<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN INSTITUTIONAL
TREASURY MONEY MARKET FUND
June 1, 1999
Dear Shareholder,
The previous six-month period was marked by continued strength in the U.S.
economy, coupled with benign inflation and a steepening yield curve. During this
period, the J.P. Morgan Institutional Treasury Money Market Fund posted a 2.36%
return, besting the 2.07% return of the IBC U.S. Treasury & Repo Money Fund
Average and the 2.17% return of the Lipper Institutional U.S. Treasury Money
Market Funds Average. The fund's current average seven-day yield is 4.65%.
The fund maintained a stable net asset value of $1.00 over the period. On
April 30, 1999, the net assets of the fund were approximately $267 million,
while the assets of The Treasury Money Market Portfolio, in which the fund
invests, amounted to approximately $627 million. Dividends of approximately
$0.02 per share were paid from ordinary income.
This report includes a discussion with Robert Johnson, the portfolio manager
primarily responsible for The Treasury Money Market Portfolio. In this
interview, Skip talks about the events of the previous six months that had the
greatest effect on the portfolio and discusses his investment strategy.
As chairman and president of Asset Management Services, we appreciate your
investment in the fund. If you have any comments or questions, please call your
Morgan representative or J.P. Morgan Funds Services at (800) 766-7722.
Sincerely yours,
/s/ Ramon de Oliveira /s/ Keith M. Schappert
Ramon de Oliveira Keith M. Schappert
Chairman of Asset Management Services President of Asset Management Services
J.P. Morgan & Co. Incorporated J.P. Morgan & Co. Incorporated
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
<S> <C> <C> <C>
LETTER TO THE SHAREHOLDERS. . . 1 GLOSSARY OF TERMS. . . . . . . .5
FUND PERFORMANCE. . . . . . . . 2 FUND FACTS AND HIGHLIGHTS. . . .6
PORTFOLIO MANAGER Q&A . . . . . 3 FINANCIAL STATEMENTS . . . . . .8
- -------------------------------------------------------------------------------
</TABLE>
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 the fund's actual (or cumulative) return and shows
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 one, five,
or ten 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 SINCE
AS OF APRIL 30, 1999 MONTHS MONTHS YEAR INCEPTION*
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
J.P. Morgan Institutional Treasury
Money Market Fund 1.14% 2.36% 4.87% 5.34%
IBC U.S. Treasury
& Repo Money Fund Average** 1.02% 2.07% 4.47% 4.64%
Lipper Institutional U.S.
Treasury Money Market Funds Average 1.05% 2.17% 4.75% 4.93%
AS OF MARCH 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Institutional Treasury
Money Market Fund 1.15% 2.40% 5.20% 5.37%
IBC U.S. Treasury
& Repo Money Fund Average** 1.02% 2.09% 4.53% 4.66%
Lipper Institutional U.S.
Treasury Money Market Funds Average 1.06% 2.21% 4.81% 4.96%
</TABLE>
*THE FUND COMMENCED OPERATIONS ON JULY 8, 1997, AND HAS PROVIDED A TOTAL RETURN
OF 5.36% FROM THAT DATE THROUGH APRIL 30, 1999. FOR THE PURPOSE OF COMPARISON,
THE "SINCE INCEPTION" RETURNS IN THE TABLE ABOVE ARE CALCULATED FROM JULY 31,
1997, THE FIRST DATE WHEN DATA FOR THE FUND, ITS BENCHMARK, AND ITS LIPPER
CATEGORY AVERAGE WERE ALL AVAILABLE.
**PERFORMANCE OF THE IBC U.S. TREASURY & REPO MONEY FUND AVERAGE IS THAT OF
AN AVERAGE OF FUNDS MANAGED SIMILARLY TO THE J.P MORGAN INSTITUTIONAL
TREASURY MONEY MARKET FUND.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. FUND RETURNS ARE NET OF
FEES, ASSUME THE REINVESTMENT OF DISTRIBUTIONS, AND REFLECT REIMBURSEMENT OF
CERTAIN FUND AND PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS. HAD EXPENSES
NOT BEEN SUBSIDIZED, RETURNS WOULD HAVE BEEN LOWER. IBC IS A
NATIONALLY-RECOGNIZED SOURCE OF MONEY MARKET FUND DATA. LIPPER ANALYTICAL
SERVICES, INC. IS A LEADING SOURCE FOR MUTUAL FUND DATA.
