<PAGE>
JPM INSTITUTIONAL MONEY MARKET FUND The
JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND JPM
JPM INSTITUTIONAL TREASURY MONEY MARKET FUND Institutional
JPM INSTITUTIONAL SHORT TERM BOND FUND New York
JPM INSTITUTIONAL BOND FUND Total Return
JPM INSTITUTIONAL TAX EXEMPT BOND FUND Bond Fund
JPM INSTITUTIONAL NEW YORK TOTAL RETURN 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 HOW THE JPM SEMI-ANNUAL REPORT
INSTITUTIONAL FAMILY OF FUNDS CAN HELP YOU PLAN SEPTEMBER 30, 1994
FOR YOUR FUTURE,
CALL J.P. MORGAN FUNDS SERVICES AT (800)
766-7722.
<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND
FUND
November 10, 1994
Dear Shareholder:
The objective of The JPM Institutional New York Total Return Bond Fund is to
provide a high after-tax total return for New York residents, consistent with
moderate risk of capital. It is designed for investors subject to federal and
New York State income taxes who seek a high after-tax total return and who are
willing to receive some taxable income and capital gains to achieve that return.
The Fund provided shareholders with a total return of 1.44% since its April 11,
1994 inception through the period ended September 30, 1994. During the period
under review, the Fund's net asset value declined from $10.00 per share to end
at $9.96 per share, after paying $0.18 per share in dividends. The Fund's net
assets grew to approximately $12 million by the end of the reporting period. The
net asset value of The New York Total Return Bond Portfolio, in which The JPM
Institutional New York Total Return Bond Fund invests, totaled $39.7 million at
September 30, 1994.
SEMI-ANNUAL REVIEW
The Fund's first months of operation coincided with a difficult time in the
market, punctuated by dramatic inflation-fighting actions from the Federal
Reserve. The Federal Reserve raised its Fed funds rate several times between
April and August, largely in reaction to signs that the U.S. economy had reached
full employment while also continuing to exhibit considerable growth momentum.
Government bond yields followed the upward movement of short-term rates.
Municipal rates rose as well, but not as severely.
With an expectation that improved U.S. economic conditions would spur higher
rates in a shrinking municipal bond universe, the Portfolio initially targeted
an average duration of 5.5 years. Given a lack of municipal supply at the
national level, and a shortage of attractively priced New York tax-exempt
securities, we chose to pursue the Portfolio's average duration target by
favoring attractively priced medium-term bonds in our initial purchases. By
focusing on the 13-to-15-year maturity range, we limited the number of market
transactions needed to reach our initial target duration. A larger number of
purchases would have been required to meet our average target duration if we had
focused on shorter-term bonds. The Portfolio also pursued a "barbell" strategy,
overweighting short- and long-term securities to benefit from an expected yield
curve flattening.
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS............1 FUND PERFORMANCE...........4
FUND FACTS AND HIGHLIGHTS.............3 FINANCIAL STATEMENTS.......5
- --------------------------------------------------------------------------------
1
<PAGE>
We shortened our duration position to 4.2 years at the beginning of July. By
the end of this reporting period, we had extended duration to 5.2 years because
we believed that most of the recent interest rate increases were already priced
into the market. The Portfolio ended the reporting period holding 27% of its
assets in non-New York securities.
INVESTMENT OUTLOOK
We continue to forecast that the Federal Reserve is biased toward a tight money
policy, and that it will increase the Fed Funds rate to 5.75% by year-end, up
from the current 4.75%. We also maintain our view that municipals should
continue to outperform Treasuries in the months ahead, but at a slower pace than
has been seen in the past six months. Since we anticipate a continued
flattening in the municipal yield curve, the Portfolio also plans to maintain
its present barbell structure, whereby it overweights municipals of short and
long maturities.
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 Fund Services
MORGAN SERVES AS PORTFOLIO INVESTMENT ADVISOR, AND MAKES THE FUND AVAILABLE
SOLELY IN ITS CAPACITY AS SHAREHOLDER SERVICING AGENT FOR CUSTOMERS. THE FUND'S
DISTRIBUTOR IS SIGNATURE BROKER-DEALER SERVICES, INC. INVESTMENTS IN THE FUND
ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, MORGAN
GUARANTY TRUST COMPANY OF NEW YORK 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 JPM INSTITUTIONAL NEW YORK TOTAL RETURN
BOND 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. All returns assume the reinvestment of Fund distributions and reflect
the reimbursement of certain Fund expenses as described in the Prospectus. Had
expenses not been subsidized, returns would have been lower. The JPM
Institutional New York Total Return Bond Fund invests all of its investable
assets in The New York Total Return Bond Portfolio, a separately registered
investment company which is not available to the public but only to other
collective investment vehicles such as the Fund.
