----------
881,552
-----------
CONSUMER GOODS -- 0.7%
350,000 RJR Nabisco (New), 8.75%, due 4/15/04 ...................... 347,119
-----------
ENERGY -- 0.9%
150,000 Excel Paralubes Funding, 7.43%, due 11/1/15 ................ 142,560
180,000 Mobil Energy, 8.665%, due 1/1/17 ........................... 181,474
150,000 PT Paiton Energy, 9.34%, due 2/15/14 ....................... 148,298
-----------
472,332
-----------
FINANCE -- 1.0%
150,000 DR Structured Financial, 7.43%, due 8/15/18 ................ 104,019
90,000 Firemans Fund Mortgage Corporation, 8.875%, due 10/15/01 ... 96,501
70,000 K-Mart Funding Corp, 8.8%, due 7/1/10 ...................... 60,093
225,000 News America Holdings, 10.125%, due 10/15/12 ............... 255,537
-----------
516,150
-----------
HEALTHCARE -- 0.3%
175,000 Columbia/HCA Healthcare, 7.69%, due 6/15/25 ................ 170,890
-----------
INDUSTRIAL -- 1.1%
150,000 Owens-Illinois, 11.00%, due 12/1/03 ........................ 163,875
150,000 Oxymar, 7.50%, due 2/15/16 ................................. 138,530
199,718 Scotia Pacific Holdings, 7.95%, due 7/20/15 ................ 197,200
100,000 Westpoint Stevens SR Notes, 8.75%, due 12/15/01 ............ 99,250
-----------
598,855
-----------
INSURANCE -- 3.1%
275,000 John Hancock, 7.375%, due 2/15/24 .......................... 249,972
250,000 Mass Mutual Life 144A, 7.625%, due 11/15/23 (a) ............ 240,160
250,000 Metropolitan Life 144A, 7.45%, due 11/1/23 (a) ............. 224,423
250,000 Mutual Life Insurance Company of NY, 0.00%, due 08/15/24 ... 196,175
250,000 New York Life 144A, 7.50%, due 12/15/23 (a) ................ 231,396
250,000 Principal Mutual Insurance Company, 7.875%, due 3/1/24 ..... 229,432
150,000 Prudential Insurance, 8.30%, due 7/1/25 .................... 146,912
75,000 Reliance Group Holdings, 9.00%, due 11/15/00 ............... 74,626
-----------
1,593,096
-----------
RETAIL -- 0.8%
195,000 Federated Department Stores, 8.125%, due 10/15/02 .......... 193,050
274,000 Southland Corporation, 5.00%, due 12/15/03 ................. 215,090
-----------
408,140
-----------
TECHNOLOGY -- 0.4%
195,000 Digital Equipment, 8.625%, due 11/1/12 ..................... 198,580
-----------
TELECOMMUNICATIONS -- 1.6%
155,000 360 Communications, 7.50%, due 3/1/06 ...................... 148,133
50,000 AT&T Corporation, 8.35%, due 1/15/25 ....................... 51,871
150,000 ITT Corp, 7.75%, due 11/15/25 .............................. 140,580
145,000 Lenfest Communications, 8.375%, due 11/1/05 ................ 136,993
50,000 Tele Communications Inc., 10.125%, due 4/15/22 ............. 54,768
250,000 Tele Communications Inc., 9.25%, due 1/15/23 ............... 243,317
60,000 Tele Communications Inc., 7.875%, due 2/15/26 .............. 52,106
-----------
827,768
-----------
TRANSPORTATION -- 0.7%
140,000 Continental Airlines, 9.50%, due 10/15/13 .................. 139,300
250,000 National Car Rental, 7.35%, due 10/20/03 ................... 247,723
-----------
387,023
-----------
TOTAL CORPORATE OBLIGATIONS (COST $6,686,242)............... 6,551,515
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.6%
150,000 American Southwest Financial, 7.40%, due 11/17/04 .......... 149,828
125,949 American Southwest Financial 1993-2, 7.30%, due 1/18/09 .... 123,668
173,392 Asset Securitization Corporation, 1995-D1, 7.59%,
due 8/11/27 .............................................. 175,473
198,740 Asset Securitization Corporation, 1995-MD4, 7.10%,
due 8/13/29 .............................................. 195,493
125,000 Beverly Finance, 94-1, 8.36%, due 7/15/04 .................. 128,314
175,000 CBM Funding Corp., 1996, 7.08%, due 2/1/13 ................. 170,550
149,689 CMS 1996-1, 7.25%, due 1/25/26 ............................. 142,269
123,989 CMSI 1995-2, 7.50%, due 4/25/25 ............................ 118,195