2
<PAGE>
PORTFOLIO MANAGER Q & A
[PHOTO]
The following is an interview with ROBERT R. ("SKIP") JOHNSON, vice president, a
member of the portfolio management team for the Treasury Money Market Portfolio,
in which the fund invests. Prior to joining Morgan in 1988, Skip held positions
with the Bank of Montreal and U.S. Steel, and founded the merchant banking firm
of R.R. Johnson Associates. He is a graduate of Dartmouth College. This
interview was conducted on May 18, 1999, and reflects Skip's views on that date.
WHAT FACTORS HAVE MOST INFLUENCED THE MONEY MARKETS OVER THE PAST SIX MONTHS?
RRJ: In the U.S., the economy has continued to be strong, even stronger than we
had expected. The strength of the equity markets, and the tremendous wealth
effect that has resulted for both households and corporation, has driven this
economic growth. Our economist believes this wealth effect was a major reason
the U.S. was able to shrug off the economic sluggishness seen globally. Such
persistent strength, particularly when coupled with signs of a rebound in global
economic growth like we have been seeing, would often incite the Federal Reserve
to bump up interest rates. But with inflation remaining in check, the Fed has
maintained its neutral stance, although it just announced a shift to a
tightening bias from a neutral one. But since tightening is not expected to
take place in the near term, we saw a modest steepening of the yield curve
during the period, particularly in the past few months.
Globally, things are beginning to settle down. The Fed was forced to ease
short-term rates three times in the fourth quarter of 1998 in response to global
economic crises. Of late, however, there are indications that the global
economy is beginning to stabilize, as evinced by industrial production growth in
Japan and firming prices of oil and other commodities. This, combined with
benign inflation, is bolstering investor confidence and our confidence that
non-U.S. growth is bottoming.
TO WHAT DO YOU ATTRIBUTE THE PORTFOLIO'S PERFORMANCE OVER THE PERIOD?
RRJ: Our performance over the last six months has been strong, as we were able
to allocate assets into longer-term Treasury bonds from overnight repurchase
agreements as the Treasury yield curve out to one year steepened and these
instruments became more attractive. We began moving more into the Treasuries in
January, when a strong GDP report caused market sentiment to shift away from
expectations of lower rates, a Fed easing, and a weaker economy. Prior to that,
a flat to inverted yield curve forced us to weight the portfolio more heavily in
the repos, as there was little value in the Treasury curve.
We kept the average maturity long within its 60-day limit throughout the
six-month period. Of course, at the same time, we always need to focus on
managing the portfolio's liquidity and maturity, so we can have assets available
to take advantage of any opportunities and to meet redemptions. Although the
portfolio always maintains a barbell structure, we ladder the maturities of our
investments on the long end of the barbell to ensure adequate liquidity.
3
<PAGE>
WHAT DO YOU SEE ON THE HORIZON IN THE MONEY MARKETS, AND HOW WILL YOU POSITION
THE PORTFOLIO?
RRJ: We expect the U.S. economy to continue to be strong; in fact, we recently
raised our 1999 GDP forecast again. But since we also expect inflation to
continue to be benign, we think the Fed will stick with its patient approach to
rates and remain on hold in the near term, despite its shift to a tightening
bias. This should result in continued steepening of the yield curve.
Regardless, we believe that concern in the market about the economy's continued
strength may override recent indications that inflation remains in check. As a
result, we expect the 30-year Treasury bond to trade between 5.40% and 6.00%,
with risk on the upside of that range.
4
<PAGE>
GLOSSARY OF TERMS
AVERAGE MATURITY: The weighted average time to maturity of the entire portfolio
with the weights equal to the percentage of the portfolio invested in each
security (see Maturity).
CREDIT RATING: The rating assigned to a bond or note by independent rating
agencies such as Standard & Poor's Corporation and Moody's Investors Service. 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.