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 A COPY OF THE PROSPECTUS BY CALLING (800) 766-7722.
2
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Institutional New York Total Return Bond Fund seeks to provide a high
after tax total return for New York residents consistent with moderate risk of
capital. It is designed for investors subject to federal and New York State
income taxes who seek a high after tax total return and who are willing to
receive some taxable income and capital gains to achieve that return.
- --------------------------------------------------------------------------------
INCEPTION DATE
4/11/94
- --------------------------------------------------------------------------------
NET ASSETS AS OF 9/30/94
$11,559,709
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATES (IF APPLICABLE)
12/12/94
EXPENSE RATIO
The Fund's current annual expense ratio of .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 SEPTEMBER 30, 1994
SECTOR ALLOCATION
Pie chart depicting the allocation of the Fund's investment securities held at
September 30, 1994 by investment categories. The pie is broken in pieces
representing investment categories in the following percentages:
<TABLE>
<CAPTION>
INVESTMENT CATEGORY PERCENTAGE
<S> <C>
Revenue bond 39.3%
Pre-refunded 30.7%
Insured 20.0%
General obligations 5.8%
Private Placements 2.5%
Cash 2.7%
</TABLE>
30-DAY SEC YIELD
5.37%
Duration
5.2 YEARS
Quality breakdown
AAA 50%
AA 30%
A 20%
3
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
One way to evaluate a mutual fund's historical performance record is to review
average annual total returns; these figures represent the average yearly change
of a fund's value over various time periods, typically 1, 5 or 10 years (or
since inception). For example, a hypothetical fund whose value increased by
4.0% in 1992 and 6.0% in 1993 had an average annual total return of 5.0% over
the two-year period. Total returns for periods of less than one year can also
provide a picture of how a fund has performed over the short term.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS
--------------------------------------------------
THREE YEAR ONE FIVE SINCE
AS OF SEPTEMBER 30, 1994 MONTHS TO DATE YEARS YEARS INCEPTION*
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
The JPM Institutional New York
Total Return Bond Fund 0.58% - - - 1.44%
Micropal Intermediate New York
Municipal Bond Average 0.56% - - - 1.69%
<FN>
*4/11/94
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 MICROPAL MUTUAL FUND
RATING SERVICE IS A LEADING RESOURCE FOR MUTUAL FUND DATA. MICROPAL CONTAINS
PERFORMANCE INFORMATION AND PORTFOLIO CHARACTERISTICS FOR OVER 20,000 FUNDS
WORLDWIDE, INCLUDING NEARLY 5,000 IN THE U.S. THE JPM INSTITUTIONAL NEW YORK
TOTAL RETURN BOND FUND INVESTS ALL OF ITS INVESTABLE ASSETS IN THE NEW YORK
TOTAL RETURN BOND 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 JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1994 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The New York Total Return Bond Portfolio ("Portfolio"),
at value (Note 1) $11,549,879
Receivable for Expense Reimbursements 30,851
Deferred Organization Expense (Note 1d) 10,677
Prepaid Expenses 137
----------
Total Assets 11,591,544
----------
LIABILITIES
Distribution Payable 388
Shareholder Servicing Fee Payable (Note 2c) 2,014
Administration Fee Payable (Note 2a) 257
Fund Services Fee Payable (Note 2d) 119
Trustees' Fees and Expenses Payable (Note 2e) 471
Organization Expenses Payable 2,967
Accrued Expenses 25,619
----------
Total Liabilities 31,835
----------
NET ASSETS
Applicable to 1,160,372 Shares of Beneficial Interest Outstanding
(par value $0.001) $11,559,709
----------
----------
Net Asset Value, Offering and Redemption Price Per Share $9.96
----------
----------
ANALYSIS OF NET ASSETS
Paid-in Capital $11,645,504
Accumulated Net Realized Gain on Investments 5,686
Net Unrealized Depreciation of Investments (91,481)
----------
Net Assets $11,559,709
----------
----------
</TABLE>
See Accompanying Notes.
