The Money Market Portfolio
Semi-Annual Report May 31, 1995
(unaudited)
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1995
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<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT YIELD TO
(IN MATURITY/ VALUE
THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE (NOTE 1a)
- - ---------- ---------------------------------------- ------------------ --------------- --------------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITY (1.0%)
$28,692 Bank One Auto Trust..................... 05/15/96 6.362% $ 28,691,656
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CERTIFICATES OF DEPOSIT -- DOMESTIC (0.8%)
25,000 Wachovia Bank & Trust Co., N.A. ........ 02/09/96 7.070 25,003,275
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CERTIFICATES OF DEPOSIT -- FOREIGN (16.1%)
45,600 ABN -- AMRO Bank N.V. .................. 08/04/95 6.260 45,603,885
49,000 Bank of Montreal........................ 06/09/95 6.060 49,000,042
45,000 Bank of New York........................ 06/30/95 6.130 45,000,000
15,000 Banque National De Paris................ 07/12/95 6.120 15,000,000
20,000 Bayerische Landesbank................... 08/04/95 6.070 20,000,350
20,000 Canadian Imperial Bank of Commerce...... 06/12/95 6.005 19,999,988
10,000 Credit Suisse........................... 06/26/95 5.530 10,000,066
32,000 Dai ichi Kangyo Bank.................... 06/21/95 6.030 32,000,353
40,000 Fuji Bank Ltd. ......................... 08/02/95 6.120 40,000,000
21,000 Industrial Bank of Japan................ 06/28/95 6.260 21,000,726
8,000 Rabobank Nederland, N.V. ............... 09/05/95 5.850 7,994,784
50,000 Sanwa Bank Ltd. ........................ 06/12/95 -
09/29/95 6.020 - 6.430 50,019,908
60,000 Societe Generale........................ 08/01/95 -
04/12/96 6.060 - 6.600 60,025,091
64,000 Sumitomo Bank Ltd. ..................... 06/07/95 -
06/15/95 6.000 - 6.060 64,000,000
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TOTAL CERTIFICATES OF DEPOSIT --
FOREIGN................................ 479,645,193
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COMMERCIAL PAPER (17.2%)
15,000 American Express Credit Corp. .......... 07/03/95 5.990 14,920,133
30,000 AT&T Corp............................... 10/30/95 5.980 29,247,517
22,800 Ameritech Corp. ........................ 07/26/95 5.990 22,591,348
35,000 Bank of Montreal........................ 06/19/95 5.960 34,895,700
34,500 Bankers Trust Corp. .................... 11/06/95 5.940 33,600,585
50,000 C.I.T. Group Holdings Inc. ............. 06/28/95 5.950 49,776,875
21,215 Campbell Soup Co. ...................... 02/01/96 5.900 20,363,159
17,493 Dow Chemical Corp. ..................... 06/01/95 6.125 17,493,000
100,000 Exxon Asset Management.................. 06/02/95 -
06/05/95 5.930 99,958,819
111,000 Ford Motor Corp. ....................... 06/01/95 -
06/08/95 5.940 - 5.970 110,959,507
20,000 Lilly, Eli & Co. ....................... 06/01/95 5.930 20,000,000
50,481 Monsanto Co. ........................... 06/16/95 -
06/19/95 6.070 50,335,621
5,000 Southern California Edison Co. ......... 08/01/95 6.000 4,949,167
3,350 Southwestern Bell Capital Corp. ........ 07/10/95 6.045 3,328,062
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TOTAL COMMERCIAL PAPER.................. 512,419,493
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</TABLE>
See Accompanying Notes.
