<PAGE>
The Non-U.S. Fixed Income Portfolio
Semi-Annual Report March 31, 1995
(unaudited)
(The following pages should be read in conjunction
with The JPM Institutional International Bond Fund
Semi-Annual Financial Statements)
14
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(LOCAL CURRENCY(2)
000'S) SECURITY DESCRIPTION VALUE (NOTE 1A)
- - -------------------------------------------------------------------- ---------------
<S> <C> <C>
CORPORATE OBLIGATIONS (7.2%)
FRANCE (2.8%)
FRF 30,200 Electricite De France, 8.60% due 04/09/04......... $ 6,505,968
---------------
GERMANY (1.3%)
ITL 5,594,999 Bayerische Landesbank Girozentrele, 10.75% due 3,049,875
03/01/03........................................
---------------
NETHERLANDS (1.7%)
NLG 6,000 Bank Voor Nederlandsche Gemeenten, 7.625% due 3,963,502
12/16/02........................................
---------------
UNITED KINGDOM (1.4%)
GBP 2,400 Halifax Building Society 6.50% due 02/16/04....... 3,278,030
---------------
TOTAL CORPORATE OBLIGATIONS
(COST $15,483,168).............................. 16,797,375
---------------
GOVERNMENT OBLIGATIONS (70.2%)
AUSTRALIA (3.5%)
Government of Australia
AUD 1,900 8.75% due 01/15/01................................ 1,337,367
AUD 8,900 13.00% due 07/15/96............................... 6,853,385
---------------
8,190,752
---------------
AUSTRIA (3.7%)
Republic of Austria
GBP 2,000 9.00% due 07/22/04................................ 3,254,618
DEM 3,800 4.975% due 02/28/05............................... 2,733,295
JPY 244,000 3.75% due 02/03/09................................ 2,632,096
---------------
8,620,009
---------------
BELGIUM (3.6%)
Kingdom of Belgium
BEF 91,000 10.00% due 08/02/00............................... 3,586,604
BEF 138,000 7.75% due 10/15/04................................ 4,810,370
---------------
8,396,974
---------------
CANADA (1.7%)
GBP 2,617 Hydro-Quebec 6.50% due 12/09/98................... 3,911,508
---------------
</TABLE>
See Accompanying Notes.
15
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(LOCAL CURRENCY(2)
000'S) SECURITY DESCRIPTION VALUE (NOTE 1A)
- - -------------------------------------------------------------------- ---------------
<S> <C> <C>
DENMARK (2.3%)
Kingdom of Denmark
DKK 8,735 9.00% due 11/15/98................................ $ 1,638,614
DKK 19,000 9.00% due 11/15/00................................ 3,544,016
---------------
5,182,630
---------------
FRANCE (4.7%)
FRF 53,400 Government of France, 7.50% due 04/25/05.......... 10,801,036
---------------
GERMANY (16.0%)
DEM 13,000 Treauhand -- Obligationen 6.375% due 07/01/99..... 9,476,353
Federal Republic of Germany
DEM 2,920 7.375% due 01/03/05............................... 2,149,960
DEM 25,000 8.25% due 09/20/01................................ 19,360,697
DEM 7,609 9.00% due 10/20/00................................ 6,094,386
---------------
37,081,396
---------------
ITALY (6.4%)
Republic of Italy
ITL 13,720,000 9.50% due 01/01/05................................ 6,546,331
JPY 675,000 5.125% due 07/29/03............................... 8,277,202
---------------
14,823,533
---------------
JAPAN (16.6%)
Government of Japan
JPY 405,000 No. 119, 4.80% due 06/21/99....................... 5,049,793
JPY 385,000 No. 123, 4.90% due 09/20/99....................... 4,814,162
JPY 1,420,000 No. 144, 6.00% due 12/20/01....................... 18,763,293
JPY 246,000 No. 164, 4.10% due 12/22/03....................... 2,910,929
JPY 563,000 No. 157, 4.50% due 06/20/03....................... 6,865,553
---------------
38,403,730
---------------
NETHERLANDS (3.7%)
Netherlands Government
NLG 7,766 7.50% due 06/15/99................................ 5,216,533
NLG 4,800 9.00% due 01/15/01................................ 3,418,365
---------------
8,634,898
---------------
PORTUGAL (3.4%)
DEM 10,860 Republic of Portugal 5.125% due 07/15/99.......... 7,878,530
---------------
</TABLE>
See Accompanying Notes.
