<PAGE>
SEMI-ANNUAL REPORT
DLJ WINTHROP FUNDS
LEADERSHIP THROUGH
EXPERIENCE
DLJ WINTHROP
HIGH INCOME FUND
APRIL 30, 1999
TRUSTEES
G. Moffett Cochran
Robert E. Fischer
Wilmot H. Kidd, III
Martin Jaffe
John W. Waller, III
OFFICERS
G. Moffett Cochran, Chairman and President
James A. Engle, Vice President
Martin Jaffe, Vice President, Secretary and Treasurer
Brian A. Kammerer, Vice President
INVESTMENT ADVISER
DLJ Investment Management Corp.
277 Park Avenue, New York, NY 10172
CUSTODIAN
Citibank, N.A.
111 Wall Street, New York, NY 10043
TRANSFER AGENT
First Data Investor Services Group, Inc.
P.O. Box 61787 (211 South Gulph Road)
King of Prussia, PA 19406
DISTRIBUTOR
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, NY 10172
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue, New York, NY 10019
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom
919 Third Avenue, New York, NY 10022
This report is submitted for the general information of the stockholders
of the Fund. It is not authorized for distribution to prospective investors
in the Fund unless preceded or accompanied by an effective prospectus,
which should be read carefully before investing.
DLJ WINTHROP FUNDS
277 Park Avenue, New York, NY 10172
800-225-8011
SEMI-HIGHINC99
<PAGE>
FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP HIGH INCOME FUND
TOP TEN HOLDINGS as of April 30, 1999
<TABLE>
<CAPTION>
% OF TOTAL
SECURITY DESCRIPTION NET ASSETS
<S> <C>
Hermes Europe Railtel BV
11.500%, 08/15/07...................... 3.58%
Time Warner Telecom, Inc.
9.750%, 07/15/08....................... 3.53%
Jitney-Jungle Stores of America, Inc.
12.000%, 03/01/06...................... 3.50%
Stations Casinos, Inc.
10.125%, 03/15/06...................... 3.47%
King Pharmaceutical, Inc.
10.750%, 02/15/09...................... 3.45%
</TABLE>
<TABLE>
<CAPTION>
% OF TOTAL
SECURITY DESCRIPTION NET ASSETS
<S> <C>
Primus Telecommunications Group, Inc.
11.750%, 08/01/04...................... 3.43%
Rent-A-Center, Inc.
11.000%, 08/15/08...................... 3.43%
PSI Net, Inc.
10.000%, 02/15/05...................... 3.42%
Nextel Communication, Inc.
9.750%, 08/15/04....................... 3.40%
Simmons Co.
10.250%, 03/15/09...................... 3.40%
</TABLE>
ASSET ALLOCATION BY INDUSTRY April 30, 1999
<TABLE>
<CAPTION>
% OF TOTAL
INDUSTRY NET ASSETS
<S> <C>
Telecommunications....................... 22.9%
Media Entertainment...................... 16.3%
Retail................................... 13.6%
Food & Tobacco........................... 6.7%
Forest Products/Containers............... 6.7%
Transportation........................... 6.5%
Gaming/Leisure........................... 3.5%
Healthcare............................... 3.4%
</TABLE>
<TABLE>
<CAPTION>
% OF TOTAL
INDUSTRY NET ASSETS
<S> <C>
Housing............................... 3.4%
Manufacturing -- Misc. ............... 3.3%
Food & Drugs.......................... 3.3%
Metals & Minerals..................... 3.3%
Information Technology................ 3.0%
Cash and Other Assets Net of
Liabilities......................... 4.1%
----------
TOTAL................................. 100.0%
----------
----------
</TABLE>
PORTFOLIO AND FUND INFORMATION April 30, 1999
30 DAY YIELD, CLASS A: 7.97%
30 DAY YIELD, CLASS B: 6.87%
AVERAGE RATING: B*
AVERAGE YEARS TO MATURITY: 7.9 YEARS*
AVERAGE COUPON: 9.69%'D'*
AVERAGE DURATION: 4.85 YEARS*
* Weighted Average
'D' Exclusive of Commercial Paper
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF INVESTMENTS April 30, 1999
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
BONDS -- 95.9% AMOUNT VALUE
--------- ----------
<S> <C> <C>
FOOD & DRUGS -- 3.3%
New World Pasta Co.
