<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL BOND FUND
June 15, 1995
Dear Shareholder:
We are pleased to report that The JPM Institutional Bond Fund returned 6.60% for
the six months ended April 30, 1995, well ahead of the Composite Bond Fund
Average* of 5.76%. At the beginning of the period, we maintained a short
Portfolio duration relative to the Salomon Brothers Broad Index as we believed
the economy would continue to grow at a rapid pace. However, the Portfolio's
cautious position caused it to underperform the Index when growth stabilized and
rates began to fall earlier than most market participants expected. At the end
of the first calendar quarter of 1995, we began to extend the Portfolio's
duration to a neutral position relative to the Index, which has added value to
performance since March.
For the period under review, the Fund's net asset value increased from $9.23 per
share to end at $9.51, after paying dividends of approximately $0.32 per share.
The Fund's net assets stood at almost $302.0 million at the end of the reporting
period, up from $253.2 million on October 31, 1994. The net assets of The U.S.
Fixed Income Portfolio, in which the Fund invests, totaled approximately $421.7
million at April 30, 1995.
MARKET ENVIRONMENT
The Federal Reserve raised the Federal funds rate in November and again in
February as part of its program to slow the torrid pace of economic growth to
sustainable levels. As the economy began showing signs of a slowdown, and
investors became convinced that additional actions by the Federal Reserve were
unlikely, yields on Treasuries of all maturities declined. In spite of the fact
that the economy slowed, the yield difference or "spread" between mortgages and
corporates versus Treasuries remained tight.
PORTFOLIO REVIEW
The Portfolio's investment process involves three key decisions to diversify its
sources of return potential: duration management, sector allocation, and
security selection. This diversified approach is designed to help consistently
add value under all market conditions.
- ------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS. . . 1 FUND PERFORMANCE. . . . 4
FUND FACTS AND HIGHLIGHTS . . . 3 FINANCIAL STATEMENTS. . 6
- ------------------------------------------------------------------------------
1
<PAGE>
DURATION MANAGEMENT. Duration is the measure of a fund's sensitivity to interest
rate changes, which is closely related to the average maturity of the bonds in a
portfolio. As mentioned previously, in 1994, we positioned the Portfolio
defensively with a target duration that was shorter than the Index as we
expected continued strong economic growth and higher interest rates. When rates
fell during the first quarter of 1995, we extended the target duration of the
Portfolio to a near-neutral position relative to the Index. At the end of April,
the Portfolio had a duration of 4.74 years versus 4.76 years for the Index.
SECTOR ALLOCATION. At the start of November 1994, the Portfolio was modestly
overweighted in corporates, and we were adding slightly to its mortgage position
because of the relative value offered by that market compared with corporates
and Treasuries. We decreased our allocations to corporates and mortgages in
early 1995, however, fearing that yield spreads would widen and these sectors
would underperform.
SECURITY SELECTION. Security selection added value to performance during this
period. The Portfolio maintained its focus on high quality issues, keeping its
average credit quality between AA and AAA for the period.
INVESTMENT OUTLOOK
We expect to maintain a close-to-neutral duration, as we await further
indications regarding the future direction of interest rates. We reduced the
Portfolio's allocation to mortgages and corporates, due to concerns about
increasing mortgage prepayments and the possible deterioration of corporate
credit quality. We achieved a defensive position in corporates by focusing on
short duration, high quality issues.
As always, we welcome your comments or questions. Please call J.P. Morgan Funds
Services toll free at (800) 766-7722.
Sincerely yours,
/s/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
*THE COMPOSITE BOND FUND AVERAGE PERFORMANCE IS COMPUTED ON ALL FUNDS IN THE
MORNINGSTAR UNIVERSE HAVING A GENERAL CORPORATE BOND OBJECTIVE AND AN
INTERMEDIATE MATURITY.
2
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Institutional Bond Fund seeks to provide high total return consistent
with moderate risk of capital and maintenance of liquidity. It is designed for
investors who seek a total return that is higher than that generally available
from short-term obligations while recognizing the greater price fluctuation of
longer-term instruments.
- -------------------------------------------------
COMMENCEMENT OF OPERATIONS
7/12/93
- -------------------------------------------------
NET ASSETS AS OF 4/30/95
$301,980,071
- -------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- -------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/18/95
EXPENSE RATIO
The Fund's current annualized expense ratio of 0.50% covers shareholders
expenses for custody, tax reporting, investment advisory and shareholder
services, after reimbursement. The Fund is no-load and does not charge any
sales, redemption, or exchange fees. There are no additional charges for buying,
selling, or safekeeping Fund shares, or for wiring redemption proceeds from the
Fund.
FUND HIGHLIGHTS
ALL DATA AS OF APRIL 30, 1995
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[PIE GRAPH]
Pie chart depicting allocation of the Fund's investment securities held at
April 30, 1995 by investment categories. The chart is segmented to represent
the following percentages:
U.S. TREASURY OBLIGATIONS 40.0%
CORPORATE OBLIGATIONS 38.4%
U.S. AGENCY OBLIGATIONS 15.8%
COLLATERALIZED MORTGAGE OBLIGATIONS 4.6%
SHORT-TERM HOLDINGS 0.6%
CONVERTIBLE PREFERRED STOCK 0.5%
FOREIGN GOVERNMENT OBLIGATIONS 0.1%
30-DAY SEC YIELD
7.11%
DURATION
4.7 years
QUALITY BREAKDOWN
AAA* 60%
AA 2%
A 17%
Other 21%
*INCLUDES U.S. GOVERNMENT AGENCY, TREASURY OBLIGATIONS, AND CASH
3
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
There are several ways to evaluate a mutual fund's historical performance
record. One approach is to look at the growth of a hypothetical investment of
$10,000. The chart at right shows that $10,000 invested at the Fund's inception
would have grown to $17,094 at April 30, 1995.
