<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
ANNUAL REPORT MARCH 31, 1995
(The following pages should be read in conjunction
with The JPM Institutional New York Total Return Bond Fund
Annual Financial Statements)
15
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
MARCH 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY VALUE
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE (NOTE 1A)
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
MUNICIPAL OBLIGATIONS
CALIFORNIA (1.7%)
$1,000,000 Kaweah Delta Hospital District, Tubre
County (Series E)..................... Revenue Bond NR/NR 06/01/97(A) 5.250% $ 1,003,570
-----------
GEORGIA (5.5%)
1,500,000 State of Georgia, Series B.............. General Obligation Aaa/AA+ 03/01/08 6.300 1,621,380
1,500,000 Fulton County Georgia School District... General Obligation Aa/AA 05/01/14 6.375 1,598,655
-----------
TOTAL GEORGIA........................... 3,220,035
-----------
ILLINOIS (2.9%)
1,690,000 Cook County, Illinois, Series C, FGIC
Insured............................... General Obligation Aaa/AAA 11/15/08 6.000 1,730,983
-----------
MASSACHUSETTS (1.9%)
1,000,000 Massachusetts Bay Transportation
Authority, Series A................... Revenue Bond A1/A+ 03/01/08 7.000 1,119,580
-----------
NEW YORK (77.9%)
2,000,000 Albany County, South Mall Construction
(Refunding, Series A), FGIC Insured... General Obligation Aaa/AAA 04/01/96 4.300 1,997,080
2,250,000 Grand Central District Management
Association (Business Improvement,
Prerefunded).......................... Special Assessment Aaa/AAA 01/01/02(A) 6.500 2,467,890
555,000 Islip Metropolitan Transportation
Authority (NY Service Contract
Commuter Facilities, Series O), MBIA
Insured............................... General Obligation Aaa/AAA 06/01/98(A) 7.300 599,522
1,500,000 Metropolitan Transportation Authority
(NY Service Contract Commuter
Facilities, Series O, Refunding)...... Revenue Bond Baa1/BBB 07/01/08 5.750 1,431,615
1,370,000 Metropolitan Transportation Authority
(NY Service Contract Commuter
Facilities, Series N)................. Revenue Bond Baa1/BBB 07/01/02 6.625 1,434,308
1,500,000 Metropolitan Transportation Authority
(New York, Series K), MBIA Insured.... Revenue Bond Aaa/AAA 07/01/07 6.300 1,597,500
750,000 Monroe County Public Improvement, AMBAC
Insured............................... General Obligation Aaa/AAA 06/01/08 5.875 762,660
3,000,000 Municipal Assistance Corp. for New York
City (Series 68)...................... Revenue Bond Aa/AA- 07/01/99 7.000 3,230,430
1,500,000 New York, New York (Escrowed to
Maturity, Refunding, Series H)........ General Obligation Aaa/AAA 08/01/00 7.875 1,702,545
1,750,000 New York City (Refunding, Series A)..... General Obligation Baa1/A- 08/01/02 5.750 1,701,963
1,250,000 New York, New York (Series A)........... General Obligation Baa1/A- 08/01/04 7.000 1,301,050
1,475,000 New York City (Municipal Water
Authority, Water & Sewer System,
Series A), Prerefunded................ Revenue Bond A/AAA 06/15/99(A) 7.375 1,633,091
</TABLE>
See Accompanying Notes.
