<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
- -------------- ------------------------------------------------- --------- --------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (40.6%)
$ 46,000 United States Treasury Bills..................... 5/7/98 4.383% $ 45,971,250
74,000 United States Treasury Bills..................... 5/14/98 4.215 73,901,128
15,000 United States Treasury Notes..................... 10/31/98 4.750 14,952,183
3,000 United States Treasury Notes..................... 8/15/98 5.875 3,001,892
3,000 United States Treasury Notes..................... 8/31/98 6.125 3,003,294
5,900 United States Treasury Notes..................... 10/31/98 5.875 5,907,128
35,000 United States Treasury Notes..................... 1/31/99 5.875 35,106,835
15,000 United States Treasury Notes..................... 2/28/99 6.875 15,036,393
30,000 United States Treasury Notes..................... 4/30/99 6.375 30,249,305
-------------
227,129,408
-------------
REPURCHASE AGREEMENTS (59.3%)
15,108 Goldman Sachs Repurchase Agreement, dated
4/30/98, at 5.52%, proceeds include interest
$15,110,317 (e)................................ 5/1/98 5.520 15,108,000
241,157 Goldman Sachs Repurchase Agreement, dated
4/30/98, at 5.35%, proceeds include interest
$241,192,839 (e)............................... 5/1/98 5.350 241,157,000
25,000 Greenwich Repurchase Agreement, dated 4/30/98, at
5.50%, proceeds include interest $25,003,819
(collateralized by $50,283,000 U.S. Treasury
Strips 5.81% through 5.99%, due 5/15/08 through
5/15/13, valued at $25,501,644)................ 5/1/98 5.500 25,000,000
25,000 Merrill Lynch Repurchase Agreement, dated
4/30/98, at 5.45%, proceeds include interest
$25,003,784 (collateralized by $22,470,000 U.S.
Treasury Bonds 7.125%, due 2/15/23 valued at
$25,503,860)................................... 5/1/98 5.450 25,000,000
25,000 State Street Repurchase Agreement, dated 4/30/98,
at 5.30%, proceeds include interest $25,003,381
(collateralized by $25,140,000 U.S. Treasury
Bonds 5.125%, due 12/31/98 valued at
$25,504,253)................................... 5/1/98 5.300 25,000,000
-------------
TOTAL REPURCHASE AGREEMENTS.................. 331,265,000
-------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.9%)................... 558,394,408
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%)............................ 684,359
-------------
NET ASSETS (100.0%)..................................................... $ 559,078,767
-------------
-------------
</TABLE>
- ------------------------------
(e) Collateralized partially by:
TVDB $5,600,000, 6.00% through 8.25%, due 11/1/00 through 12/15/43
SLMA $2,735,000, 6.07% through 7.20%, due 5/19/00 through 2/14/02
FNMA $103,938,000, 4.88% through 9.40%, due 7/1/98 through 6/23/25
FMAC $54,510,000, 0.00% through 8.00%, due 5/8/98 through 7/12/21
FHLB $64,485,000, 0.00% through 9.25%, due 5/1/98 through 7/28/17
FCNT $24,355,000, 5.42% through 7.13%, due 8/4/98 through 12/3/07
Total Market Value $261,390,518
Abbreviations used in the Schedule of Investments are as follows:
FCNT-Federal Farm Credit Note, FHLB-Federal Home Loan Bank, FMAC-First Home
Mortgage Acceptance Corp., FNMA-Federal National Mortgage Association,
SLMA-Student Loan Marketing Association, TVDB-Tennesee Valley Authority
Development Bank
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $227,129,408
Repurchase Agreements at Amortized Cost and Value 331,265,000
Cash 651
Interest Receivable 784,683
Receivable for Expense Reimbursement 60,098
Deferred Organization Expenses 11,715
Prepaid Trustees' Fees 1,651
Prepaid Expenses and Other Assets 156
------------
Total Assets 559,253,362
------------
LIABILITIES
Advisory Fee Payable 99,858
Custody Fee Payable 22,687
Administrative Services Fee Payable 15,194
Organization Expenses Payable 11,500
Fund Services Fee Payable 2,716
Administration Fee Payable 627
Accrued Expenses 22,013
------------
Total Liabilities 174,595
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $559,078,767
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $10,787,683
EXPENSES
Advisory Fee $ 389,864
Administrative Services Fee 57,416
Custodian Fees and Expenses 21,731
Professional Fees and Expenses 16,511
Fund Services Fee 5,983
Administration Fee 2,853
Amortization of Organization Expenses 1,388
Trustees' Fees and Expenses 829
Miscellaneous 4,833
---------
Total Expenses 501,408
Less: Reimbursement of Expenses (311,744)
---------
NET EXPENSES 189,664
-----------
NET INVESTMENT INCOME 10,598,019
NET REALIZED LOSS ON INVESTMENTS (6,813)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $10,591,206
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX JULY 7, 1997
MONTHS ENDED (COMMENCEMENT OF
APRIL 30, 1998 OPERATIONS) THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------- -------------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 10,598,019 $ 1,356,330
Net Realized Gain (Loss) on Investments (6,813) 3,337
--------------- -------------------
Net Increase in Net Assets Resulting from
Operations 10,591,206 1,359,667
--------------- -------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 3,699,381,143 154,888,508
Withdrawals (3,267,997,582) (39,144,175)
--------------- -------------------
Net Increase from Investors' Transactions 431,383,561 115,744,333
