<PAGE>
THE
JPM PIERPONT
NEW YORK
TOTAL RETURN
BOND FUND
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1996
<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
November 15, 1996
Dear Shareholder:
We are pleased to report that The JPM Pierpont New York Total Return Bond Fund
provided attractive absolute returns while also outperforming its competitors,
as measured by the Composite High Quality Intermediate New York Municipal Bond
Fund Average, for the six-month period ended September 30, 1996. In a
challenging environment for municipal bond fund managers, we believe that
actively managed security selection and sector allocation in the Fund's
Portfolio helped it outperform its competitors. For the six-month period, the
Fund returned 2.23% compared with 2.01% for the Composite High Quality
Intermediate New York Municipal Bond Fund Average. The Fund fell short, however,
of the 2.85% six-month 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 remained constant at $10.34 over the period, after
making distributions of $0.23 per share from ordinary income, all of which is
tax exempt. The Fund's net assets stood at $55.4 million at the end of the
reporting period, up from $50.5 million on March 31, 1996. The net assets of The
New York Total Return Bond Portfolio, in which the Fund invests, totaled
approximately $134.0 million at September 30, 1996.
Elizabeth Augustin, is part of our portfolio management team for the New York
Total Return Bond Portfolio, in which the Fund invests. On the following pages,
she answers some questions about activity in the Fund over the previous six
month period and comments on the outlook for New York bonds over the coming
months. We have also added a glossary of terms on page 6.
As always, we welcome your comments or questions. Please call J.P. Morgan Funds
Services toll free at (800) 521-5411.
Sincerely yours,
/S/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
- --------------------------------------------------------------------------------
TABLE OF CONTENTS GLOSSARY OF TERMS. . . . . . . 6
LETTER TO THE SHAREHOLDERS. . . . 1 FUND FACTS AND HIGHLIGHTS. . . 7
FUND PERFORMANCE. . . . . . . . . 2 SPECIAL FUND-BASED SERVICES. . 8
PORTFOLIO MANAGER Q & A . . . . . 3 FINANCIAL STATEMENTS . . . . . 10
- --------------------------------------------------------------------------------
1
<PAGE>
Fund performance
EXAMINING PERFORMANCE
There are several ways to evaluate a mutual fund's historical performance
record. One approach 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.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
------------------------- --------------------------------
THREE SIX ONE SINCE
AS OF SEPTEMBER 30, 1996 MONTHS MONTHS YEAR INCEPTION*
- ------------------------------------------------------------------------------ --------------------------------
<S> <C> <C> <C> <C>
The JPM Pierpont New York
Total Return Bond Fund 2.10% 2.23% 4.41% 5.99%
Lehman Brothers New York 1-15
Year Municipal Bond Index 2.19% 2.85% 5.85% 7.06%
Composite High Quality Intermediate
New York Municipal Bond Fund Average 1.68% 2.01% 3.95% 5.20%
Lipper New York Intermediate
Municipal Debt Funds Average 1.83% 2.09% 4.17% 5.72%
</TABLE>
*4/11/94 -- COMMENCEMENT OF OPERATIONS (AVERAGE ANNUAL TOTAL RETURNS BASED ON
MONTH END FOLLOWING INCEPTION; ACTUAL AVERAGE ANNUAL RETURN SINCE INCEPTION IS
5.95%).
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
PIERPONT 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 OF SECURITIES IN WHICH
INVESTORS MAY NOT DIRECTLY INVEST. THE COMPOSITE HIGH QUALITY INTERMEDIATE NEW
YORK MUNICIPAL BOND FUND AVERAGE PERFORMANCE IS DERIVED FROM ALL 19 FUNDS IN THE
MORNINGSTAR UNIVERSE HAVING A NEW YORK MUNICIPAL BOND OBJECTIVE, A HIGH QUALITY
FOCUS, AND AN INTERMEDIATE MATURITY. MORNINGSTAR, INC. AND LIPPER ANALYTICAL
SERVICES, INC. ARE LEADING RESOURCES 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 Pierpont 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 November 12, 1996 and
represents her views on that date.
ELIZABETH, WHAT WERE THE MOST SIGNIFICANT EVENTS FOR THE TAX EXEMPT BOND MARKET
IN GENERAL, AND THE NEW YORK MUNICIPAL MARKET IN PARTICULAR, IN THE SIX MONTH
PERIOD FROM APRIL 1 TO SEPTEMBER 30?
EA: The flat tax fears that characterized the market last year have not risen
again. With less concern about tax reform, demand for municipals remained
constant, but issuance fell off as the cost of borrowing rose. As a result, the
municipal market performed very well compared to the taxable one.
In addition, there was a significant tightening of quality spreads, which is
to say, the difference in yield between AAA and BBB narrowed. Because BBBs
constitute a considerable portion of the New York market, this was positive for
the New York sector of the municipal market.
HOW DID WE POSITION THE PORTFOLIO TO RESPOND TO THESE EVENTS?
EA: With a rising rate environment such as we have seen for the last year or so,
premium bonds (bonds priced above par value) have had better price performance.
The Portfolio had substantial holdings of premiums, and this was beneficial to
the Fund's performance. As a complement to those investments, over the course of
the last six months we've also purchased zero coupon bonds. The combination of
these with the premiums creates an investment that is "current coupon-like," but
which has the relatively higher yield and lower volatility of premiums.
