<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
December 1, 1996
Dear Shareholder:
We are pleased to report that The JPM Institutional Treasury Money Market Fund
outperformed its benchmark, IBC/Donoghue's U.S. Government & Agency Money Market
Fund Average,* for the year ended October 31, 1996. The Fund returned 5.23% for
the period versus a benchmark return of 4.74%. We believe that security
selection and active maturity management contributed to the Fund's return for
the period and that these investment decisions have helped the Fund to
consistently outperform its benchmark since its inception on January 4, 1993
(see table on page 2).
The Fund's net asset value remained $1.00 per share. The Fund's net assets were
approximately $109.1 million at the end of the reporting period. The net assets
of The Treasury Money Market Portfolio, in which the Fund invests, totaled
approximately $294.9 million on October 31, 1996.
With the retirement of Jim Hayes, Robert R. ("Skip") Johnson has assumed
management of The Treasury Money Market Portfolio, in which The JPM
Institutional Treasury Money Market Fund invests. Skip has had extensive money
market experience, including management of a sister portfolio, The Money Market
Portfolio. In the Portfolio Manager Q&A on page 3, Skip discusses some of the
events affecting the Treasury money market and offers his outlook for the months
ahead.
As always, we welcome your comments, questions, or any suggestions on how we can
further improve your financial reports. 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
*REPRESENTS IBC/DONOGHUE'S U.S. TREASURY & REPO MONEY MARKET FUND AVERAGE
THROUGH 12/31/95 AND IBC/DONOGHUE'S U.S. GOVERNMENT & AGENCY MONEY MARKET FUND
AVERAGE THEREAFTER.
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS. . . . 1 FUND FACTS AND HIGHLIGHTS . . . . 6
FUND PERFORMANCE. . . . . . . . . 2 FINANCIAL STATEMENTS. . . . . . . 9
PORTFOLIO MANAGER Q&A . . . . . . 3
- --------------------------------------------------------------------------------
1
<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.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
----------------------- -----------------------------------------
THREE SIX ONE THREE SINCE
AS OF OCTOBER 31, 1996 MONTHS MONTHS YEAR YEARS INCEPTION*
- --------------------------------------------------------------- -----------------------------------------
<S> <C> <C> <C> <C> <C>
The JPM Institutional Treasury
Money Market Fund 1.27% 2.54% 5.23% 4.84% 4.41%
IBC/Donoghue U.S. Government & Agency
Money Market Fund Average** 1.15% 2.30% 4.74% 4.33% 3.97%
IBC/Donoghue U.S. Treasury &
Repo Money Fund Average 1.14% 2.28% 4.71% 4.33% 3.96%
AS OF SEPTEMBER 30, 1996
- --------------------------------------------------------------- -----------------------------------------
The JPM Institutional Treasury
Money Market Fund 1.27% 2.53% 5.26% 4.78% 4.39%
IBC/Donoghue U.S. Government & Agency
Money Market Fund Average** 1.15% 2.29% 4.77% 4.27% 3.95%
IBC/Donoghue U.S. Treasury &
Repo Money Fund Average 1.14% 2.28% 4.75% 4.27% 3.95%
</TABLE>
*1/4/93 -- COMMENCEMENT OF OPERATIONS (AVERAGE ANNUAL TOTAL RETURNS BASED ON
MONTH END FOLLOWING INCEPTION). THE FUND'S AVERAGE ANNUAL TOTAL RETURN SINCE ITS
COMMENCEMENT OF OPERATIONS OF 1/4/93 IS 4.38%.
**REPRESENTS IBC/DONOGHUE'S U.S. TREASURY & REPO MONEY MARKET FUND AVERAGE
THROUGH 12/31/95 AND IBC/DONOGHUE'S U.S. GOVERNMENT & AGENCY MONEY MARKET FUND
AVERAGE THEREAFTER.