146,072 CWMBS 1993-C, 6.50%, due 1/25/24 ........................... 131,635
200,000 DLJMA, 6.85%, due 12/17/27 ................................. 191,582
131,441 First Boston Mortgage Security Corp., 8.625%, due 7/25/23 .. 133,070
145,717 First Boston Mortgage Security Corp., 1993-5, 7.30%,
due 7/25/23 .............................................. 135,269
199,346 General Electric Mortgage Corp., 1995-9, 7.50%, due 11/25/25 193,193
197,312 Independent National Mortgage Corp., 1994-0, 7.875%,
due 9/25/24 .............................................. 187,747
98,221 JP Morgan, 1995-C1, 7.268%, due 7/25/10 .................... 97,790
100,000 Lakewood Mall, 7.0%, due 8/13/10 ........................... 96,698
150,000 Mortgage Capital Funding Inc., 7.60%, due 5/25/27 .......... 151,188
225,000 Merrill Lynch Mortgage Investors, 7.42%, due 3/25/26 ....... 222,331
51,722 Mid-State Trust IV, 8.33%, due 4/1/30 ...................... 53,527
100,000 Residential Funding Mortgage Security, 6.97%, due 8/28/23 .. 90,216
146,140 Residential Funding Mortgage Security, 1993-S43, 6.50%, due
11/25/23 ................................................. 131,607
124,272 Residential Funding Mortgage Security, 1995-S11, 7.50%, due
9/25/25 .................................................. 120,370
174,269 Residential Funding Mortgage Security, 1995-S16, 7.50%, due
11/25/25 ................................................. 167,282
149,552 Residential Funding Mortgage Security, 1995-R20, 7.50%, due
12/25/25 ................................................. 143,610
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $3,560,252)......................................... 3,450,905
-----------
ASSET-BACKED OBLIGATIONS -- 1.9%
100,000 Aircraft Lease Portfolio Securitizations, 1994-1 A4, 7.80%,
due 9/15/04 .............................................. 102,130
99,493 Aircraft Lease Portfolio Securitizations, 1994-1 C, 9.35%,
due 9/15/04 .............................................. 101,632
120,000 Aircraft Lease Portfolio Securitizations, Class B, 6.475%,
due 3/15/19 .............................................. 120,000
239,020 Carousel Center Financial - C, 7.527%, due 10/15/07 ........ 236,178
100,000 Carousel Center Financial - A1, 6.828%, due 11/15/07 ....... 97,285
24,962 Jet Equipment Trust 144A, 10.91%, due 6/15/06 (a) .......... 28,207
175,000 Jet Equipment Trust, 10.00%, due 6/15/12 ................... 197,713
100,000 Jet Equipment Trust, 9.71%, due 8/15/13 .................... 103,376
-----------
TOTAL ASSET-BACKED OBLIGATIONS (COST $981,212).............. 986,521
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 37.8%
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 15.5%
126,733 11.0%, due 9/1/16 .......................................... 140,753
483,514 9.5%, due 12/1/16 .......................................... 513,885
441,000 10.0%, due 9/1/17 .......................................... 480,002
105,846 10.5%, due 11/1/18 ......................................... 116,761
1,000,000 7.5%, due 2/15/23 (b) ...................................... 989,380
700,000 7.0%, due 2/15/25 (b) ...................................... 675,717
2,000,000 7.5%, due 3/15/25 (b) ...................................... 1,978,760
225,000 7.0%, due 6/15/25 (b) ...................................... 217,195
3,050,000 7.0%, due 8/15/25 (b) ...................................... 2,944,195
-----------
8,056,648
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 12.3%
123,266 10.50%, due 12/1/16 ........................................ 136,186
135,131 10.00%, due 5/01/22 ........................................ 148,330
2,000,000 7.00%, due 10/01/23 (b) .................................... 1,928,120
500,000 7.00%, due 9/01/25 (b) ..................................... 482,030
2,850,000 7.00%, due 11/15/25 (b) .................................... 2,747,571
