<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
December 15, 1995
Dear Shareholder:
We are pleased to report that, for the year ended October 31, 1995, The JPM
Institutional Treasury Money Market Fund outperformed its benchmark, the
IBC/Donoghue U.S. Treasury & Repo Money Market Fund Average. The Fund returned
5.69% versus a benchmark return of 5.11%. We believe security selection and
active maturity management contributed to the Fund's return for the period and
has helped it to consistently outperform its benchmark since its inception on
January 4, 1993 (see table on page 4).
The Fund's net asset value remained $1.00 per share. The Fund's net assets were
approximately $145.1 million at the end of the reporting period. The net assets
of The Treasury Money Market Portfolio, in which the Fund invests, totaled
approximately $317.9 million on October 31, 1995.
MARKET ENVIRONMENT
The interest rate environment changed direction over the period, as the Federal
Reserve went from tightening to eventually easing monetary policy. As the Fed
continued to raise short-term interest rates at the end of 1994, yields rose on
Treasuries of all maturities. The difference or "spread" in yield between
overnight and one-year money market instruments remained wide, as investors
continued to anticipate further rate increases. However, weak economic growth
caused a shift in investor sentiment, as the markets began to anticipate a Fed
easing of monetary policy, which occurred in July. Money markets generally
reacted positively, causing the yield curve to flatten.
PORTFOLIO REVIEW
Morgan systematically draws upon proprietary economic research in order to
allocate assets and control the Portfolio's maturity structure. Our portfolio
managers actively allocate the Portfolio's investments among Treasury securities
and repurchase agreements in order to increase the potential for achieving
higher returns.
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS.............1 FUND PERFORMANCE...........4
FUND FACTS AND HIGHLIGHTS..............3 FINANCIAL STATEMENTS.......6
1
<PAGE>
During the period we managed the Portfolio's duration around our interest rate
outlook. For example, as rates were rising, we positioned the Portfolio
defensively with a short target average life of 30 days relative to its
benchmark. As rates began to stabilize, we gradually lengthened this target to
around 60 days, focusing on short-term and one-year issues to achieve this goal.
The Portfolio ended the period with an actual average life of 70 days.
In terms of asset allocation, the Portfolio's repurchase agreement positions
helped performance during the period by providing attractive yields.
INVESTMENT OUTLOOK
A credible budget package and continued favorable inflation data could allow the
Federal Reserve to reduce short-term rates another 25 to 50 basis points in the
near term. Given our view that rates will either be reduced or held steady over
the next few months, we expect to maintain the Portfolio's target average life
of around 60 days, which is currently about 15 days longer than the IBC/Donoghue
peer group.
As always, we welcome your comments or questions. Please call J.P. Morgan Funds
Services toll free at (800) 766-7722.
Sincerely,
/s/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
2
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Institutional Treasury Money Market Fund seeks to provide current
income, maintain a high level of liquidity and preserve capital. It is designed
for investors who seek to preserve capital and earn current income from a
portfolio of direct obligations of the U.S. Treasury and repurchase agreements.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
1/4/93
- --------------------------------------------------------------------------------
NET ASSETS AS OF 10/31/95
$145,107,709
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/18/95
EXPENSE RATIO
The Fund's annualized expense ratio of 0.20% 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 OCTOBER 31, 1995
DAYS TO MATURITY
(PERCENTAGE OF TOTAL INVESTMENTS)
[pie graph]
/ / 0-30 days 32.3%
/ / 31-60 days 17.7%
/ / 61-90 days 17.1%
/ / 90+ days 32.9%
AVERAGE 7-DAY YIELD
5.42%
AVERAGE LIFE
70 days
3
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
One way to look at performance is to review a fund's average annual total
return. This figure takes a 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.