As interest rates leveled off, the Portfolio maintained an essentially neutral
duration over the period. It also remained 100% invested in municipal bonds. In
addition, credit spreads in the public market tightened to the point where we
did not believe investors were being compensated for assuming the additional
risk of lower-rated securities. Consequently, we pursued extra yield in the
private placement market.
ARE TAX EXEMPT BOND FUNDS SUBJECT TO CYCLICAL SUPPLY AND DEMAND FACTORS AND, IF
SO, WHAT ARE SOME OF THESE FACTORS?
EA: Tax exempt securities are certainly subject to factors associated with
market cycles. For example, early in the year, when rates were lower, there was
some refunding by issuers which provided ample supply to the market. Then, as
rates rose, issuers retreated from the market and supply fell off, particularly
since early July. This slackening in supply has supported municipal prices, and
as a result, municipal securities have outperformed their taxable counterparts
over the period.
3
<PAGE>
An environment of low supply can also make it difficult for managers to find
attractive investments, although this has not been a problem for the Portfolio,
chiefly because of our in-house trading desk. Our traders have been quite
resourceful in uncovering pockets of supply, partly as a result of our traders'
wide market coverage, and partly because our considerable institutional presence
affords opportunities that lower-volume buyers may not have access to. As a
result, we have been able to remain fully invested in municipals.
ORANGE COUNTY EMERGED FROM BANKRUPTCY IN JUNE 1996. HAS THE MUNICIPAL MARKET
RETURNED TO PRE-ORANGE COUNTY CONDITIONS, OR DOES IT APPEAR TO HAVE BEEN
PERMANENTLY CHANGED BY THE BANKRUPTCY? IF SO, IN WHAT WAYS?
EA: The market appears to have fully recovered from the Orange County
bankruptcy. Indeed, recovery bonds were issued this year by Orange County,
although we did not participate in the offering because we felt the yields were
too low for the risk level. However, the problems in Orange County and in other
parts of the municipal market highlight the importance of continuous credit
analysis on municipal bonds, and that's what our municipal team does every day.
A MOVEMENT OF IMPROVED FISCAL STABILITY APPEARS TO BE AFFECTING MUNICIPAL
GOVERNMENTS EVERYWHERE. GOVERNOR PATAKI WAS ELECTED, IN PART, BY RUNNING ON A
PLATFORM OF REDUCED SPENDING AND HAS UNDERTAKEN INITIATIVES, WELFARE REFORM IN
PARTICULAR, WHICH, IF SUCCESSFUL, ARE EXPECTED TO REDUCE PUBLIC SPENDING FOR
SOCIAL SERVICES. HAS THIS NEW TREND BEEN BENEFICIAL FOR NEW YORK STATE
BONDHOLDERS?
EA: There has not been a huge change in fiscal affairs at the state-wide level
but, in the context of the Pataki administration, efforts are being made in
terms of investor relations. There has been a fair amount of communication about
State fiscal affairs, and there is even communication by way of a Website. In
the municipal market, where disclosure is very much an issue, these kinds of
initiatives are viewed very positively by us and by bondholders in general.
NEW YORK CITY, WHICH IS A LARGE PART OF THE NEW YORK MARKET, APPEARS TO HAVE
BEEN ON AN UPSWING OVER THE LAST YEAR OR SO. CRIME RATES ARE DOWN. REAL ESTATE
PRICES ARE SOARING. THE GIULIANI ADMINISTRATION IS GETTING HIGH MARKS FOR
IMPROVING MUNICIPAL SERVICES WITHOUT UNDERMINING THE BUDGET. HAS THIS APPARENT
TURNAROUND HAD ANY EFFECT ON THE VALUE OF NEW YORK CITY BONDS?
EA: These factors have not caused a significant improvement in New York City
credit at this juncture, but what they have provided is more stability to the
credit than had existed previously. With that in mind, the Portfolio continues
to have 13.4% of its total assets invested in New York City at what we consider
to be very attractive levels, and we're very comfortable with this allocation.
4
<PAGE>
THE JPM PIERPONT FUND OUTPERFORMED THE LIPPER COMPETITIVE UNIVERSE BY 14 BASIS
POINTS OVER THE SIX MONTH PERIOD AND BY 24 BASIS POINTS OVER THE PAST YEAR. IN
YOUR OPINION, WHAT FACTORS CONTRIBUTED TO THIS OUTPERFORMANCE?
EA: As mentioned earlier, the Portfolio's participation in the BBB market as
spreads tightened was beneficial to the Fund's performance. Also, our strategy
of combining premium bonds with zero coupon bonds has provided our Fund with
good downside protection in the rising rate environment.
I would also note that competitive numbers are not risk-adjusted. The Fund's
performance has been good but we believe it has also entailed less risk, that is
to say less performance variation than its competitors.
Competitive performance is also reported on a before-tax basis. A portfolio
that holds tax exempt securities can still incur substantial tax liabilities as
a result of net capital gains and income tax due to accretion of discount bonds.
We take these potential liabilities into account in the management of the
Portfolio in an effort to maximize performance after taxes. We believe that on
an after-tax basis, which is what ultimately matters to the investor, the Fund's
performance has been even better than what is suggested by competitive
performance numbers.
WHAT IS YOUR OUTLOOK FOR THE MUNICIPAL BOND MARKET, AND THE NEW YORK MARKET IN
PARTICULAR, OVER THE NEXT SIX MONTHS? ARE THE ELECTION RESULTS LIKELY TO HAVE
ANY EFFECT ON MUNIS?