9.250%, 02/15/09*,**............... $250,000 $ 255,312
----------
FOOD & TOBACCO -- 6.7%
Advantica Restaurant Group, Inc.
11.250%, 01/15/08**................ 250,000 258,125
National Wine & Spirits Holdings
Corp. 10.125%, 01/15/09*,**........ 250,000 260,000
----------
518,125
----------
FOREST PRODUCTS/CONTAINERS -- 6.7%
Packaging Corp. of America
9.625%, 04/01/09*,**............... 250,000 260,625
Phoenix Color Corp.
10.375%, 02/01/09*,**.............. 250,000 255,000
----------
515,625
----------
GAMING/LEISURE -- 3.5%
Stations Casinos, Inc.
10.125%, 03/15/06**................ 250,000 266,875
----------
HEALTHCARE -- 3.4%
King Pharmaceutical, Inc.
10.750%, 02/15/09*,**.............. 250,000 265,000
----------
HOUSING -- 3.4%
Webb (Del E.) Corp.
10.250%, 02/15/10**................ 250,000 259,375
----------
INFORMATION TECHNOLOGY -- 3.0%
Viasystems, Inc.
9.750%, 06/01/07**................. 250,000 234,375
----------
MANUFACTURING -- MISC. -- 3.3%
BGF Industries, Inc.
10.250%, 01/15/09*,**.............. 250,000 255,625
----------
MEDIA/ENTERTAINMENT -- 16.3%
Adelphia Communication Corp.
7.875%, 05/01/09................... 250,000 251,250
American Media Operations
10.250%, 05/01/99*,**.............. 250,000 250,000
Carmike Cinemas, Inc.
9.375%, 02/01/09*,**............... 250,000 251,875
Liberty Group, Inc.
9.375%, 02/01/08**................. 250,000 253,125
Regal Cinemas, Inc.
9.500%, 06/01/08**................. 250,000 249,375
----------
1,255,625
----------
METALS & MINERALS -- 3.3%
Kaiser Aluminum & Chemical Corp.
12.750%, 02/01/03**................ 250,000 251,250
----------
RETAIL -- 13.6%
Jitney-Jungle Stores of America, Inc.
12.000%, 03/01/06**................ 250,000 268,750
MusicLand Group, Inc.
9.000%, 06/15/03**................. 250,000 252,500
Rent-A-Center, Inc.
11.000%, 08/15/08**................ 250,000 263,125
Simmons Co.
10.250%, 03/15/09*,**.............. 250,000 260,938
----------
1,045,313
----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
TELECOMMUNICATIONS -- 22.9%
Dobson Communication, Inc.
13.000%, 05/01/09*,**.............. $250,000 $ 252,500
Hermes Europe Railtel BV
11.500%, 08/15/07**................ 250,000 275,000
Nextel Communication, Inc.
9.750%, 08/15/04**................. 250,000 261,250
NTL, Inc.
12.375%, 10/01/08*,**,***.......... 250,000 175,625
Primus Telecommunications Group, Inc.
11.750%, 08/01/04**................ 250,000 263,750
PSI Net, Inc.
10.000%, 02/15/05**................ 250,000 262,500
Time Warner Telecom, Inc.
9.750%, 07/15/08**................. 250,000 271,250
----------
1,761,875
----------
TRANSPORTATION -- 6.5%
American Axle & Manufacturing
Holdings, Inc.
9.750%, 03/01/09*,**............... 250,000 260,625
Roller Bearing Company of America
9.625%, 06/15/07**................. 250,000 239,375
----------
500,000
----------
TOTAL BONDS
(cost $7,266,089)............................ 7,384,375
----------
COMMERCIAL PAPER -- 2.6%
(amortized cost $199,945)
Merrill Lynch & Co.
4.930%, 05/03/99................... 200,000 199,945
----------
TOTAL INVESTMENTS -- 98.5%
(cost $7,466,034)............................ 7,584,320
----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 1.5%..................... 117,622
----------
NET ASSETS -- 100.0%............................. $7,701,942
----------
----------
</TABLE>
Notes to Statement of Investments:
* 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. As of April 30,
1999, the value of these securities amounted to $3,003,125 or 39.0% of net
assets.
** Security has an effective maturity date less than the stated maturity date
due to a call feature.
*** Security is a step-bond. Rate shown is the yield to maturity in effect at
the time of purchase.