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. FUND RETURNS ASSUME THE
REINVESTMENT OF DISTRIBUTIONS AND REFLECT REIMBURSEMENT OF CERTAIN FUND AND
PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO]
Following is an interview with ROBERT R. ("SKIP") JOHNSON, a member of the
portfolio management team for The Treasury Money Market Portfolio, in which the
Fund invests. Prior to joining Morgan in 1988, he held senior positions with the
Bank of Montreal and U.S. Steel. This interview was conducted on November 15,
1996 and reflects Skip's views on that date.
MONEY MARKETS APPEAR TO BE MORE SUBJECT TO CYCLICAL SUPPLY AND DEMAND FACTORS
THAN SOME OF THE OTHER FIXED INCOME MARKETS. WHAT ARE SOME OF THE EVENTS THAT
TYPICALLY AFFECT SUPPLY AND DEMAND IN THE MONEY MARKETS AND THE TREASURY MONEY
MARKET, IN PARTICULAR?
RRJ: In the taxable money market, supply comes from the Treasury, government
agencies, banks, and industries looking to finance. In addition, significant
quantities of supply are released at tax time, when investors sell some of their
holdings to generate cash for tax payments. Demand arises from the desire for
short investments--as a repository for cash, when interest rates are rising, or
when there's a flight to quality as a result of problems in stocks or longer
bonds. Because tax payments are such an important driver in the taxable money
market, tax deadlines act as an important influence, and this produces a rough
cyclicality.
In the Treasury money market, where this Portfolio invests, the government is
the only factor-- financing by the government, filling gaps between receipts and
expenditures. Receipts are heavy at tax times, but expenditures flow throughout
the year. As a result, three- and six-month bills are issued every week and one-
year bills every month. In addition, all through the year, longer coupon notes
of the Treasury become money market eligible as their maturity shortens to less
than one year. The supply considerations are the government's needs for money
beyond what is on hand, and on things like budget deficits, whether planned or
unplanned. Demand considerations are determined by value relative to other
comparable maturity instruments.
TAXABLE MONEY MARKETS TYPICALLY GET AN INCREASE IN SUPPLY AROUND TAX TIME AS
BONDHOLDERS LIQUIDATE HOLDINGS TO PAY TAXES. THIS, OF COURSE, WOULD BE PRECISELY
WHEN THE TREASURY WOULD HAVE THE LEAST NEED FOR NEW BORROWING. DOES THIS CAUSE
TREASURY MONEY MARKET SUPPLY AND DEMAND TO RUN COUNTER-CYCLICALLY TO REGULAR
MONEY MARKETS?
Actually, there doesn't seem to be much interaction between the two markets. As
mentioned, new Treasury issuance depends on government financing needs, but
there is a pretty steady flow of both three- and six-month Treasury bills that
immediately enter the money market and of one-to five-year coupon-bearing notes
that eventually qualify for the money market. These constitute the biggest
sector of the government market.
3
<PAGE>
GIVEN THE VERY SHORT MATURITIES OF MONEY MARKET FUNDS, ARE MOST SECURITIES
PURCHASED TO BUY AND HOLD? WHAT ARE SOME FACTORS THAT MIGHT PROMPT SELLING
BEFORE MATURITY? DO WE FIND THAT WE CAN ADD RETURN BY ACTIVE TRADING?
Most of the Portfolio's purchases are buy and hold. However, a strict buy and
hold strategy prevents you from taking advantage of mispricings on the yield
curve, and consequently, approximately 25% of the Portfolio is actively traded.
As a matter of fact, we are always looking for opportunities where a trade will
provide an advantage.
An example of a factor that could prompt selling might be an interest rate
outlook that makes newly-auctioned securities appear more valuable than some
current holdings. Although quantifying additional return from active trading is
inexact, we believe that we are able to add additional return annually by doing
this.
WHAT KIND OF FACTORS DO YOU CONSIDER WHEN YOU'RE ESTABLISHING THE AVERAGE LIFE
OF THE PORTFOLIO?
We look at the strength of the economy, monetary policy, technical factors like
supply and demand and, maybe most important, the market's perception of what's
going to happen. Sometimes we disagree with the market and can make some money
by betting against it. We also look at Federal Reserve policy and evaluate the
likelihood of policy changes based on current economic indicators. All of these
considerations drive the average life decision. Right now the Portfolio's
average life is approaching 60 days, and we expect that to continue for the the
next three months or so. With a fund subject to the SEC-mandated 90-day maximum
average life, a 60-day average life is toward the long end of the allowable
maturity and reflects an optimistic view of the market, an expectation that
rates will be lower, prices will be higher.