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
THREE SIX ONE FIVE SINCE
AS OF OCTOBER 31, 1995 MONTHS MONTHS YEAR YEARS INCEPTION*
- -------------------------------------------------- -----------------------------
The JPM Institutional Treasury
Money Market Fund 1.39% 2.86% 5.69% - 4.12%
IBC/Donoghue's U.S. Treasury
& Repo Money Market
Fund Average 1.25% 2.57% 5.11% - 3.69%
AS OF SEPTEMBER 30, 1995
- -------------------------------------------------- ---------------------------
The JPM Institutional Treasury
Money Market Fund 1.41% 2.89% 5.62% - 4.07%
IBC/Donoghue's U.S. Treasury
& Repo Money Market Fund
Average 1.26% 2.59% 5.03% - 3.64%
*1/4/93 -- COMMENCEMENT OF OPERATIONS (AVERAGE ANNUAL TOTAL RETURNS BASED ON
MONTH END FOLLOWING INCEPTION).
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 FUND INVESTS ALL OF ITS
INVESTABLE ASSETS IN THE TREASURY MONEY MARKET PORTFOLIO, A SEPARATELY
REGISTERED INVESTMENT COMPANY WHICH IS NOT AVAILABLE TO THE PUBLIC BUT ONLY TO
OTHER COLLECTIVE INVESTMENT VEHICLES SUCH AS THE FUND.
4
<PAGE>
SIGNATURE BROKER-DEALER SERVICES, INC. IS THE DISTRIBUTOR OF THE JPM
INSTITUTIONAL TREASURY MONEY MARKET FUND (THE "FUND").
MORGAN GUARANTY TRUST COMPANY OF NEW YORK ("MORGAN") SERVES AS PORTFOLIO
INVESTMENT ADVISOR AND MAKES 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. ALTHOUGH THE FUND SEEKS TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00
PER SHARE, THERE IS NO ASSURANCE THAT IT WILL BE ABLE TO CONTINUE TO DO SO.
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 Treasury
Money Market 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 ADDITIONAL COPIES OF THE PROSPECTUS
BY CALLING J.P. MORGAN FUNDS SERVICES AT (800) 766-7722.
5
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Treasury Money Market Portfolio ("Portfolio"), at value $145,780,547
Deferred Organization Expenses 46,360
Prepaid Expenses 1,024
------------
Total Assets 145,827,931
------------
LIABILITIES
Dividends Payable 631,187
Shareholder Servicing Fee Payable 31,123
Financial and Fund Accounting Services Fee Payable 7,932
Administration Fee Payable 2,959
Fund Services Fee Payable 634
Accrued Expenses 46,387
------------
Total Liabilities 720,222
------------
NET ASSETS
Applicable to 145,071,925 Shares of Beneficial Interest Outstanding $145,107,709
(unlimited shares authorized, par value $0.001)
------------
------------
Net Asset Value, Offering and Redemption Price Per Share $1.00
ANALYSIS OF NET ASSETS
Paid-In Capital $145,071,925
Accumulated Net Realized Gain on Investment 35,784
------------
Net Assets $145,107,709
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
6
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $5,405,117
Allocated Portfolio Expenses (Net of Reimbursements of $55,883) (187,771)
----------
Net Investment Income Allocated from Portfolio 5,217,346
FUND EXPENSES
Shareholder Servicing Fee $ 101,100
Registration Fees 34,972
Administration Fee 23,920
Amortization of Organization Expenses 21,286
Transfer Agent Fee 16,855
Printing Expenses 15,000
Fund Services Fee 8,445
Trustees' Fees and Expenses 1,898
Miscellaneous 12,582
---------
Total Fund Expenses 236,058
Less: Reimbursements of Expenses (236,058)
---------
NET FUND EXPENSES 0
----------
NET INVESTMENT INCOME 5,217,346
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM PORTFOLIO 38,279
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $5,255,625
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
7
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1995 OCTOBER 31, 1994
---------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 5,217,346 $ 2,225,816
Net Realized Gain (Loss) on Investment Allocated from Portfolio 38,279 (2,067)
---------------- ----------------
Net Increase in Net Assets Resulting from Operations 5,255,625 2,223,749
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (5,217,346) (2,225,816)
Net Realized Gain -- (5,253)
---------------- ----------------
Total Distributions to Shareholders (5,217,346) (2,231,069)
---------------- ----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 438,967,460 114,320,626
Reinvestment of Dividends and Distributions 2,046,540 928,479
Cost of Shares of Beneficial Interest Redeemed (376,090,767) (60,572,235)
---------------- ----------------
Net Increase from Transactions in Shares of Beneficial Interest 64,923,233 54,676,870
---------------- ----------------
Total Increase in Net Assets 64,961,512 54,669,550
NET ASSETS
Beginning of Fiscal Year 80,146,197 25,476,647
---------------- ----------------
End of Fiscal Year $ 145,107,709 $ 80,146,197