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF ASSETS AND LIABILITIES April 30,
1999'D'
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investment in securities, at value (cost $7,466,034)................................................... $7,584,320
Cash................................................................................................... 20,042
Receivable for investment securities sold.............................................................. 1,001,250
Receivable for capital stock sold...................................................................... 483,458
Dividends and interest receivable...................................................................... 153,392
------------
Total assets........................................................................................... 9,242,462
------------
LIABILITIES:
Payable to investment advisor.......................................................................... 2,083
Payable to distributor................................................................................. 1,549
Payable for investment securities purchased............................................................ 1,500,000
Dividend payable....................................................................................... 34,210
Accrued expenses and other liabilities................................................................. 2,678
------------
Total liabilities...................................................................................... 1,540,520
------------
NET ASSETS............................................................................................... $7,701,942
------------
------------
NET ASSETS CONSIST OF:
Capital paid in........................................................................................ $7,487,445
Accumulated net realized gain on investments........................................................... 96,211
Net unrealized appreciation of investments............................................................. 118,286
------------
$7,701,942
------------
------------
CLASS A SHARES:
Net assets............................................................................................. $7,340,369
------------
------------
Shares outstanding..................................................................................... 710,512
------------
------------
Net asset value and redemption value per share......................................................... $ 10.33
------------
------------
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price)........ $ 10.85
------------
------------
CLASS B SHARES:
Net assets............................................................................................. $ 361,573
------------
------------
Shares outstanding..................................................................................... 34,994
------------
------------
Net asset value and redemption value per share......................................................... $ 10.33
------------
------------
</TABLE>
'D' unaudited
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF OPERATIONS for the Period Ended
April 30, 1999'D'
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................................................... $ 89,652
------------
EXPENSES:
Investment advisory fees (Note B)...................................................................... 6,714
Distribution fees -- Class A (Note B).................................................................. 2,358
Distribution fees -- Class B (Note B).................................................................. 160
Transfer agent fees.................................................................................... 500
Custodian fees......................................................................................... 700
Registration fees...................................................................................... 700
Printing fees.......................................................................................... 400
Legal fees............................................................................................. 400
Auditing fees.......................................................................................... 400
Trustees' fees......................................................................................... 200
Miscellaneous.......................................................................................... 57
------------
Total expenses....................................................................................... 12,589
Less expenses reimbursed by investment advisor (Note B).............................................. (1,918)
------------
Net expenses......................................................................................... 10,671
------------
NET INVESTMENT INCOME.................................................................................... 78,981
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments....................................................................... 96,211
Net change in unrealized appreciation on investments................................................... 118,286
------------
Net realized and unrealized gain on investments........................................................ 214,497
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................................................... $293,478
------------
------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS'D'
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED
04/30/99*
------------
<S> <C>
OPERATIONS:
Net investment income.................................................................................. $ 78,981
Net realized gain on investments....................................................................... 96,211
Net change in unrealized appreciation on investments................................................... 118,286
------------
Net increase in net assets from operations............................................................. 293,478
------------
DIVIDENDS TO SHAREHOLDERS FROM:
Investment income:
Class A.............................................................................................. (78,010)
Class B.............................................................................................. (971)
------------
Total Dividends to Shareholders........................................................................ (78,981)
------------
CAPITAL STOCK TRANSACTIONS -- (NET) Note D............................................................... 7,487,445
------------
Total increase in net assets........................................................................... 7,701,942
NET ASSETS:
Beginning of period.................................................................................... --
------------
End of period.......................................................................................... $7,701,942
------------
------------
</TABLE>
*The DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
'D' unaudited
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- NOTES TO FINANCIAL STATEMENTS April 30, 1999
(unaudited)
- --------------------------------------------------------------------------------
NOTE (A) SIGNIFICANT ACCOUNTING POLICIES. DLJ Winthrop High Income Fund ('Fund')
is a diversified series of the DLJ Winthrop Opportunity Funds (the 'Trust'). In
addition, the Trust consists of the DLJ Winthrop Municipal Money Fund, the DLJ
Winthrop U.S. Government Money Fund, the DLJ Winthrop International Equity Fund
and the DLJ Winthrop Developing Markets Fund. The Trust was organized as a
Delaware business trust under the laws of Delaware on May 31, 1995 and is
registered under the Investment Company Act of 1940 (the 'Act'), as amended, as
an open-end management investment company. The Fund commenced operations on
March 8, 1999. The Fund's primary investment objective is to seek high current
income with a secondary objective of seeking capital appreciation.