EA: While the low levels of unemployment still represent some inflation risk to
the economy, we see the economy as past its peak and therefore feel that
inflation risk is minimal. This makes us positive on the bond market in general.
We expect municipals to perform strongly as well, unless some factor leads to a
resurgence of supply in that market. Additionally, it appears that talk of flat
taxes has disappeared, at least for the next four years. With Democratic control
of the White House and Republican control of the legislature, we do not
anticipate any tax changes that would have a serious impact on the municipal
market.
HOW DO YOU EXPECT TO POSITION THE PORTFOLIO GOING FORWARD?
EA: We continue to have a positive outlook on New York. We expect to keep the
Portfolio in the intermediate part of the yield curve, which has been, and
continues to be, the most attractive area. Over time intermediate-term tax
exempts have captured three-quarters of the return of long-term tax exempts with
half the volatility.
We expect to keep the Portfolio 100% invested in municipals and to look for
longer positions whenever interest rates rise. We continue to find merit in the
Portfolio's premium and zero coupon strategy and will also seek high quality
private placements as a source of higher yield. In addition, we expect to
maintain the Portfolio's holdings of BBB credits and to add to them when we see
value.
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 and 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 by 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.
ZERO COUPON BOND: A debt instrument sold at a discount to its face value. The
bond makes no payments until maturity, at which time it is redeemed at face
value. Effectively, the interest received is the difference between face value
and the price paid for the security.
6
<PAGE>
Fund facts
INVESTMENT OBJECTIVE
The JPM Pierpont 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 9/30/96
$55,360,454
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATES (IF APPLICABLE)
12/20/96
EXPENSE RATIO
The Fund's current annual expense ratio of 0.75% covers shareholders expenses
for custody, tax reporting, investment advisory and shareholder services, after
reimbursement. The Fund is no-load and does not charge any sales, redemption, or
exchange fees. There are no additional charges for buying, selling, or
safekeeping Fund shares, or for wiring redemption proceeds from the Fund.
FUND HIGHLIGHTS
ALL DATA AS OF SEPTEMBER 30, 1996
SECTOR ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[Pie Chart]
/ / Revenue 64.5%
/ / General obligations 28.2%
/ / Short-term & other 4.0%
/ / Special obligations 2.5%
/ / Private placements 0.8%
30-DAY SEC YIELD
4.42%
DURATION
6.29 years
QUALITY PROFILE
AAA-A- 76.5%
Other 23.5%
7
<PAGE>
Special Fund-Based Services
PIERPONT ASSET ALLOCATION SERVICE (PAAS)
For many investors, a diversified portfolio -- including short-term instruments,
bonds, and stocks -- can offer an excellent opportunity to achieve one's
investment objectives. PAAS provides investors with a comprehensive management
program for their portfolios. Through this service, investors can:
- Create and maintain an asset allocation that is specifically targeted at
meeting their most critical investment objectives;
- Make ongoing tactical adjustments in the actual asset mix of their
portfolios to capitalize on shifting market trends;
- Make investments through The JPM Pierpont Funds, a family of diversified
mutual funds.
PAAS is available to clients who invest a minimum of $500,000 in The JPM
Pierpont Funds.
IRA MANAGEMENT SERVICE
As one of the few remaining investments that can help your assets grow tax-
deferred until retirement, the IRA enables more of your dollars to work for you
longer. Morgan offers an IRA Rollover plan that helps you to build well-balanced
long-term investment portfolios, diversified across a wide array of mutual
funds. From money markets to emerging markets, The JPM Pierpont Funds provide an
excellent way to help you accumulate long-term wealth for retirement.
KEOGH
A Keogh provides another excellent vehicle to help individuals who are self-
employed or are employees of unincorporated businesses to accumulate retirement
savings. A Keogh is a tax-deferred pension plan that can allow you to contribute
the lesser of $30,000 or 25% of your annual earned gross compensation. The JPM
Pierpont Funds can help you build a comprehensive investment program designed to
maxi-mize the retirement dollars in your Keogh account.
8
<PAGE>
FUNDS DISTRIBUTOR, INC. IS THE DISTRIBUTOR OF THE JPMPIERPONT NEW YORK TOTAL
RETURN BOND FUND (THE "FUND"). SIGNATURE BROKER-DEALER SERVICES, INC. SERVED AS
THE FUND'S DISTRIBUTOR PRIOR TO AUGUST 1, 1996.
MORGAN GUARANTY TRUST COMPANY OF NEW YORK ("MORGAN")SERVES AS PORTFOLIO
INVESTMENT ADVISOR AND MAKES THE FUND AVAILABLE SOLELY IN ITS CAPACITY AS
SHAREHOLDER SERVICING AGENT FOR CUSTOMERS. INVESTMENTS IN THE FUND ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, MORGAN OR ANY OTHER
BANK. SHARES OF THE FUND ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT
INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENTAL
AGENCY. 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.
The 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) 521-5411.