CREDIT RISK: Financial risk that an obligation will not be paid and a loss will
result.
LETTER OF CREDIT: Instrument or document issued by a bank guaranteeing the
payment of a customer's drafts up to a stated amount and eliminating the
seller's risk.
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.
VARIABLE RATE DEMAND NOTE: Note representing borrowings that is payable on
demand and that bears interest tied to a base money market rate, usually the
bank prime rate. The rate on the note is adjusted upward or downward each time
the base rate changes.
YIELD: Coupon rate of interest on a bond divided by the purchase price. As a
bond's price falls, its yield rises and vice versa.
YIELD CURVE: A graph showing the term structure or level of interest rates
ranging from the shortest to the longest maturities. The resulting curve shows
if short-term interest rates are higher or lower than long-term rates. Normally,
the longer the bond, the higher the yield it offers, resulting in a positive
yield curve. An inverted yield curve can occur when there are supply/demand
imbalances for various maturities, which results in short-term rates at higher
levels than longer-term instruments.
YIELD SPREAD: The difference in yield between different types of securities. For
example, if a Treasury bond is yielding 6.00% and a municipal is yielding 5.00%,
the yield spread is 1.00% or 100 basis points.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
J.P. Morgan Institutional Treasury Money Market Fund seeks to provide high
current income consistent with the preservation of capital and same-day
liquidity. 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 INVESTMENT OPERATIONS
7/8/97
- -------------------------------------------------------------------------------
FUND NET ASSETS AS OF 4/30/99
$267,469,040
- -------------------------------------------------------------------------------
PORTFOLIO NET ASSETS AS OF 4/30/99
$626,819,986
- -------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- -------------------------------------------------------------------------------
SHORT-TERM CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
MONTHLY
LONG-TERM CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/13/99
EXPENSE RATIO
The fund's current annualized expense ratio of 0.19% covers shareholders'
expenses for custody, tax reporting, investment advisory and shareholder
services, after reimbursement. The fund is no-load and does not charge any
sales, redemption, or exchange fees. There are no additional charges for buying,
selling, or safekeeping fund shares, or for wiring redemption proceeds from the
fund.
FUND HIGHLIGHTS
ALL DATA AS OF APRIL 30, 1999
DAYS TO MATURITY
(PERCENTAGE OF TOTAL INVESTMENTS)
<TABLE>
<S> <C>
0-30 DAYS 68.83%
31-60 DAYS 6.83%
90 + DAYS 24.34%
</TABLE>
AVERAGE 7-DAY CURRENT YIELD
4.65%*
AVERAGE LIFE
47.1 days
*YIELD REFLECTS THE REIMBURSEMENT OF CERTAIN FUND EXPENSES AS DESCRIBED IN THE
PROSPECTUS. HAD EXPENSES NOT BEEN SUBSIDIZED, THE AVERAGE 7-DAY CURRENT YIELD
WOULD HAVE BEEN 4.43%.
6
<PAGE>
DISTRIBUTED BY FUNDS DISTRIBUTOR, INC. J.P. MORGAN INVESTMENT MANAGEMENT INC.,
SERVES AS INVESTMENT ADVISOR. SHARES OF THE FUND ARE NOT BANK DEPOSITS AND ARE
NOT GUARANTEED BY ANY BANK, GOVERNMENT ENTITY, OR THE FDIC. WHILE THE FUND SEEKS
TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE, THERE IS NO ASSURANCE
THAT IT WILL CONTINUE TO DO SO.
Opinions expressed herein are based on current market conditions and are subject
to change without notice. The fund invests through a master portfolio (another
fund with the same objective).