The Fund offers three classes of shares. Class A shares are sold with a
front-end sales charge of up to 4.75%. Class B shares are sold with a contingent
deferred sales charge which declines from 4% to zero depending on the period of
time the shares are held. Effective May 17, 1999, the Fund began offering Class
D shares exclusively to employees of DLJ and its subsidiaries who are eligible
to participate in the DLJ 401(k) Retirement Savings Plan. Each class is
identical in all respects except that Class A and Class B bear different
distribution service fees and Class D shares are not subject to any distribution
service fees. Each class has different exchange priveleges and only Class B
shares have a conversion feature. Class A and Class B have exclusive voting
rights with respect to each class's distribution plan.
The Portfolio is considered to be a separate entity for financial reporting and
tax purposes. The Fund's financial statements are prepared in accordance with
generally accepted accounting principles which may require the use of management
estimates and assumptions. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by the Fund.
(1) SECURITY VALUATION: Fixed-income securities (other than short-term
obligations, but including listed issues) are valued based on prices obtained
by one or more independent pricing services approved by the Board of Trustees.
Securities (other than fixed-income securities) for which the principal market
is one or more securities exchanges are valued at the last reported sale price
(or, if there has been no current sale, at the closing bid price) on the
primary exchange on which such securities are traded. If a securities exchange
is not the principal market for a security, such security will, if market
quotations are readily available, be valued at the closing bid price in the
over-the-counter market (or the last sale price in the case of securities
reported on the NASDAQ national market system for which any sales occurred
during the day). Portfolio securities for which there are no such valuations
are valued at fair value as determined in good faith by or at the direction of
the Board of Trustees. Short-term obligations with maturities of less than 60
days are valued at amortized cost which approximates market value.
(2) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded as of the trade date. Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income, including, where
applicable, accretion of discount on investments is recorded on the accrual
basis.
(3) FEDERAL INCOME TAXES: The Fund intends to be treated as a 'regulated
investment company' under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of its net taxable income. Accordingly, no
provisions for federal income taxes have been made in the accompanying
financial statements.
(5) DIVIDENDS AND DISTRIBUTIONS: It is the policy of the Fund to declare
dividends daily from net investment income. Such dividends are paid monthly.
Dividends from net realized capital gain, if any, are normally declared and
paid annually, but the Fund may make distributions on a more frequent basis to
comply with the distribution requirements of the Internal Revenue Code. To the
extent that net realized capital gain can be offset by capital loss
carryovers, it is the policy of the Fund not to distribute such gain.
NOTE (B) ADVISORY AND DISTRIBUTION SERVICES AGREEMENT: DLJ Investment Management
Corp. (the 'Advisor') is a wholly-owned subsidiary of Donaldson, Lufkin &
Jenrette Securities Corporation, which is a wholly-owned subsidiary of
Donaldson, Lufkin and Jenrette, Inc. ('DLJ'). DLJ is an independently operated,
indirect subsidiary of The Equitable Companies, Incorporated, a holding company
controlled by AXA-UAP ('AXA'), a member of a large French insurance group. AXA
is indirectly controlled by a group of four French mutual insurance companies.
Under its Advisory Agreement with the Fund, the Advisor will provide investment
advisory services and order placement facilities for the Fund and pay all
compensation of Trustees of the Fund who are affiliated persons of the Advisor.
The Advisor or its affiliates will also furnish the Fund, without charge,
management supervision and assistance and office facilities. The Fund will pay
the Advisor at the following annual percentage rates of its average daily net
assets: .70 of 1% of the first $500 million and .625 of 1% of the balance. Such
fees will be accrued daily and paid monthly.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- NOTES TO FINANCIAL STATEMENTS April 30, 1999
(continued)
- --------------------------------------------------------------------------------
For the period March 8, 1999 through October 31, 1999, the Advisor has agreed to
a contractual expense limitation to reduce its management fees or reimburse
operating expenses by the amount that total fund operating expenses exceed 1.10%
of the average daily net assets of the Fund's Class A shares, 1.85% of the
Fund's Class B shares and 0.85% of the Fund's Class D shares. After October 31,
1999, the Advisor may, in its sole discretion, determine to discontinue this
undertaking. As a result of the assumption of expenses, the Fund was reimbursed
$1,918 during the period ended April 30, 1999.