9
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
SEPTEMBER 30, 1996
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<TABLE>
<S> <C>
ASSETS
Investment in The New York Total Return Bond
Portfolio ("Portfolio"), at value $ 55,448,207
Deferred Organization Expenses 6,912
Receivable for Expense Reimbursements 4,157
Prepaid Trustees' Fees 79
Prepaid Expenses and Other Assets 254
--------------
Total Assets 55,459,609
--------------
LIABILITIES
Dividends Payable to Shareholders 69,106
Shareholder Servicing Fee Payable 9,006
Administrative Services Fee Payable 2,930
Administration Fee Payable 188
Fund Services Fee Payable 131
Accrued Expenses 17,794
--------------
Total Liabilities 99,155
--------------
NET ASSETS
Applicable to 5,354,633 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $ 55,360,454
--------------
--------------
Net Asset Value, Offering and Redemption Price Per
Share $10.34
-----
-----
ANALYSIS OF NET ASSETS
Paid-in Capital $ 53,982,790
Accumulated Net Realized Gain on Investment 127,210
Net Unrealized Appreciation of Investment 1,250,454
--------------
Net Assets $ 55,360,454
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $ 1,384,640
Allocated Portfolio Expenses (118,780)
--------------
Net Investment Income Allocated from Portfolio 1,265,860
FUND EXPENSES
Shareholder Servicing Fee $ 53,457
Printing Expenses 13,471
Transfer Agent Fees 12,662
Administrative Services Fee 7,221
Professional Fees 4,487
Administration Fee 2,586
Amortization of Organization Expenses 1,341
Fund Services Fee 1,337
Trustees' Fees and Expenses 459
Miscellaneous 1,885
--------------
Total Fund Expenses 98,906
Less: Reimbursement of Expenses (17,222)
--------------
NET FUND EXPENSES 81,684
--------------
NET INVESTMENT INCOME 1,184,176
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM
PORTFOLIO 11,361
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENT ALLOCATED FROM PORTFOLIO 29,326
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 1,224,863
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 1,184,176 $ 1,984,004
Net Realized Gain on Investment Allocated from
Portfolio 11,361 333,789
Net Change in Unrealized Appreciation of
Investment Allocated from Portfolio 29,326 619,489
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 1,224,863 2,937,282
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (1,184,176) (1,984,004)
Net Realized Gain -- (114,843)
-------------- --------------
Total Distributions to Shareholders (1,184,176) (2,098,847)
-------------- --------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 6,984,985 16,534,615
Reinvestment of Dividends and Distributions 842,954 1,722,692
Cost of Shares of Beneficial Interest Redeemed (3,031,078) (6,709,962)
-------------- --------------
Net Increase from Transactions in Shares of
Beneficial Interest 4,796,861 11,547,345
-------------- --------------
Total Increase in Net Assets 4,837,548 12,385,780
NET ASSETS
Beginning of Period 50,522,906 38,137,126
-------------- --------------
End of Period $ 55,360,454 $ 50,522,906
-------------- --------------
-------------- --------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS APRIL 11, 1994
ENDED (COMMENCEMENT
SEPTEMBER 30, FOR THE FISCAL OF
1996 YEAR ENDED OPERATIONS) TO
(UNAUDITED) MARCH 31, 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 0.23 0.46 0.40
Net Realized and Unrealized Gain on Investment -- 0.26 0.11
--------------- --------------- ---------------
Total from Investment Operations 0.23 0.72 0.51
--------------- --------------- ---------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.23) (0.46) (0.40)
Net Realized Gain -- (0.03) --
--------------- --------------- ---------------
Total Distributions to Shareholders (0.23) (0.49) (0.40)
--------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 10.34 $ 10.34 $ 10.11
--------------- --------------- ---------------
--------------- --------------- ---------------
Total Return 2.23%(a) 7.16% 5.26%(a)
--------------- --------------- ---------------
--------------- --------------- ---------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands) $ 55,360 $ 50,523 $ 38,137
Ratios to Average Net Assets
Expenses 0.75%(b) 0.75% 0.75%(b)
Net Investment Income 4.42%(b) 4.43% 4.31%(b)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.06%(b) 0.04% 0.22%(b)
</TABLE>
- ------------------------
(a)Not annualized.
(b)Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Pierpont New York Total Return Bond Fund (the "Fund") is a separate
series of The JPM Pierpont 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. Prior to October 10, 1996, the Trust's and the Fund's names were
The Pierpont Funds and The Pierpont New York Total Return Bond Fund,
respectively.
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 (41% at
September 30, 1996). The performance of the Fund is directly affected by the
performance of the Portfolio. The financial statements of the Portfolio,
including the Schedule of Investments, are included elsewhere in this report and
should be read in conjunction with the Fund's financial statements.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Fund:
a)Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in
this report.
b)The Fund records its share of net investment income, realized and
unrealized gain and loss and adjusts its investment in the Portfolio each
day. All the 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 $13,301. These
costs were deferred and are being amortized on a straight-line basis over
a five-year period from the commencement of operations.
e)Each series of the Trust is treated as a separate entity for federal
income tax purposes. The Fund intends to comply with the provisions of the
Internal Revenue Code of 1986, as amended, applicable to regulated
investment companies and to distribute substantially all of its income,
including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for federal income or excise tax is
necessary.
f)Expenses incurred by the Trust with respect to any two or more funds in
the Trust are allocated in proportion to the net assets of each fund in
the Trust, except where allocations of direct expenses to each fund can
otherwise be made fairly. Expenses directly attributable to a fund are
charged to that fund.
14
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Trust had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and distributor. Under an
Administration Agreement, Signature provided administrative services
necessary for the operations of the Fund, furnished office space and
facilities required for conducting the business of the Fund and paid the
compensation of the Fund's officers affiliated with Signature. 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 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 Fund was determined by the proportionate share its net
assets bore to the total net assets of the Trust, The JPM Institutional
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 $2,246. 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 Institutional
Funds, The JPM Advisor Funds and the Master Portfolios. For the period
from August 1, 1996 through September 30, 1996, the fee for these services
amounted to $340.