MONEY MARKET SECURITIES ARE CONSIDERED TO BE AMONG THE SAFEST OF INVESTMENTS,
AND TREASURIES ESPECIALLY SO. ARE THERE ANY RISK FACTORS THAT WE HAVE TO
CONSIDER IN MANAGING A TREASURY MONEY MARKET FUND? IF SO, WHAT DO WE DO TO
ATTEMPT TO CONTROL THIS RISK?
There's always interest rate risk, even with Treasuries. Interest rate risk is
the possibility that interest rates may rise, lowering the value of current
holdings. However, the regulations that govern money market funds require that
average maturity not exceed 90 days and individual issues must mature within 397
days. These restrictions are designed to limit interest rate risk.
WE OCCASIONALLY TAKE ADVANTAGE OF MISPRICINGS BETWEEN DISCOUNT SECURITIES AND
COUPON SECURITIES. WHAT ARE SOME OF THE FACTORS THAT CAUSE THESE MISPRICINGS TO
OCCUR?
Although one would think that both types of security would be priced to have the
same yield because they are both converging to face value in approximately the
same amount of time, having to factor in the one or two remaining coupon
payments makes pricing coupon securities less straightforward than discount
securities, and this can lead to some yield divergence between the two. We look
at the yield curve daily to monitor differences in various types of money market
offerings (these could also include stripped Treasury securities, securities
where the coupon and principal are traded separately) and if we find a
significant difference, we try to take advantage of it.
4
<PAGE>
WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING THE TREASURY MONEY MARKET
PORTFOLIO OVER THE PREVIOUS YEAR?
We had rising interest rates from February through August reflecting a market
expectation that with the strengthening economy the Fed might raise short term
interest rates. We responded to this expectation by lowering the Portfolio's
average life to a defensive 40 to 45 day range. Apparently, however, the
market's own reaction was sufficient to ease whatever concerns the Fed may have
had about economic overheating, for no Fed rate increases were made. Since
August, the market seems to have come to expect a stable economy and a steady
monetary policy.
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND WAS SUCCESSFUL IN OUTPERFORMING
NOT ONLY ITS BENCHMARK, THE IBC/DONOGHUE GOVERNMENT & AGENCY MONEY FUND AVERAGE,
BUT ALSO ITS LIPPER COMPETITIVE UNIVERSE. WHAT DO YOU FEEL WERE THE CHIEF
REASONS FOR THIS OUTPERFORMANCE?
We were successful because we correctly anticipated the strength of the economy
in time to shorten the Portfolio's average maturity. This allowed us to take
advantage of the higher rates as the Portfolio's maturing holdings were rolled
over, and, of course, avoided being locked in to longer maturities that lost
value when interest rates rose.
We have a duration committee that monitors and evaluates supply and demand
factors, as well as economic data that have an impact on market rates. This
committee is made up of experienced bond managers, whose feel for the interplay
between economic factors and interest rates is very well-developed.
WHAT IS YOUR OUTLOOK FOR THE TREASURY MONEY MARKET OVER THE COMING SIX MONTHS?
Fixed income markets, including money markets, depend on the pace of economic
growth. Factors that could affect this in the coming months include levels of
consumer spending, rising labor costs due to the tight labor market, and other
inflation indicators, such as commodity prices. Taking these into account, we
are predicting slightly increased economic growth in the fourth quarter,
resulting in part from an expected rise in consumer spending. Increased real
wages and low unemployment should allow some extra purchasing, and, of course,
the holiday season generally provides a boost to the economy. We expect this
growth to continue into the first half of 1997, but at a comfortable 2 to 2 1/2%
pace. As a result, we expect little change from the Fed in the next few months
and expect to keep the Portfolio's average life at around 60 days.