16
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(LOCAL CURRENCY(2)
000'S) SECURITY DESCRIPTION VALUE (NOTE 1A)
- - -------------------------------------------------------------------- ---------------
<S> <C> <C>
SWEDEN (1.2%)
SEK 30,200 Kingdom of Sweden, 6.00% due 02/09/05............. $ 2,805,346
---------------
UNITED KINGDOM (3.4%)
GBP 4,800 Treasury Gilt 8.50% due 12/07/05.................. 7,772,197
---------------
TOTAL GOVERNMENT OBLIGATIONS
(COST $146,686,541)............................. 162,502,539
---------------
SUPRANATIONAL(1) (6.0%)
ITL 2,537,000 European Investment Bank, 12.20% due 02/18/03..... 1,529,059
JPY 1,015,000 International Bank for Rec & Development, 6.00% 12,388,025
due 10/18/96....................................
---------------
TOTAL SUPRANATIONAL OBLIGATIONS
(COST $12,175,587).............................. 13,917,084
---------------
SHORT-TERM HOLDINGS (21.7%)
COMMERCIAL PAPER (4.6%)
USD 6,000 Council of Europe, 5.95% due 04/13/95............. 5,988,161
USD 4,700 Ford Motor Credit Co., 6.05% due 05/04/95......... 4,675,636
---------------
10,663,797
---------------
TIME DEPOSITS (17.1%)
State Street Bank Co. London,
USD 4,663 5.50% due 04/03/95................................ 4,663,000
USD 5,000 5.875% due 04/03/95............................... 5,000,000
USD 10,000 5.938% due 04/04/95............................... 10,000,000
USD 10,000 6.00% due 04/05/95................................ 10,000,000
USD 5,000 6.00% due 04/06/95................................ 5,000,000
USD 5,000 5.875% due 04/07/95............................... 5,000,000
---------------
39,663,000
---------------
TOTAL SHORT-TERM HOLDINGS
(COST $50,326,797).............................. 50,326,797
---------------
TOTAL INVESTMENTS (COST $224,672,093) (105.1%) 243,543,795
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS (-5.1%) (11,926,147)
---------------
TOTAL NET ASSETS (100.0%) $231,617,648
---------------
---------------
<FN>
Note: Based on the cost of investments of $224,674,262 for Federal income tax
purposes at March 31, 1995, the aggregate gross unrealized appreciation and
depreciation was $19,333,711 and $464,178, respectively, resulting in net
unrealized appreciation of $18,869,533.
(1)International Agencies
(2)Principal is in the local currency of the country in which the security is
traded which may not be the country of origin.
</TABLE>
See Accompanying Notes.
17
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $224,672,093) (Note 1a) $243,543,795
Foreign Currency, at Value (Cost $505,136) 501,114
Cash 420
Unrealized Appreciation on Forward Foreign Currency Contracts (Note 1d) 1,610,845
Receivable for Investments Sold 21,484,348
Unrealized Appreciation on Spot Foreign Currency Contracts (Note 1d) 93,890
Interest Receivable 6,149,311
Deferred Organization Expense (Note 1f) 31,703
Receivable for Expense Reimbursements 765
Tax Reclaim Receivable 237
------------
Total Assets 273,416,428
------------
LIABILITIES
Unrealized Depreciation on Forward Foreign Currency Contracts (Note 1d) 5,365,926
Payable for Securities Purchased 36,053,255
Unrealized Depreciation on Spot Foreign Currency Contracts (Note 1d) 24,988
Custody Fee Payable 167,927
Financial and Fund Accounting Services Fee Payable (Note 2c) 88,406
Advisory Fee Payable (Note 2a) 66,396
Accrued Expenses 16,000
Organization Fee Payable (Note 1f) 10,000
Fund Services Fee Payable (Note 2d) 2,899
Administration Fee Payable (Note 2b) 1,209
Trustees' Fees and Expenses Payable (Note 2e) 1,078
Foreign Withholding Taxes Payable 696
------------
Total Liabilities 41,798,780
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $231,617,648
------------
------------
</TABLE>
See Accompanying Notes.
18
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD OCTOBER 11, 1994 (COMMENCEMENT OF OPERATIONS) THROUGH MARCH 31,
1995
- - --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1C)
$ 6,588,906
Interest Income (Net of $116,108 Foreign Withholding
Tax)
-----------
EXPENSES
Advisory Fee (Note 2a) $ 345,731
Custodian Fees and Expenses 167,927
Financial and Fund Accounting Services Fees (Note 2c) 88,406
Professional Fees 16,628
Fund Services Fee (Note 2d) 9,402
Administration Fee (Note 2b) 6,362
Trustees' Fees and Expenses (Note 2e) 2,416
Amortization of Organization Expense (Note 1f) 3,297
Miscellaneous 1,305
-----------
Total Expenses 641,474
Less: Reimbursement of Expenses (Note 2c) (765)
-----------
640,709
NET EXPENSES
-----------
5,948,197
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) ON
Investment Transactions 1,600,302
Foreign Currency Transactions (9,892,398)
-----------
(8,292,096)
Net Realized Loss
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments 18,871,702
Foreign Currency Contracts and Translations (3,254,259)
-----------
15,617,443
Net Change in Unrealized Appreciation
-----------
$13,273,544
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
-----------
-----------
</TABLE>
See Accompanying Notes.