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 $4,296.
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios'
aggregate average daily net assets and 0.04% of the Master Portfolios'
aggregate average daily net assets in excess of
15
<PAGE>
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
$7 billion less the complex-wide fees payable to FDI. The allocation of
the Fund's portion of this charge is described above (see Note 2a). For
the period from August 1, 1996 through September 30, 1996, the fee for
these services amounted to $2,925.
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
0.75% of the average daily net assets of the Fund through July 31, 1997.
For the six months ended September 30, 1996, Morgan has agreed to
reimburse the Fund $17,222 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 0.20% of the average daily net assets of the Fund. For the six months
ended September 30, 1996, the fee for these services amounted to $53,457.
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
$1,337 for the six months ended September 30, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Trust, The JPM Institutional Funds and the Master
Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represent 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 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 $200.
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 SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) MARCH 31, 1996
---------------- ----------------
<S> <C> <C>
Shares of beneficial interest sold...... 679,805 1,595,286
Reinvestment of dividends and
distributions.......................... 82,006 165,754
Shares of beneficial interest
redeemed............................... (295,176) (645,002)
---------------- ----------------
Net Increase............................ 466,635 1,116,038
---------------- ----------------
---------------- ----------------
</TABLE>
16
<PAGE>
The New York Total Return Bond Portfolio
Semi-Annual Report September 30, 1996
(unaudited)
(The following pages should be read in conjunction
with The JPM Pierpont New York Total Return Bond Fund
Semi-Annual Financial Statements)
17
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
LONG-TERM INVESTMENTS (96.4%)
ALASKA (1.2%)
$2,000 North Slope Borough, (Capital Appreciation, Series
A, Zero Coupon), MBIA Insured .................. GO Aaa/AAA 06/30/01 0.000% $ 1,575,960
------------
ARIZONA (2.0%)
1,015 Tucson, (Street & Highway User Revenue, Senior
Lien, Series 1994-B), MBIA Insured ............. RB Aaa/AAA 07/01/11 7.500 1,223,958
1,250 Tucson, (Street & Highway User Revenue, Senior
Lien, Series 1994-B), MBIA Insured ............. RB Aaa/AAA 07/01/12 7.500 1,513,987
------------
TOTAL ARIZONA ................................ 2,737,945
------------
CALIFORNIA (2.4%)
1,000 California ....................................... GO A1/A+ 02/01/09 6.600 1,107,720
1,000 California ....................................... GO A1/A+ 09/01/10 6.500 1,105,580
1,000 Kaweah Delta Hospital District, Tulare County,
(Series F, due 06/01/14) ....................... PP NR/NR 06/01/97(b) 5.250 1,009,310
------------
TOTAL CALIFORNIA ............................. 3,222,610
------------
GEORGIA (4.3%)
3,500 Georgia, (Series D) .............................. GO Aaa/AA+ 09/01/13 3.250 2,655,905
1,000 Gwinnett County School District, (Refunding,
Series B) ...................................... GO Aa1/AA 02/01/07 6.400 1,104,200
750 Municipal Electric Authority, (First Crossover,
General Resolution) ............................ SO A/A 01/01/12 6.500 811,312
1,000 Municipal Electric Authority, Project 1, (Sixth
Crossover), AMBAC Insured ...................... RB Aaa/AAA 01/01/08 7.000 1,143,510
------------
TOTAL GEORGIA ................................ 5,714,927
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
ILLINOIS (4.7%)
$1,355 Chicago Metropolitan Water Reclamation District,
(Greater Chicago, Capital Improvement) ......... GO Aa/AA 12/01/09 5.600% $ 1,376,612
2,200 Chicago Motor Fuel Tax Revenue, (Refunding), AMBAC
Insured ........................................ RB Aaa/AAA 01/01/09 6.125 2,343,418
2,500 Illinois, Sales Tax Revenue, (Refunding, Series
Q) ............................................. RB A1/AAA 06/15/12 6.000 2,614,000
------------
TOTAL ILLINOIS ............................... 6,334,030
------------
MASSACHUSETTS (0.8%)
1,000 Massachusetts Bay Transportation Authority,
General Transportation System, (Refunding,
Series A) ...................................... RB A1/A+ 03/01/08 7.000 1,145,120
------------
NEVADA (0.9%)
2,450 Clark County School District, Zero Coupon,
(Refunding, Series B), FGIC Insured ............ GO Aaa/AAA 03/01/09 0.000 1,220,541
------------
NEW JERSEY (3.2%)
2,000 New Jersey Transportation Traffic Authority,
(Refunding, Series B), MBIA Insured ............ RB Aaa/AAA 06/15/10 6.500 2,219,160
2,000 New Jersey Turnpike Authority, (Series A) ........ RB Baa1/BBB+ 01/01/98 5.200 2,022,560
------------
TOTAL NEW JERSEY ............................. 4,241,720
------------
NEW YORK (69.0%)
2,250 Grand Central District Management Association
Inc., (Business Improvement District,