5
<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 obligations of certain
U.S. government agencies.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
1/4/93
- --------------------------------------------------------------------------------
NET ASSETS AS OF 10/31/96
$109,050,371
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/20/96
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, 1996
DAYS TO MATURITY
(PERCENTAGE OF TOTAL INVESTMENTS)
0-30 DAYS 42.2%
[CHART] 31-60 DAYS 23.7%
61-90 DAYS 14.9%
90+ DAYS 19.2%
AVERAGE 7-DAY YIELD
5.03%
AVERAGE LIFE
55 days
6
<PAGE>
FUNDS DISTRIBUTOR, INC. IS THE DISTRIBUTOR OF THE JPM INSTITUTIONAL TREASURY
MONEY MARKET FUND (THE "FUND"). SIGNATURE BROKER-DEALER SERVICES, INC. SERVED AS
THE FUND'S DISTRIBUTOR PRIOR TO AUGUST 1, 1996.
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.
7
<PAGE>
THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Treasury Money Market
Portfolio ("Portfolio"), at value $ 109,314,236
Receivable for Expense Reimbursements 50,295
Deferred Organization Expenses 25,076
Prepaid Expenses and Other Assets 570
--------------
Total Assets 109,390,177
--------------
LIABILITIES
Dividends Payable to Shareholders 307,863
Shareholder Servicing Fee Payable 4,576
Administrative Services Fee Payable 2,876
Administration Fee Payable 325
Accrued Trustees' Fees and Expenses 62
Fund Services Fee Payable 47
Accrued Expenses 24,057
--------------
Total Liabilities 339,806
--------------
NET ASSETS
Applicable to 108,990,844 Shares of
Beneficial Interest Outstanding
(par value $0.001, unlimited shares
authorized) $ 109,050,371
--------------
--------------
Net Asset Value, Offering and
Redemption Price Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $ 108,990,844
Accumulated Net Realized Gain on
Investment 59,527
--------------
Net Assets $ 109,050,371
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
PORTFOLIO
Allocated Interest Income $ 6,514,253
Allocated Portfolio Expenses (Net of
Reimbursements of $88,772) (246,013)
--------------
Net Investment Income Allocated
from Portfolio 6,268,240
FUND EXPENSES
Shareholder Servicing Fee $ 75,343
Administrative Services Fee 26,536
Registration Fees 21,610
Amortization of Organization Expenses 21,285
Printing Expenses 21,092
Transfer Agent Fees 17,439
Administration Fee 16,470
Professional Fees 12,087
Fund Services Fee 6,320
Trustees' Fees and Expenses 2,694
Miscellaneous 4,125
--------------
Total Fund Expenses 225,001
Less: Reimbursement of Expenses (225,001)
--------------
NET FUND EXPENSES --
--------------
NET INVESTMENT INCOME 6,268,240
NET REALIZED GAIN ON INVESTMENT
ALLOCATED FROM PORTFOLIO 62,022
--------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 6,330,262
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<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, OCTOBER 31,
1996 1995
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,268,240 $ 5,217,346
Net Realized Gain on Investment
Allocated from Portfolio 62,022 38,279
-------------- --------------
Net Increase in Net Assets
Resulting from Operations 6,330,262 5,255,625
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (6,268,240) (5,217,346)
Net Realized Gain (38,279) --
-------------- --------------
Total Distributions to Shareholders (6,306,519) (5,217,346)
-------------- --------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (AT A CONSTANT $1.00 PER
SHARE)
Proceeds from Shares of Beneficial
Interest Sold 285,173,420 438,967,460
Reinvestment of Dividends and
Distributions 3,692,242 2,046,540
Cost of Shares of Beneficial Interest
Redeemed (324,946,743) (376,090,767)
-------------- --------------
Net Increase (Decrease) from
Transactions in Shares of
Beneficial Interest (36,081,081) 64,923,233
-------------- --------------
Total Increase (Decrease) in Net
Assets (36,057,338) 64,961,512
NET ASSETS
Beginning of Fiscal Year 145,107,709 80,146,197
-------------- --------------
End of Fiscal Year $ 109,050,371 $ 145,107,709
-------------- --------------
-------------- --------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<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
(COMMENCEMENT
OF
FOR THE FISCAL YEAR ENDED OCTOBER 31, OPERATIONS) TO
----------------------------------------- OCTOBER 31,
1996 1995 1994 1993
---------- ---------- ------------- ---------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ------------- ---------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0508 0.0555 0.0354 0.0220
