<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
- -------------- ------------------------------------------------- --------- --------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (64.8%)
$ 70,000 United States Treasury Bills..................... 11/13/97 4.745% $ 69,905,694
3,000 United States Treasury Notes..................... 8/15/98 5.875 3,005,123
3,000 United States Treasury Notes..................... 8/31/98 6.125 3,008,182
-------------
TOTAL U.S. TREASURY OBLIGATIONS 75,918,999
-------------
REPURCHASE AGREEMENT (35.1%)
41,109 Goldman Sachs Repurchase Agreement, dated
10/31/97, at 5.70%, proceeds include interest
$41,128,527, (collateralized by $41,375,000
U.S. Treasury Bonds 5.875%, due 8/31/99 valued
at $41,931,637.)............................... 11/3/97 5.700 41,109,000
-------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.9%) 117,027,999
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%) 76,001
-------------
NET ASSETS (100.0%) $ 117,104,000
-------------
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 75,918,999
Repurchase Agreement at Amortized Cost and Value 41,109,000
Cash 678
Receivable for Investments Sold 69,953,489
Interest Receivable 75,337
Deferred Organization Expenses 13,103
Receivable for Expense Reimbursement 21,737
Prepaid Expenses and Other Assets 364
------------
Total Assets 187,092,707
------------
LIABILITIES
Payable for Investments Purchased 69,905,694
Custody Fee Payable 27,992
Advisory Fee Payable 18,907
Organization Expenses Payable 14,000
Administrative Services Fee Payable 2,827
Administration Fee Payable 165
Fund Services Fee Payable 136
Accrued Expenses 18,986
------------
Total Liabilities 69,988,707
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $117,104,000
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD JULY 7, 1997 (COMMENCEMENT OF OPERATIONS) TO OCTOBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $1,365,297
EXPENSES
Advisory Fee $ 49,123
Professional Fees and Expenses 32,906
Custodian Fees and Expenses 29,410
Administrative Services Fee 7,289
Amortization of Organization Expenses 897
Fund Services Fee 800
Administration Fee 406
Miscellaneous 6,231
--------
Total Expenses 127,062
Less: Reimbursement of Expenses (118,095)
--------
NET EXPENSES 8,967
----------
NET INVESTMENT INCOME 1,356,330
NET REALIZED GAIN ON INVESTMENTS 3,337
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $1,359,667
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 7, 1997
(COMMENCEMENT OF
OPERATIONS) TO
OCTOBER 31, 1997
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 1,356,330
Net Realized Gain on Investments 3,337
----------------
Net Increase in Net Assets Resulting from
Operations 1,359,667
----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 154,888,508
Withdrawals (39,144,175)
----------------
Net Increase from Investors' Transactions 115,744,333
----------------
Total Increase in Net Assets 117,104,000
NET ASSETS
Beginning of Period --
----------------
End of Period $ 117,104,000
----------------
----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 7, 1997
(COMMENCEMENT OF
OPERATIONS) TO
OCTOBER 31, 1997
----------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.04%(a)
Net Investment Income 5.52%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.48%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1997
- --------------------------------------------------------------------------------
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 triparty 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) 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 at
the commencement of operations of the Portfolio.
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. The cost of securities is substantially the
same for book and tax purposes.
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 period July 7, 1997
(commencement of operations) to October 31, 1997, such fees amounted to
$49,123.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1997
- --------------------------------------------------------------------------------
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 period July 7, 1997 (commencement of
operations) to October 31, 1997, the fee for these services amounted to
$406.
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 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 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 JPM Series Trust. For the
period July 7, 1997 (commencement of operations) to October 31, 1997, the
fee for these services amounted to $7,289.
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 the following
respective percentages of average daily net assets of the Fund for the
periods indicated below:
<TABLE>
<S> <C>
June 1, 1997-August 31, 1997.......................................... 0.00%
September 1, 1997-November 30, 1997................................... 0.05%
December 1, 1997-February 28, 1998.................................... 0.10%
March 1, 1998-May 31, 1998............................................ 0.15%
June 1, 1998-February 28, 1999........................................ 0.20%
</TABLE>
For the period July 7, 1997 (commencement of operations) to October 31,
1997, Morgan has agreed to reimburse the Portfolio $118,095 for expenses
under this agreement. The total operating expenses for the Fund is a
blended ratio which is based on reimbursements in effect from July 7, 1997
(commencement of options) to October 31, 1997 and may not necessarily
represent the actual amount incurred by a shareholder.
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 $800 for the period July 7, 1997 (commencement of operations)
to October 31, 1997.
22
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1997
- --------------------------------------------------------------------------------
e) An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM 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 $200.
23
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Treasury Money Market 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 Treasury Money Market Portfolio (one of
the portfolios constituting Series Portfolio II, hereafter referred to as the
"Portfolio") at October 31, 1997, and the results of its operations, the changes
in its net assets and the supplementary data for the period July 7, 1997
(commencement of operations) to October 31, 1997, 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 October 31, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provides a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
December 17, 1997
24
