<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND
FUND
April 30, 1997
Dear Shareholder:
We are pleased to report that, in a difficult market, The JPM Institutional New
York Total Return Bond Fund outperformed its competitors, as measured by the
Lipper New York Intermediate Municipal Debt Fund Average, for the fiscal year
ended March 31, 1997. In a challenging environment for municipal bond fund
managers, we believe that careful credit analysis in the Fund's Portfolio helped
it outperform its competitors. For the fiscal year, the Fund returned 4.54%,
compared with 4.04% for the Lipper Average. The Fund fell short, however, of the
5.51% one-year return of its benchmark, the Lehman Brothers New York 1-15 Year
Municipal Bond Index. We feel it is important to note that this benchmark is an
unmanaged index whose performance does not include fees or operating expenses,
and which is not available to individual and/or institutional investors.
The Fund's net asset value decreased slightly from $10.34 per share to $10.31 at
the end of the fiscal year after making distributions of $0.48 per share from
ordinary income (of which $0.48 is tax exempt), and approximately $0.01 from
both short-term and long-term capital gains. The Fund's net assets stood at
$90.8 million at the end of the fiscal year, up from $47.9 million on March 31,
1996. The net assets of The New York Total Return Bond Portfolio, in which the
Fund invests, totaled approximately $147.9 million at March 31, 1997.
This report features an interview with Elizabeth Augustin, a member of our tax
exempt bond management team, who has primary responsibility for management of
The New York Total Return Bond Portfolio, in which the Fund invests. Elizabeth
discusses some of the factors that affected the Portfolio over the previous year
and shares her view of the near term outlook for New York municipal investments.
As always, we welcome your comments or questions. Please call J.P. Morgan Funds
Services toll free at (800) 766-7722.
Sincerely yours,
/s/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS..............................1
FUND PERFORMANCE........................................2
PORTFOLIO MANAGER Q & A.................................3
GLOSSARY OF TERMS ......................................6
FUND FACTS AND HIGHLIGHTS...............................7
FINANCIAL STATEMENTS...................................10
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
There are several ways to evaluate a mutual fund's historical performance
record. One approach is to look at the growth of a hypothetical investment.
The minimum initial investment in the Fund is $5,000,000. The chart at right
shows that the minimum invested in the Fund on April 11, 1994* would have
grown to $5,918,237 at March 31, 1997.
Another way to look at performance is to review a fund's average annual total
return. This figure takes the fund's actual (or cumulative) return and shows
you what would have happened if the fund had achieved that return by
performing at a constant rate each year. Average annual total returns
represent the average yearly change of a fund's value over various time
periods, typically 1, 5, or 10 years (or since inception). Total returns for
periods of less than one year are not annualized and provide a picture of how
a fund has performed over the short term.
GROWTH OF $5,000,000 SINCE FUND INCEPTION*
APRIL 11, 1994* - MARCH 31, 1997
[GRAPH]
PLOT POINTS
JPM INSTITUTIONAL LEHMAN BROTHERS
NY TOTAL RETURN NY 1-15 YEAR
BOND FUND MUNI BOND INDEX LIPPER
----------------- --------------- -------------
Inception $5,000,000.00 $5,000,000.00 $5,000,000.00
9/30/94 $5,068,785.95 $5,069,188.28 $5,082,192.20
3/31/95 $5,271,318.09 $5,272,927.32 $5,261,886.88
9/30/95 $5,537,362.87 $5,570,470.88 $5,511,302.22
3/31/96 $5,661,103.51 $5,732,777.50 $5,623,625.41
9/30/96 $5,794,686.93 $5,896,309.38 $5,740,588.15
3/31/97 $5,918,237.37 $6,048,785.47 $5,849,803.95
AVERAGE ANNUAL
PERFORMANCE TOTAL RETURNS TOTAL RETURNS
---------------- ------------------
THREE SIX ONE SINCE
AS OF MARCH 31, 1997 MONTHS MONTHS YEAR INCEPTION*
- --------------------------------------------------- ------------------
The JPM Institutional New York
Total Return Bond Fund -0.27% 2.13% 4.54% 5.95%
Lehman Brothers New York 1-15
Year Municipal Bond Index 0.13% 2.59% 5.51% 6.74%
Lipper New York Intermediate
Municipal Debt Fund Average -0.19% 1.90% 4.04% 5.44%
*4/11/94 -- COMMENCEMENT OF OPERATIONS (GROWTH AND AVERAGE ANNUAL TOTAL
RETURNS BASED ON MONTH END FOLLOWING INCEPTION; AVERAGE ANNUAL RETURN SINCE
ACTUAL INCEPTION IS 5.87%).
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. FUND RETURNS ARE NET
OF FEES AND ASSUME THE REINVESTMENT OF DISTRIBUTIONS AND REFLECT
REIMBURSEMENT OF CERTAIN FUND AND PORTFOLIO EXPENSES AS DESCRIBED IN THE
PROSPECTUS. THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND INVESTS ALL
OF ITS INVESTABLE ASSETS IN THE NEW YORK TOTAL RETURN BOND PORTFOLIO, A
SEPARATELY REGISTERED INVESTMENT COMPANY WHICH IS NOT AVAILABLE TO THE PUBLIC
BUT ONLY TO OTHER COLLECTIVE INVESTMENT VEHICLES SUCH AS THE FUND. THE LEHMAN
BROTHERS NEW YORK 1-15 YEAR MUNICIPAL BOND INDEX REPRESENTS AN UNMANAGED
PORTFOLIO IN WHICH INVESTORS MAY NOT DIRECTLY INVEST. LIPPER ANALYTICAL
SERVICES, INC. IS A LEADING RESOURCE FOR MUTUAL FUND DATA. NO REPRESENTATION
IS MADE THAT INFORMATION GATHERED FROM THESE SOURCES IS ACCURATE OR COMPLETE.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO]
This interview was conducted with ELIZABETH AUGUSTIN, Portfolio Manager for The
New York Total Return Bond Portfolio, in which The JPM Institutional New York
Total Return Bond Fund invests. Elizabeth joined Morgan in 1983 and has
extensive experience across a broad range of markets, including mortgages,
convertibles, money markets, and tax exempt securities. This interview was
conducted on April 24, 1997 and represents her views on that date.