Another way to look at performance is to review a fund's average annual total
return. This figure takes the fund's actual (or cumulative) return and shows you
what would have happened if the fund had achieved that return by performing at a
constant rate each year. Average annual total returns represent the average
yearly change of a fund's value over various time periods, typically 1, 5, or 10
years (or since inception). Total returns for periods of less than one year are
not annualized and provide a picture of how a fund has performed over the short
term.
GROWTH OF $10,000 SINCE INCEPTION**
[LINE GRAPH]
MARCH 11, 1988 -- APRIL 30, 1995
Line graph with two axes: the X-axis represents years of operations; the
Y-axis represents dollar value. The graph plots two lines: the first line
represents the growth of a ten thousand dollar investment in the Fund from
March 11, 1988 to April 30, 1995; the second line represents the growth of
a ten thousand dollar investment in a portfolio of securities reflecting
the composition of the Salomon Brothers Broad Investment Grade Bond Index
("BIG") for the same time period. The graph points are as follows:
<TABLE>
DATE FUND BIG
- ----- -------- -------
<S> <C> <C>
03/88 $10,000 $10,000
10/88 10,490 10,518
10/89 11,358 11,760
10/90 12,355 12,513
10/91 13,782 14,484
10/92 15,070 15,945
10/93 16,877 17,854
10/94 16,315 17,213
04/95 17,094 18,418
</TABLE>
PERFORMANCE
<TABLE>
<CAPTION>
TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURN
-----------------------------------------------------------------
THREE YEAR ONE FIVE SINCE
AS OF APRIL 30, 1995 MONTHS TO DATE YEAR YEARS INCEPTION**
- ----------------------------------------------------------------------------- -------------------------------------
<S> <C> <C> <C> <C> <C>
The JPM Institutional Bond Fund 4.57% 6.32% 6.95% 8.33% 7.86%
Salomon BIG* 4.34% 6.50% 7.26% 9.49% 9.00%
Composite Bond Fund Average 4.18% 5.72% 5.75% 8.72% 8.11%
AS OF MARCH 31, 1995
- ----------------------------------------------------------------------------- -------------------------------------
The JPM Institutional Bond Fund 4.83% 4.83% 4.50% 7.93% 7.73%
Salomon BIG* 5.06% 5.06% 5.02% 9.00% 8.90%
Composite Bond Fund Average 4.27% 4.27% 3.22% 8.33% 7.97%
<FN>
*THE SALOMON BROTHERS BROAD INVESTMENT GRADE INDEX.
**3/11/88 IS THE INCEPTION DATE OF THE PIERPONT BOND FUND, THE PREDECESSOR
ENTITY TO THE U.S. FIXED INCOME PORTFOLIO, WHICH HAS A SUBSTANTIALLY SIMILAR
INVESTMENT OBJECTIVE AND RESTRICTIONS AS THE JPM INSTITUTIONAL BOND FUND.
(AVERAGE ANNUAL TOTAL RETURNS BASED ON MONTH END FOLLOWING INCEPTION OF THE
PIERPONT BOND FUND.) PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. ALL
RETURNS ASSUME THE REINVESTMENT OF DISTRIBUTIONS AND REFLECT REIMBURSEMENT OF
CERTAIN FUND AND PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS. THE
COMPOSITE BOND FUND AVERAGE PERFORMANCE IS COMPUTED ON ALL FUNDS IN THE
MORNINGSTAR UNIVERSE HAVING A GENERAL CORPORATE BOND OBJECTIVE AND AN
INTERMEDIATE MATURITY. MORNINGSTAR, INC. IS A LEADING RESOURCE FOR MUTUAL FUND
DATA. ALTHOUGH GATHERED FROM RELIABLE SOURCES, DATA ACCURACY AND COMPLETENESS
CANNOT BE GUARANTEED. THE JPM INSTITUTIONAL BOND FUND INVESTS ALL OF ITS
INVESTABLE ASSETS IN THE U.S. FIXED INCOME PORTFOLIO, A SEPARATELY REGISTERED
INVESTMENT COMPANY WHICH IS NOT AVAILABLE TO THE PUBLIC BUT ONLY TO OTHER
COLLECTIVE INVESTMENT VEHICLES SUCH AS THE FUND.
</TABLE>
4
<PAGE>
THE FUND'S DISTRIBUTOR IS SIGNATURE BROKER-DEALER SERVICES, INC.
MORGAN GUARANTY TRUST COMPANY OF NEW YORK ("MORGAN") SERVES AS PORTFOLIO
INVESTMENT ADVISOR AND MAKES THE JPM INSTITUTIONAL BOND FUND FUND (THE "FUND")
AVAILABLE SOLELY IN ITS CAPACITY AS SHAREHOLDER SERVICING AGENT FOR CUSTOMERS.
INVESTMENTS IN THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, MORGAN OR ANY OTHER BANK. SHARES OF THE FUND ARE NOT FEDERALLY
INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD,
OR ANY OTHER GOVERNMENTAL AGENCY. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND CAN FLUCTUATE, SO AN INVESTOR'S SHARES WHEN REDEEMED MAY
BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
Performance data quoted herein represent past performance. Please remember that
past performance is not a guarantee of future performance. Fund returns are net
of fees, assume the reinvestment of Fund distributions, and reflect the
reimbursement of Fund expenses. Had expenses not been subsidized, returns would
have been lower. The Fund invests all of its investable assets in The U.S. Fixed
Income Portfolio, a separately registered investment company which is not
available to the public but only to other collective investment vehicles such as
the Fund. Consistent with applicable regulatory guidance, performance for the
Fund prior to July 12, 1993, reflects the performance of The Pierpont Bond Fund,
the predecessor entity to the Portfolio, which had a substantially similar
investment objective and restrictions as the Fund. Performance for the period
prior to July 12, 1993, reflects deduction of the charges and expenses of The
Pierpont Bond Fund, which were higher than the estimated charges and expenses
for the Fund, after reimbursements.
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES, IS PROVIDED IN THE PROSPECTUS, WHICH SHOULD BE READ CAREFULLY BEFORE
INVESTING. YOU MAY OBTAIN ADDITIONAL COPIES OF THE PROSPECTUS BY CALLING J.P.
