<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION DATE RATE VALUE
- -------------- ---------------------------------------- -------- ---------- ------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (33.3%)
$ 19,000 Federal Farm Credit Bank
11/21/96 5.180% $ 18,945,322
30,000 Federal Home Loan Bank
11/12/96 5.330 29,951,142
25,000 Federal Home Loan Bank
01/06/97 5.210 24,761,208
15,000 Federal Home Loan Bank
12/26/96 5.180 14,881,292
8,285 Federal Home Loan Bank
11/13/96 5.300 8,270,750
1,565 Federal Home Loan Bank
01/09/97 5.300 1,549,372
------------
Total U.S. Government Agency Obligations (amortized cost
$98,359,086)
98,359,086
------------
<CAPTION>
U.S. TREASURY OBLIGATIONS (60.4%)
<C> <S> <C> <C> <C>
32,200 United States Treasury Bills
12/05/96 4.900 32,050,986
22,670 United States Treasury Bills
12/12/96 4.850-4.940 22,543,353
17,697 United States Treasury Bills
01/23/97 4.985 17,493,605
11,325 United States Treasury Bills
04/17/97 5.085 11,057,857
50,000 United States Treasury Notes
11/15/96 7.250 50,039,263
20,000 United States Treasury Notes
02/28/97 6.875 20,095,361
15,000 United States Treasury Notes
03/31/97 6.625 15,067,014
9,854 United States Treasury Notes
04/30/97 6.500 9,898,301
------------
Total U.S. Treasury Obligations (amortized cost $178,245,740)
178,245,740
------------
<CAPTION>
REPURCHASE AGREEMENT (5.6%)
<C> <S> <C> <C> <C>
16,371 Goldman Sachs Repurchase Agreement,
dated 10/31/96, proceeds $16,373,519,
(collateralized by $15,927,000 U.S.
Treasury Notes 6.750%, due 05/31/99
valued at $16,698,619) (cost
$16,371,000)
11/01/96 5.540 16,371,000
------------
TOTAL INVESTMENTS (COST $292,975,826) (99.3%)
292,975,826
OTHER ASSETS IN EXCESS OF LIABILITIES (0.7%)
1,959,506
------------
NET ASSETS (100.0%) $294,935,332
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 292,975,826
Cash 708
Interest Receivable 2,001,741
Receivable for Expense Reimbursement 33,866
Deferred Organization Expenses 6,526
Prepaid Trustees' Fees 1,002
Prepaid Expenses and Other Assets 1,349
--------------
Total Assets 295,021,018
--------------
LIABILITIES
Advisory Fee Payable 50,873
Administrative Services Fee Payable 8,066
Custody Fee Payable 5,979
Administration Fee Payable 626
Fund Services Fee Payable 140
Accrued Expenses 20,002
--------------
Total Liabilities 85,686
--------------
NET ASSETS
Applicable to Investors' Beneficial
Interests $ 294,935,332
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ 17,235,172
EXPENSES
Advisory Fee $ 653,326
Administrative Services Fee 73,206
Custodian Fees and Expenses 65,695
Professional Fees and Expenses 34,437
Administration Fee 30,286
Fund Services Fee 16,144
Trustees' Fees and Expenses 6,510
Amortization of Organization Expenses 5,538
Miscellaneous 6,527
--------------
Total Expenses 891,669
Less: Reimbursement of Expenses (238,343)
--------------
NET EXPENSES 653,326
--------------
NET INVESTMENT INCOME 16,581,846
NET REALIZED GAIN ON INVESTMENTS 169,188
--------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 16,751,034
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<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, 1996 OCTOBER 31, 1995
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,581,846 $ 13,677,298
Net Realized Gain on Investments 169,188 103,233
---------------- ----------------
Net Increase in Net Assets
Resulting from Operations 16,751,034 13,780,531
---------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 1,895,749,425 1,512,814,744
Withdrawals (1,935,444,581) (1,408,013,342)
---------------- ----------------
Net Increase (Decrease) from
Investors' Transactions (39,695,156) 104,801,402
---------------- ----------------
Total Increase (Decrease) in Net
Assets (22,944,122) 118,581,933
NET ASSETS
Beginning of Fiscal Year 317,879,454 199,297,521
---------------- ----------------
End of Fiscal Year $ 294,935,332 $ 317,879,454
---------------- ----------------
---------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR ENDED OCTOBER 31, JANUARY 4, 1993
(COMMENCEMENT OF
-------------------------------------- OPERATIONS) TO
1996 1995 1994 OCTOBER 31, 1993
----- ----- ----- -----------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20% 0.20% 0.22% 0.26%(a)
Net Investment Income 5.08% 5.55% 3.65% 2.75%(a)
Decrease Reflected in Expense Ratio
due to Expense Reimbursement 0.07% 0.06% 0.05% 0.07%(a)
</TABLE>
- ------------------------
(a)Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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, is recorded on an accrual basis. 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.
23
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 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 fiscal year ended October 31, 1996,
this fee amounted to $653,326.
b)The Portfolio had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Under an Administration Agreement, Signature provided administrative
services necessary for the operations of the Portfolio, furnished office
space and facilities required for conducting the business of the Portfolio
and paid the compensation of the Portfolio's officers affiliated with
Signature. Until December 28, 1995, 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 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 was 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 (the "Master Portfolios") in which The
JPM Pierpont Funds, The JPM Institutional Funds or The JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the total net assets of The JPM Pierpont Funds, The JPM Institutional
Funds, The JPM Advisor Funds and the Master Portfolios. For the period
from December 29, 1995 through July 31, 1996, such fees amounted to
$25,491. The Administration Agreement with Signature was terminated July
31, 1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ( FDI ), a
registered broker-dealer, and by Morgan. FDI also serves as the
Portfolio's exclusive placement agent. Under a Co-Administration Agreement
between FDI and the Portfolio, the Portfolio has agreed to pay FDI fees
equal to its allocable share of annual complex-wide charge of $425,000
plus FDI's out-of-pocket expenses. The amount allocable to the Portfolio
is based on the ratio of the Portfolio's net assets to the aggregate net
assets of The JPM Pierpont Funds, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period from August 1,
1996 through October 31, 1996, the fee for these services amounted to
$1,663.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan which provided that Morgan would receive a
fee, based on the percentage described below, for overseeing certain
aspects of the administration and operation of the Portfolio and that 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
24
<PAGE>
THE TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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 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 (the "Services Agreement") with Morgan under which
Morgan is responsible for overseeing certain aspects of the administration
and operation of the Portfolio. Under the Services Agreement, the
Portfolio had agreed to pay Morgan a fee equal to its proportionate share
of an annual complex-wide charge. Until July 31, 1996, this charge was
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 Master Portfolios' aggregate average daily net
assets in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the net assets of the Master Portfolios and other investors in the Master
Portfolios for which Morgan provided similar services. For the period from
December 29, 1995 through July 31, 1996, the fee for these services
amounted to $48,657.
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios aggregate
average daily net assets and 0.04% of the Master Portfolios' aggregate
average daily net assets in excess of $7 billion less the complex-wide
fees payable to FDI. The allocation of the Portfolio's portion of this
charge is described above. For the period from August 1, 1996 through
October 31, 1996, the fee for these services amounted to $24,549.
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 fiscal year ended October 31, 1996, Morgan has
agreed to reimburse the Portfolio $238,343 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 $16,144 for the fiscal year ended October 31, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM 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 Portfolio's Chairman and Chief Executive Officer 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 $2,100.
25
<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, 1996, 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 three 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, 1996 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
New York, New York
December 18, 1996
26