ELIZABETH, WHAT ARE SOME OF THE FACTORS THAT HAVE CHARACTERIZED THE TAX
EXEMPT BOND MARKET OVER THE LAST YEAR IN GENERAL, AND SPECIFICALLY IN NEW
YORK?
EA: The municipal market was fairly stable over the year, with intermediate
rates staying within a 60 basis point range. Municipals outperformed taxable
bonds, which lost value as interest rates rose. The municipal yield curve
flattened, that is, spreads narrowed between long maturity and short maturity
bonds. Specifically in the New York market, bonds have appreciated relative to
the general municipal market, partly as a result of their improved credit
quality.
HOW DID WE POSITION THE PORTFOLIO TO RESPOND TO THESE EVENTS?
EA: The Portfolio has held positions across the yield curve, and this has been
advantageous as the yield curve has flattened. Additionally, we have seen
pricing anomalies develop in the intermediate part of the yield curve, which
have provided attractive buying opportunities for the Fund.
We have also had a very positive outlook on BBB-rated issues, specifically
in New York, and these issues appreciated relative to other municipals.
FISCAL CONSERVATISM HAS BECOME A DRIVING FORCE, NOT ONLY AT THE FEDERAL LEVEL
BUT AT THE STATE AND LOCAL LEVELS, AS WELL. GOVERNOR PATAKI WAS ELECTED, IN
PART, BY RUNNING ON THIS THEME AND, SINCE BEING ELECTED, HAS ACTIVELY PROMOTED
IT, WHILE MAYOR GIULIANI HAS FOLLOWED A SIMILAR COURSE IN NEW YORK CITY. HAS
THIS NEW EMPHASIS BEEN BENEFICIAL FOR NEW YORK BONDHOLDERS?
EA: There has definitely been fiscal improvement. Pataki has succeeded in
slowing the pace of growth in spending, and in fact, has reduced spending over
the last two years. This reduction in spending has been coupled with increased
revenues due to the stronger economy. This fiscal improvement has lent stability
to New York State credits and thereby improved their credit quality.
In New York City, a similar phenomenon has occurred. Giuliani has reduced
expenses which has allowed a marginal decrease in taxes, and at the same time
revenues have increased, due largely to improved conditions on Wall Street. As a
result, retail investors are more comfortable with New York City's
creditworthiness and spreads have tightened.
3
<PAGE>
THE STATE OF NEW YORK HAS AGREED TO TAKE OVER THE BELEAGUERED LONG ISLAND
LIGHTING COMPANY (LILCO) AND, TO FINANCE THE PURCHASE, HAS PROPOSED TO ISSUE A
STAGGERING $7 BILLION IN MUNICIPAL BONDS. WHAT EFFECT DO YOU EXPECT THIS TO HAVE
ON THE NEW YORK MUNICIPAL MARKET?
EA: There are a number of misconceptions about this transaction that I'd like to
clarify. First, the State itself is not taking over LILCO, but rather an
independent State agency. Also, the $7 billion financing is not going to happen
in a single issue but will be eased into the market over a period of a year to a
year-and-a-half, which will substantially dampen its market impact. This deal is
still being negotiated and there are many unresolved issues. Therefore, we do
not expect it to come to the market until 1998, at the earliest. At this point,
it's premature to make any judgment about the extent to which this will affect
the New York market.
THE FUND'S BOARD OF TRUSTEES RECENTLY AGREED TO A CHANGE IN THE PORTFOLIO'S
BENCHMARK FROM THE LEHMAN BROTHERS NEW YORK 1-15 YEAR MUNICIPAL BOND INDEX TO
THE LEHMAN BROTHERS 1-16 YEAR MUNICIPAL BOND INDEX, ALTHOUGH THIS WILL NOT BE
EFFECTIVE UNTIL APRIL 30 OF THIS YEAR. COULD YOU DISCUSS SOME OF THE REASONS
FOR MAKING THIS CHANGE?
EA: When you select a benchmark for a fund, you have to consider a number of
different factors in the composition of that benchmark. For a bond fund, these
would include the benchmark's quality, maturity, and diversification (weightings
of municipalities within the benchmark). The Lehman Brothers New York 1-15 Year
Municipal Bond Index was a suitable benchmark for The New York Total Return Bond
Portfolio in many respects, but its composition, which attempts to accurately
reflect the entire New York bond market, includes a 35% allocation to New York
City. From a diversification standpoint, this level is higher than we consider
to be prudent and therefore not a desirable guide for our investment decisions.
The Lehman Brothers 1-16 Year Municipal Bond Index retains the general quality
and maturity profile we seek while having much better diversification of risk.
It is a good overall reflection of today's municipal market. We feel that the
interests of our shareholders will be better served by the improved risk profile
of this benchmark.
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND OUTPERFORMED THE LIPPER
NEW YORK INTERMEDIATE MUNICIPAL DEBT FUND AVERAGE BY 50 BASIS POINTS OVER THE
PAST YEAR. IN YOUR OPINION, WHAT FACTORS CONTRIBUTED TO THIS OUTPERFORMANCE?
EA: As noted earlier, the Fund benefited from the improvement in the credit
quality of New York State and New York City issuers. Anticipating this
improvement, we invested accordingly -- with up to 30% in BBB-rated securities
- -- and the decision paid off. The Portfolio also benefited from our trading of
the yield curve. We are pleased that the Fund has returned 4.54% over the
previous year which on a tax-equivalent basis* translates into a very attractive
7.52%.
*ASSUMES A 39.6% MARGINAL TAX RATE.
4
<PAGE>
WHAT IS YOUR OUTLOOK FOR THE MUNICIPAL BOND MARKET, AND THE NEW YORK MARKET IN
PARTICULAR, OVER THE COMING MONTHS?
EA: We expect that the municipal market will benefit from any corrections in the
stock market, to the extent that retail investors would reduce stock holdings
and move money into the safer haven of municipals. In the New York market, we do
not expect any significant changes. Budget negotiations occur in June, and may
produce some market volatility, but we expect it will be short-lived, if it
occurs at all.