5
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD APRIL 11, 1994 (COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME FROM PORTFOLIO (NOTE 1B)
Allocated Interest Income $ 184,730
Allocated Portfolio Expenses (19,720)
---------
Net Investment Income Allocated from Portfolio 165,010
FUND EXPENSES
Transfer Agent Fee $ 11,013
Printing 7,561
Registration Fees 3,964
Professional Fees 3,247
Shareholder Servicing Fee (Note 2c) 2,014
Amortization of Organization Expense (Note 1d) 1,110
Administration Fee (Note 2a) 1,180
Trustees' Fees and Expenses (Note 2e) 485
Fund Services Fee (Note 2d) 442
Miscellaneous 255
---------
Total Fund Expenses 31,271
Less: Reimbursements of Expenses (Note 2b) (30,851)
---------
NET EXPENSES 420
---------
NET INVESTMENT INCOME 164,590
NET REALIZED GAIN ON INVESTMENTS ALLOCATED FROM PORTFOLIO 5,686
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS ALLOCATED
FROM PORTFOLIO (91,481)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 78,795
---------
---------
</TABLE>
See Accompanying Notes.
6
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
APRIL 11, 1994
(COMMENCEMENT OF
OPERATIONS) TO
SEPTEMBER 30, 1994
-------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 164,590
Net Realized Gain on Investments Allocated from Portfolio 5,686
Net Change in Unrealized Appreciation of Investments Allocated
from Portfolio (91,481)
-------------------
Net Increase in Net Assets Resulting from Operations 78,795
-------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (164,590)
-------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 3)
Proceeds from Shares of Beneficial Interest Sold 11,423,506
Reinvestment of Dividends 162,721
Cost of Shares of Beneficial Interest Redeemed (40,723)
-------------------
Net Increase from Transactions in Shares of Beneficial Interest 11,545,504
-------------------
Total Increase in Net Assets 11,459,709
NET ASSETS
Beginning of Period 100,000
-------------------
End of Period $ 11,559,709
-------------------
-------------------
</TABLE>
See Accompanying Notes.
7
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout the period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
APRIL 11, 1994
(COMMENCEMENT OF
OPERATIONS) TO
SEPTEMBER 30, 1994
-------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.18
Net Realized and Unrealized Gain (Loss) from Portfolio (0.04)
------
Total from Investment Operations 0.14
------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.18)
------
NET ASSET VALUE, END OF PERIOD $ 9.96
------
------
Total Return 1.44%(a)
RATIOS AND SUPPLEMENTAL DATA
Net Assets at end of Period (in thousands) $11,560
Ratios to Average Net Assets (annualized):
Expenses* 0.50%
Net Investment Income 4.09%
Decrease Reflected in above Expense Ratio due to Expense
Reimbursement to the Portfolio and Fund by Morgan 0.88%
<FN>
(a) Not annualized.
* Includes the Fund's proportionate share of the Portfolio's expenses.
</TABLE>
See Accompanying Notes.
8
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Institutional New York Total Return Bond Fund (the "Fund") is a
separate series of The JPM Institutional Funds, a Massachusetts business
trust (the "Trust") which was organized on November 4, 1992. The Trust is
registered under the Investment Company Act of 1940, as amended, as a
non-diversified, open-end management investment company. The Fund commenced
operations on April 11, 1994.
The Fund invests all of its investable assets in The New York Total Return
Bond Portfolio (the "Portfolio"), a non-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 (29.1% at September 30, 1994). 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 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 $11,787. 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)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.
9
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 the net assets
of The Pierpont Funds and The JPM Institutional Plus Funds, which are 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 period April 11, 1994 (commencement of
operations) to September 30, 1994, Signature's fee for these services
amounted to $1,180.
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 period April 11, 1994 (commencement
of operations) to September 30, 1994, Morgan agreed to reimburse the Fund
$25,702 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
March 31, 1995. For the period April 11, 1994 (commencement of operations)
to September 30, 1994, Morgan has agreed to reimburse the Fund $5,149 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
period April 11, 1994 (commencement of operations) to September 30, 1994,
Morgan's fee for these services amounted to $2,014.
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
10
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 $442 for the period April 11, 1994
(commencement of operations) to September 30, 1994.
e)An annual aggregate fee of $55,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds, The JPM
Institutional Plus Fund, and their corresponding Portfolios. The trustee
fee expense shown in the financial statements represents the Fund's
allocated portion of the total fees and expenses.
