<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 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 (21.4%)
$ 15,000 United States Treasury Notes...................... 01/15/00 6.375% $ 15,050,080
120,000 United States Treasury Notes...................... 01/31/00 7.750 120,716,988
25,000 United States Treasury Notes...................... 03/31/00 6.875 25,191,608
25,000 United States Treasury Notes...................... 04/15/00 5.500 25,051,952
40,000 United States Treasury Notes...................... 06/30/00 5.875 40,113,555
25,000 United States Treasury Notes...................... 07/31/00 5.375 25,016,094
--------------
TOTAL U.S. TREASURY OBLIGATIONS............... 251,140,277
--------------
REPURCHASE AGREEMENTS (72.7%)
45,000 Bear Stearns Repurchase Agreement, dated 10/29/99,
at 5.100%, proceeds include interest $45,019,125
(collateralized by $45,000,000 U.S. Treasury
Note, 6.250%, due 01/31/02, valued at
$45,969,093).................................... 11/01/99 5.100 45,000,000
50,000 Chase Repurchase Agreement, dated 10/29/99, at
5.220%, proceeds include interest $50,021,750
(collateralized by $49,050,000 U.S. Treasury
Notes, 3.375% through 3.625%, due 7/15/02
through 01/15/07, valued at $51,004,844)........ 11/01/99 5.220 50,000,000
45,000 Credit Suisse First Boston Repurchase Agreement,
dated 10/29/99, at 5.125%, proceeds include
interest $45,019,219 (collateralized by
$44,835,000 U.S. Treasury Notes, 6.500% through
6.750%, due 04/30/00 though 08/15/05, valued at
$46,345,705).................................... 11/01/99 5.125 45,000,000
45,000 Deutsche Morgan Grenfell Repurchase Agreement,
dated 10/29/99, at 5.230%, proceeds include
interest $45,019,613 (collateralized by
$45,585,000 U.S. Treasury Note, 5.625%, due
02/28/01, valued at $45,900,879)................ 11/01/99 5.230 45,000,000
190,454 Goldman Sachs Repurchase Agreement, dated
10/29/99, at 5.180%, proceeds include interest
$190,536,213 (e)................................ 11/01/99 5.180 190,454,000
60,000 Goldman Sachs Repurchase Agreement, dated
10/29/99, at 5.000%, proceeds include interest
$60,025,000(e).................................. 11/01/99 5.000 60,000,000
45,000 Greenwich Repurchase Agreement, dated 10/29/99, at
5.220%, proceeds include interest $45,019,575
(collateralized by $42,635,000 U.S. Treasury
Note, 7.250%, due 05/15/04, valued at
$45,903,009).................................... 11/01/99 5.220 45,000,000
50,000 Lehman Brothers Repurchase Agreement, dated
10/29/99, at 5.200%, proceeds include interest
$50,021,667 (collateralized by $46,415,000 U.S.
Treasury Note, 7.250%, due 05/15/16, valued at
$50,973,455).................................... 11/01/99 5.200 50,000,000
50,000 Merrill Lynch Repurchase Agreement, dated
10/29/99, at 5.220%, proceeds include interest
$50,021,750 (collateralized by $50,470,000 U.S.
Treasury Note, 3.875%, due 01/15/09, valued at
$51,003,837).................................... 11/01/99 5.220 50,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATE RATE VALUE
- --------------------- -------------------------------------------------- ------------- --------- --------------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS (CONTINUED)
$ 45,000 Morgan Stanley Repurchase Agreement, dated
10/29/99, at 5.190%, proceeds include interest
$45,019,463 (collateralized by $46,345,000 U.S.