HOW DO YOU EXPECT TO POSITION THE PORTFOLIO GOING FORWARD?
EA: We expect continued supply in the New York market. A transitional finance
authority is being established to finance needed infrastructure improvements in
New York City schools. This development, along with continued financing at the
State level, will provide on-going investment opportunities in the New York
market. We expect to maintain our current level of holdings in BBB-rated
credits, and we will remain alert to fresh opportunities as new supply is
introduced. As always, we will consider the tax gain/loss implications and do
all investment trading on a tax aware basis.
5
<PAGE>
GLOSSARY OF TERMS
BASIS POINT: A measure used in quoting bond yields. One basis point equals 0.01%
of yield. For example if a bond's yield changed from 10.25% to 11.00%, it would
have moved 75 basis points.
CREDIT RATING: The rating assigned to a bond by independent rating agencies such
as Standard & Poor's or Moody's. In evaluating creditworthiness, these agencies
assess the issuer's present financial condition and future ability and
willingness to make principal and interest payments when due.
DURATION: Duration is used as a measure of the relative sensitivity of the price
of the security to a change in interest rates. The longer the duration the more
sensitive the bond is to interest rate moves. For example, a bond with a 5-year
duration will experience an approximate 5% increase in price if interest rates
drop 100 basis points (1%) while a bond with a 10-year duration would see its
price rise by approximately 10%.
MATURITY: The date on which the life of a financial instrument ends through cash
or physical settlement, or expiration with no value, or the date a security
comes due and fully payable. Average maturity refers to the average time to
maturity of the entire portfolio.
YIELD CURVE: A graph showing the term structure of interest rates at a point in
time, ranging from the shortest to the longest available. The resulting curve
shows if short-term interest rates are higher or lower than long-term rates.
YIELD SPREAD: The difference in yield between different types of securities. For
example, if a Treasury bond is yielding 6.5% and a municipal is yielding 5.5%,
the spread is 1% or 100 basis points.
6
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Institutional New York Total Return Bond Fund seeks to provide a high
after-tax total return for New York residents consistent with moderate risk of
capital. It is designed for investors subject to federal and New York State
income taxes who seek a high after-tax total return and who are willing to
receive some taxable income and capital gains to achieve that return.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
4/11/94
- --------------------------------------------------------------------------------
NET ASSETS AS OF 3/31/97
$90,792,323
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATES (IF APPLICABLE)
12/19/97
- --------------------------------------------------------------------------------
EXPENSE RATIO
The Fund's current annual expense ratio of 0.50% covers shareholders'
expenses for custody, tax reporting, investment advisory and shareholder
services, after reimbursement. The Fund is no-load and does not charge any
sales, redemption, or exchange fees. There are no additional charges for
buying, selling, or safekeeping Fund shares, or for wiring redemption
proceeds from the Fund.
FUND HIGHLIGHTS
ALL DATA AS OF MARCH 31, 1997
SECTOR ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
REVENUE BONDS 70.4%
GENERAL OBLIGATIONS 26.7%
SPECIAL OBLIGATIONS 1.6%
PRIVATE PLACEMENTS 1.3%
30-DAY SEC YIELD
4.58%
DURATION
6.16 years
QUALITY PROFILE
AAA-A 73%
Other 27%
7
<PAGE>
FUNDS DISTRIBUTOR, INC. IS THE DISTRIBUTOR OF THE JPM INSTITUTIONAL NEW YORK
TOTAL RETURN BOND 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. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN
THE FUND CAN FLUCTUATE, SO AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST.
Performance data quoted herein represent past performance. Please remember that
past performance is not a guarantee of future performance. Fund returns are net
of fees, assume the reinvestment of Fund distributions, and reflect the
reimbursement of Fund expenses. Had expenses not been subsidized, returns would
have been lower. The Fund invests all of its investable assets in The New York
Total Return Bond Portfolio, a separately registered investment company which is
not available to the public but only to other collective investment vehicles
such as the Fund.
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES, IS PROVIDED IN THE PROSPECTUS, WHICH SHOULD BE READ CAREFULLY BEFORE
INVESTING. YOU MAY OBTAIN ADDITIONAL COPIES OF THE PROSPECTUS BY CALLING J.P.
MORGAN FUNDS SERVICES AT (800) 766-7722.
