<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
LOCAL CURRENCY (1)
SECURITY DESCRIPTION (000'S OMITTED) VALUE
- ---------------------------------------------------------------------- ------------------ ------------
CORPORATE OBLIGATIONS (26.6%)
<S> <C> <C>
CANADA (2.2%)
Hydro-Quebec, 6.50% due 12/09/98.................................... GBP 2,617 $ 3,887,491
------------
FRANCE (1.6%)
Electricite De France, 8.60% due 04/09/04........................... FRF 12,300 2,756,787
------------
GERMANY (10.4%)
Bayerische Landesbank Girozentrale, 10.75% due 03/01/03............. ITL 5,595,000 3,657,765
Deutsche Ausgleichsbank, 6.75% due 07/04/05......................... DEM 4,000 2,729,642
Deutsche Pfandbriefe Hypobank, 5.625% due 02/07/03, 144A............ DEM 5,000 3,290,133
KFW International Finance
6.375% due 08/16/00................................................ DEM 5,000 3,520,426
6.75% due 02/08/02................................................. DEM 5,000 3,528,892
Suedwestdeutsche Landesbank Capital Markets, 6.25% due 10/21/03..... DEM 2,600 1,756,657
------------
18,483,515
------------
JAPAN (5.0%)
Export-Import Bank of Japan, 6.50% due 05/19/00..................... DEM 5,000 3,530,586
Japan Development Bank, 6.50% due 09/20/01.......................... JPY 480,000 5,390,446
------------
8,921,032
------------
NETHERLANDS (4.7%)
Bank Voor Nederlandsche Gemeenten, 7.625% due 12/16/02.............. NLG 12,800 8,365,314
------------
UNITED KINGDOM (2.7%)
Royal Bank of Scotland, 7.875% due 12/07/06......................... GBP 3,300 4,710,018
------------
TOTAL CORPORATE OBLIGATIONS (COST $47,211,690).................... 47,124,157
------------
GOVERNMENT OBLIGATIONS (51.6%)
AUSTRIA (3.8%)
Autobahnen Und Schnellstr Finance Agency, 7.125% due 12/22/99....... DEM 9,000 6,498,309
Republic of Austria, 3.75% due 02/03/09............................. JPY 25,000 238,910
------------
6,737,219
------------
BELGIUM (3.5%)
Kingdom of Belgium
6.50% due 03/31/05................................................. BEF 122,000 3,963,996
7.75% due 12/22/00................................................. BEF 63,000 2,260,235
------------
6,224,231
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
LOCAL CURRENCY (1)
SECURITY DESCRIPTION (000'S OMITTED) VALUE
- ---------------------------------------------------------------------- ------------------ ------------
CANADA (3.6%)
<S> <C> <C>
Government of Canada, 7.50% due 12/01/03............................ CAD 8,700 $ 6,389,964
------------
DENMARK (2.0%)
Kingdom of Denmark, 8.00% due 05/15/03.............................. DKK 19,650 3,641,321
------------
GERMANY (10.5%)
Federal Republic of Germany
6.00% due 02/20/98................................................. DEM 8,100 5,687,728
9.00% due 10/20/00................................................. DEM 11,000 8,527,253
German Unity Fund, 8.00% due 01/21/02............................... DEM 5,950 4,462,145
------------
18,677,126
------------
ITALY (1.4%)
Republic of Italy
9.50% due 12/01/97................................................. ITL 180,000 113,818
10.50% due 11/01/00................................................ ITL 3,650,000 2,357,029
------------
2,470,847
------------
NETHERLANDS (16.8%)
Government of the Netherlands
6.25% due 07/15/98................................................. NLG 8,880 5,610,526
7.50% due 06/15/99................................................. NLG 17,300 11,316,714
9.00% due 05/15/00................................................. NLG 3,100 2,140,405
9.00% due 01/15/01................................................. NLG 15,370 10,677,370
------------
29,745,015
------------
SPAIN (4.5%)
Government of Spain
10.10% due 02/28/01................................................ ESP 356,000 2,959,974
10.00% due 02/28/05................................................ ESP 620,200 5,076,725
------------
8,036,699
------------
SWEDEN (1.8%)
Kingdom of Sweden, 6.00% due 02/09/05............................... SEK 25,000 3,165,452
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
LOCAL CURRENCY (1)
SECURITY DESCRIPTION (000'S OMITTED) VALUE
- ---------------------------------------------------------------------- ------------------ ------------