Net Realized Gain (Loss) on Investment 0.0006 0.0003 (0.0000)(a) 0.0000(a)
---------- ---------- ------------- ---------------
Total from Investment Operations 0.0514 0.0558 0.0354 0.0220
---------- ---------- ------------- ---------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0508) (0.0555) (0.0354) (0.0220)
Net Realized Gain (0.0003) -- (0.0001) --
---------- ---------- ------------- ---------------
Total Distributions to Shareholders (0.0511) (0.0555) (0.0355) (0.0220)
---------- ---------- ------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ------------- ---------------
---------- ---------- ------------- ---------------
Total Return 5.23% 5.69% 3.61% 2.23%(b)
---------- ---------- ------------- ---------------
---------- ---------- ------------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in
thousands) $109,050 $145,108 $ 80,146 $25,477
Ratios to Average Net Assets
Expenses 0.20% 0.20% 0.20% 0.27%(c)
Net Investment Income 5.09% 5.56% 3.81% 2.81%(c)
Decrease Reflected in Expense Ratio
due to Expense Reimbursement 0.26% 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.
12
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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 an 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 objective as the Fund. The value of such
investment included in the Statement of Assets and Liabilities reflects the
Fund's proportionate interest in the net assets of the Portfolio (37% at October
31, 1996). 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 preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. 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.
13
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Trust had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and distributor. Under an
Administration Agreement, Signature provided administrative services
necessary for the operations of the Fund, furnished office space and
facilities required for conducting the business of the Fund and paid the
compensation of the Fund's officers affiliated with Signature. Until
December 28, 1995, the agreement provided 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
acted 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 was
applied each day to the net assets of the Fund. For the period from
November 1, 1995, through December 28, 1995, Signature's fee for these
services amounted to $5,921.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged was equal to the Fund's proportionate share of a
complex-wide charge based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios (the "Master Portfolios") in which
series of the Trust, The JPM Pierpont Funds or The JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge paid by the
Fund was determined by the proportionate share its net assets bore to the
total net assets of the Trust, The JPM Pierpont Funds, The JPM Advisor
Funds and the Master Portfolios. For the period from December 29, 1995
through July 31, 1996, Signature's fee for these services amounted to
$9,604. The Administration Agreement with Signature was terminated on July
31, 1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ("FDI"), a
registered broker-dealer, and by Morgan Guaranty Trust Company of New York
("Morgan"). FDI also serves as the Fund's distributor. Under a Co-
Administration Agreement between FDI and the Trust on behalf of the Fund,
the Fund has agreed to pay FDI fees equal to its allocable share of an
annual complex-wide charge of $425,000 plus FDI's out-of-pocket expenses.
The amount allocable to the Fund is based on the ratio of the Fund's net
assets to the aggregate net assets of the Trust, The JPM Pierpont Funds,
The JPM Advisor Funds and the Master Portfolios. For the period from
August 1, 1996 through October 31, 1996, the fee for these services
amounted to $945.
b)Until August 31, 1995, the Trust, on behalf of the Fund, had a Financial
and Fund Accounting Services Agreement with Morgan which provided that
Morgan would receive a fee, based on the percentage described below, for
overseeing certain aspects of the administration and operation of the Fund
and that 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. From September
1, 1995 until December 28, 1995, an interim agreement between the Trust,
on behalf of the Fund and Morgan provided for the continuation of the
oversight functions that were outlined under the prior agreement and that
Morgan should bear all of its expenses incurred in connection with these
services.