19
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
OCTOBER 11, 1994
(COMMENCEMENT OF
OPERATIONS) THROUGH
MARCH 31, 1995
(UNAUDITED)
-------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 5,948,197
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions (8,292,096)
Net Change in Unrealized Appreciation (Depreciation) of Investments and Foreign
Currency Contracts and Translations 15,617,443
-------------------
Net Increase in Net Assets Resulting from Operations 13,273,544
-------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions 264,512,584
Withdrawals (46,268,580)
-------------------
Net Increase from Investors' Transactions 218,244,004
-------------------
Total Increase in Net Assets 231,517,548
NET ASSETS
Beginning of Period 100,100
-------------------
End of Period $231,617,648
-------------------
-------------------
</TABLE>
- - --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
OCTOBER 11, 1994
(COMMENCEMENT OF
OPERATIONS) THROUGH
MARCH 31, 1995
(UNAUDITED)
-------------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Net Investment Income 6.02%(a)
Expenses 0.65%(a)
Decrease Reflected in above Expense Ratio due to Expense Reimbursement by
Morgan 0.00%(a)(++)
Portfolio Turnover 108%
<FN>
- - ------------------------
(a) Annualized.
(++) Less than 0.01%
</TABLE>
See Accompanying Notes.
20
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Non-U.S. Fixed Income Portfolio (the "Portfolio") 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. The Portfolio commenced operations on October 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 with a maturity of 60 days or more, including
securities that are listed on an exchange or traded over the counter, are
valued using prices supplied daily by an independent pricing service or
services that (i) are based on the last sale price on a national
securities exchange, or in the absence of recorded sales, at the readily
available bid price on such exchange or at the quoted bid price in the
over-the-counter market, if such exchange or market constitutes the
broadest and most representative market for the security and (ii) in other
cases, take into account various factors affecting market value, including
yields and prices of comparable securities, indication as to value from
dealers and general market conditions. If such prices are not supplied by
the Portfolio's independent pricing services, such securities are priced
in accordance with procedures adopted by the Trustees. All portfolio
securities with a remaining maturity of less than 60 days are valued by
the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the Portfolio's net asset value is calculated, such securities will
be valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market values of investment securities, other assets and liabilities and
forward contracts stated in foreign currencies are translated at the
prevailing exchange rates at the end of the period. Purchases, sales,
income and expenses are translated at the exchange rate prevailing on the
respective dates of such
transactions. Translation gains and losses resulting from changes in the
exchange rate during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations.
Since the net assets of the Portfolio are presented at the exchange rates
and market values prevailing at the end of the period, the Portfolio does
not isolate the portion of the results of operations arising as a result
of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of securities during the period.
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.
21
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
d)The portfolio may enter into forward foreign currency contracts to protect
securities and related receivables and payables against fluctuations in
future foreign currency rates. A forward contract is an agreement to buy
or sell currencies of different countries on a specified future date at a
specified rate. Risks associated with such contracts include the movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established by
and under the general supervision of the Portfolio's Trustees and the change in
the market value is recorded by the Portfolio as unrealized appreciation or
depreciation of foreign currency translations. At March 31, 1995, the Portfolio
had open forward foreign currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
NET
U.S. DOLLAR UNREALIZED
VALUE AT APPRECIATION/
FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS COST 03/31/95 (DEPRECIATION)
- - ------------------------------------------------------------------- ------------- ------------- --------------
<S> <C> <C> <C>
Danish Krone 68,667,940, expiring 05/10/95 $ 12,210,770 $ 12,560,390 $ 349,620
German Deutschmark 10,274,243, expiring 05/10/95 7,267,112 7,464,392 197,280
Italian Lira 1,469,979,805, expiring 05/10/95 891,572 858,108 (33,464)
Japanese Yen 1,497,758,269, expiring 05/10/95 16,761,722 17,333,585 571,863
Spanish Peseta 466,017,507, expiring 05/10/95 3,565,551 3,665,891 100,340
------------- ------------- --------------
$ 40,696,727 $ 41,882,366 $ 1,185,639
------------- ------------- --------------
</TABLE>
<TABLE>
<CAPTION>
NET
U.S. DOLLAR UNREALIZED
VALUE AT APPRECIATION/