UNITED KINGDOM (3.7%)
<S> <C> <C>
Treasury Gilt, 6.00% due 08/10/99................................... GBP 750 $ 1,101,227
Treasury Gilt, 7.50% due 12/07/06................................... GBP 3,700 5,379,771
------------
6,480,998
------------
TOTAL GOVERNMENT OBLIGATIONS (COST $92,026,635)................... 91,568,872
------------
SUPRANATIONAL OBLIGATIONS (2) (7.6%)
Asian Development Bank, 5.00% due 02/05/03.......................... JPY 720,000 7,592,691
European Investment Bank, 12.20% due 02/18/03....................... ITL 2,537,000 1,769,690
International Bank for Reconstruction & Development, 4.50% due
06/20/00........................................................... JPY 390,000 4,028,811
------------
TOTAL SUPRANATIONAL OBLIGATIONS (COST $13,904,064)................ 13,391,192
------------
SHORT-TERM HOLDINGS (1.0%)
TIME DEPOSITS (1.0%)
State Street Bank & Trust Co. London, 4.50% due 04/01/96 (cost
$1,825,000)........................................................ USD 1,825 1,825,000
------------
TOTAL INVESTMENTS (COST $154,967,389) (86.8%) 153,909,221
OTHER ASSETS NET LIABILITIES (13.2%) 23,390,604
------------
TOTAL NET ASSETS (100.0%) $177,299,825
------------
------------
</TABLE>
- ------------------------------
Note: For Federal income tax purposes, the cost of securities owned at March 31,
1996 was substantially the same as the cost of securities for financial
statement purposes.
(1) Principal is in the local currency of the country in which the security is
traded, which may not be the country of origin.
(2) International Agencies.
144A -- Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $154,967,389) $153,909,221
Cash 512
Foreign Currency at Value (Cost $1,314,808) 1,313,842
Receivable for Investments Sold 28,090,351
Interest Receivable 4,935,004
Unrealized Appreciation on Forward Foreign Currency Contracts 1,304,327
Unrealized Appreciation on Spot Foreign Currency Contracts 19,277
Prepaid Trustees' Fees 579
Prepaid Expenses and Other Assets 1,494
------------
Total Assets 189,574,607
------------
LIABILITIES
Payable for Investments Purchased 11,856,238
Unrealized Depreciation on Forward Foreign Currency Contracts 297,492
Advisory Fee Payable 54,249
Custody Fee Payable 23,966
Administrative Services Fee Payable 3,828
Administration Fee Payable 2,008
Fund Services Fee Payable 449
Accrued Expenses 36,552
------------
Total Liabilities 12,274,782
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $177,299,825
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 7,273,196
Interest Income
EXPENSES
Advisory Fee $ 435,320
Custodian Fees and Expenses 101,155
Professional Fees 27,151
Administrative Services Fee 14,076
Administration Fee 11,394
Fund Services Fee 6,994
Trustees' Fees and Expenses 2,442
Printing Expenses 2,049
Miscellaneous 2,927
-------------
(603,508)
Total Expenses
------------
6,669,688
NET INVESTMENT INCOME
NET REALIZED GAIN ON
Investment Transactions 1,360,728
Foreign Currency Transactions 8,172,318
-------------
9,533,046
Net Realized Gain
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments (5,016,583)
Foreign Currency Contracts and Translations 3,323,421
-------------
(1,693,162)
Net Change in Unrealized Appreciation (Depreciation)
------------
$ 14,509,572
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX OCTOBER 11, 1994
MONTHS ENDED (COMMENCEMENT
MARCH 31, 1996 OF OPERATIONS) THROUGH
(UNAUDITED) SEPTEMBER 30, 1995
----------------- ----------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,669,688 $ 12,808,776
Net Realized Gain on Investments and Foreign Currency
Transactions 9,533,046 15,591,851
Net Change in Unrealized Appreciation (Depreciation) of
Investments and Foreign Currency Translations (1,693,162) 1,562,643
----------------- ------------
Net Increase in Net Assets Resulting from Operations 14,509,572 29,963,270
----------------- ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 72,412,770 318,237,762
Withdrawals (175,745,434) (82,178,215)
----------------- ------------
Net Increase (Decrease) from Investors' Transactions (103,332,664) 236,059,547
----------------- ------------
Total Increase (Decrease) in Net Assets (88,823,092) 266,022,817
NET ASSETS