3. SHARES OF BENEFICIAL INTEREST:
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest ($0.001 par value) of one or
more series. Transactions in shares of beneficial interest of the Fund were as
follows:
<TABLE>
<CAPTION>
FOR
THE PERIOD
APRIL 11, 1994
(COMMENCEMENT OF
OPERATIONS) TO
SEPTEMBER 30, 1994
-------------------
<S> <C>
Shares sold 1,138,178
Reinvestment of dividends 16,214
Shares redeemed (4,020)
--------
Net Increase 1,150,372
--------
--------
</TABLE>
11
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SEMI - ANNUAL REPORT SEPTEMBER 30, 1994
(UNAUDITED)
(THE FOLLOWING PAGES SHOULD BE READ IN CONJUNCTION
WITH THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
SEMI - ANNUAL FINANCIAL STATEMENTS)
12
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN RATINGS MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE OF SECURITY MOODY'S/S&P DATE RATE VALUE
- ------ ----------------------------------- ----------------- ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
CALIFORNIA (2.5%)
$1,000 Kaweah Delta Hospital District,
County (Series E, optional put
06/01/97)........................ Revenue Bond NR/A+ 06/01/14 5.25% $ 993,750
-----------
CONNECTICUT (3.8%)
1,500 Connecticut (Special Tax
Obligation, Transportation
Infrastructure, Series B)........ Revenue Bond A1/AA- 09/01/05 5.90 1,513,125
-----------
GEORGIA (2.6%)
1,000 Georgia Municipal Electric Power
Authority (Crossover Refunded,
Series K)........................ Revenue Bond A/A+ 01/01/16 9.88 1,035,000
-----------
NEW JERSEY (3.7%)
1,475 New Jersey Economic Development
Authority (Market Transition
Facilities Revenue, Series A)
MBIA Insured..................... Revenue Bond Aaa/AAA 07/01/01 5.25 1,463,303
-----------
NEW YORK (72.7%)
3,000 Triborough Bridge & Tunnel
Authority (Series T,
Prerefunded)..................... Revenue Bond Aaa/A+ 01/01/01(A) 7.00 3,326,670
2,500 New York Thruway Authority......... Revenue Bond A/A- 04/01/98 4.75 2,481,700
2,000 Albany County, South Mall
Construction (Refunding, Series General
A) FGIC Insured.................. Obligation Aaa/AAA 04/01/96 4.30 1,993,960
1,750 New York City (Refunding, Series General
A)............................... Obligation Baa1/A- 08/01/02 5.75 1,713,162
1,500 Grand Central District Management
Association (Business
Improvement, Prerefunded)........ Revenue Bond Aaa/AAA 01/01/02(A) 6.50 1,620,495
1,500 Triborough Bridge & Tunnel
Authority (Series Y,
Prerefunded)..................... Revenue Bond Aa/A+ 01/01/07 5.90 1,508,940
1,500 New York Medical Care Facilities
Finance Agency (Mental Health
Services, Series F, Refunding)... Revenue Bond Baa1/BBB+ 02/15/03 6.00 1,501,815
1,500 New York Environmental Facilities
Corp., (PCR, Refunding, NYC
Municipal Water)................. Revenue Bond Aa/A- 06/15/08 5.75 1,461,030
</TABLE>
See Accompanying Notes.