Prerefunded, due 01/01/22) ..................... SO Aaa/AAA 01/01/02(b) 6.500 2,476,057
555 Islip, (Prerefunded, due 06/01/01), MBIA
Insured ........................................ GO Aaa/AAA 06/01/98(b) 7.300 594,161
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$1,370 Metropolitan Transportation Authority, (NY Service
Contract, Commuter Facilities, Refunding, Series
N) ............................................. RB Baa1/BBB 07/01/02 6.625% $ 1,472,901
1,500 Metropolitan Transportation Authority, (NY Service
Contract, Commuter Facilities, Refunding, Series
O) ............................................. RB Baa1/BBB 07/01/08 5.750 1,499,850
1,500 Metropolitan Transportation Authority, (NY
Transportation Facilities, Refunding, Series K),
MBIA Insured ................................... RB Aaa/AAA 07/01/07 6.300 1,650,045
55 Monroe County, (Public Improvement, Prerefunded,
Escrowed to Maturity), AMBAC Insured ........... GO Aaa/AAA 06/01/08 5.875 58,213
1,075 Monroe County, (Public Improvement, Unrefunded
Balance), AMBAC Insured ........................ GO Aaa/AAA 06/01/08 5.875 1,131,061
2,000 Municipal Assistance Corporation for City of New
York, (Refunding, Series 68) . RB Aa/AA- 07/01/99 7.000 2,130,580
2,000 Municipal Assistance Corporation for City of New
York, (Refunding, Series D), AMBAC Insured ..... RB Aaa/AAA 07/01/00 6.000 2,100,260
1,475 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, Prerefunded, Series A,
due 06/15/09) .................................. RB NR/AAA 06/15/99(b) 7.375 1,609,771
1,750 New York City, (Refunding, Series A) ............. GO Baa1/BBB+ 08/01/02 5.750 1,775,795
1,250 New York City, (Refunding, Series A) ............. GO Baa1/BBB+ 08/01/04 7.000 1,349,788
6,000 New York City, (Refunding, Series A, due
08/01/03) ...................................... GO Baa1/BBB+ 08/01/02(b) 6.250 6,214,980
1,070 New York City, (Refunding, Series C) ............. GO Baa1/BBB+ 02/01/04 6.000 1,087,644
1,500 New York City, (Refunding, Series H) ............. GO Baa1/BBB+ 03/15/05 6.500 1,568,340
1,500 New York City, (Refunding, Series H, Escrowed to
Maturity) ...................................... GO Aaa/AAA 08/01/00 7.875 1,676,415
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$3,700 New York State Dormitory Authority, (City
University System, Prerefunded, Series A, due
07/01/20) ...................................... RB Aaa/BBB 07/01/00(b) 7.625% $ 4,158,800
1,000 New York State Dormitory Authority, (City
University System, Refunding, Series D) ........ RB Baa1/BBB 07/01/03 8.750 1,192,820
1,175 New York State Dormitory Authority, (Mental Health
Services Facilities Improvements, Series B) .... RB Baa1/BBB+ 02/15/09 6.500 1,258,625
1,750 New York State Dormitory Authority, (State
University Educational Facilities, Prerefunded,
Series B, due 05/15/15) ........................ RB Aaa/BBB+ 05/15/00(b) 7.250 1,939,595
1,500 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series A) ...................................... RB Baa1/BBB+ 05/15/04 6.500 1,607,700
1,500 New York State Dormitory Authority, (State
University Educational Facilities, Refunding,
Series A), AMBAC Insured ....................... RB Aaa/AAA 05/15/07 5.500 1,544,925
1,000 New York State Dormitory Authority, (State
University Educational Facilities, Series A) ... RB Baa1/BBB 05/15/99 6.625 1,050,480
1,210 New York State Dormitory Authority, (University of
Rochester, Series A) ........................... RB A1/A+ 07/01/06 6.500 1,331,944
1,000 New York State Housing Finance Agency, (Service
Contract Obligation, Prerefunded, Series A, due
09/15/20) ...................................... RB Aaa/AAA 03/15/01(b) 7.800 1,142,480
1,250 New York State Local Government Assistance Corp.,
(Prerefunded, Series A, due 04/01/16), GO of
Corp. .......................................... RB Aaa/AAA 04/01/01(b) 7.000 1,391,675
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$1,000 New York State Local Government Assistance Corp.,
(Prerefunded, Series A, due 04/01/21), GO of
Corp. .......................................... RB Aaa/AAA 04/01/02(b) 7.125% $ 1,133,440
3,350 New York State Local Government Assistance Corp.,
(Refunding, Series E) .......................... RB A/A 04/01/14 6.000 3,505,909
1,000 New York State Local Government Assistance Corp.,
(Series A) ..................................... RB A/A 04/01/00 6.200 1,049,570
1,000 New York State Local Government Assistance Corp.,
(Series C) ..................................... RB A/A 04/01/12 6.000 1,048,500
1,500 New York State Medical Care Facilities Finance
Agency, (Mental Health Services, Refunding,
Series F) ...................................... RB Baa1/BBB+ 02/15/03 6.000 1,556,895
1,000 New York State Medical Care Facilities Finance
Agency, (Prerefunded, due 02/15/19) . RB Aaa/AAA 02/15/99(b) 7.800 1,097,470
1,565 New York State Medical Care Facilities Finance
Agency, (St. Lukes Hospital, Prerefunded, Series
B, due 02/15/29), FHA Insured .................. RB Aaa/AAA 02/15/00(b) 7.450 1,733,848
2,000 New York State Power Authority, Revenue & General
Purpose, (Refunding, Series W) ................. RB Aa/AA- 01/01/03 6.625 2,192,700