MORGAN FUNDS SERVICES AT (800) 766-7722.
5
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The U.S. Fixed Income Portfolio ("Portfolio"), at value
(Note 1) $302,818,368
Receivable for Expense Reimbursements (Note 2b) 44,119
Deferred Organization Expenses (Note 1d) 36,688
Receivable for Shares of Beneficial Interest Sold 33,781
Prepaid Expenses 1,192
------------
Total Assets 302,934,148
------------
LIABILITIES
Dividend Payable (Note 1c) 898,569
Shareholder Servicing Fee Payable (Note 2c) 12,311
Administration Fee Payable (Note 2a) 6,500
Fund Services Fee Payable (Note 2d) 2,647
Accrued Expenses 34,050
------------
Total Liabilities 954,077
------------
NET ASSETS
Applicable to 31,765,789 Shares of Beneficial Interest Outstanding
(unlimited authorized shares, par value $0.001) $301,980,071
------------
------------
Net Asset Value, Offering and Redemption Price Per Share $9.51
ANALYSIS OF NET ASSETS
Paid-In Capital $303,819,205
Undistributed Net Investment Income 18,858
Accumulated Net Realized Loss on Investment (5,188,346)
Net Unrealized Appreciation of Investment 3,330,354
------------
Net Assets $301,980,071
------------
------------
</TABLE>
See Accompanying Notes.
6
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO (NOTE
1B)
$ 9,957,451
Allocated Interest Income
35,083
Allocated Dividend Income
(587,154)
Allocated Portfolio Expenses
------------
9,405,380
Net Investment Income Allocated from Portfolio
EXPENSES
$ 67,149
Shareholder Servicing Fee (Note 2c)
36,681
Administration Fee (Note 2a)
17,440
Registration Fees
13,761
Fund Services Fee (Note 2d)
10,577
Transfer Agent Fees
10,278
Printing
5,749
Professional Fees
4,887
Amortization of Organization Expenses (Note 1d)
3,425
Trustees' Fees and Expenses (Note 2e)
8,136
Miscellaneous
--------
178,083
Total Fund Expenses
(93,750)
Less: Reimbursement of Expenses (Note 2b)
--------
84,333
NET FUND EXPENSES
------------
9,321,047
NET INVESTMENT INCOME
(785,837)
NET REALIZED LOSS ON INVESTMENTS ALLOCATED FROM
PORTFOLIO
8,947,804
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENTS ALLOCATED FROM PORTFOLIO
------------
$ 17,483,014
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS
------------
------------
</TABLE>
See Accompanying Notes.
7
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FISCAL
MONTHS ENDED YEAR
APRIL 30, 1995 ENDED
(UNAUDITED) OCTOBER 31, 1994
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 9,321,047 $ 7,601,786
Net Realized Loss on Investments Allocated from Portfolio (785,837) (4,519,466)
Net Change in Unrealized Depreciation of Investments Allocated from
Portfolio 8,947,804 (5,930,953)
-------------- ------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 17,483,014 (2,848,633)
-------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (9,304,132) (7,599,843)
Net Realized Gain 0 (190,150)
-------------- ------------------
Total Distributions to Shareholders (9,304,132) (7,789,993)
-------------- ------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 3)
Proceeds from Shares of Beneficial Interest Sold 69,969,400 234,725,070
Reinvestment of Dividends and Distributions 4,232,062 5,257,669
Cost of Shares of Beneficial Interest Redeemed (33,573,859) (19,881,774)
-------------- ------------------
Net Increase from Transactions in Shares of Beneficial Interest 40,627,603 220,100,965
-------------- ------------------
Total Increase in Net Assets 48,806,485 209,462,339
NET ASSETS
Beginning of Period 253,173,586 43,711,247
-------------- ------------------
End of Period (including undistributed net investment income of $18,858
and $1,943, respectively) $ 301,980,071 $ 253,173,586
-------------- ------------------
-------------- ------------------
</TABLE>
See Accompanying Notes.
8
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX JULY 12, 1993
MONTHS ENDED FOR THE FISCAL (COMMENCEMENT OF
APRIL 30, 1995 YEAR ENDED OPERATIONS) THROUGH
(UNAUDITED) OCTOBER 31, 1994 OCTOBER 31, 1993
--------------- ---------------- -------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.23 $ 10.14 $ 10.00
--------------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.32 0.55 0.15
Net Realized and Unrealized Gain (Loss) on Investment 0.28 (0.88) 0.14
--------------- -------- -------
Total from Investment Operations 0.60 (0.33) 0.29
--------------- -------- -------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.32) (0.55) (0.15)
Net Realized Gain -- (0.03) --
--------------- -------- -------
Total Distributions to Shareholders (0.32) (0.58) (0.15)
--------------- -------- -------
NET ASSET VALUE, END OF PERIOD $ 9.51 $ 9.23 $ 10.14
--------------- -------- -------
Total Return 6.60%(a) (3.33)% 2.90%(a)
--------------- -------- -------
--------------- -------- -------
RATIOS AND SUPPLEMENTAL DATA
Net Assets at End of Period (in thousands) $ 301,980 $ 253,174 $ 43,711
Ratios to Average Net Assets:
Expenses 0.50%(b) 0.50% 0.50%(b)
Net Investment Income 6.94%(b) 6.00% 4.83%(b)
Decrease Reflected in Expense Ratio due to Expense
Reimbursements by Morgan 0.07%(b) 0.19% 0.39%(b)
<FN>
- ------------------------
(a) Not annualized.
(b) Annualized.
</TABLE>
See Accompanying Notes.
9
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Institutional Bond Fund (the "Fund") is a separate series of The JPM
Institutional Funds, a Massachusetts business trust (the "Trust"). The Trust is
registered under the Investment Company Act of 1940, as amended, as a
diversified open-end management investment company. The Fund commenced
operations on July 12, 1993.