Beginning of Period 266,122,917 100,100
----------------- ------------
End of Period $ 177,299,825 $ 266,122,917
----------------- ------------
----------------- ------------
<CAPTION>
- ----------------------------------------------------------------------------------------
<S> <C> <C>
SUPPLEMENTARY DATA
<CAPTION>
- ----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX OCTOBER 11, 1994
MONTHS ENDED (COMMENCEMENT
MARCH 31, 1996 OF OPERATIONS) THROUGH
RATIOS TO AVERAGE NET ASSETS (UNAUDITED) SEPTEMBER 30, 1995
---------------- ----------------------
<S> <C> <C> <C>
Net Investment Income 5.37%(a) 5.73%(a)
Expenses 0.49%(a) 0.55%(a)
Portfolio Turnover 169%(b) 288%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
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, non-diversified,
open-end management investment company which was organized as a trust under
the laws of the State of New York. The Portfolio's investment objective is to
provide a high total return, consistent with moderate risk of capital, from a
portfolio of international fixed income securities. 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.
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign countries could adversely
affect the liquidity or value, or both, of such securities in which the
Portfolio is invested. The ability of the issuers of the debt securities held
by the Portfolio to meet their obligations may be affected by economic and
political developments in a specific industy or region.
The preparation of financial statements prepared in accordance with generally
accepted accounting principals 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 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 assets are 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 rates prevailing on
the respective dates of such
22
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
transactions. Translation gains and losses resulting from changes in the
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations.
Although 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.
d) The portfolio may enter into forward and spot 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 forward and spot foreign
currency contract translations. At March 31, 1996, the Portfolio had open
forward and spot foreign currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
COST/PROCEEDS 03/31/96 (DEPRECIATION)
-------------- ------------- ---------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
Belgian Franc 72,211,479, expiring 05/13/96 $ 2,384,791 $ 2,387,956 $ 3,165
British Pound 289,172, expiring 05/13/96 440,943 440,741 (202)
Canadian Dollar 242,712, expiring 05/13/96 178,189 178,246 57
Danish Krone 25,896,950, expiring 05/13/96 4,558,717 4,555,427 (3,290)
French Franc 27,330,731, expiring 05/13/96 5,428,257 5,438,084 9,827
German Mark 27,433,369, expiring 05/13/96 18,596,126 18,641,532 45,406
Italian Lira 601,462,500, expiring 05/13/96 381,131 381,134 3
Japanese Yen 1,464,971,441, expiring 05/13/96 13,904,725 13,793,298 (111,427)
Netherlands Guilder 16,077,908, expiring 05/13/96 9,753,776 9,766,169 12,393
</TABLE>
23
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
COST/PROCEEDS 03/31/96 (DEPRECIATION)
-------------- ------------- ---------------
SALE CONTRACTS
<S> <C> <C> <C>
Belgian Franc 270,437,925, expiring 05/13/96 $ 8,969,749 $ 8,943,092 $ 26,657
British Pound 10,884,546, expiring 05/13/96 16,620,702 16,589,666 31,036
Canadian Dollar 9,018,813, expiring 05/13/96 6,576,579 6,623,367 (46,788)
Danish Krone 49,457,048, expiring 05/13/96 8,706,803 8,699,788 7,015
French Franc 41,858,969, expiring 05/13/96 8,383,531 8,328,814 54,717
German Mark 98,307,274, expiring 05/13/96 66,988,713 66,801,306 187,407
Italian Lira 13,297,153,440, expiring 05/13/96 8,453,717 8,426,124 27,593
Japanese Yen 4,038,015,909, expiring 05/13/96 38,774,462 38,019,551 754,911
Netherlands Guilder 80,923,545, expiring 05/13/96 49,275,412 49,155,216 120,196
Spanish Peseta 692,315,631, expiring 05/13/96 5,508,558 5,562,429 (53,871)
Swedish Krona 23,279,115, expiring 05/13/96 3,424,727 3,482,697 (57,970)
---------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS $ 1,006,835
---------------
---------------
</TABLE>