2,195 New York State Power Authority, Revenue & General
Purpose, (Refunding, Series W) ................. RB Aa/AA- 01/01/08 6.500 2,406,115
2,000 New York State Thruway Authority Service Contract,
(Local Highway & Bridge) ....................... RB Baa1/BBB 04/01/05 6.000 2,071,300
3,000 New York State Thruway Authority, (Highway &
Bridge, Series A), MBIA Insured ................ RB Aaa/AAA 04/01/04 6.250 3,261,510
2,470 New York State Urban Development Corp., (Center
for Industrial Innovation, Refunding) .......... RB Baa1/BBB 01/01/06 6.250 2,568,183
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$1,155 New York State Urban Development Corp., (Center
for Industrial Innovation, Refunding) .......... RB Baa1/BBB 01/01/07 6.250% $ 1,214,679
500 New York State Urban Development Corp.,
(Correctional Capital Facilities, Prerefunded,
Series 1, due 01/01/14) ........................ RB Aaa/NR 01/01/00(b) 7.750 558,070
3,000 New York State Urban Development Corp.,
(Correctional Capital Facilities, Series 2, due
01/01/21) ...................................... RB Aaa/NR 01/01/01(b) 6.500 3,220,020
5,250 New York State, (Refunding, Series A) ............ GO A/A- 07/15/06 6.500 5,793,480
2,000 New York State, (Refunding, Series A) ............ GO A/A- 07/15/07 6.000 2,115,440
3,500 New York State, (Refunding, Series C) ............ GO A/A- 10/01/04 6.000 3,740,415
1,030 Suffolk County Water Authority, (due 06/01/04),
AMBAC Insured .................................. RB Aaa/AAA 06/01/00(b) 6.600 1,120,413
3,000 Triborough Bridge & Tunnel Authority,
(Prerefunded, Series T, due 01/01/20) .......... RB Aaa/A+ 01/01/01(b) 7.000 3,325,650
1,000 Triborough Bridge & Tunnel Authority, (Refunding,
Series X) ...................................... RB Aa/A+ 01/01/12 6.625 1,118,330
1,500 Triborough Bridge & Tunnel Authority, (Refunding,
Series Y) ...................................... RB Aa/A+ 01/01/07 5.900 1,583,955
------------
TOTAL NEW YORK ............................... 92,430,797
------------
PUERTO RICO (5.5%)
1,750 Puerto Rico Commonwealth Aqueduct & Sewer
Authority, (Refunding), MBIA Insured . RB Aaa/AAA 07/01/07 6.000 1,878,958
1,000 Puerto Rico Commonwealth Highway & Transportation
Authority, (Series Y), MBIA Insured ............ RB Aaa/AAA 07/01/06 6.250 1,093,040
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
PUERTO RICO (CONTINUED)
$1,000 Puerto Rico Commonwealth Highway & Transportation
Authority, (Series Y), MBIA Insured ............ RB Aaa/AAA 07/01/07 6.250% $ 1,094,190
3,000 University of Puerto Rico, (Refunding, Series
N) ............................................. RB Aaa/AAA 06/01/05 6.250 3,291,930
------------
TOTAL PUERTO RICO ............................ 7,358,118
------------
TEXAS (0.2%)
200 Austin, Water Sewer & Electric, (Refunding,
Escrowed to Maturity) .......................... RB A/A- 11/15/97 13.500 220,610
------------
MISCELLANEOUS (0.4%)
500 Mashantucket Western Pequot Tribe, (Special
Revenue, Series A), 144A ....................... RB Baa/BBB 09/01/02 6.250 511,610
------------
U.S. TREASURY OBLIGATIONS (1.8%)
2,500 United States Treasury Bonds ..................... 08/15/26 6.750 2,441,675
------------
TOTAL LONG TERM INVESTMENTS (COST $127,087,952) ............................................ 129,155,663
------------
SHORT-TERM INVESTMENTS (2.2%)
GEORGIA (0.4%)
500 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1994, Vogtle Project-4th
Series, due 09/01/25) .......................... VRDN VMIG1/NR 10/01/96(a) 3.900 500,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MOODY'S/ MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE S&P DATE RATE VALUE
- -------------- -------------------------------------------------- -------- ----------- ----------- ------ ------------
<C> <S> <C> <C> <C> <C> <C>
NEW YORK (1.8%)
$ 200 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, Series 1995A, due
06/15/25), FGIC Insured ........................ VRDN VMIGI/A-1+ 10/01/96(a) 4.000% $ 200,000
2,200 New York City, (Series B, due 10/01/20) .......... VRDN VMIGI/A-1+ 10/01/96(a) 4.000 2,200,000
------------
TOTAL NEW YORK ............................... 2,400,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $2,900,000) ............................................. 2,900,000
------------
TOTAL INVESTMENTS (COST $129,987,952) (98.6%) .................................................. 132,055,663
OTHER ASSETS IN EXCESS OF LIABILITIES (1.4%) ................................................... 1,934,497
------------
NET ASSETS (100.0%) ............................................................................ $133,990,160
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $129,987,952 for federal income tax
purposes at September 30, 1996, the aggregate gross unrealized appreciation and
depreciation was $2,553,337 and $485,626, respectively, resulting in net
unrealized appreciation of investments of $2,067,711.
(a)Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
(b)The date listed under the heading maturity date represents an optional tender
date. The actual maturity date is indicated in the security description.