Treasury Notes, 5.50%, due 02/28/03, valued at
$46,032,210).................................... 11/01/99 5.190% $ 45,000,000
48,302 State Street Repurchase Agreement, dated 10/29/99,
at 5.180%, proceeds include interest $48,322,850
(collateralized by $48,425,000 U.S. Treasury
Note 5.750%, due 06/30/01, valued at
$49,272,438).................................... 11/01/99 5.180 48,302,000
180,454 Westdeutsche Landesbank Repurchase Agreement,
dated 10/29/99, at 5.210%, proceeds include
interest $180,532,347(f)........................ 11/01/99 5.210 180,454,000
--------------
TOTAL REPURCHASE AGREEMENTS................... 854,210,000
--------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (94.1%)........................... 1,105,350,277
OTHER ASSETS IN EXCESS OF LIABILITIES (5.9%).................................... 69,104,778
--------------
NET ASSETS (100.0%)............................................................. $1,174,455,055
==============
</TABLE>
- ------------------------------
(e) Collateralized partially by:
U.S. Treasury Notes $101,009,000, 5.625% due 10/31/99
U.S. Treasury Bonds $44,885,000, 9.875% due 11/15/15
U.S. Treasury Bonds $62,450,000, 12.500% due 08/15/14
Valued at $255,463,238.13
(f) Collateralized partially by:
U.S. Treasury Notes $100,270,000, 5.750% due 10/31/02
U.S. Treasury Bonds $50,000,000, 13.250% due 05/15/14
U.S. Treasury Bonds $4,239,000, 10.750% due 05/15/03
Valued at $184,063,364
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 251,140,277
Repurchase Agreements at Amortized Cost and Value 854,210,000
Cash 65,001,326
Interest Receivable 4,375,280
Receivable for Expense Reimbursement 28,998
Prepaid Trustees' Fees 1,818
Prepaid Expenses and Other Assets 3,892
--------------
Total Assets 1,174,761,591
--------------
LIABILITIES
Advisory Fee Payable 179,301
Administrative Services Fee Payable 23,912
Administration Fee Payable 741
Fund Services Fee Payable 638
Accrued Expenses 101,944
--------------
Total Liabilities 306,536
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,174,455,055
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $43,380,075
EXPENSES
Advisory Fee $1,715,668
Administrative Services Fee 226,699
Custodian Fees and Expenses 106,171
Professional Fees and Expenses 39,786
Fund Services Fee 17,351
Administration Fee 7,923
Trustees' Fees and Expenses 4,493
Miscellaneous 11,076
----------
Total Expenses 2,129,167
Less: Reimbursement of Expenses (403,222)
----------
NET EXPENSES 1,725,945
-----------
NET INVESTMENT INCOME 41,654,130
NET REALIZED LOSS ON INVESTMENTS (49,014)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $41,605,116
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
---------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 41,654,130 $ 28,925,807
Net Realized Loss on Investments (49,014) (11,600)
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 41,605,116 28,914,207
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 4,599,123,657 5,803,822,953
Withdrawals (4,171,320,392) (5,244,794,486)
--------------- ---------------
Net Increase from Investors' Transactions 427,803,265 559,028,467
--------------- ---------------
Total Increase in Net Assets 469,408,381 587,942,674
NET ASSETS
Beginning of Fiscal Year 705,046,674 117,104,000
--------------- ---------------
End of Fiscal Year $ 1,174,455,055 $ 705,046,674
=============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR JULY 7, 1997
ENDED OCTOBER 31, (COMMENCEMENT OF
-------------------- OPERATIONS) THROUGH
1999 1998 OCTOBER 31, 1997
--------- --------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20% 0.12% 0.04%(a)
Net Investment Income 4.75% 5.35% 5.52%(a)
Expenses without Reimbursement 0.24% 0.27% 0.52%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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 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.
22
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 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 fiscal year ended October 31, 1999, such
fees amounted to $1,715,668.
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 fiscal year ended October 31, 1999, the fee
for these services amounted to $7,923.
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 fiscal year ended October 31, 1999, the fee for these services
amounted to $226,699.
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 averge daily net assets of the portfolio. Prior to
December 1, 1998, the reimbursement agreement was 0.15%. For the fiscal
year ended October 31, 1999, J.P. Morgan has agreed to reimburse the
portfolio $403,222 for expenses under this agreement. This reimbursement
arrangement can be changed or terminated at any time after February 29,
2000 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 $17,351 for the fiscal year ended October 31, 1999.
23
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 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 $3,300.
24
<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 (the
"portfolio") at October 31, 1999, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the two years in the
period then ended and for the period July 7, 1997 (commencement of operations)
through 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 audits. We conducted our audits 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 audits, which included
confirmation of securities at October 31, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
New York, New York
December 17, 1999
25