15
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1995
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<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT YIELD TO
(IN MATURITY/ VALUE
THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE (NOTE 1a)
- - ---------- ---------------------------------------- ------------------ --------------- --------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- FOREIGN (10.6%)
$82,232 Abbey National, North America........... 06/05/95 -
09/06/95 5.990 - 6.130% $ 81,571,107
50,000 Canadian Imperial Holdings.............. 06/26/95 5.950 49,793,403
74,130 Commonwealth Bank of Australia.......... 06/02/95 -
09/27/95 5.980 - 6.170 73,114,797
25,000 Deutsche Bank........................... 07/12/95 6.090 24,826,604
86,500 UBS Finance (Delaware), Inc. ........... 06/01/95 6.150 86,500,000
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TOTAL COMMERCIAL PAPER -- FOREIGN....... 315,805,911
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CORPORATE BONDS (2.6%)
15,000 Abbey National Treasury Services PLC.... 12/20/95 7.350 14,987,002
14,000 First Bank N.A. ........................ 07/11/95 6.030 14,000,000
32,000 Ford Motor Credit Co. .................. 11/12/95 6.125 31,812,538
15,000 Wachovia Bank & Trust Co., N.A. ........ 08/07/95 4.300 14,936,608
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TOTAL CORPORATE BONDS................... 75,736,148
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EURO DOLLAR CERTIFICATES OF DEPOSIT (2.8%)
23,000 Commerzbank U.S. Finance Inc. .......... 08/23/95 6.385 22,999,500
50,000 Deutsche Bank........................... 08/08/95 6.370 50,003,358
10,000 Republic Bank of New York............... 11/30/95 7.250 10,000,476
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TOTAL EURO DOLLAR CERTIFICATES OF
DEPOSIT................................ 83,003,334
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FLOATING RATE NOTES (8.5%) (a)
10,000 Bank One Texas, (resets daily to Federal
Funds rate + 15 basis points).......... 06/02/95 6.220 10,000,000
50,000 Bankers Trust New York Corp. (resets
daily to Federal Funds Rate + 18 basis
points)................................ 06/20/95 6.250 49,998,756
34,000 Boatmans First National Bank, (resets
daily to Federal Funds Rate + 17 basis
points)................................ 06/16/95 6.240 33,998,997
50,000 Federal National Mortgage Association
(resets daily to Federal Funds Rate + 5
basis points).......................... 10/16/95 6.020 49,996,267
25,000 Federal National Mortgage Association
(resets daily to Federal Funds Rate + 5
basis points).......................... 02/09/96 6.020 24,994,801
50,000 General Electric Capital Corp. (resets
monthly to one month LIBOR Rate minus
3.125 basis points).................... 10/27/95 6.031 50,000,000
35,000 PNC Bank Pittsburgh (resets Tuesdays, to
Federal Funds Weekly Effective Rate +
10 basis points)....................... 08/04/95 6.120 34,993,933
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TOTAL FLOATING RATE NOTES............... 253,982,754
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</TABLE>
See Accompanying Notes.
16
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1995
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<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT YIELD TO
(IN MATURITY/ VALUE
THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE (NOTE 1a)
- - ---------- ---------------------------------------- ------------------ --------------- --------------
<C> <S> <C> <C> <C>
GOVERNMENT OBLIGATIONS -- FOREIGN (1.2%)
$37,500 Canadian Treasury Bills................. 09/07/95 -
09/28/95 5.940 - 6.100% $ 36,839,424
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TIME DEPOSITS -- FOREIGN (5.4%)
6,775 Banque National de Paris, Grand
Cayman................................. 06/01/95 6.062 6,775,000
52,535 Credit Agricole, Grand Cayman........... 06/01/95 6.125 52,535,000
100,000 Fuji Bank Ltd., Grand Cayman............ 06/01/95 6.156 100,000,000
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TOTAL TIME DEPOSITS -- FOREIGN.......... 159,310,000
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U.S. TREASURY OBLIGATIONS (1.9%)
56,614 United States Treasury Bills............ 06/01/95 -
09/28/95 5.505 - 5.775 56,536,360
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U.S. GOVERNMENT AGENCY OBLIGATIONS (17.9%)
69,200 Federal Farm Credit Bank................ 06/02/95 -
06/13/95 5.870 - 6.070 69,148,579
161,685 Federal Home Loan Bank.................. 06/01/95 -
05/17/96 5.870 - 6.420 161,606,351
39,542 Federal Home Loan Mortgage Corp......... 06/01/95 -
08/04/95 4.625 - 6.100 39,458,131
224,260 Federal National Mortgage Association... 06/02/95 -
09/20/95 5.870 - 5.970 222,900,924
37,400 Tennessee Valley Authority.............. 06/19/95 5.890 37,289,857
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TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS............................ 530,403,842
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REPURCHASE AGREEMENT (14.4%)
427,885 Goldman Sachs Repurchase Agreement dated
5/31/95 due 6/1/95, proceeds
$427,957,265 (collateralized by
$207,604,000 U.S. Treasury Strips
0.000%, due 2/15/98 -- 2/15/19 valued
at $91,542,396; $125,770,000 U.S.
Treasury Bonds 7.875% -- 14.000%, due
11/15/03 -- 8/15/21 valued at
$178,513,484; $157,986,000 U.S.
Treasury Notes 5.000% -- 9.125% valued
at $166,387,362) (cost $427,885,000)... 06/01/95 6.080 427,885,000
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TOTAL INVESTMENTS (COST $2,985,262,390)
(100.4%) 2,985,262,390
LIABILITIES IN EXCESS OF OTHER ASSETS
(-0.4%) (11,633,984)
--------------
NET ASSETS (100.0%) $2,973,628,406
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--------------
<FN>
(a) The coupon rate shown on floating or adjustable rate securities represents the rate at the end of the period. The
due date on these types of securities reflects the final maturity date.
</TABLE>
See Accompanying Notes.
17
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1995
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<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value (Note 1a) $2,557,377,390
Repurchase Agreement at Cost and Value (Note 1a) 427,885,000
Receivable for Investments Sold 30,155,151
Interest Receivable 10,262,343
Prepaid Insurance 8,560
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Total Assets 3,025,688,444
--------------
LIABILITIES
Payable for Investments Purchased 49,951,710
Financial and Fund Accounting Services Fee Payable (Note 2c) 630,230
Payable to Custodian 590,511
Advisory Fee Payable (Note 2a) 412,340
Custody Fee Payable 394,332
Administration Fee Payable (Note 2b) 15,088
Fund Services Fee Payable (Note 2d) 13,827
Accrued Expenses 52,000
--------------
Total Liabilities 52,060,038
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,973,628,406
--------------
--------------
</TABLE>
See Accompanying Notes.
