<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE COUPON VALUE
- -------------- --------------------------------------- --------- -------------------------
<C> <S> <C> <C> <C>
U. S. TREASURY OBLIGATIONS (67.7%)
$ 56,692 United States Treasury Bills
12/14/95 5.195-5.240% $ 56,340,041
50,638 United States Treasury Bills
03/21/96 5.285 49,589,815
30,000 United States Treasury Bills
01/11/96 5.300 29,686,121
25,000 United States Treasury Bills
01/25/96 5.380 24,682,431
10,000 United States Treasury Bills
04/18/96 5.500 9,751,194
10,000 United States Treasury Bills
03/28/96 5.400 9,778,000
10,000 United States Treasury Strip (Principal
Only)
02/15/96 6.166 9,828,287
12,000 United States Treasury Notes
04/15/96 9.375 12,197,914
8,300 United States Treasury Notes
02/29/96 7.500 8,349,224
5,000 United States Treasury Notes
05/15/96 7.375 5,040,941
-------------
Total U.S. Treasury Obligations (amortized cost $215,243,968)
215,243,968
-------------
<CAPTION>
REPURCHASE AGREEMENT (32.2%)
<C> <S> <C> <C> <C>
Goldman Sachs Repurchase Agreement dated 10/31/95
due 11/01/95, proceeds $102,414,725
(collateralized by
$40,955,000 U.S. Treasury Notes 6.000%, due
12/31/97
102,398 valued at $42,064,033; $41,123,000 U.S. Treasury
Bonds
8.875%-14.000%, due 11/15/11-02/15/19 valued
at $62,382,998) (Cost $102,398,000) 5.880 102,398,000
-------------
TOTAL INVESTMENTS (COST $317,641,968) (99.9%)
317,641,968
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%)
237,486
-------------
NET ASSETS (100.0%) $ 317,879,454
-------------
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments at Amortized Cost and Value $215,243,968
Repurchase Agreement at Cost and Value 102,398,000
Cash 396
Interest Receivable 345,356
Deferred Organization Expenses 12,064
Prepaid Expenses 3,306
------------
Total Assets 318,003,090
------------
LIABILITIES
Advisory Fee Payable 74,001
Custody Fee Payable 22,360
Fund Services Fee Payable 1,996
Administration Fee Payable 1,510
Accrued Expenses 23,769
------------
Total Liabilities 123,636
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $317,879,454
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$14,170,239
Interest
EXPENSES
Advisory Fee $ 492,941
Custodian Fees and Expenses 46,884
Professional Fees 32,540
Fund Services Fee 22,791
Administration Fee 17,480
Trustees' Fees and Expenses 5,548
Amortization of Organization Expenses 5,538
Miscellaneous 15,399
---------
Total Expenses 639,121
LESS: REIMBURSEMENT OF EXPENSES (146,180)
---------
(492,941)
NET EXPENSES
-----------
13,677,298
NET INVESTMENT INCOME
103,233
NET REALIZED GAIN ON INVESTMENTS
-----------
$13,780,531
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<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,
OCTOBER 31, 1995 1994
---------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 13,677,298 $ 6,192,242
Net Realized Gain (Loss) on
Investments 103,233 (6,960)
---------------- --------------
Net Increase in Net Assets
Resulting from Operations 13,780,531 6,185,282
---------------- --------------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTERESTS
Contributions 1,512,814,744 717,721,291
Withdrawals (1,408,013,342) (633,408,231)
---------------- --------------
Net Increase from Investors'
Transactions 104,801,402 84,313,060
---------------- --------------
Total Increase in Net Assets 118,581,933 90,498,342
NET ASSETS
Beginning of Fiscal Year 199,297,521 108,799,179
---------------- --------------
End of Fiscal Year $ 317,879,454 $ 199,297,521
---------------- --------------
---------------- --------------
- --------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------
FOR THE PERIOD
JANUARY 4, 1993
FOR THE FISCAL YEAR ENDED (COMMENCEMENT OF
-------------------------------------- OPERATIONS) TO
OCTOBER 31, 1995 OCTOBER 31, 1994 OCTOBER 31, 1993
---------------- ---------------- ----------------
RATIOS TO AVERAGE NET
ASSETS
Expenses 0.20% 0.22% 0.26%(a)
Net Investment Income 5.55% 3.65% 2.75%(a)
Decrease Reflected in
Expense Ratio due to
Expense
Reimbursements 0.06% 0.05% 0.07%(a)
</TABLE>
- ------------------------
(a) Annualized
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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 on a straight-line basis
over a five year period from the commencement of operations.
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 October 31, 1995,
this fee amounted to $492,941.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 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 each day to the net assets of the Portfolio. For the
fiscal year ended October 31, 1995, Signature's fee for these services
amounted to $17,480.
c)During the period November 1, 1994, through August 31, 1995, the Portfolio
had a Financial and Fund Accounting Services Agreement ("Services
Agreement") with Morgan under which Morgan may receive a fee, based on the
percentages described below, 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 exclusive of the advisory fee, custody expenses, fund
services fee, amortization of organization expenses and brokerage costs,
at 0.03% of the Portfolio's average daily net assets. For the period
November 1, 1994, through August 31, 1995, Morgan agreed to reimburse the
Fund $430 for expenses that exceeded this limit. Effective September 1,
1995, the Services Agreement was terminated and an interim agreement was
entered into between the Portfolio and Morgan, which provides for the
continuation of the oversight services that were outlined under the prior
agreement and that Morgan shall bear all of its expenses incurred in
connection with these services. In addition, Morgan has 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, 1996. For the fiscal
year ended October 31, 1995, Morgan has agreed to reimburse the Portfolio
$145,750 for expenses under this agreement.
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 $22,791 for the fiscal year ended October 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 and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represent the Portfolios 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 $2,900.
20
<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, 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 its supplementary data for each of the two years in the
period then ended and for the period January 4, 1993 (commencement of
operations) through October 31, 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 October 31, 1995 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
New York, New York
December 15, 1995
21