14
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
Effective December 29, 1995, the Trust, on behalf of the Fund, entered
into an Administrative Services Agreement (the "Services Agreement") with
Morgan under which Morgan is responsible for certain aspects of the
administration and operation of the Fund. Under the Services Agreement,
the Fund had agreed to pay Morgan a fee equal to its proportionate share
of an annual complex-wide charge. Until July 31, 1996, this charge was
calculated daily based on the aggregate net assets of the Master
Portfolios in accordance with the following annual schedule: 0.06% on the
first $7 billion of the Master Portfolios' aggregate average daily net
assets and 0.03% of the aggregate average daily net assets in excess of $7
billion. The portion of this charge paid by the Fund was determined by the
proportionate share its net assets bore to the net assets of the Trust,
the Master Portfolios and other investors in the Master Portfolios for
which Morgan provided similar services. For the period from December 29,
1995 through July 31, 1996, Morgan's fee for these services amounted to
$18,316.
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following schedule:
0.09% on the first $7 billion of the Master Portfolios aggregate average
daily net assets and 0.04% of the Master Portfolios' aggregate average
daily net assets in excess of $7 billion less the complex-wide fees
payable to FDI. The allocation of the Fund's portion of this charge is
described above. For the period from August 1, 1996 through October 31,
1996, the fee for these services amounted to $8,220.
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 February 28,
1997. For the fiscal year ended October 31, 1996, Morgan has agreed to
reimburse the Fund $225,001 for expenses under this agreement.
c)The Trust, on behalf of the Fund, has a Shareholder Servicing Agreement
with Morgan. Until December 28, 1995, the agreement provided for the Fund
to pay Morgan a fee for these services which was computed daily and paid
monthly at an annual rate of 0.11% of the average daily net assets of the
Fund. For the period from November 1, 1995 through December 28, 1995, the
fee for these services amounted to $25,372.
Effective December 29, 1995, the Shareholder Servicing Agreement was
amended such that the annual rate for providing these services was changed
to 0.05% of the average daily net assets of the Fund. For the period from
December 29, 1995 through October 31, 1996, the fee for these services
amounted to $49,971.
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
$6,320 for the fiscal year ended October 31, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Trust, The JPM Pierpont Funds and the Master Portfolios.
The Trustees' Fees and Expenses shown in the financial statements
represents the Fund's allocated portion of the total fees and expenses.
The Trust's Chairman
15
<PAGE>
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
and Chief Executive Officer 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 $800.
16
<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, 1996, 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 three 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 18, 1996
17
<PAGE>
The Treasury Money Market Portfolio
Annual Report October 31, 1996
(The following pages should be read in conjunction
with The JPM Institutional Treasury Money Market Fund
Annual Financial Statements)
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
- -------------- ---------------------------------------- -------- ---------- ------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (33.3%)
$ 19,000 Federal Farm Credit Bank
11/21/96 5.180% $ 18,945,322
30,000 Federal Home Loan Bank
11/12/96 5.330 29,951,142
25,000 Federal Home Loan Bank
01/06/97 5.210 24,761,208
15,000 Federal Home Loan Bank
12/26/96 5.180 14,881,292
8,285 Federal Home Loan Bank
11/13/96 5.300 8,270,750
1,565 Federal Home Loan Bank
01/09/97 5.300 1,549,372
------------
Total U.S. Government Agency Obligations (amortized cost
$98,359,086)
98,359,086
------------
<CAPTION>
U.S. TREASURY OBLIGATIONS (60.4%)
<C> <S> <C> <C> <C>
32,200 United States Treasury Bills
12/05/96 4.900 32,050,986
22,670 United States Treasury Bills
12/12/96 4.850-4.940 22,543,353
17,697 United States Treasury Bills
01/23/97 4.985 17,493,605
11,325 United States Treasury Bills
04/17/97 5.085 11,057,857
50,000 United States Treasury Notes
11/15/96 7.250 50,039,263
20,000 United States Treasury Notes
02/28/97 6.875 20,095,361
15,000 United States Treasury Notes
03/31/97 6.625 15,067,014
9,854 United States Treasury Notes
04/30/97 6.500 9,898,301
------------
Total U.S. Treasury Obligations (amortized cost $178,245,740)
178,245,740
------------
<CAPTION>
REPURCHASE AGREEMENT (5.6%)
<C> <S> <C> <C> <C>
16,371 Goldman Sachs Repurchase Agreement,
dated 10/31/96, proceeds $16,373,519,
(collateralized by $15,927,000 U.S.
