<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATE RATE VALUE
- -------------- ------------------------------------------------- ------------- --------- -------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (43.7%)
$ 80,000 United States Treasury Notes..................... 05/15/99 6.375% $ 80,047,514
42,500 United States Treasury Notes..................... 05/31/99 6.250 42,522,728
20,000 United States Treasury Notes..................... 07/31/99 5.875 20,017,530
40,000 United States Treasury Notes..................... 09/30/99 7.125 40,403,656
75,000 United States Treasury Notes..................... 10/31/99 7.500 75,991,478
15,000 United States Treasury Notes..................... 01/15/00 6.375 15,172,943
-------------
TOTAL U.S. TREASURY OBLIGATIONS.............. 274,155,849
-------------
REPURCHASE AGREEMENTS (55.6%)
30,000 First Boston Repurchase Agreement, dated
04/30/99, at 4.800%, proceeds include interest
$30,012,000 (collateralized by $24,708,000 U.S.
Treasury Bonds, 11.125% through 14.250%, due
02/15/02 though 08/15/03, valued at
$30,894,757)................................... 05/03/99 4.800 30,000,000
118,534 Goldman Sachs Repurchase Agreement,
dated 04/30/99, at 4.890%, proceeds include
interest $118,582,303 (e)...................... 05/03/99 4.890 118,534,000
30,000 Lehman Brothers Repurchase Agreement,
dated 04/30/99, at 4.880%, proceeds include
interest $30,012,200 (collateralized by
$30,120,000 U.S. Treasury Notes, 5.250%, due
08/15/03, valued at $30,593,849)............... 05/03/99 4.880 30,000,000
25,000 Merrill Lynch Repurchase Agreement,
dated 04/30/99, at 4.850%, proceeds include
interest $25,010,104 (collateralized by
$22,720,000 U.S. Treasury Notes, 7.000%, due
07/15/06, valued at $25,503,061)............... 05/03/99 4.850 25,000,000
145,000 Westdeutsche Landesbank Repurchase Agreement,
dated 04/30/99, at 4.880%, proceeds include
interest $145,058,967 (collateralized by
$93,000,000 U.S. Treasury Bonds, 11.250%, due
02/15/15, valued at $148,838,803).............. 05/03/99 4.880 145,000,000
-------------
TOTAL REPURCHASE AGREEMENTS.................. 348,534,000
-------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.3%)....................... 622,689,849
OTHER ASSETS IN EXCESS OF LIABILITIES (0.7%)................................ 4,130,137
-------------
NET ASSETS (100.0%)......................................................... $ 626,819,986
-------------
-------------
</TABLE>
- ------------------------------
(e)Collateralized by:
U.S. Treasury Bonds $54,463,000, 7.250% due 05/15/16
U.S. Treasury Notes $56,485,000, 4.750% due 11/15/08
Valued at $120,904,969
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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $274,155,849
Repurchase Agreement at Amortized Cost and Value 348,534,000
Cash 416
Interest Receivable 4,331,478
Receivable for Expense Reimbursement 33,121
Prepaid Expenses and Other Assets 3,271
------------
Total Assets 627,058,135
------------
LIABILITIES
Advisory Fee Payable 124,611
Administrative Services Fee Payable 16,282
Accrued Trustees' Fees and Expenses 711
Administration Fee Payable 521
Fund Services Fee Payable 336
Accrued Expenses 95,688
------------
Total Liabilities 238,149
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $626,819,986
------------
------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $20,325,768
EXPENSES
Advisory Fee $ 828,940
Administrative Services Fee 109,831
Custodian Fees and Expenses 59,804
Professional Fees and Expenses 19,472
Fund Services Fee 8,635
Administration Fee 4,035
Trustees' Fees and Expenses 3,320
Miscellaneous 7,563
----------
Total Expenses 1,041,600
Less: Reimbursement of Expenses (235,867)
----------
NET EXPENSES 805,733
-----------
NET INVESTMENT INCOME 19,520,035
NET REALIZED LOSS ON INVESTMENTS (10,437)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $19,509,598
-----------
-----------
</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 SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 19,520,035 $ 28,925,807
Net Realized Loss on Investments (10,437) (11,600)
-------------- ----------------
Net Increase in Net Assets Resulting from
Operations 19,509,598 28,914,207
-------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,283,002,165 5,803,822,953
Withdrawals (2,380,738,451) (5,244,794,486)
-------------- ----------------
Net Increase (Decrease) from Investors'
Transactions (97,736,286) 559,028,467
-------------- ----------------
Total Increase (Decrease) in Net Assets (78,226,688) 587,942,674
NET ASSETS
Beginning of Period 705,046,674 117,104,000
-------------- ----------------
End of Period $ 626,819,986 $ 705,046,674
-------------- ----------------
-------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL JULY 7, 1997
SIX MONTHS ENDED YEAR (COMMENCEMENT OF
APRIL 30, 1999 ENDED OCTOBER 31, OPERATIONS) THROUGH
(UNAUDITED) 1998 OCTOBER 31, 1997
---------------- ----------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.19%(a) 0.12% 0.04%(a)
Net Investment Income 4.68%(a) 5.35% 5.52%(a)
Expenses without Reimbursement 0.25%(a) 0.27% 0.52%(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, 1999
- --------------------------------------------------------------------------------
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 high current
income consistent with the preservation of capital and same-day liquidity. 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) Expenses incurred by Series Portfolio II with respect to any two or more
portfolios in Series Portfolio II are allocated in proportion to the net
assets of each portfolio in Series Portfolio II, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
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.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), a wholly owned subsidiary of J.P.
Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM 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, 1999, such fees
amounted to $828,940.
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, 1999, the fee for
these services amounted to $4,035.
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 other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J. P. Morgan 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, 1999, the fee for these services
amounted to $109,831.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of 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>
August 1, 1998 - November 30, 1998................................. 0.15%
December 1, 1998 - Current......................................... 0.20%
</TABLE>
For the six months ended April 30, 1999, J.P. Morgan has agreed to
reimburse the portfolio $235,867 for expenses under this agreement. The
total operating expenses for the portfolio is a blended ratio which is
based on reimbursements in effect for the six months ended April 30, 1999
and may not necessarily represent the actual amount incurred by an
interest holder. This reimbursement arrangement can be changed or
terminated at any time at the option of J.P. Morgan.
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 $8,635 for the six months ended April 30, 1999.
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, the J.P. Morgan
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 $1,800.
22