---------------- ----------------
---------------- ----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 4, 1993
FOR THE FISCAL YEAR ENDED (COMMENCEMENT OF
---------------------------------- OPERATIONS) TO
OCTOBER 31, 1995 OCTOBER 31, 1994 OCTOBER 31, 1993
---------------- ---------------- ----------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00
---------------- ---------------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0555 0.0354 0.0220
Net Realized Gain (Loss) on Investment Allocated from
Portfolio 0.0003 (0.0000)(a) 0.0000(a)
---------------- ---------------- --------
Total From Investment Operations 0.0558 0.0354 0.0220
---------------- ---------------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0555) (0.0354) (0.0220)
Net Realized Gain -- (0.0001) --
---------------- ---------------- --------
Total Distributions to Shareholders (0.0555) (0.0355) (0.0220)
---------------- ---------------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00
---------------- ---------------- --------
---------------- ---------------- --------
Total Return 5.69% 3.61% 2.23%(b)
---------------- ---------------- --------
---------------- ---------------- --------
RATIOS AND SUPPLEMENTAL DATA
Net Assets at end of Period (in thousands) $ 145,108 $ 80,146 $ 25,477
Ratios to Average Net Assets
Expenses 0.20% 0.20% 0.27%(c)
Net Investment Income 5.56% 3.81% 2.81%(c)
Decrease Reflected in Expense ratio due to
Expense Reimbursement 0.31% 0.47% 0.76%(c)
</TABLE>
- ------------------------
(a) Less than $0.0001
(b) Not Annualized
(c) Annualized
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Institutional Treasury Money Market 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 January 4, 1993.
The Fund invests all of its investable assets in The Treasury Money Market
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 (46% at October 31, 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 gain and
loss and adjusts its investment in the Portfolio each day. All the net
investment income and realized 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)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 $104,282. These
costs were deferred and are being amortized on a straight-line basis over
a five-year period from 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.
g)For United States federal income tax purposes the Fund utilized a capital
loss carryforward of $2,067 during the fiscal year ended October 31, 1995.
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
10
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
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 each day to the net assets
of the Fund. For the fiscal year ended October 31, 1995, Signature's fee
amounted to $23,920.
b)During the period November 1, 1994 through August 31, 1995, the Trust, on
behalf of the Fund, had a Financial and Fund Accounting Services Agreement
("Services Agreement") with Morgan Guaranty Trust Company of New York
("Morgan") under which Morgan may receive a fee, based on the percentage
described below, for overseeing certain aspects of the administration and
operation of the Fund and which was also designed to provide an expense
limit for certain expenses of the Fund. This fee was calculated exclusive
of the shareholder servicing fee, the fund services fee and amortization
of organization expenses, at 0.05% of the Fund's average daily net assets.
For the period November 1, 1994 through August 31, 1995, Morgan agreed to
reimburse the Fund $50,545 for expenses that exceeded this limit.
Effective September 1, 1995, the Services Agreement was terminated and an
interim agreement was entered into between the Trust, on behalf of the
Fund, and Morgan which provides for the continuation of the oversight
services that were outlined under the prior agreement and that Morgan
shall bear all of its expenses incurred in connection with these services.
In addition, 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
0.20% of the average daily net assets of the Fund through October 31,
1996. For the fiscal year ended October 31, 1995, Morgan has agreed to
reimburse the Fund $185,513 for expenses under this agreement.
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 0.11% of the average daily net assets of the Fund. For the
fiscal year ended October 31, 1995, the fee for these services amounted to
$101,100.
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
$8,445 for the fiscal year ended October 31, 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 represent 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
$1,100.
