<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
-------------- ------------------------------------------------- --------- --------- ---------------
<C> <S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS (18.6%)
$ 110,000 United States Treasury Notes..................... 12/31/00 4.625% $ 108,778,404
50,000 United States Treasury Notes..................... 11/30/00 4.625 49,560,242
40,000 United States Treasury Notes..................... 06/30/00 5.875 40,028,154
--------------
TOTAL U.S. TREASURY OBLIGATIONS.............. 198,366,800
--------------
REPURCHASE AGREEMENTS (73.8%)
45,000 Chase Repurchase Agreement, dated 04/28/00, at
5.700%, proceeds include interest $45,021,375
(collateralized by $50,305,000 U.S. Treasury
Note, 4.75%, due 11/15/08, valued at
$45,901,883)................................... 05/01/00 5.700 45,000,000
45,000 Credit Suisse First Boston Repurchase Agreement,
dated 04/28/00, at 5.700%, proceeds include
interest $45,021,375 (collateralized by
$46,250,000 U.S. Treasury Note, 6.50%, due
03/31/02, valued at $46,350,025)............... 05/01/00 5.700 45,000,000
160,000 Deutsche Repurchase Agreement, dated 04/28/00, at
5.700%, proceeds include interest $160,076,000
(a)............................................ 05/01/00 5.700 160,000,000
45,000 Goldman Sachs Repurchase Agreement, dated
04/28/00, at 5.6700%, proceeds include interest
$45,021,263 (b)................................ 05/01/00 5.670 45,000,000
45,000 Greenwich Repurchase Agreement, dated 04/28/00,
at 5.710%, proceeds include interest
$45,021,413 (collateralized by $38,857,000 U.S.
Treasury Bonds, 6.50% through 8.125%, due
08/15/19 through 11/15/26, valued at
$45,901,138)................................... 05/01/00 5.710 45,000,000
45,000 Lehman Repurchase Agreement, dated 04/28/00, at
5.700%, proceeds include interest $45,021,375
(c)............................................ 05/01/00 5.700 45,000,000
45,000 Merrill Lynch Repurchase Agreement, dated
04/28/00, at 5.7000%, proceeds include interest
$45,021,375 (d)................................ 05/01/00 5.700 45,000,000
45,000 Morgan Repurchase Agreement, dated 04/28/00, at
5.700%, proceeds include interest $45,021,375
(collateralized by $46,310,000 U.S. Treasury
Note, 4.500%, due 09/30/00, valued at
$46,129,512)................................... 05/01/00 5.700 45,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
-------------- ------------------------------------------------- --------- --------- ---------------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$ 160,000 Salomon Repurchase Agreement, dated 04/28/00, at
5.720%, proceeds include interest $160,076,267
(e)............................................ 05/01/00 5.720% $ 160,000,000
154,682 Wesdeutsche Landesbank Repurchase Agreement,
dated 04/28/00, at 5.700%, proceeds include
interest $154,755,474 (f)...................... 05/01/00 5.700 154,682,000
--------------
TOTAL REPURCHASE AGREEMENTS.................. 789,682,000
--------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (92.4%).................. 988,048,800
OTHER ASSETS IN EXCESS OF LIABILITIES (7.6%)........................... 81,187,911
--------------
NET ASSETS (100.0%).................................................... $1,069,236,711
==============
</TABLE>
------------------------------
(a) Collateralized by:
U.S. Treasury Note $1,620,000, 5.500% due 12/31/00
U.S. Treasury Bonds $90,734,000, 6.250% through 6.750% due 08/15/23 through
11/15/26
U.S. Treasury Bill $23,872,000 due 07/06/00
U.S. Treasury STRIP $134,445,000 due 11/15/18
Valued at $163,200,115
(b) Collateralized by:
U.S. Treasury Notes $44,363,000, 5.625% through 7.875% due 09/30/01 through
11/15/04
U.S. Treasury Bond $1,070,000, 12.000% due 8/15/13
Valued at $45,900,353
(c) Collateralized by:
U.S. Treasury Note $24,454,000, 6.000% due 07/31/02
U.S. Treasury Bond $18,545,000, 11.125% due 08/15/03
Valued at $45,888,253
(d) Collateralized by:
U.S. Treasury Note $16,305,000, 5.500% due 02/28/03
U.S. Treasury STRIP $42,260,000, 10.750% due 08/15/05
Valued at $45,900,219
(e) Collateralized by:
U.S. Treasury Notes $85,735,000, 5.875% due 10/31/01 through 11/15/05
U.S. Treasury Bill $77,590,000 due 08/17/00
Valued at $163,263,447
(f) Collateralized by:
U.S. Treasury Note $5,000, 5.250% due 08/15/03
U.S. Treasury Bond $137,120,000, 7.500% due 11/15/16
Valued at $157,780,377
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 198,366,800
Repurchase Agreements at Amortized Cost and Value 789,682,000
Cash 420
Receivable for Investments Sold 75,001,915
Interest Receivable 6,377,542
Receivable for Expense Reimbursement 72,025
Prepaid Trustees' Fees 2,148
Prepaid Expenses and Other Assets 2,802
--------------
Total Assets 1,069,505,652
--------------
LIABILITIES
Advisory Fee Payable 169,974
Administrative Services Fee Payable 21,505
Fund Services Fee Payable 772
Administration Fee Payable 586
Accrued Expenses 76,104
--------------
Total Liabilities 268,941
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,069,236,711
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $27,154,830
EXPENSES
Advisory Fee $ 963,322
Administrative Services Fee 120,268
Custodian Fees and Expenses 69,192
Professional Fees and Expenses 19,912
Fund Services Fee 8,613
Trustees' Fees and Expenses 6,118
Administration Fee 3,425
Miscellaneous 5,660
----------
Total Expenses 1,196,510
Less: Reimbursement of Expenses (222,744)
----------
NET EXPENSES 973,766
-----------
NET INVESTMENT INCOME 26,181,064
NET REALIZED LOSS ON INVESTMENTS (151,520)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $26,029,544
===========
</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 SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
--------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 26,181,064 $ 41,654,130
Net Realized Loss on Investments (151,520) (49,014)
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 26,029,544 41,605,116
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,192,941,601 4,599,123,657
Withdrawals (2,324,189,489) (4,171,320,392)
--------------- ---------------
Net Increase (Decrease) from Investors'
Transactions (131,247,888) 427,803,265
--------------- ---------------
Total Increase (Decrease) in Net Assets (105,218,344) 469,408,381
NET ASSETS
Beginning of Period 1,174,455,055 705,046,674
--------------- ---------------
End of Period $ 1,069,236,711 $ 1,174,455,055
=============== ===============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE FISCAL YEAR JULY 7, 1997
MONTHS ENDED ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 2000 -------------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 OCTOBER 31, 1997
-------------- --------- --------- -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20%(a) 0.20% 0.12% 0.04%(a)
Net Investment Income 5.38%(a) 4.75% 5.35% 5.52%(a)
Expenses without Reimbursement 0.25%(a) 0.24% 0.27% 0.52%(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 (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 diversified,
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 to 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.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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, 2000, such fees
amounted to $963,322.
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, 2000, the fee for
these services amounted to $3,425.
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, 2000, the fee for these services
amounted to $120,268.
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 0.20% of the average daily net assets of the portfolio. For the
six months ended April 30, 2000, J.P. Morgan has agreed to reimburse the
portfolio $222,744 for expenses under this agreement. 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 $8,613 for the six months ended April 30, 2000.
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
22
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 $1,600.
23
