<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE COUPON VALUE
- -------------- ---------------------------------------- -------- ---------- ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (34.5%)
<C> <S> <C> <C> <C>
$ 11,770 Federal Farm Credit Bank
05/24/96 5.500% $ 11,731,123
1,400 Federal Farm Credit Bank
05/15/96 5.160 1,397,191
57,500 Federal Home Loan Bank
05/28/96 5.170-5.500 57,276,875
30,000 Federal Home Loan Bank
05/20/96 5.180-5.500 29,918,063
25,000 Federal Home Loan Bank
06/03/96 5.100 24,883,125
------------
Total U.S. Government Agency Obligations (amortized cost
$125,206,377)
125,206,377
------------
<CAPTION>
U.S. TREASURY OBLIGATIONS (64.0%)
<C> <S> <C> <C> <C>
33,936 United States Treasury Bills
05/09/96 4.735-5.500 33,899,076
30,000 United States Treasury Bills
07/25/96 4.865 29,655,396
28,020 United States Treasury Bills
07/11/96 4.890 27,749,770
24,000 United States Treasury Bills
10/10/96 5.030 23,456,760
20,000 United States Treasury Bills
06/27/96 5.600 19,845,150
13,000 United States Treasury Bills
05/16/96 4.900 12,973,404
4,400 United States Treasury Bills
12/12/96 5.125 4,273,500
395 United States Treasury Bills
02/06/97 4.975 380,833
15,000 United States Treasury Notes
03/31/97 6.625 15,149,218
9,854 United States Treasury Notes
04/30/97 6.500 9,943,585
5,000 United States Treasury Notes
05/15/96 7.375 5,002,924
50,000 United States Treasury Strip (Principal
Only)
05/15/96 5.500 49,902,212
------------
Total U.S. Treasury Obligations (amortized cost $232,231,828)
232,231,828
------------
<CAPTION>
REPURCHASE AGREEMENT (1.4%)
<C> <S> <C> <C> <C>
5,032 Goldman Sachs Repurchase Agreement dated 04/30/96
due 05/01/96, proceeds $5,032,745
(collateralized by $3,479,000 U.S. Treasury
Bonds 12.75%, due 11/15/10 valued at $5,133,302 5.330 5,032,000
(cost $5,032,000)
------------
TOTAL INVESTMENTS (COST $362,470,205)(99.9%)
362,470,205
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%)
168,161
------------
NET ASSETS (100.0%) $362,638,366
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $362,470,205
Cash 235
Interest Receivable 256,848
Receivable for Expense Reimbursements 24,659
Deferred Organization Expenses 9,307
Prepaid Trustees' Fees 1,399
Prepaid Expenses 951
------------
Total Assets 362,763,604
------------
LIABILITIES
Advisory Fee Payable 79,748
Administrative Services Fee Payable 7,427
Administration Fee Payable 3,823
Fund Services Fee Payable 1,207
Accrued Expenses 33,033
------------
Total Liabilities 125,238
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $362,638,366
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 9,394,162
Interest
EXPENSES
Advisory Fee $351,520
Administrative Services Fee 30,418
Custodian Fees and Expenses 29,483
Administration Fee 19,100
Professional Fees 16,978
Fund Services Fee 9,660
Trustees' Fees and Expenses 3,230
Amortization of Organization Expenses 2,757
Miscellaneous 6,909
--------
Total Expenses 470,055
LESS: REIMBURSEMENT OF EXPENSES (118,535)
--------
(351,520)
NET EXPENSES
-----------
9,042,642
NET INVESTMENT INCOME
137,623
NET REALIZED GAIN ON INVESTMENTS
-----------
$ 9,180,265
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FISCAL
APRIL 30, 1996 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1995
------------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 9,042,642 $ 13,677,298
Net Realized Gain on Investments 137,623 103,233
------------------- ----------------
Net Increase in Net Assets Resulting
from Operations 9,180,265 13,780,531
------------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 1,146,843,464 1,512,814,744
Withdrawals (1,111,264,817) (1,408,013,342)
------------------- ----------------
Net Increase from Investors'
Transactions 35,578,647 104,801,402
------------------- ----------------
Total Increase in Net Assets 44,758,912 118,581,933
NET ASSETS
Beginning of Period 317,879,454 199,297,521
------------------- ----------------
End of Period $ 362,638,366 $ 317,879,454
------------------- ----------------
------------------- ----------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- -------------------------------------------------------------------------------------------
<CAPTION>
FOR THE PERIOD
FOR THE JANUARY 4, 1993
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED (COMMENCEMENT OF
APRIL 30, 1996 ----------------------------------- OPERATIONS) TO
(UNAUDITED) OCTOBER 31, 1995 OCTOBER 31, 1994 OCTOBER 31, 1993
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20%(a) 0.20% 0.22% 0.26%(a)
Net Investment Income 5.15%(a) 5.55% 3.65% 2.75%(a)
Decrease Reflected in Expense
Ratio due to Expense
Reimbursements 0.07%(a) 0.06% 0.05% 0.07%(a)
<FN>
- ------------------------
(a) Annualized
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Treasury Money Market Portfolio (the "Portfolio") 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. The Portfolio's investment objective is to provide
current income, maintain a high level of liquidity and preserve capital. 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 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 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.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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, 1996, this
fee amounted to $351,520.
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 provided 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 was applied each day to the net assets of the Portfolio. For the
period from November 1, 1995, through December 28, 1995, Signature's fee
for these services amounted to $3,132.
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. For
the period from December 29, 1995, through April 30, 1996, Signature's fee
for these services amounted to $15,968.
c) Until 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 percentage described below, for overseeing
certain aspects of the administration and operation of the Portfolio and
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 and amortization of organization expenses at
0.03% of the Portfolio's average daily net assets. 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 Services 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 (the "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
21
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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 average daily net assets and 0.03% of the aggregate
average daily 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. For the period from December 29, 1995 through
April 30, 1996, the fee for these services amounted to $30,418.
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
February 28, 1997. For the six months ended April 30, 1996, Morgan has
agreed to reimburse the Portfolio $118,535 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 $9,660 for the six months ended April 30, 1996.
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 the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represents the Portfolio's allocated portion of the total fees
and expenses. The Trustee who serves as Chairman and Chief Executive
Officer of the Portfolio 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 $1,200.
22