16
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY VALUE
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE (NOTE 1A)
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
$1,000,000 New York Dormitory Authority (City
University System, Series D).......... Revenue Bond Baa1/BBB 07/01/03 8.750% $ 1,173,890
1,750,000 New York Dormitory Authority
(Prerefunded, Series B)............... Revenue Bond Aaa/BBB+ 05/15/00(A) 7.250 1,958,092
1,500,000 New York Dormitory Authority (University
Educational Facilities, Series A),
AMBAC Insured......................... Revenue Bond Aaa/AAA 05/15/07 5.500 1,499,880
1,210,000 New York Dormitory Authority (University
of Rochester, Series A)............... Revenue Bond A1/A+ 07/01/06 6.500 1,301,936
1,000,000 New York Housing Finance Agency Service
Contract (Series A), Prerefunded...... Revenue Bond Aaa/AAA 03/15/01(A) 7.800 1,157,550
1,000,000 New York Local Government Assistance
Corp. (Series A), Prerefunded......... Revenue Bond Aaa/AAA 04/01/02(A) 7.125 1,132,010
1,565,000 New York Medical Care Facilities Finance
Agency (St. Luke's Hospital, Series
B), Prerefunded FHA Insured........... Revenue Bond Aaa/AAA 02/15/00(A) 7.450 1,757,808
1,500,000 New York Medical Care Facilities Finance
Agency (Mental Health Services, Series
F, Refunding)......................... Revenue Bond Baa1/BBB+ 02/15/03 6.000 1,498,005
1,000,000 New York Medical Care Facilities Finance
Agency (Mental Health Services &
Improvement Series A), Prerefunded.... Revenue Bond Aaa/AAA 02/15/99(A) 7.800 1,121,040
1,000,000 New York Medical Care Facilities Finance
Agency (Mount Sinai Hospital),
Prerefunded........................... Revenue Bond Aaa/AAA 01/15/96(A) 8.875 1,053,200
1,250,000 New York State Local Assistance Corp.
(Series A, Prerefunded)............... Revenue Bond Aaa/AAA 04/01/01(A) 7.000 1,397,500
2,195,000 New York State Power Authority (Series
W).................................... Revenue Bond Aa/AA- 01/01/08 6.500 2,348,233
1,335,000 New York State Urban Development Corp,
(Correctional Facilities, Refunding,
Series D, Prerefunded), AMBAC
Insured............................... Revenue Bond Aaa/AAA 01/01/98(A) 7.500 1,455,884
1,030,000 Suffolk County Water Authority,
(Waterworks Revenue Refunding,
Prerefunded), AMBAC Insured........... Revenue Bond Aaa/AAA 06/01/00(A) 6.600 1,122,544
3,000,000 Triborough Bridge & Tunnel Authority
(Series T, Prerefunded)............... Revenue Bond Aaa/A+ 01/01/01(A) 7.000 3,341,460
1,000,000 Triborough Bridge & Tunnel Authority
(Series X)............................ Revenue Bond Aa/A+ 01/01/12 6.625 1,078,580
1,500,000 Triborough Bridge & Tunnel Authority
(Series Y)............................ Revenue Bond Aa/A+ 01/01/07 5.900 1,551,270
-----------
TOTAL NEW YORK.......................... 45,808,536
-----------
SOUTH CAROLINA (2.0%)
1,000,000 Charleston County, South Carolina....... General Obligation Aa/AA 06/01/02 8.400 1,193,260
-----------
</TABLE>
See Accompanying Notes.
17
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MARCH 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATINGS
PRINCIPAL TYPE OF MOODY'S/S&P MATURITY VALUE
AMOUNT SECURITY DESCRIPTION SECURITY (UNAUDITED) DATE RATE (NOTE 1A)
- ---------- ---------------------------------------- ------------------ ----------- ----------- ------- -----------
<C> <S> <C> <C> <C> <C> <C>
TEXAS (2.5%)
$1,200,000 Austin, Water Sewer & Electric
(Refunding)........................... Revenue Bond A/A- 11/15/97 13.500% $ 1,447,584
-----------
TOTAL MUNICIPAL OBLIGATIONS
(COST $54,539,533).................... 55,523,548
-----------
SHORT-TERM INVESTMENTS (4.1%)
700,000 District of Columbia 06/01/03........... General Obligation Aa2/AA (B) 4.750 700,000
600,000 New York, New York (Series B)
10/01/21.............................. General Obligation Aaa/AAA (B) 4.300 600,000
700,000 New York, New York (Series B)
10/01/22.............................. General Obligation Aaa/AAA (B) 4.300 700,000
200,000 New York State Energy Research &
Development Authority, PCR 07/01/15... Revenue Bond NR/AA (B) 4.300 200,000
100,000 Peninsula Ports Authority, Virginia Coal
(Series C) 07/01/16................... Revenue Bond Aa/NR (B) 4.600 100,000
100,000 Umatilla County, Oregon Hospital
Facilities (Series A) 12/01/24........ Revenue Bond Aa2/AA (B) 4.600 100,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $2,400,000)..................... 2,400,000
-----------
TOTAL INVESTMENTS (98.5%)
(COST $56,939,533) 57,923,548
OTHER ASSETS IN EXCESS OF LIABILITIES
(1.5%) 907,759
-----------
NET ASSETS (100.0%) $58,831,307
-----------
-----------
<FN>
(A) The date shown represents a mandatory/optional put date or call date.
