<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1997
- --------------------------------------------------------------------------------
<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 (34.3%)
$ 10,000 Federal Farm Credit Bank Discount Note........... 05/13/97 5.240% $ 9,982,533
13,000 Federal Farm Credit Bank Discount Note........... 05/21/97 5.260 12,962,011
20,000 Federal Farm Credit Bank Discount Note........... 05/29/97 5.260 19,918,178
30,000 Federal Home Loan Bank Discount Note............. 05/01/97 5.380 30,000,000
12,000 Federal Home Loan Bank Discount Note............. 05/05/97 5.320 11,992,907
25,000 Federal Home Loan Bank Bond...................... 04/15/98 6.020 24,977,585
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(AMORTIZED COST $109,833,214) 109,833,214
------------
U.S. TREASURY OBLIGATIONS (61.8%)
13,851 United States Treasury Bills..................... 05/01/97 4.900 13,851,000
22,000 United States Treasury Bills..................... 05/29/97 4.760 21,918,551
30,000 United States Treasury Bills..................... 05/08/97 4.950 29,971,125
47,000 United States Treasury Bills..................... 05/22/97 4.990 46,863,191
40,000 United States Treasury Notes..................... 05/15/97 8.500 40,047,222
15,000 United States Treasury Notes..................... 09/30/97 5.750 15,004,102
20,130 United States Treasury Notes..................... 10/31/97 5.625 20,114,339
10,000 United States Treasury Notes..................... 11/30/97 5.375 9,990,779
------------
TOTAL U.S. TREASURY OBLIGATIONS (AMORTIZED
COST $197,760,309) 197,760,309
------------
REPURCHASE AGREEMENT (4.9%)
15,527 Goldman Sachs Repurchase Agreement, dated
04/30/97, proceeds $15,529,307, (collateralized
by $16,357,000 U.S. Treasury Bonds 6.625%, due
02/15/2027 valued at $15,838,317) (cost
$15,527,000)................................... 05/01/97 5.350 15,527,000
------------
TOTAL INVESTMENTS (COST $323,120,523) (101.0%) 323,120,523
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.0%) (3,186,313)
------------
NET ASSETS (100.0%) $319,934,210
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $323,120,523
Cash 261
Receivable for Investments Sold 10,019,157
Interest Receivable 1,938,285
Receivable for Expense Reimbursement 19,274
Deferred Organization Expenses 3,772
Prepaid Trustees' Fees 1,483
Prepaid Expenses and Other Assets 700
------------
Total Assets 335,103,455
------------
LIABILITIES
Payable for Investments Purchased 15,077,155
Advisory Fee Payable 55,039
Administrative Services Fee Payable 8,636
Custody Fee Payable 5,650
Administration Fee Payable 1,299
Fund Services Fee Payable 685
Accrued Expenses 20,781
------------
Total Liabilities 15,169,245
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $319,934,210
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $8,607,834
EXPENSES
Advisory Fee $ 327,216
Administrative Services Fee 51,218
Custodian Fees and Expenses 29,753
Professional Fees and Expenses 17,237
Fund Services Fee 5,758
Administration Fee 3,315
Amortization of Organization Expenses 2,753
Trustees' Fees and Expenses 2,342
Miscellaneous 4,999
---------
Total Expenses 444,591
Less: Reimbursement of Expenses (116,658)
---------
NET EXPENSES 327,933
----------
NET INVESTMENT INCOME 8,279,901
NET REALIZED LOSS ON INVESTMENTS (12,933)
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $8,266,968
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1997 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1996
--------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 8,279,901 $ 16,581,846
Net Realized Gain (Loss) on Investments (12,933) 169,188
--------------- ----------------
Net Increase in Net Assets Resulting from
Operations 8,266,968 16,751,034
--------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 1,086,952,947 1,895,749,425
Withdrawals (1,070,221,037) (1,935,444,581)
--------------- ----------------
Net Increase (Decrease) from Investors'
Transactions 16,731,910 (39,695,156)
--------------- ----------------
Total Increase (Decrease) in Net Assets 24,998,878 (22,944,122)
NET ASSETS
Beginning of Period 294,935,332 317,879,454
--------------- ----------------
End of Period $ 319,934,210 $ 294,935,332
--------------- ----------------
--------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
FOR THE YEAR ENDED JANUARY 4, 1993
SIX MONTHS ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 1997 ------------------ OPERATIONS) TO
(UNAUDITED) 1996 1995 1994 OCTOBER 31, 1993
---------------- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20%(a) 0.20% 0.20% 0.22% 0.26%(a)
Net Investment Income 5.06%(a) 5.08% 5.55% 3.65% 2.75%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.07%(a) 0.07% 0.06% 0.05% 0.07%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Federal 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. Prior to January 9, 1997, the Portfolio's name was The Treasury Money
Market 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.
20
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1997
- --------------------------------------------------------------------------------
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, 1997, this
fee amounted to $327,216.
b) The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the Portfolio,
FDI 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 officers
affiliated with FDI. The Portfolio has agreed to pay FDI fees equal to
its allocable share of an 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, the Portfolio and other portfolios (the "Master
Portfolios") in which The JPM Pierpont Funds and The JPM Institutional
Funds invest, JPM Series Trust and JPM Series Trust II. For the six
months ended April 30, 1997, the fee for these services amounted to
$3,315.
On November 15, 1996, The JPM Advisor Funds terminated operations and
were liquidated. Subsequent to that date, the net assets of the JPM
Advisor Funds were no longer included in the calculation of the
allocation of FDI's fees.
c) The Portfolio has 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 has agreed to pay Morgan a
fee equal to its allocable share of an annual complex-wide charge. This
charge is calculated daily based on the aggregate net assets of the
Master Portfolios and JPM Series Trust in accordance with the following
annual schedule: 0.09% on the first $7 billion of their aggregate average
daily net assets and 0.04% of their aggregate average daily net assets in
excess of $7 billion less the complex-wide fees payable to FDI. The
portion of this charge payable by the Portfolio is determined by the
proportionate share that its net assets bear to the net assets of the
Master Portfolios, investors in the Master Portfolios for which Morgan
provides similar services, The JPM Pierpont Funds, The JPM Institutional
Funds, and JPM Series Trust. For the six months ended April 30, 1997, the
fee for these services amounted to $51,218.
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, 1998. For the six months ended April 30, 1997, Morgan has
agreed to reimburse the Portfolio $116,658 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 $5,758 for the six months ended April 30, 1997.
21
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1997
- --------------------------------------------------------------------------------
e) An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the Portfolio's allocated
portion of the total fees and expenses. Prior to April 1, 1997, the
aggregate annual Trustee Fee was $65,000. The Portfolio's Chairman and
Chief Executive Officer also serves as Chairman of Group and receives
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