The Fund invests all of its investable assets in The U.S. Fixed Income Portfolio
(the "Portfolio"), a diversified open-end management investment company having
the same investment objectives as the Fund. The value of such investment
reflects the Fund's proportionate interest in the net assets of the Portfolio
(72% at April 30, 1995). The performance of the Fund is directly affected by the
performance of the Portfolio. The financial statements of the Portfolio,
including the schedule of investments, are included elsewhere in this report and
should be read in conjunction with the Fund's financial statements.
The following is a summary of the significant accounting policies of the Fund:
a)Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in
this report.
b)The Fund records its share of net investment income, realized and
unrealized gain and loss and adjusts its investment in the Portfolio each
day. All the net investment income and realized and unrealized gain and
loss of the Portfolio is allocated pro rata among the Fund and other
investors in the Portfolio at the time of such determination.
c)Substantially all the Fund's net investment income is declared as
dividends daily and paid monthly. Distributions to shareholders of net
realized capital gain, if any, are declared and paid annually.
d)The Fund incurred organization expenses in the amount of $49,295. These
costs were deferred and are being amortized by the Fund on a straight-line
basis over a five-year period from the commencement of operations.
e)Each series of the Trust is treated as a separate entity for federal
income tax purposes. The Fund intends to comply with the provisions of the
Internal Revenue Code of 1986, as amended, applicable to regulated
investment companies and to distribute substantially all of its income,
including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for federal income or excise tax is
necessary.
f)The Fund has adopted Statement of Position 93-2 Determination, Disclosure,
and Financial Statement Presentation of Income, Capital Gain, and Return
of Capital Distributions by Investment Companies. Accordingly, permanent
book and tax differences relating to shareholder distributions are
reclassified to paid-in capital. For the fiscal year ended October 31,
1994, the Fund reclassified $109,165 to accumulated net realized loss on
investments from paid-in capital. Net investment income, net realized
gains and net assets were not affected by this change.
g)Expenses incurred by the Trust with respect to any two or more funds in
the Trust are allocated in proportion to the net assets of each fund in
the Trust, except where allocations of direct expenses to each fund can
otherwise be made fairly. Expenses directly attributable to a fund are
charged to that fund.
10
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
h)For United States Federal income tax purposes, the Fund had a capital loss
carryforward at October 31, 1994 of $4,333,572 which will expire in the
year 2002. No capital gains distribution is expected to be paid to
shareholders until future net gains have been realized in excess of such
carryforward.
2. TRANSACTIONS WITH AFFILIATES
a)The Trust retains Signature Broker-Dealer Services, Inc. ("Signature") to
serve as Administrator and Distributor. Signature provides administrative
services necessary for the operations of the Fund, furnishes office space
and facilities required for conducting the business of the Fund and pays
the compensation of the Fund's officers affiliated with Signature. The
agreement provides for a fee to be paid to Signature at an annual rate
determined by the following schedule: 0.04% of the first $1 billion of the
aggregate average daily net assets of the Trust, as well as two other
affiliated fund families for which Signature acts as administrator, 0.032%
of the next $2 billion of such net assets, 0.024% of the next $2 billion
of such net assets, and 0.016% of such net assets in excess of $5 billion.
The daily equivalent of the fee rate is applied daily to the net assets of
the Fund. For the six months ended April 30, 1995, Signature's fee for
these services amounted to $36,681.
b)The Trust, on behalf of the Fund, has a Financial and Fund Accounting
Services Agreement ("Services Agreement") with Morgan Guaranty Trust
Company of New York ("Morgan") under which Morgan receives a fee, based on
the percentage described below, for overseeing certain aspects of the
administration and operation of the Fund. The Services Agreement is also
designed to provide an expense limit for certain expenses of the Fund. If
total expenses of the Fund, excluding the shareholder servicing fee, the
fund services fee and amortization of organization expenses, exceed the
expense limit of 0.05% of the Fund's average daily net assets, Morgan will
reimburse the Fund for the excess expense amount and receive no fee.
Should such expenses be less than the expense limit, Morgan's fee would be
limited to the difference between such expenses and the fee calculated
under the Services Agreement. For the six months ended April 30, 1995,
Morgan agreed to reimburse the Fund $25,137 for excess expenses. In
addition to the expenses that Morgan assumes under the Services Agreement,
Morgan has agreed to reimburse the Fund to the extent necessary to
maintain the total operating expenses of the Fund, including the expenses
allocated to the Fund from the Portfolio, at no more than 0.50% of the
average daily net assets of the Fund through October 31, 1995. For the six
months ended April 30, 1995, Morgan has agreed to reimburse the Fund
$68,613 for expenses which exceeded this limit.
c)The Trust, on behalf of the Fund, has a Shareholder Servicing Agreement
with Morgan. The Agreement provides for the Fund to pay Morgan a fee for
these services which is computed daily and may be paid monthly at an
annual rate of 0.05% of the average daily net assets of the Fund. For the
six months ended April 30, 1995, the fee for these services amounted to
$67,149.
d)The Trust, on behalf of the Fund, has a Fund Services Agreement with
Pierpont Group, Inc. ("Group") to assist the Trustees in exercising their
overall supervisory responsibilities for the Trust's affairs. The Trustees
of the Trust represent all the existing shareholders of Group. The Fund's
allocated portion of Group's costs in performing its services amounted to
$13,761 for the for the six months ended April 30, 1995.
11
<PAGE>
THE JPM INSTITUTIONAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represents the Fund's allocated portion of the total
fees and expenses. Prior to April 1, 1995, the aggregate annual Trustee
Fee was $55,000. The Trustee who serves as Chairman and Chief Executive
Officer of these Funds and Portfolios also serves as Chairman of Group and
received compensation and employee benefits from Group in his role as
Group's Chairman. The allocated portion of such compensation and benefits
included in the Fund Services fee shown in the financial statements was
$1,600.
3. TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest of one or more series.
Transactions in shares of beneficial interest of the Fund were as follows:
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED
APRIL 30, 1995 OCTOBER 31, 1994
------------------------ -------------------------
<S> <C> <C>
Shares sold 7,512,375 24,639,271
Reinvestments of dividends and distributions 453,738 551,323
Shares redeemed (3,617,983) (2,084,575)
---------- ----------
Net increase 4,348,130 23,106,019
---------- ----------
---------- ----------
</TABLE>
12
<PAGE>
The U.S. Fixed Income Portfolio
Semi-Annual Report April 30, 1995
(unaudited)
(The following pages should be read in conjunction
with The JPM Institutional Bond Fund
Semi-Annual Financial Statements)
13
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P VALUE
AMOUNT SECURITY DESCRIPTION RATING (NOTE 1A)
- ------------ ------------------------------------------------------------ ------------ ------------
<C> <S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (4.4%)
FINANCE (4.4%)
$ 95,517 Advanta Home Equity Loan Trust, Series 92-2, Class A1, 7.15%
due 06/25/08..............................................
Aaa/AAA $ 89,079
82,796 Case Equipment Loan Trust, Series 94-A, Class A2, 4.65% due
08/15/99..................................................
Aaa/AAA 80,958
1,000,000 Discover Credit Card Trust, Series 92-A, 5.50% due
05/15/98..................................................
Aaa/AAA 988,800
5,984 Fical Home Equity Loan Trust, Series 90-1 Class A, 8.90% due
10/15/15..................................................
Aaa/NR 6,001
1,100,000 First Chicago Credit Master Trust II, Series 90-A, Class A,
9.25% due 12/15/96........................................
Aaa/AAA 1,104,180
8,855,000 GE Capital Mortgage Services, Inc., Series 94-17, Class A5,
7.00% due 05/25/24........................................
Aaa/AAA 8,407,822
4,501,800 GE Capital Mortgage Services, Inc., Series 94-21, Class A,
6.50% due 08/25/09........................................
Aaa/AAA 4,255,607
418,884 Green Tree Financial Corp., Series 94-A Class A, 6.90% due
02/15/04..................................................
Baa3/BBB+ 407,103
139,487 Navistar Financial Grantor Trust, Series 91-1, Class A,
6.40% due 11/15/96........................................
Aaa/AAA 139,269
60,183 Premier Auto Trust, Series 92-3, Class A, 5.90% due
11/17/97..................................................
Aaa/AAA 59,708
1,566,717 Premier Auto Trust, Series 93-4, Class A2, 4.650% due
02/02/99..................................................
Aaa/AAA 1,531,466
645,791 Prudential Home Loan Mortgage Securities, Remic: PAC(11),
Series 93-54, Class A2, 6.50% due 01/25/24................
Aaa/AAA 641,193
232,175 Resolution Trust Corp., Remic: ARM Determined Interest Rate,
Series 91-6, Class A1, 6.951% due 05/25/19................
Aaa/AAA 224,122
156,930 Resolution Trust Corp., Remic: Sequential Payer, Series
92-M3, Class A1, 7.75% due 07/25/30.......................
Aa2/AA+ 160,066
4,496 Sears Mortgage Securities, Remic: TAC(11), Series 92-3,
Class T5, 7.75% due 02/25/20, callable....................
NR/AAA 4,476
100,000 Standard Credit Card Master Trust, Series 91-1, Class A,
8.50% due 06/07/96........................................
Aaa/AAA 101,810
300,000 Standard Credit Card Master Trust, Series 92-2, Class A,
5.875% due 07/07/95.......................................
Aaa/AAA 299,430
130,349 The Money Store Home Equity Trust, Series 92-A, Class A,
6.95% due 12/15/07........................................
Aaa/AAA 126,438
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$18,629,060) . 18,627,528
------------
</TABLE>
See Accompanying Notes.
14
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P VALUE
AMOUNT SECURITY DESCRIPTION RATING (NOTE 1A)
- ------------ ------------------------------------------------------------ ------------ ------------
CORPORATE OBLIGATIONS (37.1%)
<C> <S> <C> <C>
AUTOMOTIVE (1.8%)
$ 7,350,000 Ford Motor Co., 7.875% due 10/15/96.........................
A1/A+ $ 7,445,109
------------
BANKING (6.0%)
1,400,000 BankAmerica Corp., 9.50% due 04/01/01.......................
A3/A- 1,527,596
1,300,000 BankAmerica Corp., 7.50% due 03/15/97.......................
A2/A 1,310,647
6,000,000 Central Fidelity Bank, Inc., 8.15% due 11/15/02.............
Baa2/BBB 6,061,860
1,600,000 Chemical Banking Corp., 10.125% due 11/01/00................
A3/A- 1,782,512
1,295,000 First Chicago Corp., 6.875% due 06/15/03....................
A3/A- 1,225,795
1,380,000 First Union Corp., 6.438% due 06/15/05......................
A2/A 1,377,516
2,000,000 Mellon Bank, N.A., 6.75% due 06/01/03.......................
A2/A 1,889,620
200,000 Republic New York Corp., 9.75% due 12/01/00.................
AA3/A 220,960
10,000,000 Society National Bank, 6.875% due 10/15/96..................
A1/A+ 10,008,200
------------
25,404,706
------------
CHEMICALS, OIL & GAS (7.8%)
1,637,000 E.I. Du Pont de Nemours & Co., 8.65% due 12/01/97...........
Aa2/AA 1,697,880
6,400,000 Occidental Petroleum Corp., 11.125% due 08/01/10............
Baa3/BBB 8,013,760
5,000,000 Occidental Petroleum Corp., 5.85% due 11/09/98..............
Baa3/BBB 4,758,300
1,000,000 Occidental Petroleum Corp., 5.84% due 11/09/98..............
Baa3/BBB 951,330
9,950,000 Oxy USA Inc., 7.00% due 04/15/11............................
Baa3/BBB 8,649,734
1,125,000 SFP Pipeline Holdings, Inc., 9.67% due 08/15/10.............
Baa3/NR 1,440,000
4,000,000 Texas Eastern Corp., 8.50% due 02/04/97.....................