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
COST 03/31/96 (DEPRECIATION)
------------- ------------- ---------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
German Mark 8,156, expiring 04/02/96 $ 5,528 $ 5,525 $ (3)
Spanish Peseta 186,434,118, for DEM 2,215,498,
expiring 04/03/96 1,500,624 1,502,047 1,423
SALES CONTRACTS
Italian Lira 601,462,500, expiring 04/02/96 383,097 383,152 (55)
Japanese Yen 948,035,274, expiring 04/02/96 8,894,828 8,876,916 17,912
---------------
NET UNREALIZED APPRECIATION ON SPOT FOREIGN CURRENCY CONTRACTS $ 19,277
---------------
---------------
</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 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. The Portfolio earns foreign
income which may be subject to foreign withholding taxes at various
rates.
24
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 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 investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.35%
of the Portfolio's average daily net assets. For the six months ended
March 31, 1996, such fees amounted to $435,320.
b) The Portfolio has retained 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 provided
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 Administration 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% of such net assets in excess of $5 billion. The daily equivalent
of the fee rate is applied each day to the net assets of the Portfolio.
For the period October 1, 1995 through December 28, 1995, such fees
amounted to $4,006.
Effective December 29, 1995, the Administration Agreement was amended
such that the fee charged would be equal to the Portfolio's proportionate
share of a complex-wide fee 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 subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period from December 29, 1995 through March 31, 1996, such fees
amounted to $7,388.
c) Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement ("Service Agreement") with Morgan under which Morgan
received a fee, based on the percentage described below, for overseeing
certain aspects of the administration and operation of the Portfolio and
was also designed to provide an expense limit for certain expenses of the
Portfolio. This fee was calculated exclusive of the advisory fee, custody
expenses, fund services fee, and brokerage costs at 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% on any excess
over $400 million. From September 1, 1995 until December 28, 1995, an
interim agreement between the Portfolio and Morgan provided for the
continuation of the oversight functions that were outlined under the
Service Agreement and that Morgan should bear all of its expenses
incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an
Administrative Services Agreement (the "Agreement") with Morgan under
which Morgan is responsible for overseeing certain aspects of the
administration and operation of the Portfolio. Under the Agreement, the
Portfolio has
25
<PAGE>
THE NON-U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MARCH 31, 1996
- --------------------------------------------------------------------------------
agreed to pay Morgan a fee equal to its proportionate share of an annual
complex-wide charge. This charge is 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 aggregate
average daily net assets in excess of $7 billion. The portion of this
charge payable by the Portfolio is determined by the proportionate share
that the Portfolio's net assets bear to the net assets of the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services. For the period December 29, 1995 through March
31, 1996, the fee for these services amounted to $14,076.
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 $6,994 for the six months ended March 31, 1996.
e) An aggregate annual fee of $65,000 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 represent the Portfolio's allocated portion of the
total fees and expenses. 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 $900.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended March 31, 1996 were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
- ----------------- -------------------
<S> <C>
$ 351,512,206 $ 418,271,057
</TABLE>
26