Definition of terms used:
AMBAC - Ambac Indemnity Corp., FHA - Federal Housing Authority, FGIC - Financial
Guaranty Insurance Company, GO - General Obligation, GO of Corp. - General
Obligation of Corp., MBIA - Municipal Bond Investors Assurance Corp., PCR -
Pollution Control Revenue, PP - Private Placement, RB - Revenue Bond, SO -
Special Obligation, VRDN - Variable Rate Demand Note.
Crossover Refunded-Bonds for which the issuer of the bond invests the proceeds
from a subsequent bond issue in cash and/or securities which have been
deposited.
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.
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $129,987,952 ) $ 132,055,663
Cash 24,404
Interest Receivable 1,980,269
Deferred Organization Expenses 5,776
Prepaid Expenses and Other Assets 647
--------------
Total Assets 134,066,759
--------------
LIABILITIES
Advisory Fee Payable 31,602
Administrative Services Fee Payable 10,176
Custody Fee Payable 2,777
Accrued Trustees' Fees and Expenses 613
Fund Services Fee Payable 298
Administration Fee Payable 252
Accrued Expenses 30,881
--------------
Total Liabilities 76,599
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $ 133,990,160
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 2,958,675
EXPENSES
Advisory Fee $ 171,461
Custodian Fees and Expenses 26,509
Professional Fees and Expenses 24,674
Administrative Services Fee 15,672
Administration Fee 5,082
Fund Services Fee 2,757
Trustees' Fees and Expenses 2,004
Amortization of Organization Expenses 1,157
Miscellaneous 4,046
--------------
Total Expenses 253,362
--------------
NET INVESTMENT INCOME 2,705,313
NET REALIZED GAIN ON INVESTMENTS 7,928
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 167,238
--------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 2,880,479
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
SEPTEMBER 30, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) MARCH 31, 1996
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,705,313 $ 3,877,559
Net Realized Gain on Investments 7,928 547,038
Net Change in Unrealized Appreciation of
Investments 167,238 916,458
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 2,880,479 5,341,055
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 39,141,553 45,071,889
Withdrawals (6,701,367) (10,574,756)
-------------- --------------
Net Increase from Investors' Transactions 32,440,186 34,497,133
-------------- --------------
Total Increase in Net Assets 35,320,665 39,838,188
NET ASSETS
Beginning of Period 98,669,495 58,831,307
-------------- --------------
End of Period $ 133,990,160 $ 98,669,495
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
APRIL
FOR THE 11, 1994
SIX FOR THE (COMMENCEMENT
MONTHS FISCAL OF
ENDED YEAR OPERATIONS)
SEPTEMBER ENDED TO
30, 1996 MARCH MARCH
(UNAUDITED) 31, 1996 31, 1995
-------- -------- --------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.44%(a) 0.44% 0.48%(a)
Net Investment Income 4.72%(a) 4.72% 4.59%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- -- 0.03%(a)
Portfolio Turnover 7 %(b) 41 % 63 %(b)
</TABLE>
- ------------------------
(a)Annualized.
(b)Not annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
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 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.
29
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the Portfolio pays Morgan a fee at an annual rate of 0.30% of the
Portfolio's average daily net assets. For the six months ended September
30, 1996, such fees amounted to $171,461.
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 and the Master Portfolios. For the period from August 1,
1996 through September 30, 1996, the fee for these services amounted to
$465.
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 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.
30
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios'
aggregate average daily net assets and 0.04% of the Master Portfolios'
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The allocation of the Portfolio's
portion of this charge is described above (see Note 2b). For the period
from August 1, 1996 through September 30, 1996, the fee for these services
amounted to $6,837.
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 $2,757 for the six months ended September 30, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represents the Portfolio's allocated portion of the total fees
and expenses. The Portfolio's Chairman and Chief Executive Officer also
serves as Chairman of Group and received compensation and employee
benefits from Group in his role as Group's Chairman. The allocated portion
of such compensation and benefits included in the Fund Services Fee shown
in the financial statements was $400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended September 30, 1996, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------------- -----------------
<S> <C> <C>
Municipal Obligations............................. $ 36,456,970 $ 7,389,836
U.S. Government and Agency Obligations............ 2,376,171 --
----------------- -----------------
$ 38,833,141 $ 7,389,836
----------------- -----------------
----------------- -----------------
</TABLE>
31
<PAGE>
THE JPM PIERPONT MONEY MARKET FUND
THE JPM PIERPONT TAX EXEMPT MONEY MARKET FUND
THE JPM PIERPONT TREASURY MONEY MARKET FUND
THE JPM PIERPONT SHORT TERM BOND FUND
THE JPM PIERPONT BOND FUND
THE JPM PIERPONT TAX EXEMPT BOND FUND
THE JPM PIERPONT NEW YORK TOTAL RETURN BOND FUND
THE JPM PIERPONT DIVERSIFIED FUND
THE JPM PIERPONT EQUITY FUND
THE JPM PIERPONT CAPITAL APPRECIATION FUND
THE JPM PIERPONT INTERNATIONAL EQUITY FUND
THE JPM PIERPONT EMERGING MARKETS EQUITY FUND
THE JPM PIERPONT EUROPEAN EQUITY FUND
THE JPM PIERPONT JAPAN EQUITY FUND
THE JPM PIERPONT ASIA GROWTH FUND
FOR MORE INFORMATION ON HOW THE JPM PIERPONT FAMILY OF FUNDS CAN HELP YOU PLAN
FOR YOUR FUTURE, CALL J.P. MORGAN FUNDS SERVICES AT (800) 521-5411.