--------------- -------------------
Total Increase in Net Assets 441,974,767 117,104,000
NET ASSETS
Beginning of Period 117,104,000 --
--------------- -------------------
End of Period $ 559,078,767 $ 117,104,000
--------------- -------------------
--------------- -------------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE JULY 7, 1997
SIX MONTHS ENDED (COMMENCEMENT OF
APRIL 30, 1998 OPERATIONS) THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------- -------------------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.10%(a) 0.04%(a)
Net Investment Income 5.42%(a) 5.52%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.16%(a) 0.48%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury Money Market Portfolio (the "portfolio") is one of two subtrusts
("portfolios") comprising Series Portfolio II. Series Portfolio II is registered
under the Investment Company Act of 1940, as amended, as a no-load, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 9, 1997. The portfolio commenced operations on
July 7, 1997. The portfolio's investment objective is to provide current income,
maintain a high level of liquidity and preserve capital. The Declaration of
Trust permits the trustees to issue an unlimited number of beneficial interests
in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
The portfolio's custodian or designated subcustodians, as the case may be
under tri-party repurchase agreements, takes possession of the collateral
pledged for investments in repurchase agreements on behalf of the
portfolio. It is the policy of the portfolio to value the underlying
collateral daily on a mark-to-market basis to determine that the value,
including accrued interest, is at least equal to the repurchase price plus
accrued interest. In the event of default of the obligation to repurchase,
the portfolio has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. Under certain circumstances,
in the event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral or proceeds may be subject
to legal proceedings.
b) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
d) The portfolio incurred organization expenses in the amount of $14,000.
Morgan Guaranty Trust Company of New York ("Morgan") has paid the
organization expenses of the portfolio. The portfolio has agreed to
reimburse Morgan for these costs which are being deferred and amortized on
a straight-line basis over a period not to exceed five years beginning
with the commencement of operations of the portfolio.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with Morgan. Under the
terms of the Agreement, the portfolio pays Morgan at an annual rate of
0.20% of the portfolio's average daily net assets up to $1 billion and
0.10% on any excess over $1 billion. For the six months ended April 30,
1998, such fees amounted to $389,864.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the six months ended April 30, 1998, the fee for
these services amounted to $2,853.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust (formerly
JPM Series Trust) in accordance with the following annual schedule: 0.09%
on the first $7 billion of their aggregate average daily net assets and
0.04% of their aggregate average daily net assets in excess of $7 billion,
less the complex-wide fees payable to FDI. The portion of this charge
payable by the portfolio is determined by the proportionate share that its
net assets bear to the net assets of the master portfolios, other
investors in the master portfolios for which Morgan provides similar
services, and J.P. Morgan Series Trust. For the six months ended April 30,
1998, the fee for these services amounted to $57,416.
In addition, Morgan has agreed to reimburse the portfolio to the extent
necessary to maintain the total operating expenses of the portfolio,
including the expenses allocated to the fund from the portfolio, at no
more than the following respective percentages of average daily net assets
of the portfolio for the periods indicated below:
<TABLE>
<S> <C>
November 1, 1997-November 30, 1997......................... 0.05%
December 1, 1997-May 31, 1998.............................. 0.10%
June 1, 1998-November 30, 1998............................. 0.15%
December 1, 1998-February 28, 1999......................... 0.20%
</TABLE>
For the six months ended April 30, 1998, Morgan has agreed to reimburse
the portfolio $311,744 for expenses under this agreement. The total
operating expenses for the Fund is a blended ratio which is based on
reimbursements in effect for the six months ended April 30, 1998 and may
not necessarily represent the actual amount incurred by the shareholder.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
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 $5,983 for the six months ended April 30, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds (formerly The JPM Pierpont
Funds), the J.P. Morgan Institutional Funds (formerly The JPM
Institutional Funds), the master portfolios and J.P. Morgan Series Trust.
The Trustees' Fees and Expenses shown in the financial statements
represents the portfolio's allocated portion of the total fees and
expenses. The portfolio's Chairman and Chief Executive Officer also serves
as Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $1,300.
22