Pursuant to Rule 12b-1 under the Act, the Fund has entered into a Distribution
Services Agreement (the 'Agreement') with Donaldson, Lufkin & Jenrette
Securities Corporation, the Fund's Distributor, under which the Fund pays a
distribution services fee to the Distributor at an annual rate of up to .25 of
1% of its average daily net assets attributable to Class A shares and 1% of the
average daily net assets attributable to Class B shares. Under the Agreement,
each Fund is obligated to pay distribution and/or service fees to the
Distributor for its distribution and service activities as reimbursement for
specific expenses incurred. In addition, the Agreement provides that the Advisor
may use its own resources including fees from investment companies (including
the Fund) to finance the distribution of the Fund's shares.
Each Trustee who is not an affiliated person receives an attendance fee of
$2,000 per meeting. In addition, each unaffiliated Trustee receives an
attendance fee of $1,000 per audit committee meeting. Attendance fees are
charged to all series of the Trust and are allocated on a pro rata basis.
Costs incurred in connection with the Fund's organization have been absorbed by
the Advisor.
NOTE (C) INVESTMENT TRANSACTIONS: For federal income tax purposes, the cost of
securities owned at April 30, 1999 was substantially the same as the cost of
securities for financial statement purposes. At April 30, 1999, the components
of the net unrealized appreciation on investments were as follows:
<TABLE>
<S> <C>
Gross appreciation (investments having an excess of value over cost).............................. $127,809
Gross depreciation (investments having an excess of cost over value).............................. (9,523)
--------
Net unrealized appreciation on investments........................................................ $118,286
--------
--------
</TABLE>
For the period ended April 30, 1999, total aggregate purchases and sales of
portfolio securities, excluding short-term securities, were as follows:
<TABLE>
<S> <C>
Purchases...................................................................................... $14,442,393
Sales.......................................................................................... 7,273,750
</TABLE>
NOTE (D) SHARES OF BENEFICIAL INTEREST: There is an unlimited number of shares
($0.01 par value) authorized. Transactions in shares of beneficial interest were
as follows:
<TABLE>
<CAPTION>
PERIOD ENDED
APRIL 30, 1999*
---------------------
SHARES AMOUNT
------- ----------
<S> <C> <C>
CLASS A
Shares sold.......................................................................... 716,184 $7,185,215
Shares issued through reinvestment of dividends...................................... 3,237 33,262
------- ----------
719,421 7,218,477
------- ----------
Shares redeemed...................................................................... (8,909) (90,250)
------- ----------
Net increase......................................................................... 710,512 $7,128,227
------- ----------
------- ----------
CLASS B
Shares sold.......................................................................... 34,900 $ 358,247
Shares issued through reinvestment of dividends...................................... 94 971
------- ----------
Net increase......................................................................... 34,994 $ 359,218
------- ----------
------- ----------
</TABLE>
*The DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for a share of capital stock
outstanding throughout each period presented. This information has been derived
from information in the financial statements.
<TABLE>
<CAPTION>
PERIOD ENDED
APRIL 30, 1999*
(UNAUDITED)
------------------
CLASS A CLASS B
------- -------
<S> <C> <C>
Net asset value, beginning of period.............................................................. $ 10.00 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income........................................................................... 0.121 0.102
Net realized and unrealized gain on investments................................................. 0.330 0.330
------- -------
Total from investment operations............................................................. 0.451 0.432
LESS DISTRIBUTIONS:
From net investment income...................................................................... (0.121) (0.102)
------- -------
Net asset value, end of period.................................................................... $ 10.33 $ 10.33
------- -------
------- -------
Total Return(1)................................................................................... 4.41% 4.31%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted)......................................................... $ 7,340 $ 362
Ratio of expenses to average net assets(2)(3)................................................... 1.10% 1.85%
Ratio of net investment income to average net assets(2)(3)...................................... 8.25% 6.60%
Portfolio turnover rate......................................................................... 109.95% 109.95%
</TABLE>
* DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
(1) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividends
and distributions at net asset value during the period, and redemption on
the last day of the period. Initial sales charge or contingent deferred
sales charge is not reflected in the calculation of total return. Total
return calculated for a period of less than one year is not annualized.
(2) Annualized
(3) Net of voluntary assumption by Advisor of expenses, expressed as a
percentage of average net assets, of both Class A shares and Class B shares:
.20% for the period ended April 30, 1999.
STATEMENT OF DIFFERENCES
The dagger symbol shall be expressed as ......................'D'