CALL J.P. MORGAN FUNDS SERVICES AT (800) 766-7722 FOR A PROSPECTUS CONTAINING
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
7
<PAGE>
J.P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Treasury Money Market Portfolio
("Portfolio"), at value $267,692,845
Receivable for Expense Reimbursements 39,037
Deferred Organization Expenses 6,717
Prepaid Trustees' Fees 102
Prepaid Expenses and Other Assets 887
------------
Total Assets 267,739,588
------------
LIABILITIES
Dividends Payable to Shareholders 187,254
Shareholder Servicing Fee Payable 24,132
Administrative Services Fee Payable 6,280
Fund Services Fee Payable 132
Accrued Expenses 52,750
------------
Total Liabilities 270,548
------------
NET ASSETS
Applicable to 267,480,940 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $267,469,040
------------
------------
Net Asset Value, Offering and Redemption Price
Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $267,481,000
Accumulated Net Realized Loss on Investment (11,960)
------------
Net Assets $267,469,040
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $7,844,051
Allocated Portfolio Expenses (Net of
Reimbursement of $90,482) (311,731)
----------
Net Investment Income Allocated from
Portfolio 7,532,320
FUND EXPENSES
Shareholder Servicing Fee $160,696
Administrative Services Fee 42,254
Registration Fees 19,342
Transfer Agent Fees 8,152
Professional Fees 6,510
Fund Services Fee 3,331
Administration Fee 2,473
Amortization of Organization Expenses 1,044
Trustees' Fees and Expenses 912
Miscellaneous 10,186
--------
Total Fund Expenses 254,900
Less: Reimbursement of Expenses (254,900)
--------
NET FUND EXPENSES --
----------
NET INVESTMENT INCOME 7,532,320
NET REALIZED LOSS ON INVESTMENT ALLOCATED FROM
PORTFOLIO (4,668)
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $7,527,652
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
APRIL 30, FOR THE FISCAL
1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
------------ ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 7,532,320 $ 9,594,745
Net Realized Loss on Investment Allocated from
Portfolio (4,668) (7,292)
------------ ----------------
Net Increase in Net Assets Resulting from
Operations 7,527,652 9,587,453
------------ ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (7,532,260) (9,594,745)
Net Realized Gain -- (2,195)
------------ ----------------
Total Distributions to Shareholders (7,532,260) (9,596,940)
------------ ----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(AT A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 539,650,163 1,553,927,465
Reinvestment of Dividends and Distributions 5,720,047 5,208,102
Cost of Shares of Beneficial Interest Redeemed (509,215,714) (1,408,731,059)
------------ ----------------
Net Increase from Transactions in Shares of
Beneficial Interest 36,154,496 150,404,508
------------ ----------------
Total Increase in Net Assets 36,149,888 150,395,021
NET ASSETS
Beginning of Period 231,319,152 80,924,131
------------ ----------------
End of Period $267,469,040 $ 231,319,152
------------ ----------------
------------ ----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL JULY 8, 1997
SIX MONTHS ENDED YEAR (COMMENCEMENT OF
APRIL 30, 1999 ENDED OCTOBER 31, OPERATIONS) THROUGH
(UNAUDITED) 1998 OCTOBER 31, 1997
---------------- ----------------- -------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00
---------------- ----------------- -------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0233 0.0539 0.0176
Net Realized Gain (Loss) on Investment (0.0000)(a) (0.0000)(a) 0.0000(a)
---------------- ----------------- -------------------
Total from Investment Operations 0.0233 0.0539 0.0176
---------------- ----------------- -------------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0233) (0.0539) (0.0176)
Net Realized Gain -- (0.0000)(a) (0.0000)(a)
---------------- ----------------- -------------------
Total Distributions to Shareholders (0.0233) (0.0539) (0.0176)
---------------- ----------------- -------------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00
---------------- ----------------- -------------------
---------------- ----------------- -------------------
RATIOS AND SUPPLEMENTAL DATA
Total Return 2.36%(b) 5.53% 1.77%(b)
Net Assets, End of Period (in thousands) $ 267,469 $ 231,319 $ 80,924
Ratios to Average Net Assets
Net Expenses 0.19%(c) 0.11% 0.04%(c)
Net Investment Income 4.69%(c) 5.37% 5.53%(c)
Expenses without Reimbursement 0.40%(c) 0.44% 1.10%(c)
</TABLE>
- ------------------------
(a) Less than $0.0001.
(b) Not annualized.
