<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO - SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
OCTOBER 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT VALUE
--------------------------------------------------------------------------------
<C> <S> <S>
U.S. GOVERNMENT AGENCY SECURITIES - 100.0%
$100,000,000 FFCB, 6.35%, 2/1/01 $ 99,986,186
88,300,000 FFCB, 6.60%, 3/1/01 88,295,306
2,075,000 FFCB, 5.13%, 4/2/01
50,000,000 FFCB, 5.88%, 7/2/01 49,755,712
250,000,000 FFCB Undivided Interest in Demand Note,
6.47%, 7/3/01 249,999,999
144,354,000 FFCB Discount Notes, 6.42%-6.52%,
11/3/00 to 3/8/01(y) 142,912,762
35,000,000 FFCB, Floater, 6.50%, 11/1/00, resets
daily off PRIME minus 3.00% with no caps 34,997,150
40,000,000 FFCB, Floater, 6.58%, 11/1/00, resets
daily off PRIME minus 2.925% with no caps 39,998,661
25,000,000 FFCB, VRN, 6.45%, 11/10/00, resets
monthly off the 1-month
LIBOR minus 0.17% with no caps 24,998,919
100,000,000 FFCB, VRN, 6.43%, 11/11/00, resets
monthly off the 1-month
LIBOR minus 0.19% with no caps 99,981,558
100,000,000 FFCB, VRN, 6.44%, 11/25/00, resets
monthly off the 1-month
LIBOR minus 0.19% with no caps 100,000,000
47,370,000 FHLB, 4.98%, 11/17/00 47,343,182
40,000,000 FHLB, 6.67%, 4/6/01 39,999,825
50,000,000 FHLB, 6.50%, 4/26/01 49,973,943
1,468,753,000 FHLB Discount Notes, 6.41%-6.62%,
11/1/00 to 3/7/01(y) 1,454,282,870
130,000,000 FHLB, Floater, 6.47%, 11/1/00, resets
daily off PRIME minus 3.03% with no caps 129,943,437
100,000,000 FHLB, Floater, 6.49%, 11/1/00,
resets quarterly off the 3-month
LIBOR minus 0.22% with no caps 99,954,997
100,000,000 FHLB, Floater, 6.42%, 11/15/00,
resets monthly off the 1-month
LIBOR minus 0.20% with no caps 99,945,548
50,000,000 FHLB, Floater, 6.43%, 11/17/00,
resets monthly off the 1-month LIBOR
minus 0.19% with no caps 49,978,795
100,000,000 FHLB, Floater, 6.43%, 11/26/00,
resets monthly off the 1-month
LIBOR minus 0.19% with no caps 99,947,146
125,000,000 FHLB, Floater, 6.55%, 1/19/01,
resets quarterly off the 3-month
LIBOR minus 0.22% with no caps 124,917,726
PRINCIPAL AMOUNT VALUE
--------------------------------------------------------------------------------
$200,000,000 FHLB, VRN, 6.50%, 11/1/00, resets daily
off PRIME minus 3.00% with no caps $ 199,984,280
100,000,000 FHLB, VRN, 6.50%, 11/1/00, resets
daily off PRIME minus 3.01% with no caps 99,993,600
100,000,000 FHLB, VRN, 6.43%, 11/20/00, resets
monthly off the 3-month
T-Bill rate minus 0.19% with no caps 99,956,932
130,609,000 SLMA Discount Notes, 6.42%-6.45%,
11/1/00 to 11/22/00(y) 130,329,883
47,398,000 SLMA, MTN, 6.55%, 2/14/01 47,393,344
--------------------
TOTAL INVESTMENTS AT AMORTIZED
COST AND VALUE - 100.0% $3,706,932,326
====================
</TABLE>
(Cost $3,706,932,326)
FHLB - Federal Home Loan Bank
FFCB - Federal Farm Credit Bank
LIBOR - London Interbank Offered Rate
MTN - Medium Term Note
resets - The frequency with which a security's coupon changes, based on current
market conditions or an underlying index.
SLMA - Student Loan Marketing Association
VRN - Variable Rate Note. Interest reset date is indicated and used in
calculating the weighted average portfolio maturity. Rate shown is effective
October 31, 2000.
(y) Yield at Maturity
The Accompanying Notes are an Integral Part of the Financial Statements.
1
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
OCTOBER 31, 2000
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $3,706,932,326
Dividend and Interest Receivable 15,762,543
Prepaid Trustees' Fees and Expenses 2,430
Prepaid Expenses and Other Assets 3,456
--------------------
TOTAL ASSETS 3,722,700,755
--------------------
LIABILITIES
Due to Custodian 1,281,747
Advisory Fee Payable 411,493
Administration Service Fee Payable 78,222
Fund Services Fee Payable 2,546
Administration Fee Payable 1,036
Accrued Expenses and Other Liabilities 124,426
--------------------
TOTAL LIABILITIES 1,899,470
--------------------
NET ASSETS
Applicable to Investors' Beneficial Interests $3,720,801,285
====================
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
2
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
--------------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME
INCOME
Interest Income $187,204,325
--------------------
EXPENSES
Advisory Fee 4,031,308
Administrative Services Fee 735,431
Custodian Fees and Expenses 315,249
Professional Fees 53,051
Fund Services Fee 46,373
Trustees' Fees and Expenses 32,457
Administration Fee 19,778
Printing Expenses 9,583
Insurance Expenses 3,813
Miscellaneous 646
--------------------
Total Expenses 5,247,689
--------------------
NET INVESTMENT INCOME 181,956,636
--------------------
NET REALIZED GAIN ON INVESTMENTS 5,077
--------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $181,961,713
====================
</TABLE>
3
<PAGE>
The Accompanying Notes are an Integral Part of the Financial Statements.