1,000,000 7.00%, due 12/15/25 (b) .................................... 964,060
-----------
6,406,297
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 10.0%
28,407 13.5%, due 11/15/14 ........................................ 33,272
44,744 11.5%, due 2/15/16 ......................................... 50,854
2,500,000 7.0%, due 1/15/24 (b) ...................................... 2,406,250
350,000 7.0%, due 11/15/24 (b) ..................................... 336,875
525,000 7.0%, due 11/15/25 (b) ..................................... 505,312
600,000 7.5%, due 2/15/26 (b) ...................................... 592,878
1,275,000 7.5%, due 2/15/26 (b) ...................................... 1,259,866
-----------
5,185,307
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $19,826,448)........................................ 19,648,252
-----------
U.S. GOVERNMENT AGENCY COLLATERALIZED
MORTGAGE OBLIGATIONS -- 0.9%
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 0.4%
265,000 5.55%, due 11/15/23 (c) .................................... 181,870
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.5%
113,704 FNMA 93 205G, 0.00%, due 9/25/23 ........................... 57,762
50,270 FNMA 93 235H, 0.00%, due 9/25/23 ........................... 33,681
149,198 FNMA 93 237E, 0.00%, due 11/25/23 .......................... 96,620
30,899 FNMA 93 243C, 0.00%, due 11/25/23 .......................... 19,034
72,637 FNMA 94 25C, 0.00%, due 11/25/23 ........................... 44,294
-----------
251,391
-----------
TOTAL U.S. GOVERNMENT AGENCY
COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $436,115)........................................... 433,261
-----------
U.S. TREASURY OBLIGATIONS -- 18.7%
5,050,000 US Treasury Note, 7.00%, due 4/15/99 ....................... 5,152,571
5,300,000 US Treasury Strip, 0.00%, due 2/15/19 ...................... 1,031,905
2,825,000 US Treasury Strip, 0.00%, due 8/15/20 ...................... 493,864
2,550,000 US Treasury Bond, 8.75%, due 8/15/20 ....................... 3,032,905
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $10,043,533) ......... 9,711,245
-----------
YANKEE BONDS -- 1.6%
505,000 Argentina, 5.25%, due 3/31/23 .............................. 275,225
260,000 Brazil, Par Z-l, 4.25%, due 4/15/24 ........................ 136,500
250,000 Mexico, Par Bond Series A, 6.25%, due 12/31/19 ............. 165,313
236,153 YPF Sociedad Anonima, 7.5%, due 10/26/02 ................... 237,628
-----------
TOTAL YANKEE BONDS (COST $761,449).......................... 814,666
-----------
FOREIGN GOVERNMENT OBLIGATIONS -- 11.5%
CAD 950,000 Canada, 8.50%, due 4/01/02 ................................. 737,048
DKK 4,275,000 Denmark, 8.0%, due 3/15/06 ................................. 761,441
NLG 1,475,000 Netherlands, 5.75%, due 1/15/04 ............................ 847,038
DEM 2,850,000 Treuhandanstalt, 7.125%, due 1/29/03 ....................... 1,984,889
DEM 1,975,000 Treuhandanstalt, 7.50%, due 9/9/04 ......................... 1,392,252
GBP 170,000 United Kingdom, 9.125%, due 2/21/01 ........................ 234,770
-----------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(COST $6,208,223) ........................................ 5,957,438
-----------
SHORT-TERM OBLIGATIONS -- 1.3%
$ 150,000 Caterpillar Financial, 5.5125%, due 6/20/97 ................ 150,015
175,000 Dean Witter Discover, 5.618%, due 3/6/97 ................... 175,130
175,000 Marshall & Ilsley, 5.50%, due 5/26/97 (c) .................. 175,232
175,000 Wells Fargo & Company, 5.4375%, due 8/16/96 (c) ............ 175,127
-----------
TOTAL SHORT-TERM OBLIGATIONS (COST $674,813) ............... 675,504
-----------
REPURCHASE AGREEMENTS 42.8%
22,202,233 Salomon Brothers, 4.81%, dated 4/30/96, due 5/01/96,
proceeds $22,205,200 (collateralized by $3,273,918 U.S.
