<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YIELD TO
PRINCIPAL AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------------- ---------------------------------------- ------------------- ------------- --------------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITY (0.1%)
$ 3,573 Bank One Auto Trust, Series 1995-A,
Class A-1............................. 04/15/96 6.362% $ 3,572,937
--------------
CERTIFICATE OF DEPOSIT -- DOMESTIC (0.7%)
25,000 Wachovia Bank & Trust Co., N.A.......... 02/09/96 7.070 25,000,906
--------------
CERTIFICATES OF DEPOSIT -- FOREIGN (30.7%)
39,500 Bank of Montreal (Chicago).............. 12/05/95 5.770 39,500,043
101,891 Bank of Montreal (New York)............. 12/01/95 5.937 101,891,000
31,000 Bank of Nova Scotia..................... 02/06/96 5.750 31,000,000
160,000 Banque National de Paris Ltd............ 12/07/95 - 03/25/96 5.740 - 5.790 160,000,000
29,000 Commerzbank U.S. Finance Inc............ 12/01/95 5.760 29,000,000
125,000 Dai-ichi Kangyo Bank Ltd................ 12/05/95 - 02/02/96 5.990 - 6.260 125,016,993
150,000 Fuji Bank Ltd........................... 12/06/95 - 01/12/96 6.000 - 6.180 150,000,935
112,000 Industrial Bank of Japan Ltd............ 01/16/96 - 02/14/96 6.120 - 6.310 112,005,520
110,000 Mitsubishi Bank Ltd..................... 12/27/95 5.900 110,000,000
21,000 National Bank, Australia................ 10/02/96 5.750 20,978,104
7,000 Sanwa Bank Ltd.......................... 01/16/96 6.080 7,000,000
86,000 Societe Generale N.Y.................... 12/18/95 - 04/12/96 5.750 - 6.600 86,010,561
50,000 Sumitomo Bank Ltd....................... 01/26/96 6.100 50,000,000
--------------
Total Certificates of Deposit - Foreign 1,022,403,156
--------------
COMMERCIAL PAPER -- DOMESTIC (19.1%)
31,000 Ameritech Corp.......................... 12/28/95 5.590 30,870,033
86,400 AT&T Corp............................... 12/01/95 5.620 86,400,000
25,000 Associate Corp. of North America........ 12/01/95 5.910 25,000,000
32,000 Bankers Trust Corp...................... 03/13/96 5.670 31,480,880
50,000 C.I.T. Group Holdings Inc............... 03/18/96 5.620 49,157,000
21,215 Campbell Soup Co........................ 02/01/96 5.900 20,999,432
39,775 Chevron Transportation Corp............. 12/06/95 - 12/19/95 5.700 - 5.730 39,700,761
17,200 Dupont (E.I.) de Nemours & Co., Inc..... 07/24/96 5.500 16,579,844
29,200 Exxon Asset Management.................. 12/08/95 5.710 29,167,580
50,000 First Chicago Corp...................... 12/05/95 5.770 49,967,944
85,500 Ford Motor Corp......................... 12/15/95 5.620 85,313,135
153,000 General Electric Capital Corp........... 12/04/95 - 12/29/95 5.710 - 5.760 152,698,789
3,755 Georgia Municipal Electric Co........... 12/08/95 5.710 3,750,831
4,720 Koch Industries Inc..................... 12/01/95 5.900 4,720,000
7,160 Lilly, Eli & Co......................... 12/04/95 5.620 7,156,647
5,000 Raytheon Co............................. 12/12/95 5.750 4,991,215
--------------
Total Commercial Paper - Domestic 637,954,091
--------------
COMMERCIAL PAPER -- FOREIGN (17.5%)
56,737 ABN - AMRO Bank N.V..................... 12/05/95 5.700 56,701,067
97,000 Abbey National, North America........... 12/22/95 5.610 96,682,568
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YIELD TO
PRINCIPAL AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------------- ---------------------------------------- ------------------- ------------- --------------
COMMERCIAL PAPER -- FOREIGN (CONTINUED)
<C> <S> <C> <C> <C>
$ 70,985 Bayerische Vereinsbank.................. 12/01/95 5.930% $ 70,985,000