8
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The New York Total Return Bond
Portfolio ("Portfolio"), at value $91,109,684
Receivable for Expense Reimbursements 11,964
Deferred Organization Expenses 4,580
Prepaid Trustees' Fees 72
Prepaid Expenses and Other Assets 158
-----------
Total Assets 91,126,458
-----------
LIABILITIES
Dividends Payable to Shareholders 282,302
Shareholder Servicing Fee Payable 5,818
Payable for Shares of Beneficial Interest
Redeemed 5,800
Administrative Services Fee Payable 2,426
Administration Fee Payable 463
Fund Services Fee Payable 215
Accrued Expenses 37,111
-----------
Total Liabilities 334,135
-----------
NET ASSETS
Applicable to 8,809,310 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $90,792,323
-----------
-----------
Net Asset Value, Offering and Redemption Price
Per Share $10.31
-----
-----
ANALYSIS OF NET ASSETS
Paid-in Capital $90,356,912
Undistributed Net Investment Income 44,234
Accumulated Net Realized Loss on Investment (64,138)
Net Unrealized Appreciation of Investment 455,315
-----------
Net Assets $90,792,323
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $3,704,716
Allocated Portfolio Expenses (306,862)
----------
Net Investment Income Allocated from
Portfolio 3,397,854
FUND EXPENSES
Shareholder Servicing Fee $ 53,364
Administrative Services Fee 21,188
Printing Expenses 17,835
Transfer Agent Fees 16,287
Professional Fees 14,434
Registration Fees 13,024
Administration Fee 4,228
Fund Services Fee 2,907
Amortization of Organization Expenses 2,281
Trustees' Fees and Expenses 1,228
Miscellaneous 2,860
--------
Total Fund Expenses 149,636
Less: Reimbursement of Expenses (100,739)
--------
NET FUND EXPENSES 48,897
----------
NET INVESTMENT INCOME 3,348,957
NET REALIZED LOSS ON INVESTMENT ALLOCATED FROM
PORTFOLIO (64,801)
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENT
ALLOCATED FROM PORTFOLIO (224,030)
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $3,060,126
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,348,957 $ 1,732,704
Net Realized Gain (Loss) on Investment Allocated
from Portfolio (64,801) 213,249
Net Change in Unrealized Appreciation
(Depreciation) of Investment
Allocated from Portfolio (224,030) 296,969
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 3,060,126 2,242,922
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (3,348,798) (1,732,704)
Net Realized Gain (48,935) (97,660)
-------------- --------------
Total Distributions to Shareholders (3,397,733) (1,830,364)
-------------- --------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 50,415,260 28,537,208
Reinvestment of Dividends and Distributions 875,189 868,071
Cost of Shares of Beneficial Interest Redeemed (8,086,743) (2,512,553)
-------------- --------------
Net Increase from Transactions in Shares of
Beneficial Interest 43,203,706 26,892,726
-------------- --------------
Total Increase in Net Assets 42,866,099 27,305,284
NET ASSETS
Beginning of Fiscal Year 47,926,224 20,620,940
-------------- --------------
End of Fiscal Year (including undistributed net
investment income of
$44,234 and $0, respectively) $ 90,792,323 $ 47,926,224
-------------- --------------
-------------- --------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
YEAR APRIL 11, 1994
ENDED MARCH 31, (COMMENCEMENT OF
----------------- OPERATIONS) TO
1997 1996 MARCH 31, 1995
------- ------- ----------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.34 $ 10.11 $ 10.00
------- ------- ----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.48 0.49 0.42
Net Realized and Unrealized Gain (Loss) on
Investment (0.02) 0.25 0.11
------- ------- ----------------
Total from Investment Operations 0.46 0.74 0.53
------- ------- ----------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.48) (0.49) (0.42)
Net Realized Gain (0.01) (0.02) --
------- ------- ----------------
Total Distributions to Shareholders (0.49) (0.51) (0.42)
------- ------- ----------------
NET ASSET VALUE, END OF PERIOD $ 10.31 $ 10.34 $ 10.11
------- ------- ----------------
------- ------- ----------------
Total Return 4.54% 7.40% 5.49%(a)
------- ------- ----------------
------- ------- ----------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands) $90,792 $47,926 $ 20,621
Ratios to Average Net Assets
Expenses 0.50% 0.50% 0.50%(b)
Net Investment Income 4.70% 4.67% 4.65%(b)
Decrease Reflected in Expense Ratio
due to Expense Reimbursement 0.14% 0.17% 0.55%(b)
</TABLE>
- ------------------------
(a) Not annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Institutional New York Total Return Bond Fund (the "Fund") is a separate
series of The JPM Institutional Funds, a Massachusetts business trust (the
"Trust"). 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 April 11, 1994.
The Fund invests all of its investable assets in The New York Total Return Bond
Portfolio (the "Portfolio"), a non-diversified open-end management investment
company having the same investment 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 (62% at March
31, 1997). 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 and
unrealized gain and loss and adjusts its investment in the Portfolio each
day. All net investment income and realized and unrealized gain and loss
of the Portfolio is allocated pro rata among the Fund and other investors
in the Portfolio at the time of such determination.
c)Substantially all the Fund's net investment income is declared as
dividends daily and paid monthly. Distributions to shareholders of net
realized capital gains, if any, are declared and paid annually.
d)The Fund incurred organization expenses in the amount of $11,787. These
costs were deferred and are being amortized on a straight-line basis over
a five-year period from the commencement of operations.
e)The Fund 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 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. As of March 31, 1997, the Fund
incurred and elected to defer post-October losses of $20,009 until the
next taxable year. For federal income tax purposes, the Fund had a capital
loss carryforward at March 31, 1997 of approximately $44,000, all of which
expires in the year 2005. To the extent that this capital loss is used to
offset future capital gains, it is probable that the gains so offset will
not be distributed to shareholders.
14
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
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)The Fund accounts for and reports distributions to shareholders in
accordance with "Statement of Position 93-2: Determination, Disclosure,
and Financial Statement Presentation of Income, Capital Gain, and Return
of Capital Distributions by Investment Companies." The effect of applying
this statement was to increase Undistributed Net Investment Income by
$44,075, increase Accumulated Net Realized Loss on Investment by $43,411
and decrease Paid-in Capital by $664. The adjustments are primarily
attributable to tax treatment of partnership allocations of capital gains
and losses. Net investment income, net realized gains and net assets were
not affected by this change.
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 Trust's officers affiliated with Signature. The
agreement provided for a fee to be paid to Signature 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 April 1, 1996
through July 31, 1996, Signature's fee for these services amounted to
$2,361. 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 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, the Master Portfolios, JPM Series Trust and JPM
Series Trust II. For the period from August 1, 1996 through March 31, 1997
the fee for these services amounted to $1,867.
On November 15, 1996, The JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds were no longer included in the calculation of the allocation of
FDI's fees.
15
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
b)The Trust, on behalf of the Fund, has 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 has 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 Fund was determined by the proportionate share that 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 April 1, 1996 through July 31, 1996, the fee
for these services amounted to $4,519.
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 and JPM Series Trust in accordance with
the following annual schedule: 0.09% on the first $7 billion of their
aggregate average daily net assets and 0.04% of their aggregate average
daily net assets in excess of $7 billion, less the complex-wide fees
payable to FDI. The portion of this charge paid by the Fund is determined
by the proportionate share that its net assets bear to the net assets of
the Trust, The JPM Pierpont Funds, the Master Portfolios, other investors
in the Master Portfolios for which Morgan provides similar services, and
JPM Series Trust. For the period from August 1, 1996 through March 31,
1997, the fee for these services amounted to $16,669.
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
0.50% of the average daily net assets of the Fund through July 31, 1997.