Treasury Note, 11.25%, due 02/15/15, valued at $4,784,435
and $16,643,909 U.S. Treasury Note, 7.875%, due 11/15/04,
valued at $18,513,517) (Cost $22,202,233) ................ 22,202,233
-----------
TOTAL INVESTMENTS -- 135.7%
(Identified cost $71,380,520)(d) ............................................ 70,431,540
LIABILITIES LESS OTHER ASSETS -- (35.7%) ...................................... (18,522,524)
-----------
TOTAL NET ASSETS -- 100.0% .................................................... $51,909,016
===========
<FN>
- ----------
(a) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(b) Security purchased on a delayed delivery basis.
(c) Represents a variable rate note. Interest rate disclosed represents
current rate at 4/30/96.
(d) For Federal income tax purposes, the cost of securities owned at April 30,
1996 was substantially the same as the cost of securities for financial
statement purposes.
</TABLE>
<PAGE>
REPUBLIC FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
ASSETS:
Investment at value (cost $49,178,287) .......................... $48,229,307
Repurchase agreements (cost $22,202,233) ........................ 22,202,233
Interest receivable ............................................. 411,156
Receivable for investments sold ................................. 9,075
Variation Margin receivable on Futures Contracts ................ 4,645
Net unrealized appreciation of Forward Foreign Currency Contracts 102,477
Unamortized organization expenses ............................... 50,219
-----------
Total Assets .............................................. 71,009,112
-----------
LIABILITIES:
Payable for investments purchased ............................... 19,045,941
Sub-advisory fee payable (Note 2) ............................... 15,840
Administration fee payable (Note 2) ............................. 2,112
Accrued expenses and other liabilities .......................... 36,203
-----------
Total Liabilities ......................................... 19,100,096
-----------
NET ASSETS:
Applicable to investors' beneficial interest .................... $51,909,016
===========
See accompanying notes to financial statements
<PAGE>
REPUBLIC FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
INVESTMENT INCOME (NOTE 1):
Interest income ................................................. $1,303,405
EXPENSES (NOTE 2):
Sub-advisory fees ................................. $ 77,821
Fund accounting fees .............................. 20,000
Custody fees ...................................... 12,149
Audit fees ........................................ 11,119
Administration fees ............................... 10,376
Amortization of organization expenses ............. 6,865
Trustees' fees and expenses ....................... 3,767
Insurance expense ................................. 2,266
Legal fees ........................................ 650
Reports to shareholders ........................... 371
Other expenses .................................... 1,426
---------
Total expenses .................................. 146,810
Less: reimbursement of expenses ................. (5,000)
---------
Net expenses ................................................ 141,810
----------
NET INVESTMENT INCOME ........................................... 1,161,595
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) on:
Investments ................................................. (69,783)
Foreign currency transactions ............................... 292,539
Net unrealized depreciation of investments ...................... (1,361,688)
Net unrealized appreciation of futures contracts ................ 4,645
Net unrealized appreciation of foreign currency contracts and
translations .................................................. 160,179
----------
Net realized and unrealized loss on investments and foreign
currency transactions ......................................... (974,108)
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $ 187,487
==========
See accompanying notes to financial statements
<PAGE>
REPUBLIC FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE FOR THE PERIOD
SIX MONTHS JANUARY 9, 1995
ENDED (COMMENCEMENT
APRIL 30, 1996 OF OPERATIONS)TO
(UNAUDITED) OCTOBER 31, 1995
--------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ..................... $ 1,161,595 $ 869,764
Net realized gain from investment and
foreign currency transactions ............. 222,756 1,056,225
Net unrealized appreciation (depreciation)
of investments and foreign currency
translations ............................ (1,196,864) 349,074