4,500 BFCE U.S. Finance Corp.................. 02/20/96 5.690 4,442,389
82,000 Commonwealth Bank of Australia.......... 12/20/95 5.600 81,757,644
127,500 Deutsche Bank Financial, Inc............ 12/05/95 - 02/02/96 5.665 - 5.750 127,163,964
20,000 Electricite De France................... 04/04/96 5.610 19,610,417
23,000 Ontario Hydro........................... 04/09/96 5.620 22,533,228
40,000 Royal Bank of Canada.................... 03/28/96 5.654 39,258,698
62,828 UBS Finance (Delaware), Inc............. 12/05/95 5.750 62,787,860
--------------
Total Commercial Paper - Foreign 581,922,835
--------------
CORPORATE BONDS (2.0%)
15,000 Abbey National Treasury Services PLC.... 12/20/95 7.350 14,998,777
52,000 Ford Motor Credit Co.................... 12/11/95 - 03/25/96 5.000 - 6.125 51,931,711
--------------
Total Corporate Bonds 66,930,488
--------------
EURO DOLLAR CERTIFICATES OF DEPOSIT (0.1%)
4,000 Mitsubishi Trust & Banking Corp......... 01/16/96 6.140 4,000,051
--------------
FLOATING RATE NOTES (12.1%) (A)
25,000 Boatmens First National Bank, (resets
monthly to one month LIBOR Rate -1
basis point).......................... 06/12/96 5.802 25,000,000
15,000 Colorado National Bank, (resets monthly
to one month LIBOR Rate -2 basis
points)............................... 04/17/96 5.792 14,998,859
175,000 Federal National Mortgage Association,
(resets daily to one month LIBOR Rate
-19 basis points)..................... 10/11/96 5.622 174,835,927
50,000 First Bank N.A., (resets monthly to one
month LIBOR Rate -3 basis points)..... 03/08/96 5.782 49,998,736
140,000 Student Loan Marketing Association,
(resets monthly to one month LIBOR
Rate -17 basis points)................ 07/01/96 5.662 139,941,677
--------------
Total Floating Rate Notes 404,775,199
--------------
TIME DEPOSITS -- FOREIGN (3.0%)
100,000 Dresdner Bank, Grand Cayman............. 12/01/95 5.937 100,000,000
--------------
U.S. TREASURY OBLIGATIONS (1.7%)
6,772 United States Treasury Bills............ 12/14/95 - 03/21/96 5.160 - 5.590 6,708,660
50,000 United States Treasury Notes............ 04/15/96 - 05/15/96 7.375 - 9.375 50,513,279
--------------
Total U.S. Treasury Obligations 57,221,939
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YIELD TO
PRINCIPAL AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------------- ---------------------------------------- ------------------- ------------- --------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (17.3%)
$ 36,941 Federal Farm Credit Bank................ 12/02/96 5.400% $ 36,940,800
5,000 Federal Home Loan Bank.................. 04/24/96 6.420 5,007,303
139,923 Federal Home Loan Mortgage Corp......... 12/01/95 - 12/20/95 5.690 - 5.800 139,820,551
394,970 Federal National Mortgage Association... 12/05/95 - 12/06/96 5.390 - 6.460 393,432,114
--------------
Total U.S. Government Agency Obligations 575,200,768
--------------
REPURCHASE AGREEMENT (0.1%)
2,470 Goldman Sachs Repurchase Agreement dated
11/30/95 due 12/01/95, proceeds
$2,470,401 (collateralized by
$2,263,000 U.S. Treasury Notes 9.125%,
due 05/15/99 valued at $2,519,872)
(cost $2,470,000)..................... 12/01/95 5.850 2,470,000
--------------
TOTAL INVESTMENTS (104.4%)
3,481,452,370
LIABILITIES IN EXCESS OF OTHER ASSETS (-4.4%)
(146,496,954)
--------------
NET ASSETS (100.0%) $3,334,955,416
--------------
--------------
</TABLE>
(a) The coupon rate shown on floating or adjustable rate securities represents
the rate at the end of the reporting period. The due date on these types of
securities reflects the final maturity date.