(c) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J. P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
J.P. Morgan Institutional Treasury Money Market Fund (the "fund") is a separate
series of J.P. Morgan Institutional Funds, a Massachusetts business trust (the
"trust") which was organized on November 4, 1992. The trust is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company. The fund commenced operations on July 8, 1997.
The fund invests all of its investable assets in The Treasury Money Market
Portfolio (the "portfolio"), a no-load 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 (43% at
April 30, 1999). 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 1a 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) Substantially all the fund's net investment income and net realized
capital gains, if any, are declared as dividends daily and paid monthly.
Net short-term capital gains, if any, will be distributed in accordance
with the requirements of the Internal Revenue Code of 1986 (the "Code"),
as amended and may be reflected in the fund's daily dividends.
Substantially all the realized net long-term capital gains, if any, are
declared and paid annually, except that an additional capital gains
distribution may be made in a given year to the extent necessary to avoid
the imposition of federal excise tax on the fund.
d) 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.
e) The fund incurred organization expenses in the amount of $10,566. These
costs were deferred and are being amortized on a straight-line basis over
a five year period from the commencement of operations.
f) The fund is treated as a separate entity for federal income tax purposes
and intends to comply with the provisions of the Code, 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.
12
<PAGE>
J. P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
g) For federal income tax purposes, the fund had a capital loss carryforward
at October 31, 1998 of $7,292, which expires in 2006. To the extent that
this capital loss is used to offset future capital gains, it is probable
that gains so offset will not be distributed to shareholders.
2. TRANSACTIONS WITH AFFILIATES
a) The trust, on behalf of the fund, has retained Funds Distributor, Inc.
("FDI"), a registered broker-dealer, to serve as the co-administrator and
distributor for the fund. Under a Co-Administration Agreement between FDI
and the trust on behalf of the fund, FDI provides administrative services
necessary for the operations of the fund, furnishes office space and
facilities required for conducting the business of the fund and pays the
compensation of the fund's officers affiliated with FDI. 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 and certain other
investment companies subject to similar agreements with FDI. For the six
months ended April 30, 1999, the fee for these services amounted to
$2,473.
b) The trust, on behalf of the fund, has an Administrative Services Agreement
(the "Services Agreement") with Morgan Guaranty Trust Company of New York
("Morgan"), a wholly owned subsidiary of J.P. Morgan & Co. Incorporated
("J.P. 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 allocable
share of an annual complex-wide charge. This charge is calculated based on
the aggregate average daily net assets of the portfolio and the other
portfolios in which the trust and the J.P. Morgan Funds invest (the
"master portfolios") and J.P. Morgan 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 payable by the fund is
determined by the proportionate share that its net assets bear to the net
assets of the trust, the master portfolios, other investors in the master
portfolios for which Morgan provides similar services, and J.P. Morgan
Series Trust. For the six months ended April 30, 1999, the fee for these
services amounted to $42,254.
In addition, J.P. 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 the
following respective percentages of average daily net assets of the fund
for the periods indicated below:
<TABLE>
<S> <C>
August 1, 1998 -- November 30, 1998................................ 0.15%
December 1, 1998 -- Current........................................ 0.20%
</TABLE>
For the six months ended April 30, 1999, J.P. Morgan has agreed to
reimburse the fund $345,382 for expenses under this agreement. The total
operating expenses for the fund is a blended ratio which is based on
reimbursements in effect for the six months ended April 30, 1999 and may
not necessarily represent the actual amount incurred by the shareholder.
This reimbursement arrangement can be changed or terminated at any time at
the option of J.P. Morgan.
13
<PAGE>
J. P. MORGAN INSTITUTIONAL TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
c) The trust, on behalf of the fund, has a Shareholder Servicing Agreement
with Morgan to provide account administration and personal account
maintenance service to fund shareholders. 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 0.10% of the average daily net assets of
the fund. For the six months ended April 30, 1999, the fee for these
services amounted to $160,696.
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
$3,331 for the six months ended April 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the master portfolios and
J.P. Morgan Series Trust. The Trustees' Fees and Expenses shown in the
financial statements represents the fund's allocated portion of these
total fees and expenses. The trust's Chairman and Chief Executive Officer
also serves as Chairman of Group and receives 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.