----------- -----------
Net increase in net assets resulting from
operations .............................. 187,487 2,275,063
----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Additions ................................. 22,876,853 28,059,930
Reductions ................................ (1,177,851) (362,566)
----------- -----------
Net increase in net assets from transactions
in investors' beneficial interest ....... 21,699,002 27,697,364
----------- -----------
NET INCREASE IN NET ASSETS ................ 21,886,489 29,972,427
NET ASSETS:
Beginning of period ....................... 30,022,527 50,100
----------- -----------
End of period ............................. $51,909,016 $30,022,527
=========== ===========
- ------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR THE FOR THE PERIOD
SIX MONTHS JANUARY 9, 1995
ENDED (COMMENCEMENT
APRIL 30, 1996 OF OPERATIONS) TO
(UNAUDITED) OCTOBER 31, 1995
--------------- ----------------
RATIOS AND SUPPLEMENTAL DATA:
Net Assets at end of Period (in thousands) $51,909 $30,023
Ratios:
Expenses to average net assets(a) ....... 0.68%(b) 0.46%(b)
Net investment income to average net
assets(a) ............................. 5.60%(b) 6.04%(b)
Portfolio turnover ...................... 2.17%(c) 100%(c)
(a) Reflects a voluntary expense limitation and waiver of fees by affiliated
parties of the Portfolio. If this limitation and waiver had not been in
effect, the annualized ratios of net investment income and expenses to
average net assets for the six months ended April 30, 1996 and the period
January 9, 1995 (commencement of operations) to October 1995 would have
been:
Expenses to average net assets ....... 0.71%(b) 1.00%(b)
Net investment income to average net
assets ............................ 5.57%(b) 5.51%(b)
(b) Annualized.
(c) Not Annualized.
See accompanying notes to financial statements
<PAGE>
REPUBLIC FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES. The Fixed Income
Portfolio (the "Portfolio") is a diversified separate series of Republic
Portfolios, which is registered under the Investment Company Act of 1940,
as amended (the "Act"), as a no-load, open-end management investment
company. The Portfolio is a series of the Republic Portfolios (the
"Portfolio Trust") which was organized as a master trust fund under the
laws of the State of New York on November 21, 1994. The Portfolio was
initially capitalized with an investment of $50,000 from Republic Fixed
Income Fund Ltd., a Cayman Islands exempted company, and $100 from
Republic Fixed Income Fund. The Portfolio commenced operations on January
9, 1995. The Declaration of Trust permits the Trustees to issue an
unlimited number of beneficial interests in the Portfolio.
The preparation of financial statements in conformity with generally
accepted accounting principals requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those
estimates.
The following is a summary of the significant accounting policies of
the Portfolio:
(A) Investment Security Valuations: The net asset value of the
Portfolio is determined on each day on which the New York Stock Exchange
is open for trading. Bonds and other fixed-income securities which are
traded over-the-counter and on a stock exchange will be valued according
to the broadest and most representative market, and it is expected that
for bonds and other fixed-income securities this ordinarily will be the
over-the-counter market. Bonds and other fixed income securities (other
than short-term obligations but including listed issues) in the Portfolio
may be valued on the basis of valuations furnished by a pricing service,
use of which has been approved by the Board of Trustees of the Portfolio.
In making such valuations, the pricing service utilizes both dealer-
supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in
similar groups of securities, yield, quality, coupon rate, maturity, type
of issue, trading characteristics and other market data, without exclusive
reliance upon quoted prices or exchange or over-the-counter prices, since
such valuations are believed to reflect more accurately the fair value of
such securities. Short-term debt obligations are valued at amortized cost,
which constitutes fair value as determined by the Board of Trustees of the
Portfolio. Futures contracts are normally valued at the settlement price
on the exchange on which they are traded. Portfolio securities (other than
short-term obligations) for which there are no such valuations are valued
at fair value as determined in good faith under the direction of the Board
of Trustees of the Portfolio.