11
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
The JPM Institutional Treasury Money Market Fund
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
The JPM Institutional Treasury Money Market Fund (one of the series constituting
part of The JPM Institutional Funds, hereafter referred to as the "Fund") at
October 31, 1995, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended,
and the financial highlights for each of the two years in the period then ended
and for the period January 4, 1993 (commencement of operations) through October
31, 1993, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
New York, New York
December 15, 1995
12
<PAGE>
The Treasury Money Market Portfolio
Annual Report October 31, 1995
(The following pages should be read in conjunction
with The JPM Institutional Treasury Money Market Fund
Annual Financial Statements)
13
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE COUPON VALUE
- -------------- --------------------------------------- --------- ------------ ------------
<C> <S> <C> <C> <C>
U. S. TREASURY OBLIGATIONS (67.7%)
$ 56,692 United States Treasury Bills 12/14/95 5.195-5.240% $ 56,340,041
50,638 United States Treasury Bills 03/21/96 5.285 49,589,815
30,000 United States Treasury Bills 01/11/96 5.300 29,686,121
25,000 United States Treasury Bills 01/25/96 5.380 24,682,431
10,000 United States Treasury Bills 04/18/96 5.500 9,751,194
10,000 United States Treasury Bills 03/28/96 5.400 9,778,000
10,000 United States Treasury Strip
(Principal Only) 02/15/96 6.166 9,828,287
12,000 United States Treasury Notes 04/15/96 9.375 12,197,914
8,300 United States Treasury Notes 02/29/96 7.500 8,349,224
5,000 United States Treasury Notes 05/15/96 7.375 5,040,941
------------
Total U.S. Treasury Obligations (amortized cost $215,243,968) 215,243,968
------------
<CAPTION>
REPURCHASE AGREEMENT (32.2%)
<C> <S> <C> <C>
102,398 Goldman Sachs Repurchase Agreement dated
10/31/95 due 11/01/95, proceeds $102,414,725
(collateralized by $40,955,000 U.S. Treasury
Notes 6.000%, due 12/31/97 valued at
$42,064,033; $41,123,000 U.S. Treasury
Bonds 8.875%-14.000%, due 11/15/11-02/15/19
valued at $62,382,998) (Cost $102,398,000) 5.880 102,398,000
------------
TOTAL INVESTMENTS (COST $317,641,968) (99.9%) 317,641,968
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%) 237,486
------------
NET ASSETS (100.0%) $317,879,454
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
14
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $215,243,968
Repurchase Agreement at Cost and Value 102,398,000
Cash 396
Interest Receivable 345,356
Deferred Organization Expenses 12,064
Prepaid Expenses 3,306
------------
Total Assets 318,003,090
------------
LIABILITIES
Advisory Fee Payable 74,001
Custody Fee Payable 22,360
Fund Services Fee Payable 1,996
Administration Fee Payable 1,510
Accrued Expenses 23,769
------------
Total Liabilities 123,636
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $317,879,454
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest $14,170,239
EXPENSES
Advisory Fee $ 492,941
Custodian Fees and Expenses 46,884
Professional Fees 32,540
Fund Services Fee 22,791
Administration Fee 17,480
Trustees' Fees and Expenses 5,548
Amortization of Organization Expenses 5,538
Miscellaneous 15,399
---------
Total Expenses 639,121
LESS: REIMBURSEMENT OF EXPENSES (146,180)
---------
NET EXPENSES (492,941)
-----------
NET INVESTMENT INCOME 13,677,298
NET REALIZED GAIN ON INVESTMENTS 103,233
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,780,531
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1995 OCTOBER 31, 1994
------------------ ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 13,677,298 $ 6,192,242
Net Realized Gain (Loss) on Investments 103,233 (6,960)
------------------ ----------------
Net Increase in Net Assets Resulting from Operations 13,780,531 6,185,282
------------------ ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 1,512,814,744 717,721,291
Withdrawals (1,408,013,342) (633,408,231)
------------------ ----------------
Net Increase from Investors' Transactions 104,801,402 84,313,060
------------------ ----------------
Total Increase in Net Assets 118,581,933 90,498,342
NET ASSETS
Beginning of Fiscal Year 199,297,521 108,799,179
------------------ ----------------
End of Fiscal Year $ 317,879,454 $ 199,297,521
------------------ ----------------
------------------ ----------------
- -------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- -------------------------------------------------------------------------------------------
<CAPTION>
FOR THE PERIOD
JANUARY 4, 1993
FOR THE FISCAL YEAR ENDED (COMMENCEMENT OF
----------------------------------- OPERATIONS) TO
OCTOBER 31, 1995 OCTOBER 31, 1994 OCTOBER 31, 1993
----------------- ---------------- ----------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20% 0.22% 0.26%(a)
Net Investment Income 5.55% 3.65% 2.75%(a)
Decrease Reflected in Expense Ratio
due to Expense Reimbursements 0.06% 0.05% 0.07%(a)