NR/NR 4,065,600
2,450,000 Texas Eastern Transmission Corp., 10.375% due 11/15/00......
Baa2/BBB 2,707,666
500,000 Union Oil of California, 9.25% due 02/01/03.................
Baa2/BBB 546,830
------------
32,831,100
------------
DEPARTMENT STORES (1.3%)
4,000,000 Sears, Roebuck & Co., 7.25% due 08/05/97....................
A2/BBB 4,020,680
1,405,000 Wal Mart Stores, Inc., 10.875% due 08/15/00.................
Aa1/AA 1,456,985
------------
5,477,665
------------
FINANCE (10.1%)
100,000 Associates Corp., N.A., 8.125% due 01/15/98.................
Aa3/AA- 102,494
3,050,000 Beneficial Corp., 6.47% due 11/17/08........................
A2/A 2,761,195
18,250,000 Chrysler Financial Corp., Series MTNN, 7.360% due
03/14/97..................................................
A3/BBB 18,272,448
1,000,000 Chrysler Financial Corp., 7.20% due 03/17/97................
A2/A- 998,500
400,000 Ford Capital BV, 9.125% due 04/08/96........................
A2/A 408,000
4,250,000 General Motors Acceptance Corp., 8.625% due 07/15/96........
Baa1/BBB+ 4,334,235
5,175,000 General Motors Acceptance Corp., 6.90% due 09/09/97.........
Baa1/BBB+ 5,146,486
1,000,000 General Motors Acceptance Corp., 6.875% due 06/10/97........
Baa1/BBB+ 995,340
3,000,000 General Motors Acceptance Corp., 6.70% due 04/21/97.........
Baa1/BBB+ 2,979,690
</TABLE>
See Accompanying Notes.
15
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P VALUE
AMOUNT SECURITY DESCRIPTION RATING (NOTE 1A)
- ------------ ------------------------------------------------------------ ------------ ------------
FINANCE (10.1%) (CONTINUED)
<C> <S> <C> <C>
$ 6,500,000 General Motors Acceptance Corp., 5.25% due 12/06/96.........
Baa1/BBB+ $ 6,333,145
------------
42,331,533
------------
PUBLISHING (0.5%)
2,170,000 Reed Publishing, 9.00% due 07/10/96.........................
Aa1/NR 2,222,894
------------
TRANSPORTATION (0.0%)
200,000 Delta Air Lines, Inc., 3.23% due 06/15/03 (convertible).....
Ba3/B+ 167,750
------------
UTILITIES (9.6%)
1,500,000 Cleveland Electric Illumination, 7.625% due 08/01/02........
Ba2/BB 1,336,815
1,000,000 Cleveland Electric Illumination, 7.375% due 06/01/03........
Ba2/BB 883,050
3,000,000 Commonwealth Edison Co., 7.00% due 02/15/97.................
Baa3/BBB- 2,989,200
3,000,000 Commonwealth Edison Co., 6.50% due 07/15/97.................
Baa3/BBB- 2,960,610
500,000 Commonwealth Edison Co., Series 87, 6.25% due 10/01/97......
Baa2/BBB 488,345
2,000,000 Connecticut Light & Power Co., Series UU, 7.625% due
04/01/97..................................................
Baa1/BBB+ 2,023,680
2,400,000 GTE Corp., 8.85% due 03/01/98...............................
Baa1/BBB+ 2,494,080
7,240,000 Hydro-Quebec, 8.05% due 07/07/24............................
A1/A+ 7,381,035
5,000,000 Pacific Gas & Electric, Series 92-A, 7.875% due 03/01/02....
A2/A 5,096,050
8,000,000 Texas Utilities Electric Co., 6.75% due 03/01/03............
Baa2/BBB 7,565,280
3,000,000 Westinghouse Electric Corp., 9.44% due 06/05/96.............
Baa2/BBB 3,051,150
4,250,000 United Telephone Company of Florida, 8.375% due 01/15/25....
A2/A 4,386,808
------------
40,656,103
------------
TOTAL CORPORATE OBLIGATIONS (COST $155,756,514)............. 156,536,860
------------
</TABLE>
See Accompanying Notes.
16
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT SECURITY DESCRIPTION (NOTE 1A)
- ------------ ------------------------------------------------------------ ------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (15.4%)
FHA Insured
$ 3,409,966 7.43% due 03/01/22........................................................ $ 3,208,032
Federal Home Loan Mortgage Corp.
31,804 10.00% due 04/01/09....................................................... 33,623
200,000 Series 39, Class F, 10.00% due 05/15/20................................... 215,028
23,366 9.00% due 04/01/03........................................................ 23,767
1,190,562 Gold, 8.50% due 11/01/21.................................................. 1,210,171
11,000,000 Gold, 8.506% due 12/01/04................................................. 11,618,750
1,800 Series 1977, Class A, 8.05% due 03/15/96.................................. 1,747
10,000,000 Remic: PAC(11), Series 1751, Class PK, 8.00% due 09/15/24................. 9,877,300
17,200,000 Gold, 8.00% TBA........................................................... 17,183,832
100,000 Remic: Accretion Directed, Series 1290, Class L, 7.50% due 10/15/09....... 98,333
32,000 Remic: PAC-1(11), Series 1168, Class H, 7.50% due 11/15/21................ 30,441
150,000 Remic: PAC-1(11), Series 1215, Class F, 6.75% due 05/15/05................ 145,154
165,000 Remic: PAC-1(11), Series 1207, Class J, 6.75% due 07/15/19................ 153,993
1,587,007 Remic: SCH, LIQ, Series 1580, Class A, 6.50% due 09/15/98................. 1,573,470
1,600,000 Remic: SCH(22), Series 1701, Class B, 6.50% due 03/15/09.................. 1,429,824
Federal National Mortgage Association
841,823 10.00% due 06/01/20....................................................... 899,614
881,561 9.50% due 07/01/17........................................................ 917,846
4,458,366 8.70% due 02/01/05........................................................ 4,776,024
114,539 8.00% due 01/01/02........................................................ 115,958
75,855 8.00% due 05/01/02........................................................ 76,797
524,815 8.00% due 07/01/02........................................................ 531,347
8,734 8.00% due 11/01/16........................................................ 8,729
6,918 8.00% due 08/01/22........................................................ 6,912
3,918,336 7.75% due 11/01/99........................................................ 3,913,438
2,014,803 Remic: Z, PAC, Series 1991-64, Class Z, 8.50% due 06/25/06................ 2,048,168
1,419,318 Remic: PAC, Series 1991-101, Class C, 8.50% due 08/25/18.................. 1,431,240
1,076,444 Remic: PAC, Series 1990-112, Class E, 8.50% due 07/25/19.................. 1,093,420
33,387 Remic: PAC(11), Series 1991-9, Class H, 8.30% due 11/25/04................ 33,572
1,904,134 Remic: Z, PAC-2(23), Series 1994-50, Class Z, 6.50% due 03/25/24.......... 1,350,745
610,000 Remic: PAC (11), Series 1993-041, Class PE, 5.75% due 04/25/19............ 575,999
Government National Mortgage Association
37,928 11.50% due 07/15/13....................................................... 41,941
23,076 8.50% due 07/15/08........................................................ 23,529
39,398 8.50% due 08/15/08........................................................ 40,168
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $64,062,527)...............