For the fiscal year ended March 31, 1997, Morgan has agreed to reimburse
the Fund $100,739 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 paid monthly at an annual rate
of 0.075% of the average daily net assets of the Fund. For the fiscal year
ended March 31, 1997, the fee for these services amounted to $53,364.
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
$2,907 for the fiscal year ended March 31, 1997.
e)An annual aggregate fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Trust, The JPM Pierpont Funds, the Master Portfolios and
JPM Series Trust. 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 and Chief Executive Officer also serves as
Chairman of Group and received
16
<PAGE>
THE JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
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 $400.
3. TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest of one or more series.
Transactions in shares of beneficial interest of the Fund were as follows:
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
-------------- --------------
<S> <C> <C>
Shares of beneficial interest sold............... 4,869,447 2,755,927
Reinvestment of dividends and distributions...... 84,420 83,784
Shares of beneficial interest redeemed........... (780,634) (243,334)
-------------- --------------
Net Increase..................................... 4,173,233 2,596,377
-------------- --------------
-------------- --------------
</TABLE>
From time to time, the Fund may have a concentration of several shareholders
holding a significant percentage of shares outstanding. Investment activities of
these shareholders could have a material impact on the Fund and Portfolio.
17
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
The JPM Institutional New York Total Return Bond 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 Insitutional New York Total Return Bond Fund (the "Fund") at March 31,
1997, 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 financial
highlights for each of the two years in the period then ended and for the period
April 11, 1994 (commencement of operations) to March 31, 1995, 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
May 14, 1997
18
<PAGE>
The New York Total Return Bond Portfolio
Annual Report March 31, 1997
(The following pages should be read in conjunction
with The JPM Institutional New York Total Return Bond Fund
Annual Financial Statements)
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (104.8%)
ALASKA (1.1%)
$ 2,000 North Slope Borough, Zero Coupon, GO Aaa/AAA 06/30/01 0.000% $ 1,628,080
(Capital Appreciation, Series A), MBIA
Insured...............................
-------------
ARIZONA (1.8%)
1,015 Tucson, Street & Highway User Revenue, RB Aaa/AAA 07/01/11 7.500 1,212,489
(Senior Lien, Series 1994-B), MBIA
Insured...............................
1,250 Tucson, Street & Highway User Revenue, RB Aaa/AAA 07/01/12 7.500 1,491,262
(Senior Lien, Series 1994-B), MBIA
Insured...............................
-------------
2,703,751
TOTAL ARIZONA.......................
-------------
CALIFORNIA (0.7%)
1,000 Kaweah Delta Hospital District, Tulare PP NR/NR 06/01/97(a) 5.250 1,002,920
County, (Series F, due 06/01/14)......
-------------
GEORGIA (0.5%)
750 Georgia Municipal Electric RB A/A 01/01/12 6.500 805,342
Authority,(Refunding, Series A).......
-------------
ILLINOIS (1.8%)
2,500 Illinois, Sales Tax Revenue, (Refunding, RB Aa3/AAA 06/15/12 6.000 2,616,900
Series Q).............................
-------------
MASSACHUSETTS (0.8%)
1,000 Massachusetts Bay Transportation RB A1/A+ 03/01/08 7.000 1,146,650
Authority, (General Transportation
System, Refunding, Series A)..........
-------------
NEVADA (0.9%)
2,450 Clark County School District, Zero GO Aaa/AAA 03/01/09 0.000 1,264,200
Coupon, (Refunding, Series B), FGIC
Insured...............................
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW JERSEY (1.4%)
$ 2,000 New Jersey Turnpike Authority, (Series RB Baa1/BBB+ 01/01/98 5.200% $ 2,018,160
A)....................................
-------------
NEW YORK (84.8%)
2,030 Albany County Airport Authority, Airport RB Aaa/AAA 12/15/07 5.500 2,044,514
Revenue, FSA Insured..................
2,250 Grand Central District Management SO Aaa/AAA 01/01/02(a) 6.500 2,452,477
Association Inc., (Business
Improvement District, Prerefunded, due
01/01/22).............................
555 Islip, (Prerefunded, due 06/01/01), MBIA GO Aaa/AAA 06/01/98(a) 7.300 586,840
Insured...............................
5,500 Metropolitan Transportation Authority, RB Aaa/AAA 04/01/11 6.250 5,915,855
(Dedicated Tax Fund, Series A), MBIA
Insured...............................
1,370 Metropolitan Transportation Authority, RB Baa1/BBB 07/01/02 6.625 1,454,995
(Service Contract, Commuter
Facilities, Refunding, Series N)......
1,500 Metropolitan Transportation Authority, RB Baa1/BBB 07/01/08 5.750 1,494,930
(Service Contract, Commuter
Facilities, Refunding, Series O)......
1,500 Metropolitan Transportation Authority, RB Aaa/AAA 07/01/07 6.300 1,621,005
(Transportation Facilities, Refunding,
Series K), MBIA Insured...............
1,075 Monroe County, (Public Improvement, GO Aaa/AAA 06/01/08 5.875 1,131,695
Partially Prerefunded, Partially
Escrowed to Maturity), AMBAC
Insured...............................
55 Monroe County, (Public Improvement, GO Aaa/AAA 06/01/08 5.875 58,230
Prerefunded, Escrowed to Maturity),
AMBAC Insured.........................
2,000 Municipal Assistance Corp. for the City RB Aa2/AA 07/01/99 7.000 2,107,860
of New York,
(Series 68)...........................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,000 Municipal Assistance Corp. for the City RB Aaa/AAA 07/01/00 6.000% $ 2,083,160
of New York,
(Series D), AMBAC Insured.............
1,460 New York City Industrial Development RB Baa3/NR 08/01/05 6.000 1,494,427
Agency, Civil Facilities Revenue,
(YMCA Greater New York Project).......
1,000 New York City Industrial Development RB Baa3/NR 08/01/06 6.000 1,019,220
Agency, Civil Facilities Revenue,
(YMCA Greater New York Project).......
1,475 New York City Municipal Water Finance RB NR/AAA 06/15/99(a) 7.375 1,589,799
Authority, (Water and Sewer Systems,
Prerefunded, Series A, due
06/15/09).............................