14
<PAGE>
The Treasury Money Market Portfolio
Semiannual Report April 30, 1999
(unaudited)
(The following pages should be read in conjunction
with J.P. Morgan Institutional Treasury Money Market Fund
Semiannual Financial Statements)
15
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATE RATE VALUE
- -------------- ------------------------------------------------- ------------- --------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (43.7%)
$ 80,000 United States Treasury Notes..................... 05/15/99 6.375% $ 80,047,514
42,500 United States Treasury Notes..................... 05/31/99 6.250 42,522,728
20,000 United States Treasury Notes..................... 07/31/99 5.875 20,017,530
40,000 United States Treasury Notes..................... 09/30/99 7.125 40,403,656
75,000 United States Treasury Notes..................... 10/31/99 7.500 75,991,478
15,000 United States Treasury Notes..................... 01/15/00 6.375 15,172,943
-------------
TOTAL U.S. TREASURY OBLIGATIONS.............. 274,155,849
-------------
REPURCHASE AGREEMENTS (55.6%)
30,000 First Boston Repurchase Agreement, dated
04/30/99, at 4.800%, proceeds include interest
$30,012,000 (collateralized by $24,708,000 U.S.
Treasury Bonds, 11.125% through 14.250%, due
02/15/02 though 08/15/03, valued at
$30,894,757)................................... 05/03/99 4.800 30,000,000
118,534 Goldman Sachs Repurchase Agreement,
dated 04/30/99, at 4.890%, proceeds include
interest $118,582,303 (e)...................... 05/03/99 4.890 118,534,000
30,000 Lehman Brothers Repurchase Agreement,
dated 04/30/99, at 4.880%, proceeds include
interest $30,012,200 (collateralized by
$30,120,000 U.S. Treasury Notes, 5.250%, due
08/15/03, valued at $30,593,849)............... 05/03/99 4.880 30,000,000
25,000 Merrill Lynch Repurchase Agreement,
dated 04/30/99, at 4.850%, proceeds include
interest $25,010,104 (collateralized by
$22,720,000 U.S. Treasury Notes, 7.000%, due
07/15/06, valued at $25,503,061)............... 05/03/99 4.850 25,000,000
145,000 Westdeutsche Landesbank Repurchase Agreement,
dated 04/30/99, at 4.880%, proceeds include
interest $145,058,967 (collateralized by
$93,000,000 U.S. Treasury Bonds, 11.250%, due
02/15/15, valued at $148,838,803).............. 05/03/99 4.880 145,000,000
-------------
TOTAL REPURCHASE AGREEMENTS.................. 348,534,000
-------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.3%)....................... 622,689,849
OTHER ASSETS IN EXCESS OF LIABILITIES (0.7%)................................ 4,130,137
-------------
NET ASSETS (100.0%)......................................................... $ 626,819,986
-------------
-------------
</TABLE>
- ------------------------------
(e)Collateralized by:
U.S. Treasury Bonds $54,463,000, 7.250% due 05/15/16
U.S. Treasury Notes $56,485,000, 4.750% due 11/15/08
Valued at $120,904,969
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $274,155,849
Repurchase Agreement at Amortized Cost and Value 348,534,000
Cash 416
Interest Receivable 4,331,478
Receivable for Expense Reimbursement 33,121
Prepaid Expenses and Other Assets 3,271
------------
Total Assets 627,058,135
------------
LIABILITIES
Advisory Fee Payable 124,611
Administrative Services Fee Payable 16,282
Accrued Trustees' Fees and Expenses 711
Administration Fee Payable 521
Fund Services Fee Payable 336
Accrued Expenses 95,688
------------
Total Liabilities 238,149
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $626,819,986
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $20,325,768
EXPENSES
Advisory Fee $ 828,940
Administrative Services Fee 109,831
Custodian Fees and Expenses 59,804
Professional Fees and Expenses 19,472
Fund Services Fee 8,635
Administration Fee 4,035
Trustees' Fees and Expenses 3,320
Miscellaneous 7,563
----------
Total Expenses 1,041,600
Less: Reimbursement of Expenses (235,867)
----------
NET EXPENSES 805,733
-----------
NET INVESTMENT INCOME 19,520,035
NET REALIZED LOSS ON INVESTMENTS (10,437)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $19,509,598
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 19,520,035 $ 28,925,807
Net Realized Loss on Investments (10,437) (11,600)
-------------- ----------------
Net Increase in Net Assets Resulting from
Operations 19,509,598 28,914,207
-------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,283,002,165 5,803,822,953
Withdrawals (2,380,738,451) (5,244,794,486)
-------------- ----------------
Net Increase (Decrease) from Investors'