THE FEDERAL MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEARS ENDED OCTOBER 31
INCREASE IN NET ASSETS 2000 1999
<S> <C> <C>
FROM OPERATIONS
Net Investment Income $ 181,956,636 $ 90,037,557
Net Realized Gain (Loss) on Investments 5,077 (93,004)
----------------- -------------------
Net Increase in Net Assets Resulting from Operations 181,961,713 89,944,553
----------------- -------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 15,453,027,028 9,653,493,366
Withdrawals (14,195,010,506) (8,926,190,523)
----------------- -------------------
Net Increase from Investors' Transactions 1,258,016,522 727,302,843
----------------- -------------------
Total Increase in Net Assets 1,439,978,235 817,247,396
----------------- -------------------
NET ASSETS
Beginning of Year 2,280,823,050 1,463,575,654
----------------- -------------------
End of Year $3,720,801,285 $2,280,823,050
================= ===================
</TABLE>
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
FOR THE YEARS ENDED OCTOBER 31
-------------------------------------------------
<S> <C> <C> <C> <C> <C>
2000 1999 1998 1997 1996
Ratios to Average Net Assets
Net Expenses 0.17% 0.20% 0.20% 0.20% 0.20%
Net Investment Income 6.00% 4.85% 5.31% 5.18% 5.08%
Expenses without Reimbursement 0.17% 0.20% 0.25% 0.28% 0.27%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
4
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION -- 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 accounting
principles generally accepted in the United States 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:
SECURITY VALUATIONS -- 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.
SECURITY TRANSACTIONS -- Security transactions are accounted for as of the
trade date. Realized gains and losses are determined on the identified cost
basis, which is also used for federal income tax purposes.
INVESTMENT INCOME -- Interest income is recorded on the accrual basis and
includes accretion of discounts and amortization of premiums.
INCOME TAX STATUS -- 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 provisions of the Internal
Revenue Code.
--------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
ADVISORY -- 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 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.
ADMINISTRATIVE SERVICES -- 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 certain other registered investment companies for which JPMIM acts as
investment advisor 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 Funds Distributor, Inc. 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 Trust and certain other investment
companies for which Morgan provides similar services.
ADMINISTRATION -- The Portfolio has retained Funds Distributor, Inc. ("FDI")
, a registered broker-dealer, to serve as the co-administrator and distributor
for the Fund. 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 Portfolio's 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 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 Trust and certain other investment companies for which FDI provides
similar services.
FUND SERVICES -- The Portfolio has a Fund Services Agreement with Pierpont
Group, Inc. ("PGI") 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 PGI.
5
<PAGE>
THE FEDERAL MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
(Continued)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES (CONTINUED)
Each Trustee receives an aggregate annual fee of $75,000 for serving on the
boards of the Trust, the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
and other registered investment companies in which they invest. The Trustees'
Fees and Expenses shown in the financial statements represent the Fund's
allocated portion of the total Trustees' fees and expenses. The Trust's Chairman
and Chief Executive Officer also serves as Chairman of PGI and receives
compensation and employee benefits from PGI. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown on the
Statement of Operations was $8,800.
--------------------------------------------------------------------------------
3. SUBSEQUENT EVENTS
On September 13, 2000, J.P. Morgan & Co. Incorporated and The Chase
Manhattan Corporation announced that they have entered into an agreement and
plan of merger. The transaction is expected to close in December 2000 and is
subject to approval by shareholders of both companies.
6
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
--------------------------------------------------------------------------------
To the Trustees and Investors of
The Federal 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 Federal Money Market Portfolio (the
"Portfolio") at October 31, 2000, 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 the supplementary data for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America. 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 auditing standards generally accepted
in the United States of America, 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, 2000 by correspondence with the custodian, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 21, 2000
7
<PAGE>
[back cover]
J.P. MORGAN FUNDS
Federal Money Market Fund
---------------------------------------------------------------------
Prime Money Market Fund
---------------------------------------------------------------------
Emerging Markets Debt
---------------------------------------------------------------------
Tax Aware Enhanced Income Fund: Select Shares
---------------------------------------------------------------------
Tax Exempt Money Market Fund
---------------------------------------------------------------------
Short Term Bond Fund
---------------------------------------------------------------------
Bond Fund
---------------------------------------------------------------------
Global Strategic Income Fund
---------------------------------------------------------------------
Tax Exempt Bond Fund
---------------------------------------------------------------------
California Bond Fund: Select Shares
---------------------------------------------------------------------
New York Tax Exempt Bond Fund
---------------------------------------------------------------------
Diversified Fund
---------------------------------------------------------------------
Disciplined Equity Fund
---------------------------------------------------------------------
Tax Aware U.S. Equity Fund: Select Shares
---------------------------------------------------------------------
U.S. Equity Fund
---------------------------------------------------------------------
U.S. Small Company Fund
---------------------------------------------------------------------
U.S. Small Company Opportunities Fund
---------------------------------------------------------------------
Emerging Markets Equity Fund
---------------------------------------------------------------------
European Equity Fund
---------------------------------------------------------------------
International Equity Fund
---------------------------------------------------------------------
International Opportunities Fund
---------------------------------------------------------------------
Global 50 Fund: Select Shares
---------------------------------------------------------------------
Global Healthcare Fund
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For more information on the J.P. Morgan
Funds, call J.P. Morgan Funds
Services at (800) 521-5411.
---------------------------------------------------------------------
Morgan Guaranty Trust Company MAILING
500 Stanton Christiana Road INFORMATION
Newark, Delaware 19713-2107
IN-ANN-23753 1000