13
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED) (UNAUDITED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN RATINGS MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE OF SECURITY MOODY'S/S&P DATE RATE VALUE
- ------ ----------------------------------- ----------------- ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
$1,500 New York Dormitory Authority,
(University Educational
Facilities, Series A) AMBAC
Insured.......................... Revenue Bond Aaa/AAA 05/15/07 5.50% $ 1,432,830
1,500 Metropolitan Transportation
Authority (NY Service Contract
Commuter Facilities, Series O,
Refunding)....................... Revenue Bond Baa1/BBB 07/01/08 5.75 1,412,835
1,335 New York State Urban Development
Corp, (Correctional
Facilities,Refunding, Series D,
Prerefunded) AMBAC Insured . Revenue Bond Aaa/AAA 01/01/98(A) 7.50 1,465,176
1,250 New York State Local Assistance
Corp. (Prerefunding, Series A,
Refunding)....................... Revenue Bond Aaa/AAA 04/01/01(A) 7.00 1,390,013
1,150 Triborough Bridge & Tunnel
Authority (Special Obligation,
Refunding)....................... Revenue Bond Aaa/AAA 01/01/02 5.80 1,182,051
1,030 Suffolk County Water Authority,
(Waterworks Revenue Refunding,
Prerefunded) AMBAC Insured....... Revenue Bond Aaa/AAA 06/01/00(A) 6.60 1,116,376
1,000 New York Medical Care Facilites
Finance Agency (Mental Health
Services Facilities & Improvement
Series A, Prerefunded)........... Revenue Bond Aaa/AAA 02/15/99(A) 7.80 1,121,880
1,000 Triborough Bridge & Tunnel
Authority (Series T,
Prerefunded)..................... Revenue Bond Aaa/AAA 01/01/22(A) 6.00 1,035,670
1,000 Monroe County Public Improvement General
AMBAC Insured.................... Obligation Aaa/AAA 06/01/08 5.88 989,270
1,000 New York Dormitory Authority,
University of Rochester (Strong
Memorial Hospital)............... Revenue Bond A1/A+ 07/01/09 5.63 932,920
600 New York City, (Municipal Water
Authority, Water & Sewer System,
Series C) FGIC Insured........... VRDN VMIG1/SP-1 (B) 3.65 600,000
555 Islip Metropolitan Transportation
Authority (NY Service Contract
Commuter Facilities, Series O) General
MBIA Insured..................... Obligation Aaa/AAA 06/01/01 7.30 597,396
-----------
Total New York 28,884,189
-----------
</TABLE>
See Accompanying Notes.
14
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED) (UNAUDITED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN RATINGS MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE OF SECURITY MOODY'S/S&P DATE RATE VALUE
- ------ ----------------------------------- ----------------- ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (9.7%)
$1,250 Texas State Public Finance
Authority Revenue (Refunding,
Series A)........................ Revenue Bond Aa/AA 10/01/06 6.00% $ 1,277,900
1,200 Austin, Water Sewer & Electric
(Refunding)...................... Revenue Bond A/A- 11/15/97 13.50 1,504,872
1,000 San Antonio Electric & Gas (Series
B, Prerefunded).................. Revenue Bond Aaa/AAA 02/01/96(A) 9.00 1,070,050
-----------
Total Texas 3,852,822
-----------
WASHINGTON (3.3%)
1,250 Seattle, (Sewer Revenue Refunding
Series P, Refunding)............. Revenue Bond Aaa/AA- 01/01/96(A) 7.40 1,317,275
-----------
TOTAL INVESTMENTS (98.3%) (Cost $39,313,140) 39,059,464
OTHER ASSETS NET OF LIABILITIES (1.7%) 670,790
-----------
NET ASSETS (100.0%) $39,730,254
-----------
-----------
<FN>
(A) The date shown represents a mandatory/optional put date or call date.
(B) Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature.
1. Based on the cost of investments of $39,313,140 for federal income tax
purposes at September 30, 1994 the aggregate gross unrealized appreciation
and depreciation was $76,268 and $329,944, respectively, resulting in net
unrealized depreciation of investments of $253,676.
2. Abbreviations used in the schedule of investments are as follows: AMBAC --
American Municipal Bond Assurance Corporation; FGIC -- Financial Guaranty
Insurance Company; MBIA -- Municipal Bond Investors Assurance; PCR --
Pollution Control Revenue; VRDN -- Variable Rate Demand Note
3. Prerefunded -- Bonds for which the issuer of the bond invest the proceeds
from a subsequent bond issuance in treasury securities whose maturity
coincides with the first call date of the first bond.
Refunding -- Bonds for which the issuer has issued new bonds and cancelled the
old issue.
</TABLE>
See Accompanying Notes.
15
<PAGE>
NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1994 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $39,313,140 ) (Note 1a) $39,059,464
Cash 74,803
Receivable for Expense Reimbursement 17,295
Interest Receivable 632,649
Deferred Organization Expense (Note 1b) 10,392
Prepaid Insurance 516
----------
Total Assets 39,795,119
----------
LIABILITIES
Advisory Fee Payable (Note 2a) 18,276
Custody Fee Payable 10,751
Administration Fee Payable (Note 2b) 223
Fund Services Fee Payable (Note 2d) 441
Trustees' Fees and Expenses Payable (Note 2e) 150
Organization Expenses Payable (Note 1b) 5,168
Accrued Expenses 29,856
----------
Total Liabilities 64,865
----------
NET ASSETS
Applicable to Investors' Beneficial Interests $39,730,254
----------
----------
</TABLE>
See Accompanying Notes.