(B) The interest rates on variable rate notes are reset periodically. The rates stated are the current rates as of
March 31, 1995. The maturity dates shown are the stated maturities.
1. Based on the cost of investments of $56,939,533 for federal income tax purposes at March 31, 1995, the aggregate
gross unrealized appreciation and depreciation was $1,080,201 and $96,186 respectively, resulting in net unrealized
appreciation of investments of $984,015.
2. Abbreviations used in the schedule of investments are as follows: AMBAC -- American Municipal Bond Assurance
Corporation; FGIC -- Financial Guaranty Insurance Company; FHA -- Federal Housing Authority; MBIA -- Municipal Bond
Investors Assurance Corp.; PCR -- Pollution Control Revenue.
3. Prerefunded -- Bonds for which the issuer of the bond invest 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 canceled the old issue.
</TABLE>
See Accompanying Notes.
18
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $56,939,533) (Note 1a) $57,923,548
Interest Receivable 950,289
Receivable for Expense Reimbursement (Note 2c) 11,830
Deferred Organization Expenses (Note 1b) 9,242
Prepaid Insurance 236
-----------
Total Assets 58,895,145
-----------
LIABILITIES
Advisory Fee Payable (Note 2a) 23,037
Custody Fee Payable 20,863
Payable to Custodian 8,638
Organization Expenses Payable 3,338
Fund Services Fee Payable (Note 2d) 731
Administration Fee Payable (Note 2b) 532
Accrued Expenses 6,699
-----------
Total Liabilities 63,838
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $58,831,307
-----------
-----------
</TABLE>
See Accompanying Notes.
19
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 11, 1994 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1C)
$2,034,388
Interest
----------
EXPENSES
Advisory Fee (Note 2a) $120,281
Professional Fees 46,655
Custodian Fees and Expenses 28,066
Fund Services Fee (Note 2d) 4,140
Administration Fee (Note 2b) 2,563
Amortization of Organization Expenses (Note 1b) 2,231
Trustees' Fees and Expenses (Note 2e) 1,319
Miscellaneous 728
-------
Total Expenses 205,983
Less: Reimbursement of Expenses (Note 2c) (11,830)
-------
194,153
NET EXPENSES
----------
1,840,235
NET INVESTMENT INCOME
(125,677)
NET REALIZED LOSS ON INVESTMENTS
984,015
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS
----------
$2,698,573
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
----------
----------
</TABLE>
See Accompanying Notes.
20
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD APRIL
11, 1994
(COMMENCEMENT
OF
OPERATIONS)
TO MARCH 31,
INCREASE IN NET ASSETS 1995
-------------
<S> <C>
FROM OPERATIONS
Net Investment Income $ 1,840,235
Net Realized Loss on Investments (125,677)
Net Change in Unrealized Appreciation of Investments 984,015
-------------
Net Increase in Net Assets Resulting from Operations 2,698,573
-------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 72,754,445
Withdrawals (16,721,811)
-------------
Net Increase from Investors' Transactions 56,032,634
-------------
Total Increase in Net Assets 58,731,207
NET ASSETS
Beginning of Period 100,100
-------------
End of Period $58,831,307
-------------
-------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
APRIL 11,
1994
(COMMENCEMENT
OF
OPERATIONS)
TO
MARCH 31,
1995
------------
<S> <C>
Ratios to Average Net Assets
Expenses 0.48%(a)
Net Investment Income 4.59%(a)
Decrease Reflected in Expense Ratio due to Expense Reimbursement by Morgan 0.03%(a)
Portfolio Turnover 63%
<FN>
- ------------------------
(a) Annualized
</TABLE>
See Accompanying Notes.
