<PAGE>
The Treasury Money Market Portfolio
Semi-Annual Report April 30, 1995
(unaudited)
(The following pages should be read in conjunction
with The Pierpont Treasury Money Market Fund
Semi-Annual Financial Statements)
13
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/ VALUE
(IN THOUSANDS) SECURITY DESCRIPTION DATE COUPON (NOTE 1A)
- - -------------- --------------------------------------- ---------- ------------ -----------
<C> <S> <C> <C> <C>
U. S. TREASURY OBLIGATIONS ( 48.8%)
$ 10,000 United States Treasury Bills 05/04/95 5.300% $ 9,995,088
10,000 United States Treasury Strip (Principal
Only) 02/15/96 6.166 9,530,219
55,000 United States Treasury Notes 07/31/95 4.250 54,743,151
25,000 United States Treasury Notes 05/31/95 4.125 24,959,474
15,000 United States Treasury Notes 08/15/95 4.625 14,937,891
5,000 United States Treasury Notes 05/15/95 5.875 4,999,238
-----------
Total U.S. Treasury Obligations (amortized cost $119,165,061) 119,165,061
-----------
REPURCHASE AGREEMENTS (50.7%)
124,047 Goldman Sachs Repurchase Agreement dated 4/28/95
due 5/1/95, proceeds $124,107,990 (collateralized
by $277,977,000 U.S. Treasury Strips 0.00%, due
5/15/99-8/15/00 valued at $126,528,335)
(cost $124,047,000) 5.900 124,047,000
-----------
TOTAL INVESTMENTS (cost $243,212,061) (99.5%) 243,212,061
OTHER ASSETS IN EXCESS OF LIABILITIES (0.5%) 1,268,062
-----------
NET ASSETS (100.0%) $244,480,123
-----------
-----------
</TABLE>
See Accompanying Notes.
14
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S>
ASSETS <C>
Investments at Amortized Cost and Value (Note 1a) $119,165,061
Repurchase Agreement at Cost and Value (Note 1a) 124,047,000
Interest Receivable 1,352,029
Receivable for Expense Reimbursements (Note 2c) 37,722
Deferred Organization Expenses (Note 1d) 14,887
Prepaid Insurance 991
-----------
Total Assets 244,617,690
-----------
LIABILITIES
Advisory Fee Payable (Note 2a) 59,022
Custody Fee Payable 41,176
Fund Services Fee Payable (Note 2d) 2,102
Administration Fee Payable (Note 2b) 1,635
Accrued Expenses 33,632
-----------
Total Liabilities 137,567
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $244,480,123
-----------
-----------
</TABLE>
See Accompanying Notes.
15
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1995
- - --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (NOTE 1B)
Interest $6,447,961
EXPENSES
Advisory Fee (Note 2a) $225,545
Custodian Fees and Expenses 26,992
Professional Fees 22,676
Fund Services Fee (Note 2d) 11,953
Administration Fee (Note 2b) 7,624
Trustees' Fees and Expenses (Note 2e) 2,745
Amortization of Organization Expenses (Note 1d) 2,715
Miscellaneous 2,385
---------
Total Expenses 302,635
LESS: REIMBURSEMENT OF EXPENSES (NOTE 2C) (77,090)
---------
NET EXPENSES 225,545
---------
NET INVESTMENT INCOME 6,222,416
NET REALIZED GAIN ON INVESTMENTS 53,383
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $6,275,799
---------
---------
</TABLE>
See Accompanying Notes.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
FOR THE FISCAL FOR THE FISCAL
APRIL 30, 1995 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1994
------------------ --------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,222,416 $ 6,192,242
Net Realized Gain (Loss) on Investments 53,383 (6,960)
------------------ --------------------
Net Increase in Net Assets Resulting from Operations 6,275,799 6,185,282
------------------ --------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 929,817,601 717,721,291
Withdrawals (890,910,798) (633,408,231)
------------------ --------------------
Net Increase from Investors' Transactions 38,906,803 84,313,060
------------------ --------------------
Total Increase in Net Assets 45,182,602 90,498,342
NET ASSETS
Beginning of Period 199,297,521 108,799,179
------------------ --------------------
End of Period $ 244,480,123 $ 199,297,521
------------------ --------------------
------------------ --------------------
- - -------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- - -------------------------------------------------------------------------------------------
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FISCAL
APRIL 30, 1995 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1994
------------------ --------------------
<S> <C> <C>
Ratios to Average Net Assets
Expenses 0.20%(a) 0.22%
Net Investment Income 5.52 (a) 3.65%
Decrease Reflected in above Expense Ratio due to Expense
Reimbursements by Morgan 0.07 (a) 0.05%
<FN>
- - ------------------------
(a) Annualized
</TABLE>
See Accompanying Notes.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1995
- - --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury 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 January 4, 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 substantially the same for book and tax purposes.
d)The Portfolio incurred organization expenses in the amount of $27,491.
These costs were deferred and are being amortized by the Portfolio on a
straight-line basis over a five-year period from the commencement of
operations.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
APRIL 30, 1995
- - --------------------------------------------------------------------------------
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 April 30, 1995, this
fee amounted to $225,545.
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 April 30, 1995, Signature's fee for these services amounted
to $7,624.
c)The Portfolio has 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, amortization of
organization expenses, 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 April 30, 1995,
Morgan has agreed to reimburse the Portfolio $1,599 for excess expenses.
In addition to the expenses that Morgan assumes under the Services
Agreement, Morgan has voluntarily agreed to reimburse the Portfolio to the
extent necessary to maintain the total operating expenses of the Portfolio
at no more than 0.20% of the average daily net assets of the Portfolio
through October 31, 1995. For the six months ended April 30, 1995 Morgan
has agreed to reimburse the Portfolio $75,491 for expenses which exceeded
this limit.
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 $11,953 for the six months ended April 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 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
$1,400.
19