16
<PAGE>
NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD APRIL 11, 1994 (COMMENCEMENT OF OPERATIONS) TO SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1C)
Interest $ 697,252
EXPENSES
Advisory Fee (Note 2a) $ 46,075
Professional Fees 26,651
Custodian Fees and Expenses 10,751
Fund Services Fee (Note 2d) 1,622
Administration Fee (Note 2b) 1,017
Amortization of Organization Expenses (Note 1b) 1,081
Trustees' Fees and Expenses (Note 2e) 446
Miscellaneous 4,220
---------
Total Expenses 91,863
Less: Reimbursement of Expenses (Note 2c) (17,295)
---------
NET EXPENSES 74,568
---------
NET INVESTMENT INCOME 622,684
NET REALIZED GAIN ON INVESTMENTS 33,816
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS (253,676)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 402,824
---------
---------
</TABLE>
See Accompanying Notes.
17
<PAGE>
NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
APRIL 11, 1994
(COMMENCEMENT OF
OPERATIONS) TO
SEPTEMBER 30, 1994
------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 622,684
Net Realized Gain on Investments 33,816
Net Change in Unrealized Appreciation of Investments (253,676)
------------------
Net Increase in Net Assets Resulting from Operations 402,824
------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions 44,575,698
Withdrawals (5,348,368)
------------------
Net Increase from Investors' Transactions 39,227,330
------------------
Total Increase in Net Assets 39,630,154
NET ASSETS
Beginning of Period 100,100
------------------
End of Period $ 39,730,254
------------------
------------------
-------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
SUPPLEMENTARY DATA (UNAUDITED)
- -------------------------------------------------------------------------------------------
<CAPTION>
FOR THE PERIOD
APRIL 11, 1994
(COMMENCEMENT OF
OPERATIONS) TO
SEPTEMBER 30, 1994
------------------
<S> <C>
Ratio to Average Net Assets:
Expenses 0.49%(a)
Net Investment Income 4.05%(a)
Decrease Reflected in Expense Ratio due to Expense Reimbursement by
Morgan 0.11%(a)
Portfolio Turnover 42.82%
<FN>
- ------------------------
(a) Annualized
</TABLE>
See Accompanying Notes.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
The New York Total Return Bond Portfolio (the "Portfolio") is registered under
the Investment Company Act of 1940, as amended, as a no-load, non-diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York on June 16, 1993. The Portfolio commenced
operations on April 11, 1994. The Declaration of Trust permits the Trustees to
issue an unlimited number of beneficial interests in the Portfolio.
1. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies of the
Portfolio:
a)The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
Because of the large number of municipal bond issues outstanding and the
varying maturity dates, coupons and risk factors applicable to each
issuer's bonds, no readily available market quotations exist for most
municipal securities. Securities or other assets for which market
quotations are not readily available are valued in accordance with
procedures established by the Portfolio's Trustees. Such procedures
include the use of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
portfolio securities with a remaining maturity of less than 60 days are
valued by the amortized cost method.
b)The Portfolio incurred organization expenses in the amount of $11,473.
These costs were deferred and are being amortized by the Portfolio on a
straight-line basis over a five-year period from the commencement of
operations.
c)Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
d)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable 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
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
Morgan a fee at an annual rate of 0.30% of the Portfolio's average daily
net assets. For the period April 11, 1994 (commencement of operations ) to
September 30, 1994, this fee amounted to $46,075.
b)The Portfolio retains Signature Broker-Dealer Services, Inc. ("Signature")
to serve as Administrator and Distributor. 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 period April 11, 1994
(commencement of operations) to September 30, 1994, Signature's fee for
these services amounted to $1,017.
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, brokerage costs and
the amortization of organization expenses, 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 period April 11, 1994 (commencement of operations) to
September 30, 1994, Morgan agreed to reimburse the Portfolio in the amount
of $17,295.
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 $1,622 for the period April 11, 1994 (commencement of
operations) to September 30, 1994.
e)An aggregate annual fee of $55,000 is paid to each Trustee for serving as
Trustee of The Pierpont Funds, The JPM Institutional Funds, The JPM
Institutional Plus Fund and their corresponding Portfolios. The Trustee
fee expense shown in the financial statements represents the Portfolio's
allocated portion of the total fees and expenses.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1994
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the period
April 11, 1994 (commencement of operations) to September 30, 1994, were as
follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
- ----------------- -------------------
<S> <C>
$ 45,378,342 $ 6,559,666
</TABLE>
21