Bonds and other fixed income securities listed on a foreign exchange
are valued at the last quoted sales price available before the time when
assets are valued.
(B) Foreign Currency Translation: The accounting records of the
Portfolio are maintained in U.S. dollars. Foreign currency amounts are
translated into U.S. dollars at the current rate of exchange to determine
the value of investments, assets and liabilities. Purchases and sales of
securities, and income and expenses are translated at the prevailing rate
of exchange on the respective dates of such transactions. The Portfolio
does not isolate that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or
loss from investments.
(C) Forward Foreign Currency Exchange Contracts: The Portfolio may
enter into forward foreign currency exchange contracts in connection with
planned purchases or sales of securities, or to hedge the U.S. dollar
value of portfolio securities denominated in a particular currency. The
Portfolio could be exposed to risks if the counter-parties to the
contracts are unable to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. The forward foreign currency exchange contracts are adjusted
by the daily exchange rate of the underlying currency and any gains or
losses are recorded for financial statement purposes as unrealized gains
or losses until the contract settlement date. At April 30, 1996, the
Portfolio had open forward currency contracts as follows:
<TABLE>
<CAPTION>
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
AT APRIL 30, 1996
-----------------------------------------------------------------------------------------------------------------
PRINCIPAL
VALUE U.S. DOLLAR NET UNREALIZED
LOCAL EXPIRATION VALUE AT APPRECIATION/
CONTRACTS TO BUY CURRENCY DATE PROCEEDS 4/30/96 (DEPRECIATION)
---------------- -------- ---------- -------- ------- --------------
<S> <C> <C> <C> <C> <C>
Canadian Dollar 685,000 6/14/96 $ 504,611 $ 503,422 $ (1,189)
French Franc 2,800,000 6/04/96 553,313 541,923 (11,390)
--------
(12,579)
--------
CONTRACTS TO SELL
-----------------
Canadian Dollar 1,605,000 6/14/96 1,172,043 1,179,555 (7,512)
Deutsche Mark 2,705,000 5/06/96 1,830,179 1,766,226 63,953
Deutsche Mark 1,095,000 7/19/96 730,731 718,323 12,408
Deutsche Mark 1,870,000 7/24/96 1,240,530 1,227,153 13,377
Danish Krone 655,000 7/11/96 113,715 111,279 2,436
Danish Krone 3,980,000 7/19/96 685,015 676,449 8,566
French Franc 2,800,000 6/04/96 556,406 541,923 14,483
Netherlands Guilder 1,455,000 7/25/96 861,967 854,622 7,345
--------
115,056
--------
Net unrealized appreciation on forward foreign currency contracts ................. $102,477
========
</TABLE>
(D) Futures: A futures contract is an agreement to purchase/sell a
specified quantity of an underlying instrument at a specified future date
or to make/receive a cash payment based on the value of a securities index.
The price at which the purchase and sale will take place is fixed when the
Portfolio enters into the contract. Upon entering into such a contract the
Portfolio is required to pledge to the broker an amount of cash and/or
securities equal to the minimum "initial margin" requirements of the
exchange. Pursuant to the contract, the Portfolio agrees to receive from or
pay to the broker an amount of cash equal to the daily fluctuation in value
of the contract. Such receipts or payments are known as "variation margin"
and are recorded by the Portfolio as unrealized gains or losses. When the
contract is closed, the Portfolio records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened
and the value at the time when it was closed. The Portfolio invests in
futures contracts solely for the purpose of hedging its existing portfolio
securities, or securities the Portfolio intends to purchase, against
fluctuations in value caused by changes in prevailing market interest
rates. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates
and the underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts. At April 30, 1996 the
Portfolio had open financial futures contracts as follows:
<PAGE>
<TABLE>
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SCHEDULE OF OPEN FINANCIAL FUTURES CONTRACTS
APRIL 30, 1996
NUMBER PRINCIPAL UNREALIZED
OF AMOUNT APPRECIATION
CONTRACTS OF CONTRACTS EXPIRATION AT 4/30/96
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SHORT:
<S> <C> <C> <C> <C>
Five-Year U.S. Treasury .............. 18 1,800,000 6/28/96 $4,645
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(E) When-Issued Security Transactions: The Portfolio may purchase or
sell securities on a when-issued or forward commitment basis. Payment and
delivery may take place a month or more after the date of the transaction.