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $3,481,452,370
Cash 1,788
Receivable for Investments Sold 29,211,142
Interest Receivable 11,598,272
Prepaid Expenses 24,736
--------------
Total Assets 3,522,288,308
--------------
LIABILITIES
Payable for Investments Purchased 186,732,650
Advisory Fee Payable 420,879
Custody Fee Payable 83,329
Administration Fee Payable 15,676
Fund Services Fee Payable 12,892
Accrued Expenses 67,466
--------------
Total Liabilities 187,332,892
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $3,334,955,416
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$173,636,796
Interest
EXPENSES
Advisory Fee $ 3,913,479
Custodian Fees and Expenses 545,910
Financial and Fund Accounting Services Fee 373,077
Fund Services Fee 261,045
Administration Fee 176,717
Professional Fees and Expenses 71,200
Trustees' Fees and Expenses 66,978
Miscellaneous 47,677
------------
(5,456,083)
Total Expenses
------------
168,180,713
NET INVESTMENT INCOME
1,573,477
NET REALIZED GAIN ON INVESTMENTS
------------
$169,754,190
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED NOVEMBER
30,
-----------------------------------
1995 1994
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 168,180,713 $ 94,288,128
Net Realized Gain (Loss) on Investments 1,573,477 (57,650)
---------------- ----------------
Net Increase in Net Assets Resulting from
Operations 169,754,190 94,230,478
---------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 17,654,676,133 13,334,979,866
Withdrawals (17,137,148,786) (13,481,612,327)
---------------- ----------------
Net Increase (Decrease) from Investors'
Transactions 517,527,347 (146,632,461)
---------------- ----------------
Total Increase (Decrease) in Net Assets 687,281,537 (52,401,983)
NET ASSETS
Beginning of Fiscal Year 2,647,673,879 2,700,075,862
---------------- ----------------
End of Fiscal Year $ 3,334,955,416 $ 2,647,673,879
---------------- ----------------
---------------- ----------------
- ----------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- ----------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 12, 1993
FOR THE FISCAL YEAR ENDED NOVEMBER 30, (COMMENCEMENT
--------------------------------------- OF OPERATIONS) THROUGH
1995 1994 NOVEMBER 30, 1993
------------------ ------------------ -----------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.19% 0.20% 0.19%(a)
Net Investment Income 5.77% 3.90% 2.98%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursements by Morgan - 0.00%(b) -
</TABLE>
- ------------------------
(a) Annualized
(b) Less than 0.01%
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
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 intends to 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 fiscal year ended November 30, 1995,
this fee amounted to $3,913,479.
21
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 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
Administration 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 each day to the net assets of the Portfolio. For the
fiscal year ended November 30, 1995, Signature's fee for these services
amounted to $176,717.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Portfolio's proportionate share
of a complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan under which Morgan received a fee for
overseeing certain aspects of the administration and operation of the
Portfolio and which was also designed to provide an expense limit for
certain expenses of the Portfolio. This fee was calculated at 0.03% of the
Portfolio's average daily net assets. For the nine month period ended
August 31, 1995, the fee for these services amounted to $373,077. From
September 1, 1995 until December 28, 1995, an interim agreement between
the Portfolio and Morgan provided for the continuation of the oversight
functions that were outlined under the prior agreement and that Morgan
should bear all of its expenses incurred in connection with these
services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement with Morgan under which Morgan is responsible for
overseeing certain aspects of the administration and operation of the
Portfolio. Under the Agreement, the Portfolio has agreed to pay Morgan a
fee equal to its proportionate share of an annual complex-wide charge.
This charge is calculated daily based on the aggregate net assets of the
Master Portfolios in accordance with the following annual schedule: 0.06%
on the first $7 billion of the Master Portfolios' aggregate net assets and
0.03% of the aggregate net assets in excess of $7 billion. The portion of
this charge payable by the Portfolio is determined by the proportionate
share that the Portfolio's net assets bear to the net assets of the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services.
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
22
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
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 $261,045 for the fiscal year ended November 30,
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 and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represent the Portfolio'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 $33,500.
23
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The 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 Money Market Portfolio (the "Portfolio")
at November 30, 1995, 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 12, 1993 (commencement of operations) through November 30,
1993, 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
November 30, 1995 by correspondence with the custodian and brokers and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
January 23, 1996
24