Treasury Notes 6.750%, due 05/31/99
valued at $16,698,619) (cost
$16,371,000)
11/01/96 5.540 16,371,000
------------
TOTAL INVESTMENTS (COST $292,975,826) (99.3%)
292,975,826
OTHER ASSETS IN EXCESS OF LIABILITIES (0.7%)
1,959,506
------------
NET ASSETS (100.0%) $294,935,332
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 292,975,826
Cash 708
Interest Receivable 2,001,741
Receivable for Expense Reimbursement 33,866
Deferred Organization Expenses 6,526
Prepaid Trustees' Fees 1,002
Prepaid Expenses and Other Assets 1,349
--------------
Total Assets 295,021,018
--------------
LIABILITIES
Advisory Fee Payable 50,873
Administrative Services Fee Payable 8,066
Custody Fee Payable 5,979
Administration Fee Payable 626
Fund Services Fee Payable 140
Accrued Expenses 20,002
--------------
Total Liabilities 85,686
--------------
NET ASSETS
Applicable to Investors' Beneficial
Interests $ 294,935,332
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 17,235,172
EXPENSES
Advisory Fee $ 653,326
Administrative Services Fee 73,206
Custodian Fees and Expenses 65,695
Professional Fees and Expenses 34,437
Administration Fee 30,286
Fund Services Fee 16,144
Trustees' Fees and Expenses 6,510
Amortization of Organization Expenses 5,538
Miscellaneous 6,527
--------------
Total Expenses 891,669
Less: Reimbursement of Expenses (238,343)
--------------
NET EXPENSES 653,326
--------------
NET INVESTMENT INCOME 16,581,846
NET REALIZED GAIN ON INVESTMENTS 169,188
--------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 16,751,034
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<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, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,581,846 $ 13,677,298
Net Realized Gain on Investments 169,188 103,233
---------------- ----------------
Net Increase in Net Assets
Resulting from Operations 16,751,034 13,780,531
---------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 1,895,749,425 1,512,814,744
Withdrawals (1,935,444,581) (1,408,013,342)
---------------- ----------------
Net Increase (Decrease) from
Investors' Transactions (39,695,156) 104,801,402
---------------- ----------------
Total Increase (Decrease) in Net
Assets (22,944,122) 118,581,933
NET ASSETS
Beginning of Fiscal Year 317,879,454 199,297,521
---------------- ----------------
End of Fiscal Year $ 294,935,332 $ 317,879,454
---------------- ----------------
---------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR ENDED OCTOBER 31, JANUARY 4, 1993
(COMMENCEMENT OF
-------------------------------------- OPERATIONS) TO
1996 1995 1994 OCTOBER 31, 1993
----- ----- ----- -----------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20% 0.20% 0.22% 0.26%(a)
Net Investment Income 5.08% 5.55% 3.65% 2.75%(a)
Decrease Reflected in Expense Ratio
due to Expense Reimbursement 0.07% 0.06% 0.05% 0.07%(a)
</TABLE>
- ------------------------
(a)Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury Money Market 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's investment objective is to provide
current income, maintain a high level of liquidity and preserve capital. 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 preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. 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, 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 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.
23
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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, 1996,
this fee amounted to $653,326.