FORWARD FOREIGN CURRENCY SALE CONTRACTS PROCEEDS 03/31/95 (DEPRECIATION)
- - --------------------------------------------------------------- --------------- --------------- --------------
<S> <C> <C> <C>
Australian Dollar 19,200,860, expiring 05/10/95 $ 14,015,768 $ 14,059,858 $ (44,090)
Belgian Franc 246,103,676, expiring 05/10/95 8,525,285 8,693,765 (168,480)
British Pound 11,719,504, expiring 05/10/95 19,013,525 18,955,838 57,687
Danish Krone 97,717,304, expiring 05/10/95 17,285,920 17,873,951 (588,031)
French Franc 90,055,248, expiring 05/10/95 18,075,756 18,651,767 (576,011)
German Deutschmark 77,885,126, expiring 05/10/95 56,201,755 56,584,715 (382,960)
Italian Lira 20,802,901,274, expiring 05/10/95 12,415,722 12,143,791 271,931
Japanese Yen 6,902,389,376, expiring 05/10/95 76,592,099 79,881,489 (3,289,390)
Netherlands Guilder 20,117,147, expiring 05/10/95 12,904,994 13,053,047 (148,053)
Spanish Peseta 1,022,942,164, expiring 05/10/95 7,911,449 8,046,896 (135,447)
Swedish Krona 21,669,480, expiring 05/10/95 2,981,491 2,919,367 62,124
--------------- --------------- --------------
$ 245,923,764 $ 250,864,484 $ (4,940,720)
--------------- --------------- --------------
NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS $ (3,755,081)
--------------
--------------
</TABLE>
22
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
NET
U.S. DOLLAR UNREALIZED
VALUE AT APPRECIATION/
SPOT FOREIGN CURRENCY PURCHASE CONTRACTS COST 03/31/95 (DEPRECIATION)
- - ------------------------------------------------------------------- ------------- ------------- --------------
<S> <C> <C> <C>
Australian Dollar 9,090,804, expiring 04/05/95 $ 6,590,833 $ 6,663,347 $ 72,514
German Deutschmark 6,260,613, expiring 04/05/95 4,526,835 4,548,211 21,376
------------- ------------- -------
$ 11,117,668 $ 11,211,558 $ 93,890
------------- ------------- -------
</TABLE>
<TABLE>
<CAPTION>
NET
U.S. DOLLAR UNREALIZED
VALUE AT APPRECIATION/
SPOT FOREIGN CURRENCY SALE CONTRACTS PROCEEDS 03/31/95 (DEPRECIATION)
- - ---------------------------------------------------------------------- ------------ ------------ --------------
<S> <C> <C> <C>
Japanese Yen 141,787,162, expiring 04/10/95 $ 1,607,564 $ 1,632,552 $ (24,988)
------------ ------------ --------------
NET UNREALIZED APPRECIATION ON SPOT FOREIGN CURRENCY CONTRACTS $ 68,902
--------------
--------------
</TABLE>
e)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.
f)The Portfolio's Service Agent, Morgan Guaranty Trust Company of New York
("Morgan"), paid the organization expenses of the Portfolio in the amount
of $35,000. The Portfolio has agreed to reimburse Morgan for these costs
which are being amortized by the Portfolio on a straight-line basis over a
five-year period from the commencement of operations.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.35%
of the Portfolio's average daily net assets. For the period October 11,
1994 (commencement of operations) through March 31, 1995, this fee
amounted to $345,731.
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 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 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, 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%
23
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied every day to the daily net assets of the Portfolio.
For the period October 11, 1994 (commencement of operations) through March
31, 1995, Signature's fee for these services amounted to $6,362.
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, amortization of
organization expense and brokerage costs, exceed the expense limit of
0.12% of the Portfolio's average daily net assets up to $200 million,
0.08% of the next $200 million of average daily net assets, and 0.04% 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 October 11, 1994 (commencement of operations)
through March 31, 1995, this fee amounted to $88,406. In addition to the
expenses that Morgan assumes under the Services Agreement, Morgan has
agreed to reimburse the Portfolio to the extent necessary to maintain the
total operating expenses of the Portfolio at no more that 0.65% of the
average daily net assets of the Portfolio through September 30, 1995. For
the period October 11, 1994 (commencement of operations) through March 31,
1995, Morgan has agreed to reimburse the Portfolio $765 for expenses which
exceeded this limit.
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 are the sole shareholders of Group. The Portfolio's allocated
portion of Group's costs in performing its services amounted to $9,402 for
the period October 11, 1994 (commencement of operations) through March 31,
1995.
e)An aggregate annual fee of $55,000 is paid to each Trustee for serving as
a 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 $1,100.
24
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1995
- - --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period
October 11, 1994 (commencement of operations) to March 31, 1995 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C> <C>
Government and Agency Obligations $ 332,515,710 $ 200,842,640
Corporate and Collateralized Obligations 58,568,040 18,399,962
-------------- --------------
$ 391,083,750 $ 219,242,602
-------------- --------------
-------------- --------------
</TABLE>
25