1,900 New York City, (Prerefunded, Series D, GO Aaa/BBB+ 02/01/02(a) 7.500 2,144,948
due 02/01/19).........................
1,500 New York City,(Refunding, Escrowed to GO Aaa/AAA 08/01/00 7.875 1,651,290
Maturity, Series H)...................
1,750 New York City, (Refunding, Series A).... GO Baa1/BBB+ 08/01/02 5.750 1,783,582
1,250 New York City, (Refunding, Series A).... GO Baa1/BBB+ 08/01/04 7.000 1,356,287
6,000 New York City, (Refunding, Series A, due GO Baa1/BBB+ 08/01/02(a) 6.250 6,247,140
08/01/03).............................
1,070 New York City, (Refunding, Series C).... GO Baa1/BBB+ 02/01/04 6.000 1,097,585
1,500 New York City, (Refunding, Series H).... GO Baa1/BBB+ 03/15/05 6.500 1,581,735
1,000 New York State Dormitory Authority, RB Baa1/BBB 07/01/03 8.750 1,175,460
(City University System, Series D)....
1,900 New York State Dormitory Authority, RB Aaa/AAA 08/15/04 6.000 2,007,445
(Mental Health Services Facilities
Improvement, Refunding, Series E),
AMBAC Insured.........................
5,650 New York State Dormitory Authority, RB Baa1/BBB+ 02/15/06 6.000 5,782,097
(Mental Health Services Facilities
Improvements, Refunding, Series B)....
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,175 New York State Dormitory Authority, RB Baa1/BBB+ 02/15/09 6.500% $ 1,258,343
(Mental Health Services Facilities
Improvements, Series B)...............
1,750 New York State Dormitory Authority, RB Aaa/BBB+ 05/15/00(a) 7.250 1,915,830
(State University Educational
Facilities, Prerefunded, Series B, due
05/15/15).............................
1,500 New York State Dormitory Authority, RB Baa1/BBB+ 05/15/04 6.500 1,591,830
(State University Educational
Facilities, Refunding, Series A)......
1,500 New York State Dormitory Authority, RB Aaa/AAA 05/15/07 5.500 1,546,890
(State University Educational
Facilities, Refunding, Series A),
AMBAC Insured.........................
3,000 New York State Dormitory Authority, RB Aaa/AAA 05/15/11 5.875 3,110,760
(State University Educational
Facilities, Refunding, Series A), FGIC
Insured...............................
1,000 New York State Dormitory Authority, RB Baa1/BBB+ 05/15/99 6.625 1,037,340
(State University Educational
Facilities, Series A).................
1,210 New York State Dormitory Authority, RB A1/A+ 07/01/06 6.500 1,321,441
(University of Rochester, Series A)...
1,110 New York State Dormitory Authority, RB Aaa/AAA 07/01/11 6.000 1,167,587
Lease Revenue, (State University
Dormitory Facilities, Series A), AMBAC
Insured...............................
1,000 New York State Housing Finance Agency, RB Aaa/AAA 03/15/01(a) 7.800 1,125,930
(Service Contract Obligation,
Prerefunded, Series A, due
09/15/20).............................
1,250 New York State Local Government RB Aaa/AAA 04/01/01(a) 7.000 1,377,863
Assistance Corp., (Prerefunded, Series
A, due 04/01/16)......................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,000 New York State Local Government RB Aaa/AAA 04/01/02(a) 7.125% $ 1,120,180
Assistance Corp., (Prerefunded, Series
A, due 04/01/21)......................
3,350 New York State Local Government RB A3/A 04/01/14 6.000 3,473,314
Assistance Corp., (Refunding, Series
E)....................................
1,000 New York State Local Government RB A3/A 04/01/00 6.200 1,041,800
Assistance Corp., (Series A)..........
1,000 New York State Local Government RB A3/A 04/01/12 6.000 1,044,370
Assistance Corp., (Series C)..........
1,500 New York State Medical Care Facilities RB Baa1/BBB+ 02/15/03 6.000 1,546,950
Finance Agency, (Mental Health
Services, Refunding, Series F)........
1,000 New York State Medical Care Facilities RB Aaa/AAA 02/15/99(a) 7.800 1,080,580
Finance Agency, (Prerefunded, due
02/15/19).............................
1,565 New York State Medical Care Facilities RB Aaa/AAA 02/15/00(a) 7.450 1,713,299
Finance Agency, (St. Lukes Hospital,
Prerefunded, Series B, due 02/15/29),
FHA Insured...........................
2,000 New York State Power Authority, (Revenue RB Aa/AA- 01/01/03 6.625 2,166,700
& General Purpose, Refunding, Series
W)....................................
2,195 New York State Power Authority, (Revenue RB Aa/AA- 01/01/08 6.500 2,412,305
& General Purpose, Refunding, Series
W)....................................
3,000 New York State Thruway Authority, RB Aaa/AAA 04/01/04 6.250 3,219,210
(Highway & Bridge, Series A), MBIA
Insured...............................
1,050 New York State Thruway Authority, RB Aaa/AAA 04/01/02 5.375 1,075,148
(Highway & Bridge, Series B), FGIC
Insured...............................
2,000 New York State Thruway Authority, RB Baa1/BBB 04/01/05 6.000 2,060,120
(Service Contract, Local Highway &
Bridge)...............................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,470 New York State Urban Development Corp., RB Baa1/BBB 01/01/06 6.250% $ 2,576,136
(Center for Industrial Innovation,
Refunding)............................
1,155 New York State Urban Development Corp., RB Baa1/BBB 01/01/07 6.250 1,201,893
(Center for Industrial Innovation,
Refunding)............................
500 New York State Urban Development Corp., RB Aaa/NR 01/01/00(a) 7.750 550,250
(Correctional Capital Facilities,
Prerefunded, Series 1, due
01/01/14).............................
3,000 New York State Urban Development Corp., RB Aaa/NR 01/01/01(a) 6.500 3,191,880
(Correctional Capital Facilities,
Prerefunded, Series 2, due
01/01/21).............................
1,000 New York State Urban Development Corp., RB Baa1/BBB 01/01/99 4.300 994,670
(Correctional Capital Facilities,
Series 7).............................