21
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1995
- --------------------------------------------------------------------------------
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 Declaration of Trust permits the Trustees to issue an unlimited number
of beneficial interests in the Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)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 by the Portfolio 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 will be treated as a partnership for federal income tax
purposes. As such, each investor in the Portfolio will be taxable 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.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan a fee at an annual rate of
0.30% of the Portfolio's average daily net assets. For the period April
11, 1994 (commencement of operations) to March 31, 1995, this fee amounted
to $120,281.
b)The Portfolio retains Signature Broker-Dealer Services, Inc. ("Signature")
to serve as Administrator and exclusive placement agent. Signature
provides administrative services necessary for the
22
<PAGE>
THE NEW YORK TOTAL RETURN BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1995
- --------------------------------------------------------------------------------
operations of the Portfolio, furnishes office space and facilities
required for conducting the business of the Portfolio and pays the
compensation of the Portfolio's officers affiliated with Signature. The
agreement provides for a fee to be paid to Signature at an annual fee rate
determined by the following schedule: 0.01% of the first $1 billion of the
aggregate average daily net assets of the Portfolio and the other
portfolios subject to the Administrative Services Agreement (the
"aggregate portfolios"), 0.008% of the next $2 billion of such net assets,
0.006% of the next $2 billion of such net assets, and 0.004% of such net
assets in excess of $5 billion. The daily equivalent of the fee rate is
applied daily to the net assets of the Fund. For the period April 11, 1994
(commencement of operations) to March 31, 1995, Signature's fee for these
services amounted to $2,563.
c)The Portfolio has a Financial and Fund Accounting Services Agreement
("Services Agreement") with Morgan under which Morgan receives a fee,
based on the percentages described below, for overseeing certain aspects
of the administration and operation of the Portfolio. The Services
Agreement is also designed to provide an expense limit for certain
expenses of the Portfolio. If total expenses of the Portfolio, excluding
the advisory fee, custody expenses, fund services fee, brokerage costs and
the amortization of organization expenses, exceed the expense limit of
0.10% of the Portfolio's average daily net assets up to $200 million,
0.05% of the next $200 million of average daily net assets, and 0.03% of
average daily net assets thereafter, Morgan will reimburse the Portfolio
for the excess expense amount and receive no fee. Should such expenses be
less than the expense limit, Morgan's fee would be limited to the
difference between such expenses and the fee calculated under the Services
Agreement. For the period April 11, 1994 (commencement of operations) to
March 31, 1995, Morgan agreed to reimburse the Portfolio in the amount of
$11,830.
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 $4,140 for the period April 11, 1994 (commencement of
operations) to March 31, 1995.
e)An aggregate annual fee of $55,000 is paid to each Trustee for serving as
Trustee of The Pierpont Funds, The JPM Institutional Funds, and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represents the Portfolio's allocated portion of the
total fees and expenses. On April 1, 1995, the aggregate annual Trustee
Fee was increased to $65,000. The Trustee who serves as Chairman and Chief
Executive Officer of these Funds and Portfolios also serves as Chairman of
Group and received compensation and employee benefits from Group in his
role as Group's Chairman. The allocated portion of such compensation and
benefits included in the Fund Services Fee shown in the financial
statements was $500.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period April
11, 1994 (commencement of operations) to March 31, 1995, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------- -------------
<S> <C> <C>
Municipal obligations $ 78,800,174 $ 23,834,570
</TABLE>
23
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The New York Total Return Bond Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The New York Total Return Bond Portfolio
(the "Portfolio") at March 31, 1995, and the results of its operations, the
changes in its net assets and its supplementary data for the period April 11,
1994 (commencement of operations) through March 31, 1995, in conformity with
generally accepted accounting principles. These financial statements and
supplementary data (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audit. We conducted our
audit of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at March 31, 1995 by
correspondence with the custodian and brokers, provides a reasonable basis for
the opinion expressed above.
[SIGNATURE]
PRICE WATERHOUSE LLP
New York, New York
May 23, 1995
24