64,688,912
------------
U.S. TREASURY OBLIGATIONS (38.7%)
U.S. Treasury Bonds
48,815,000 10.75% due 02/15/03....................................................... 59,556,253
27,200,000 10.375% due 11/15/09...................................................... 33,024,608
5,000,000 10.375% due 11/15/12...................................................... 6,231,350
23,975,000 8.125% due 08/15/19....................................................... 25,703,358
</TABLE>
See Accompanying Notes.
17
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P VALUE
AMOUNT SECURITY DESCRIPTION RATING (NOTE 1A)
- ------------ ------------------------------------------------------------ ------------ ------------
<C> <S> <C> <C>
U.S. Treasury Notes
$ 4,425,000 6.375% due 08/15/02....................................................... $ 4,268,222
33,145,000 4.75% due 02/15/97........................................................ 32,133,746
2,495,000 4.25% due 05/15/96........................................................ 2,442,306
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $160,698,959).......................
163,359,843
------------
FOREIGN GOVERNMENT OBLIGATIONS (0.1%)
380,000 Province of Ontario, 7.375% due 01/27/03 (cost $371,079)....
Aa3/AA- 376,455
------------
<CAPTION>
SHARES
- ------------
<C> <S> <C> <C>
CONVERTIBLE PREFERRED STOCKS (0.5%)
AUTOMOTIVE SUPPLIES (0.1%)
2,200 Ford Motor Co., $4.20.......................................
A3/A- 193,875
------------
COMPUTER PERIPHERALS (0.0%)
500 Storage Technology Corp., $3.50.............................
B3/B 25,687
------------
NATURAL GAS (0.4%)
74,600 Lasmo PLC, Sponsored ADR, 10.00%, Series A..................
Ba1/BBB- 1,697,150
2,600 Occidental Petroleum Corp., $3.00...........................
N/A 148,200
------------
1,845,350
------------
TOTAL CONVERTIBLE PREFERRED STOCKS (COST $2,035,500)........ 2,064,912
------------
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
REPURCHASE AGREEMENT (0.6%)
$ 2,518,000 Goldman Sachs Repurchase Agreement, dated 04/28/95 due
05/01/95, proceeds $2,519,238 (collateralized by
$3,309,000 U.S. Treasury Strip, 0.00% due 02/15/99, valued
at $2,568,942) (cost $2,518,000)..........................
P1/A1+ 2,518,000
------------
TOTAL INVESTMENTS (COST $404,071,639) (96.8%) 408,172,510
OTHER ASSETS IN EXCESS OF LIABILITIES (3.2%) 13,513,129
------------
TOTAL NET ASSETS (100.0%) $421,685,639
------------
------------
</TABLE>
Note: Based on the cost of investments of $404,075,337 for Federal Income Tax
purposes at April 30, 1995, the aggregate gross unrealized appreciation
and depreciation was $5,775,230 and $1,678,057, respectively, resulting
in net unrealized appreciation of $4,097,173.
ADR -- American Depository Receipts;
ARM -- Adjustable Rate Mortgage;
FHA -- Federal Housing Administration;
PAC -- Planned Amortization Class;
REMIC -- Real Estate Mortgage Investment Conduit;
TAC -- Target Amortization Class.
See Accompanying Notes.
18
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $404,071,639) (Note 1a) $408,172,510
Cash 100,394
Receivable for Investments Sold 64,392,583
Interest Receivable 7,075,336
Dividends Receivable 2,310
------------
Total Assets 479,743,133
------------
LIABILITIES
Payable for Securities Purchased 57,473,688
Financial and Fund Accounting Services Fee Payable (Note 2c) 228,877
Custody Fee Payable 183,044
Advisory Fee Payable (Note 2a) 139,967
Fund Services Fee Payable (Note 2d) 3,668
Administration Fee Payable (Note 2b) 2,000
Accrued Expenses 26,250
------------
Total Liabilities 58,057,494
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $421,685,639
------------
------------
</TABLE>
See Accompanying Notes.
19
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1B)
$ 14,140,936
Interest Income
49,022
Dividend Income
------------
14,189,958
Net Investment Income
EXPENSES
Advisory Fee (Note 2a) $573,963
Custodian Fees and Expenses 95,660
Financial and Fund Accounting Services Fees (Note 2c) 95,088
Professional Fees 28,578
Fund Services Fee (Note 2d) 19,571
Administration Fee (Note 2b) 12,129
Trustees' Fees and Expenses (Note 2e) 4,677
Miscellaneous 4,309
--------
833,975
Total Expenses
------------
13,355,983
NET INVESTMENT INCOME
(1,602,383)
NET REALIZED LOSS ON INVESTMENTS
13,107,965
NET CHANGE IN UNREALIZED DEPRECIATION OF INVESTMENTS
------------
$ 24,861,565
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
------------
------------
</TABLE>
See Accompanying Notes.