2,635 New York State Urban Development Corp., RB A/A 01/01/06 6.000 2,764,431
(Sub-Lien, Refunding).................
2,715 New York State Urban Development Corp., RB A/A 07/01/06 6.000 2,854,307
(Sub-Lien, Refunding).................
5,250 New York State, (Refunding, Series A)... GO A2/A- 07/15/06 6.500 5,731,058
3,500 New York State, (Refunding, Series C)... GO A2/A- 10/01/04 6.000 3,703,210
2,000 Port Authority of New York & New Jersey, RB Aaa/AAA 07/15/06 6.000 2,115,000
(Series 108), FGIC Insured............
1,030 Suffolk County Water Authority, Water RB Aaa/AAA 06/01/00(a) 6.600 1,109,588
Systems Revenue, (Prerefunded, due
06/01/04), AMBAC Insured..............
1,000 Triborough Bridge & Tunnel Authority, RB Aa/A+ 01/01/11 6.000 1,050,660
(General Purpose, Series A)...........
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,000 Triborough Bridge & Tunnel Authority, RB Aa/A+ 01/01/12 6.625% $ 1,114,170
(General Purpose, Series X)...........
1,500 Triborough Bridge & Tunnel Authority, RB Aa/A+ 01/01/07 5.900 1,577,025
(General Purpose, Series Y)...........
3,000 Triborough Bridge & Tunnel Authority, RB Aaa/A+ 01/01/01(a) 7.000 3,292,440
(Prerefunded, Series T, due
01/01/20).............................
1,000 Trust for Cultural Resources of the City PP NR/NR 10/01/01(a) 5.250 995,020
of New York, (Series 1997, due
01/01/05).............................
3,230 Yonkers, (Series C), AMBAC Insured...... GO Aaa/AAA 08/01/04 5.500 3,317,921
-------------
125,430,025
TOTAL NEW YORK......................
-------------
PUERTO RICO (7.7%)
8,000 Puerto Rico Commonwealth, GO Baa1/A 07/01/99 5.500 8,144,800
(Refunding)*..........................
3,000 University of Puerto Rico, (Refunding, RB Aaa/AAA 06/01/05 6.250 3,254,940
Series N), MBIA Insured...............
-------------
11,399,740
TOTAL PUERTO RICO...................
-------------
TEXAS (0.1%)
200 Austin, Water, Sewer & Electric Revenue, RB A/NR 11/15/97 13.500 211,684
(Escrowed to Maturity, Refunding).....
-------------
VIRGINIA (1.4%)
2,000 Virginia State Public Building RB Aa/AA 08/01/03 5.100 2,019,240
Authority.............................
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S
AMOUNT SECURITY S&P MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE (UNAUDITED) DATE RATE VALUE
- -------------- ---------------------------------------- -------- ------------ ------------ ------- -------------
<C> <S> <C> <C> <C> <C> <C>
MISCELLANEOUS (1.8%)
$ 2,100 Mashantucket Western Pequot Tribe, RB Baa/BBB 09/01/01 6.250% $ 2,183,391
Special Revenue,
(Series A), 144A......................
500 Mashantucket Western Pequot Tribe, RB Baa/BBB 09/01/02 6.250 520,890
Special Revenue,
(Series A), 144A......................
-------------
2,704,281
TOTAL MISCELLANEOUS.................
-------------
154,950,973
TOTAL INVESTMENTS (COST $153,452,372) (104.8%)............................................
(7,027,989)
LIABILITIES IN EXCESS OF OTHER ASSETS (-4.8%).............................................
-------------
$ 147,922,984
NET ASSETS (100.0%).......................................................................
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $153,452,372 for federal income tax
purposes at March 31, 1997, the aggregate gross unrealized appreciation and
depreciation was $2,069,992 and $571,391, respectively, resulting in net
unrealized appreciation of investments of $1,498,601.
(a) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
Defintion of terms used:
AMBAC - Ambac Indemnity Corp., FHA - Federal Housing Authority, FGIC - Financial
Guaranty Insurance Company, FSA - Financial Security Assurance, GO - General
Obligation, MBIA - Municipal Bond Investors Assurance Corp., PP - Private
Placement, RB - Revenue Bond, SO - Special Obligation.
Escrowed to Maturity--Bonds for which cash and/or securities have been deposited
with a third party to cover the payments of principal and interest at the
maturity of the bond.
Prerefunded--Bonds for which the issuer of the bond invests the proceeds from a
subsequent bond issuance in treasury securities, whose maturity coincides with
the first call date of the first bond.
Refunding--Bonds for which the issuer has issued new bonds and cancelled the old
issue.
144A--Securities restricted for resale to Qualified Institutional Buyers.
* When-issued--A conditional transaction in a security authorized for issuance
but not yet actually issued.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $153,452,372 ) $154,950,973
Interest Receivable 2,370,644
Deferred Organization Expenses 4,627
Prepaid Trustees' Fees 367
Prepaid Expenses and Other Assets 322
------------
Total Assets 157,326,933
------------
LIABILITIES
Payable for Investments Purchased 8,207,431
Payable to Custodian 1,113,872
Advisory Fee Payable 38,600
Custody Fee Payable 11,729
Administrative Services Fee Payable 7,361
Administration Fee Payable 374
Fund Services Fee Payable 360
Accrued Expenses 24,222
------------
Total Liabilities 9,403,949
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $147,922,984
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $6,579,985
EXPENSES
Advisory Fee $380,380
Custodian Fees and Expenses 61,316
Professional Fees and Expenses 47,258
Administrative Services Fee 37,675
Administration Fee 6,531
Fund Services Fee 5,302
Amortization of Organization Expense 2,305
Trustees' Fees and Expenses 2,200
Miscellaneous 3,218
--------
Total Expenses 546,185
----------
NET INVESTMENT INCOME 6,033,800
NET REALIZED LOSS ON INVESTMENTS (18,872)
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENTS (401,871)
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $5,613,057
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,033,800 $ 3,877,559
Net Realized Gain (Loss) on Investments (18,872) 547,038
Net Change in Unrealized Appreciation
(Depreciation) of Investments (401,871) 916,458
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 5,613,057 5,341,055
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 71,063,672 45,071,889
Withdrawals (27,423,240) (10,574,756)
-------------- --------------
Net Increase from Investors' Transactions 43,640,432 34,497,133
-------------- --------------
Total Increase in Net Assets 49,253,489 39,838,188
NET ASSETS
Beginning of Fiscal Year 98,669,495 58,831,307
-------------- --------------
End of Fiscal Year $ 147,922,984 $ 98,669,495
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
FISCAL YEAR FOR THE PERIOD
ENDED MARCH APRIL 11, 1994
31, (COMMENCEMENT OF
------------ OPERATIONS) TO
1997 1996 MARCH 31, 1995
---- ----- ----------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.43% 0.44% 0.48%(a)
Net Investment Income 4.75% 4.72% 4.59%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- -- 0.03%(a)
Portfolio Turnover 35% 41% 63%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The New York Total Return Bond Portfolio (the "Portfolio") is registered under
the Investment Company Act of 1940, as amended, as a no-load, non-diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York. The Portfolio commenced operations on April 11,
1994. The Portfolio's investment objective is to provide a high after-tax total
return for New York State residents consistent with moderate risk of capital.