The price of the underlying securities and the date when the securities
will be delivered and paid for are fixed at the time the transaction is
negotiated. The Portfolio may receive compensation for interest forgone in
a delayed delivery transaction. The custodian identifies these securities
as segregated assets in its records with a value at least equal to the
amount of the purchase commitment.
(F) Income: Securities transactions are recorded on a trade date
basis. Interest income is recorded on an accrual basis. Realized gains and
losses are determined on the basis of specific indentification.
(G) Expenses: Expenses incurred by the Portfolio Trust with respect
to any two or more portfolios in the Trust are allocated in proportion to
the net assets of each portfolio, except when allocations of direct
expenses to each portfolio can otherwise be made fairly. Expenses directly
attributable to a portfolio are charged to that portfolio.
(H) Taxes: There is, at present, no direct taxation in the Cayman
Islands, and therefore, interest and capital gains derived by the
Portfolio are not subject to taxes in that jurisdiction.
2. TRANSACTIONS WITH AFFILIATES.
(A) Investment Management: Republic National Bank of New York
("Republic" or the "Manager") is the investment manager to the Portfolio
pursuant to an investment management agreement with the Portfolio Trust.
For its services, the investment manager receives no compensation from the
Portfolio.
(B) Sub-Advisory: Miller Anderson & Sherrerd (the "Sub-Advisor")
continuously manages the investment portfolio of the Portfolio pursuant to a
Sub-Advisory Agreement with the Manager. For its services, the sub-Adviser
is paid a fee by the Portfolio, computed daily and based on the Portfolio's
average daily net assets, equal to 0.375% of net assets up to $50 million,
0.25% of the net assets over $50 million up to $95 million, $300,000 when
net assets are over $95 million and less than $150 million, 0.20% of net
assets over $150 million up to $250 million, and 0.15% of net assets over
$250 million. It is the responsibility of the Sub-Adviser not only to make
investment decisions for the Portfolio, but also to place purchase and sale
orders for the portfolio transactions of the Portfolio. For the six months
ended April 30, 1996, Miller Anderson & Sherrerd's fees for these services
aggregated $77,821.
(C) Administration: Pursuant to an Administrative Services Agreement,
Signature Financial Group (Cayman) Ltd. ("Signature (Cayman)") provides
the Portfolio with general office facilities, and supervises the overall
administration of the Portfolio including, among other responsibilities,
the preparation and filing of all documents required for compliance by the
Portfolio with applicable laws and regulations and arranging for the
maintenance of books and records of the Portfolio. For its services to the
Portfolio, Signature (Cayman) receives from the Portfolio fees payable
monthly equal on an annual basis (for the Portfolio's then-current fiscal
year) to 0.05% of the Portfolio's average daily net assets. For the six
months ended April 30, 1996, Signature (Cayman)'s fee for these services
aggregated $10,376.
(D) Fund Accounting: Pursuant to a fund accounting agrement,
Signature Financial Services, Inc. ("SFSI") serves as fund accounting
agent to the Portfolio. For its services to the Portfolio, SFSI receives
fees payable monthly equal on an annual basis to $40,000. For the six
months ended April 30, 1996, SFSI's fee for these services aggregated
$20,000, of which $5,000 was waived.
(E) Trustees' Fees and Expenses: The fees and expenses of the
Trustees amounted to $3,767 for the six months ended April 30, 1996.
3. INVESTMENT TRANSACTIONS. Investment transactions (excluding short-term
investments) for the six months ended April 30, 1996 were as follows:
COST OF PROCEEDS
PURCHASES FROM SALES
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US Government and Agency Obligations ....... $ 87,603,675 $68,832,039
Corporate and Collateralized Obligations ... 12,429,781 5,830,930
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$100,033,456 $74,662,969
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