18
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 1995
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<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1b)
Interest $82,171,058
EXPENSES
Advisory Fee (Note 2a) $1,871,179
Custodian Fees and Expenses 247,735
Financial and Fund Accounting Services Fee (Note 2c) 240,557
Fund Services Fee (Note 2d) 136,567
Administration Fee (Note 2b) 86,767
Professional Fees 36,025
Trustees' Fees and Expenses (Note 2e) 33,858
Miscellaneous 14,557
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Total Expenses 2,667,245
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NET INVESTMENT INCOME 79,503,813
NET REALIZED GAIN ON INVESTMENTS 797,762
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $80,301,575
-----------
-----------
</TABLE>
See Accompanying Notes.
19
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FISCAL
ENDED YEAR ENDED
MAY 31, 1995 NOVEMBER 30,
(UNAUDITED) 1994
--------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 79,503,813 $ 94,288,128
Net Realized Gain (Loss) on Investments 797,762 (57,650)
--------------- ----------------
Net Increase in Net Assets Resulting from Operations 80,301,575 94,230,478
--------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 8,393,417,944 13,334,979,866
Withdrawals (8,147,764,992) (13,481,612,327)
--------------- ----------------
Net Increase (Decrease) from Investors' Transactions 245,652,952 (146,632,461)
--------------- ----------------
Total Increase (Decrease) in Net Assets 325,954,527 (52,401,983)
NET ASSETS
Beginning of Period 2,647,673,879 2,700,075,862
--------------- ----------------
End of Period $2,973,628,406 $ 2,647,673,879
--------------- ----------------
--------------- ----------------
</TABLE>
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SUPPLEMENTARY DATA
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<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 12, 1993
FOR THE FOR THE FISCAL (COMMENCEMENT OF
SIX MONTHS ENDED YEAR ENDED OPERATIONS) TO
MAY 31, 1995 NOVEMBER 30, NOVEMBER 30,
(UNAUDITED) 1994 1993
----------------- ---------------- ----------------
<S> <C> <C> <C>
Ratios to Average Net Assets
Expenses 0.19%(a) 0.20% 0.19%(a)
Net Investment Income 5.79%(a) 3.90% 2.98%(a)
Decrease Reflected in Expense Ratio due to Expense
Reimbursements -- 0.00%(b) --
<FN>
- - ------------------------
(a) Annualized
(b) Less than 0.01%
</TABLE>
See Accompanying Notes.
20
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1995
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1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Money Market Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940, as amended, (the "Act") 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. The Portfolio commenced operations on July 12, 1993. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
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)Securities transactions are recorded on a trade date basis. Investment
income consists of interest income, which includes the amortization of
premiums and discounts. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c)The Portfolio will be treated as a partnership for federal income tax
purposes. As such, each investor in the Portfolio will be subject to
taxation 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 the same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory 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 May 31, 1995, this
fee amounted to $1,871,179.
21
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1995
- - --------------------------------------------------------------------------------
b)The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Signature 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
Portfolio's officers affiliated with Signature. The agreement provides for
a fee to be paid to Signature at an annual fee rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
Administrative Services Agreement, 0.008% of the next $2 billion of such
net assets, 0.006% of the next $2 billion of such net assets, and 0.004%
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied to the daily net assets of the Portfolio. For the six
months ended May 31, 1995, Signature's fee for these services amounted to
$86,767.
c)The Portfolio has entered into a Financial and Fund Accounting Services
Agreement ("Services Agreement") with Morgan under which Morgan receives a
fee, based on the percentages described below, for overseeing certain
aspects of the administration and operation of the Portfolio. The Services
Agreement is also designed to provide an expense limit for certain
expenses of the Portfolio. If total expenses of the Portfolio, excluding
the advisory fee, custody expenses, fund services fee, and brokerage
costs, exceed the expense limit of 0.03% of the Portfolio's average daily
net assets, Morgan will reimburse the Portfolio for the excess expense
amount and receive no fee. Should such expenses be less than the expense
limit, Morgan's fee would be limited to the difference between such
expenses and the fee calculated under the Services Agreement. For the six
months ended May 31, 1995, Morgan will receive a fee of $240,557.
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 $136,567 for the six months ended May 31, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds, their
corresponding Portfolios and The Series Portfolio. The Trustees' Fees and
Expenses shown in the financial statements represent the Fund's allocated
portion of the total fees and expenses. Prior to April 1, 1995, the
aggregate annual Trustee Fee was $55,000. The Trustee who serves as
Chairman and Chief Executive Officer of these Funds and Portfolios also
serves as Chairman of Group and received 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 $16,000.
22