</TABLE>
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(a) Annualized
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury Money Market Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, (the "Act") 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 January 4, 1993. 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)Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
The Portfolio's custodian or designated subcustodians, as the case may be
under triparty repurchase agreements, takes possession of the collateral
pledged for investments in repurchase agreements on behalf of the
Portfolio. It is the policy of the Portfolio to value the underlying
collateral daily on a mark-to-market basis to determine that the value,
including accrued interest, is at least equal to the repurchase price plus
accrued interest. In the event of default of the obligation to repurchase,
the Portfolio has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. Under certain circumstances,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral or proceeds may be subject
to legal proceedings.
b)Securities transactions are recorded on a trade date basis. Investment
income consists of interest income, which includes the amortization of
premiums and discounts. 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 subject to
taxation 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. The cost of
securities is substantially the same for book and tax purposes.
d)The Portfolio incurred organization expenses in the amount of $27,491.
These costs were deferred and are being amortized on a straight-line basis
over a five year period from the commencement of operations.
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 0.20%
of the Portfolio's average daily net assets up to $1 billion and 0.10% on
any excess over $1 billion. For the fiscal year ended October 31, 1995,
this fee amounted to $492,941.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
b)The Portfolio has retained 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 fee 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 each day to the net assets of the Portfolio. For the
fiscal year ended October 31, 1995, Signature's fee for these services
amounted to $17,480.
c)During the period November 1, 1994, through August 31, 1995, the Portfolio
had a Financial and Fund Accounting Services Agreement ("Services
Agreement") with Morgan under which Morgan may receive a fee, based on the
percentages described below, for overseeing certain aspects of the
administration and operation of the Portfolio and which was also designed
to provide an expense limit for certain expenses of the Portfolio. This
fee was calculated exclusive of the advisory fee, custody expenses, fund
services fee, amortization of organization expenses and brokerage costs,
at 0.03% of the Portfolio's average daily net assets. For the period
November 1, 1994, through August 31, 1995, Morgan agreed to reimburse the
Fund $430 for expenses that exceeded this limit. Effective September 1,
1995, the Services Agreement was terminated and an interim agreement was
entered into between the Portfolio and Morgan, which provides for the
continuation of the oversight services that were outlined under the prior
agreement and that Morgan shall bear all of its expenses incurred in
connection with these services. In addition, Morgan has agreed to
reimburse the Portfolio to the extent necessary to maintain the total
operating expenses of the Portfolio at no more than 0.20% of the average
daily net assets of the Portfolio through October 31, 1996. For the fiscal
year ended October 31, 1995, Morgan has agreed to reimburse the Portfolio
$145,750 for expenses under this agreement.
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 $22,791 for the fiscal year ended October 31, 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 represent the Portfolios 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 $2,900.
19
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Treasury Money Market Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Treasury Money Market Portfolio (the
"Portfolio") at October 31, 1995, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended, and its supplementary data for each of the two years in the
period then ended and for the period January 4, 1993 (commencement of
operations) through October 31, 1993, in conformity with generally accepted
accounting principles. These financial statements and supplementary data
(hereafter referred to as "financial statements") are the responsibility of the
Portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1995 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
New York, New York
December 15, 1995
20
<PAGE>
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 NEW YORK 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.
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
ANNUAL REPORT
OCTOBER 31, 1995