The Portfolio invests a significant amount of its assets in debt obligations
issued by political subdivisions and authorities in the State of New York. The
issuers' ability to meet their obligations may be affected by economic and
political developments within the State of New York. 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)Portfolio securities are valued by an outside independent pricing service
approved by the Trustees. The value of each security for which readily
available market quotations exist is based on a decision as to the
broadest and most representative market for such security. The value of
such security will be based either on the last sale price on a national
securities exchange, or, in the absence of recorded sales, at the readily
available closing bid price on such exchanges, or at the quoted bid price
in the over-the-counter market. Because of the large number of municipal
bond issues outstanding and the varying maturity dates, coupons and risk
factors applicable to each issuer's bonds, no readily available market
quotations exist for most municipal securities. Securities or other assets
for which market quotations are not readily available are valued in
accordance with procedures established by the Portfolio's Trustees. Such
procedures include the use of comparable quality, coupon, maturity and
type, indications as to values from dealers, and general market
conditions. All portfolio securities with a remaining maturity of less
than 60 days are valued by the amortized cost method.
b)The Portfolio incurred organization expenses in the amount of $11,473.
These costs were deferred and are being amortized on a straight-line basis
over a five-year period from the commencement of operations.
c)Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
d)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxed on its
share of the Portfolio's ordinary income and capital gains. It is intended
that the Portfolio's assets will be managed in such a way that an investor
in the Portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
31
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
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 agreement,
the Portfolio pays Morgan a fee at an annual rate of 0.30% of the
Portfolio's average daily net assets. For the fiscal year ended March 31,
1997, such fees amounted to $380,380.
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. The agreement provided for a fee to be paid to Signature equal
to the Portfolio'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 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 April 1, 1996
through July 31, 1996, such fees amounted to $4,617. 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, the Master Portfolios, JPM SeriesTrust and JPM Series Trust
II. For the period from August 1, 1996 through March 31, 1997, the fee for
these services amounted to $1,914.
On November 15, 1996, The JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds were no longer included in the calculation of the allocation of
FDI's fees.
c)The Portfolio has 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 has 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
32
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1997
- --------------------------------------------------------------------------------
assets of the Master Portfolios and investors in the Master Portfolios for
which Morgan provided similar services. For the period from April 1, 1996
through July 31, 1996, the fee for these services amounted to $8,835.
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 and JPM Series Trust in accordance with
the following annual schedule: 0.09% on the first $7 billion of their
aggregate average daily net assets and 0.04% of their aggregate average
daily net assets in excess of $7 billion, less the complex-wide fees
payable to FDI. The portion of this charge paid by the Portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the Master Portfolios, investors in the Master Portfolios for
which Morgan provides similar services, and JPM Series Trust. For the
period from August 1, 1996 through March 31, 1997, the fee for these
services amounted to $28,840.
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 $5,302 for the fiscal year ended March 31, 1997.
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, the
Master Portfolios and JPM Series Trust. 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 $700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended March 31, 1997, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ -----------
<S> <C> <C>
Municipal Obligations............................ $ 99,205,542 $40,973,477
U.S. Government and Agency Obligations........... 2,376,172 2,452,734
------------ -----------
$101,581,714 $43,426,211
------------ -----------
------------ -----------
</TABLE>
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The New York Total Return Bond 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 New York Total Return Bond Portfolio
(the "Portfolio") at March 31, 1997, 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 supplementary data for each of the two years in the period
then ended and for the period April 11, 1994 (commencement of operations) to
March 31, 1995 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 March
31, 1997 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
May 14, 1997
34
<PAGE>
JPM INSTITUTIONAL PRIME MONEY MARKET FUND
JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
JPM INSTITUTIONAL FEDERAL 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 SHARES: CALIFORNIA BOND FUND
JPM INSTITUTIONAL INTERNATIONAL BOND FUND
JPM INSTITUTIONAL DIVERSIFIED FUND
JPM INSTITUTIONAL U.S. EQUITY FUND
JPM INSTITUTIONAL DISCIPLINED EQUITY FUND
JPM INSTITUTIONAL U.S. SMALL COMPANY FUND
JPM INSTITUTIONAL INTERNATIONAL EQUITY FUND
JPM INSTITUTIONAL INTERNATIONAL OPPORTUNITIES FUND
JPM INSTITUTIONAL EMERGING MARKETS EQUITY FUND
JPM INSTITUTIONAL EUROPEAN EQUITY FUND
JPM INSTITUTIONAL JAPAN EQUITY FUND
JPM INSTITUTIONAL ASIA GROWTH FUND
THE
JPM INSTITUTIONAL
NEW YORK
TOTAL RETURN
BOND FUND
FOR MORE INFORMATION ON THE JPM INSTITUTIONAL FAMILY OF FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT (800)766-7722.
ANNUAL REPORT
MARCH 31, 1997
