<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30,1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ---------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (105.2%)
$ 173,350 Federal Farm Credit Bank......................... 05/03/99-04/03/00 4.717-5.600% $ 173,275,180
80,000 Federal Farm Credit Bank (due 08/24/99).......... 05/24/99(a) 4.692 79,982,860
45,000 Federal Farm Credit Bank (due 09/01/99).......... 06/01/99(a) 4.830 44,994,062
125,000 Federal Farm Credit Bank (due 12/01/99).......... 06/01/99(a) 4.820 125,000,000
200,000 Federal Farm Credit Bank (due 02/01/00).......... 05/01/99(a) 4.768 199,970,207
100,000 Federal Farm Credit Bank (due 05/03/00).......... 06/03/99(a) 4.791 99,960,400
260,850 Federal Home Loan Bank........................... 05/05/99-02/24/00 4.727-5.705 260,988,073
120,000 Federal Home Loan Bank (due 01/26/00)............ 05/03/99(a) 4.850 120,000,000
75,000 Federal Home Loan Bank (due 04/14/00)............ 05/03/99(a) 4.955 74,964,242
156,550 Federal Home Loan Bank Discount Note............. 05/03/99-05/19/99 4.670-4.900 156,374,896
84,015 Student Loan Marketing Association............... 06/02/99-02/08/00 4.930-5.630 84,055,250
100,000 Student Loan Marketing Association (due
10/29/99)...................................... 05/03/99(a) 4.920 100,000,000
94,990 Student Loan Marketing Association Discount
Note........................................... 05/03/99-05/04/99 4.630-4.650 94,959,079
223,367 Tennessee Valley Authority Discount Note......... 05/05/99-05/21/99 4.640-4.700 222,930,516
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (105.2%)................................. 1,837,454,765
LIABILITIES IN EXCESS OF OTHER ASSETS (-5.2%).......................................... (91,333,587)
---------------
NET ASSETS (100.0%).................................................................... $ 1,746,121,178
---------------
---------------
</TABLE>
- ------------------------------
(a)Date listed represents the next interest rate reset date. The actual maturity
date is indicated in the security description.
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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,837,454,765
Interest Receivable 8,951,175
Receivable for Expense Reimbursement 2,532
Prepaid Trustees' Fees 655
Prepaid Expenses and Other Assets 6,762
--------------
Total Assets 1,846,415,889
--------------
LIABILITIES
Due to Custodian 2,318
Payable for Investments Purchased 99,960,400
Advisory Fee Payable 239,584
Administrative Services Fee Payable 40,494
Administration Fee Payable 1,603
Fund Services Fee Payable 781
Accrued Expenses 49,531
--------------
Total Liabilities 100,294,711
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,746,121,178
--------------
--------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $44,171,875
EXPENSES
Advisory Fee $1,382,858
Administrative Services Fee 233,543
Custodian Fees and Expenses 98,203
Professional Fees and Expenses 26,486
Fund Services Fee 18,626
Trustees' Fees and Expenses 9,803
Administration Fee 8,639
Miscellaneous 7,781
----------
Total Expenses 1,785,939
Less: Reimbursement of Expenses (26,521)
----------
NET EXPENSES 1,759,418
-----------
NET INVESTMENT INCOME 42,412,457
NET REALIZED LOSS ON INVESTMENTS (50,274)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $42,362,183
-----------
-----------
</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, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
--------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 42,412,457 $ 48,874,713
Net Realized Gain (Loss) on Investments (50,274) 178
--------------- ----------------
Net Increase in Net Assets Resulting from
Operations 42,362,183 48,874,891
--------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 5,059,524,611 6,623,456,255
Withdrawals (4,819,341,270) (5,585,739,299)
--------------- ----------------
Net Increase from Investors' Transactions 240,183,341 1,037,716,956
--------------- ----------------
Total Increase in Net Assets 282,545,524 1,086,591,847
NET ASSETS
Beginning of Period 1,463,575,654 376,983,807
--------------- ----------------
End of Period $ 1,746,121,178 $ 1,463,575,654
--------------- ----------------
--------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE FISCAL YEAR ENDED
SIX MONTHS ENDED OCTOBER 31,
APRIL 30, 1999 --------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
---------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20%(a) 0.20% 0.20% 0.20% 0.20% 0.22%
Net Investment Income 4.78%(a) 5.31% 5.18% 5.08% 5.55% 3.65%
Expenses without Reimbursement 0.20%(a) 0.25% 0.28% 0.27% 0.26% 0.27%
</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 30,1999
- --------------------------------------------------------------------------------
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 diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on November 4, 1992. The portfolio's investment objective
is to provide high current income consistent with the preservation of capital
and same-day liquidity. 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 tri-party 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. Interest
income, which includes the amortization of premiums and discounts, if any,
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 taxed 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.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management, Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), and a wholly owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
20
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30,1999
- --------------------------------------------------------------------------------
agreement, the portfolio pays JPMIM 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, 1999, such fees
amounted to $1,382,858.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the 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
portfolio and certain other investment companies subject to similar
agreements with FDI. For the six months ended April 30,1999, the fee for
these services amounted to $8,639.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for 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 based on the aggregate average daily net assets of the
portfolio and other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J.P. Morgan 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, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
For the six months ended April 30, 1999, the fee for these services
amounted to $233,543.
In addition, J.P. 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.
This reimbursement arrangement can be changed or terminated at any time at
the option of J.P. Morgan. For the six months ended April 30, 1999, J.P.
Morgan has agreed to reimburse the portfolio $26,521 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 $9,803 for the six months ended April 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios, and J.P. Morgan Series Trust.
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
21
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30,1999
- --------------------------------------------------------------------------------
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 $3,900.
22