Transactions (97,736,286) 559,028,467
-------------- ----------------
Total Increase (Decrease) in Net Assets (78,226,688) 587,942,674
NET ASSETS
Beginning of Period 705,046,674 117,104,000
-------------- ----------------
End of Period $ 626,819,986 $ 705,046,674
-------------- ----------------
-------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL JULY 7, 1997
SIX MONTHS ENDED YEAR (COMMENCEMENT OF
APRIL 30, 1999 ENDED OCTOBER 31, OPERATIONS) THROUGH
(UNAUDITED) 1998 OCTOBER 31, 1997
---------------- ----------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.19%(a) 0.12% 0.04%(a)
Net Investment Income 4.68%(a) 5.35% 5.52%(a)
Expenses without Reimbursement 0.25%(a) 0.27% 0.52%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury Money Market Portfolio (the "portfolio") is one of two subtrusts
("portfolios") comprising Series Portfolio II. Series Portfolio II is registered
under the Investment Company Act of 1940, as amended, as a no-load, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 9, 1997. The portfolio commenced operations on
July 7, 1997. The portfolio's investment objective is to provide high current
income consistent with the preservation of capital and same-day liquidity. 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 tri-party 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. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) Expenses incurred by Series Portfolio II with respect to any two or more
portfolios in Series Portfolio II are allocated in proportion to the net
assets of each portfolio in Series Portfolio II, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
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. The cost of securities is substantially the
same for book and tax purposes.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), a wholly owned subsidiary of J.P.
Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM 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 six months ended April 30, 1999, such fees
amounted to $828,940.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio 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 portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the six months ended April 30, 1999, the fee for
these services amounted to $4,035.
c) The portfolio 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 portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J. P. Morgan 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 payable by the portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
For the six months ended April 30, 1999, the fee for these services
amounted to $109,831.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than the following respective percentages of average daily net
assets of the portfolio for the periods indicated below:
<TABLE>
<S> <C>
August 1, 1998 - November 30, 1998................................. 0.15%
December 1, 1998 - Current......................................... 0.20%
</TABLE>
For the six months ended April 30, 1999, J.P. Morgan has agreed to
reimburse the portfolio $235,867 for expenses under this agreement. The
total operating expenses for the portfolio is a blended ratio which is
based on reimbursements in effect for the six months ended April 30, 1999
and may not necessarily represent the actual amount incurred by an
interest holder. This reimbursement arrangement can be changed or
terminated at any time at the option of J.P. Morgan.
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 $8,635 for the six months ended April 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios and J.P. Morgan 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 receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $1,800.
22
<PAGE>
J.P. MORGAN INSTITUTIONAL FUNDS
PRIME MONEY MARKET FUND
TREASURY MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
TAX AWARE ENHANCED INCOME FUND:
INSTITUTIONAL SHARES
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
TAX EXEMPT BOND FUND
NEW YORK TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: INSTITUTIONAL SHARES
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
TAX AWARE DISCIPLINED EQUITY FUND:
INSTITUTIONAL SHARES
INTERNATIONAL EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
EMERGING MARKETS EQUITY FUND
SMARTINDEX-TM- FUND
FOR MORE INFORMATION ON THE J.P. MORGAN INSTITUTIONAL
FUNDS, CALL J.P. MORGAN FUNDS SERVICES AT
(800) 766-7722.
IM0398-I
J.P. MORGAN
INSTITUTIONAL
TREASURY MONEY
MARKET FUND
SEMIANNUAL REPORT
APRIL 30, 1999