20
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1995 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1994
------------------ ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 13,355,983 $ 13,708,591
Net Realized Loss on Investments (1,602,383) (8,930,226)
Net Change in Unrealized Depreciation of Investments 13,107,965 (11,045,898)
------------------ ------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations 24,861,565 (6,267,533)
------------------ ------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 87,625,776 298,426,651
Withdrawals (56,667,729) (73,416,442)
------------------ ------------------
Net Increase from Investors' Transactions 30,958,047 225,010,209
------------------ ------------------
Total Increase in Net Assets 55,819,612 218,742,676
NET ASSETS
Beginning of Period 365,866,027 147,123,351
------------------ ------------------
End of Period $ 421,685,639 $ 365,866,027
------------------ ------------------
------------------ ------------------
- -------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
APRIL 30, FOR THE FISCAL
1995 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1994
------------- ----------------
<S> <C> <C>
Ratios to Average Net Assets
Expenses 0.44%(a) 0.46%
Net Investment Income 6.98%(a ) 5.88%
Portfolio Turnover 192% 234%
<FN>
- ------------------------
(a) Annualized
</TABLE>
See Accompanying Notes.
21
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Fixed Income Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio commenced operations on July 12, 1993 and
received a contribution of certain assets and liabilities, including securities,
with a value of $91,653,371 on that date from The Pierpont Bond Fund in exchange
for a beneficial interest in the Portfolio. At that date, net unrealized
appreciation of $1,731,405 was included in the contributed securities. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)Portfolio securities with a maturity of 60 days or more, including
securities that are listed on an exchange or traded over the counter, are
valued using prices supplied daily by an independent pricing service or
services that (i) are based on the last sale price on a national
securities exchange, or in the absence of recorded sales, at the readily
available bid price on such exchange or at the quoted bid price in the
over-the-counter market, if such exchange or market constitutes the
broadest and most representative market for the security and (ii) in other
cases, take into account various factors affecting market value, including
yields and prices of comparable securities, indication as to value from
dealers and general market conditions. If such prices are not supplied by
the Portfolio's independent pricing services, such securities are priced
in accordance with procedures adopted by the Trustees. All portfolio
securities with a remaining maturity of less than 60 days are valued by
the amortized cost method.
b)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.
c)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.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.30%
of the Portfolio's average daily net assets. For the six months ended
April 30, 1995, this fee amounted to $573,963.
22
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
b)The Portfolio retains Signature Broker-Dealer Services, Inc. ("Signature")
to serve as Administrator and exclusive placement agent. Signature
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 Portfolio's
officers affiliated with Signature. The agreement provides for a fee to be
paid to Signature at an annual rate determined by the following schedule:
0.01% of the first $1 billion of the aggregate average daily net assets of
the Portfolio and the other portfolios subject to the Administrative
Services Agreement, 0.008% of the next $2 billion of such net assets,
0.006% of the next $2 billion of such net assets, and 0.004% of such net
assets in excess of $5 billion. The daily equivalent of the fee rate is
applied to the daily net assets of the Portfolio. For the six months ended
April 30, 1995, Signature's fee for these services amounted to $12,129.
c)The Portfolio has a Financial and Fund Accounting Services Agreement
("Services Agreement") with Morgan under which Morgan receives a fee,
based on the percentages described below, for overseeing certain aspects
of the administration and operation of the Portfolio. The Services
Agreement is also designed to provide an expense limit for certain
expenses of the Portfolio. If total expenses of the Portfolio, excluding
the advisory fee, custody expenses, fund services fee, and brokerage
costs, exceed the expense limit of 0.10% of the Portfolio's average daily
net assets up to $200 million, 0.05% of the next $200 million of average
daily net assets, and 0.03% of average daily net assets thereafter, Morgan
will reimburse the Portfolio for the excess expense amount and receive no
fee. Should such expenses be less than the expense limit, Morgan's fee
would be limited to the difference between such expenses and the fee
calculated under the Services Agreement. For the six months ended April
30, 1995, this fee amounted to $95,088.
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 $19,571 for the six months ended April 30, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represents the Portfolio's allocated portion of the
total fees and expenses. Prior to April 1, 1995, the aggregate annual
Trustee Fee was $55,000. The Trustee who serves as Chairman and Chief
Executive Officer of these Funds and Portfolios also serves as Chairman of
Group and received 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 $2,300.
23
<PAGE>
THE U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1995
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six
months ended April 30, 1995 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
-------------- --------------
<S> <C> <C>
U.S. Government and Agency Obligations $ 648,768,737 $ 642,229,366
Corporate and Collateralized Mortgage Obligations 113,565,071 80,375,680
-------------- --------------
$ 762,333,808 $ 722,605,046
-------------- --------------
-------------- --------------
</TABLE>
24
<PAGE>
THE
JPM INSTITUTIONAL
BOND FUND
JPM INSTITUTIONAL MONEY MARKET FUND
JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
JPM INSTITUTIONAL SHORT TERM BOND FUND
JPM INSTITUTIONAL BOND FUND
JPM INSTITUTIONAL TAX EXEMPT BOND FUND
JPM INSTITUTIONAL NY TOTAL RETURN BOND FUND
JPM INSTITUTIONAL INTERNATIONAL BOND FUND
JPM INSTITUTIONAL DIVERSIFIED FUND
JPM INSTITUTIONAL SELECTED U.S. EQUITY FUND
JPM INSTITUTIONAL U.S. SMALL COMPANY FUND
JPM INSTITUTIONAL INTERNATIONAL EQUITY FUND
JPM INSTITUTIONAL EMERGING MARKETS EQUITY FUND
FOR MORE INFORMATION ON THE JPM INSTITUTIONAL FAMILY OF FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT (800)766-7722.
SEMI-ANNUAL REPORT
APRIL 30, 1995