b)The Portfolio had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Under an Administration Agreement, Signature provided administrative
services necessary for the operations of the Portfolio, furnished office
space and facilities required for conducting the business of the Portfolio
and paid the compensation of the Portfolio's officers affiliated with
Signature. Until December 28, 1995, the agreement provided 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 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 was applied each day to the
net assets of the Portfolio. For the period from November 1, 1995 through
December 28, 1995, Signature's fee for these services amounted to $3,132.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged was equal to the Portfolio's proportionate share of a
complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios (the "Master Portfolios") in which The
JPM Pierpont Funds, The JPM Institutional Funds or The JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the total net assets of The JPM Pierpont Funds, The JPM Institutional
Funds, The JPM Advisor Funds and the Master Portfolios. For the period
from December 29, 1995 through July 31, 1996, such fees amounted to
$25,491. The Administration Agreement with Signature was terminated July
31, 1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ( FDI ), a
registered broker-dealer, and by Morgan. FDI also serves as the
Portfolio's exclusive placement agent. Under a Co-Administration Agreement
between FDI and the Portfolio, the Portfolio has agreed to pay FDI fees
equal to its allocable share of annual complex-wide charge of $425,000
plus FDI's out-of-pocket expenses. The amount allocable to the Portfolio
is based on the ratio of the Portfolio's net assets to the aggregate net
assets of The JPM Pierpont Funds, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period from August 1,
1996 through October 31, 1996, the fee for these services amounted to
$1,663.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan which provided that Morgan would receive a
fee, based on the percentage described below, for overseeing certain
aspects of the administration and operation of the Portfolio and that 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 and amortization of organization
24
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
expenses at 0.03% of the Portfolio's average daily net assets. From
September 1, 1995 until December 28, 1995, an interim agreement between
the Portfolio and Morgan provided for the continuation of the oversight
functions that were outlined under the prior agreement and that Morgan
should bear all of its expenses incurred in connection with these
services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Services Agreement") with Morgan under which
Morgan is responsible for overseeing certain aspects of the administration
and operation of the Portfolio. Under the Services Agreement, the
Portfolio had agreed to pay Morgan a fee equal to its proportionate share
of an annual complex-wide charge. Until July 31, 1996, this charge was
calculated daily based on the aggregate net assets of the Master
Portfolios in accordance with the following annual schedule: 0.06% on the
first $7 billion of the Master Portfolios' aggregate average daily net
assets and 0.03% of the Master Portfolios' aggregate average daily net
assets in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the net assets of the Master Portfolios and other investors in the Master
Portfolios for which Morgan provided similar services. For the period from
December 29, 1995 through July 31, 1996, the fee for these services
amounted to $48,657.
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios aggregate
average daily net assets and 0.04% of the Master Portfolios' aggregate
average daily net assets in excess of $7 billion less the complex-wide
fees payable to FDI. The allocation of the Portfolio's portion of this
charge is described above. For the period from August 1, 1996 through
October 31, 1996, the fee for these services amounted to $24,549.
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
February 28, 1997. For the fiscal year ended October 31, 1996, Morgan has
agreed to reimburse the Portfolio $238,343 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 $16,144 for the fiscal year ended October 31, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represents the Portfolio's allocated portion of the total fees
and expenses. The Portfolio's Chairman and Chief Executive Officer 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 $2,100.
25
<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, 1996, 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 three 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, 1996 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
New York, New York
December 18, 1996
26
<PAGE>
THE JPM INSTITUTIONAL MONEY MARKET FUND
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
THE JPM INSTITUTIONAL TREASURY MONEY MARKET FUND
THE JPM INSTITUTIONAL SHORT TERM BOND FUND
THE JPM INSTITUTIONAL BOND FUND
THE JPM INSTITUTIONAL TAX EXEMPT BOND FUND
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
THE JPM INSTITUTIONAL INTERNATIONAL BOND FUND
THE JPM INSTITUTIONAL DIVERSIFIED FUND
THE JPM INSTITUTIONAL SELECTED U.S. EQUITY FUND
THE JPM INSTITUTIONAL U.S. SMALL COMPANY FUND
THE JPM INSTITUTIONAL INTERNATIONAL EQUITY FUND
THE JPM INSTITUTIONAL EMERGING MARKETS EQUITY FUND
THE JPM INSTITUTIONAL EUROPEAN EQUITY FUND
THE JPM INSTITUTIONAL JAPAN EQUITY FUND
THE JPM INSTITUTIONAL ASIA GROWTH FUND
THE
JPM INSTITUTIONAL
TREASURY MONEY
MARKET FUND
FOR MORE INFORMATION ON THE JPM INSTITUTIONAL FAMILY OF FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT (800) 766-7722.
ANNUAL REPORT
OCTOBER 31, 1996
