<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT YIELD TO
(IN MATURITY/
THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- ----------- ---------------------------------------- ------------------ ------------ ---------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT-DOMESTIC (2.6%)
$ 25,000 Bank of America National Trust & Savings
Association............................ 02/12/97 4.900% $ 24,991,537
15,000 Bank of New York........................ 04/01/97 5.550 14,991,296
50,000 National Bank of Detroit................ 01/03/97 5.200 49,971,299
---------------
TOTAL CERTIFICATES OF DEPOSIT --
DOMESTIC............................... 89,954,132
---------------
CERTIFICATES OF DEPOSIT-FOREIGN (12.5%)
100,000 Bank of Tokyo, Ltd...................... 08/07/96 5.480 100,000,000
95,000 Banque Nationale de Paris Ltd........... 07/15/96-04/11/97 5.330-5.750 94,992,584
24,500 Bayerische Vereinsbank, New York........ 07/23/96 5.320 24,500,000
50,000 Canadian Imperial Bank of Commerce...... 07/29/96 5.320 50,000,000
4,000 Commerzbank U.S. Finance Inc............ 09/16/96 5.330 3,998,719
21,000 National Bank, Australia................ 10/02/96 5.750 20,991,199
25,000 Royal Bank of Canada, New York.......... 05/13/97 5.810 24,997,731
114,500 Societe Generale........................ 07/08/96-04/03/97 5.330-5.610 114,495,922
---------------
TOTAL CERTIFICATES OF DEPOSIT --
FOREIGN................................ 433,976,155
---------------
COMMERCIAL PAPER-DOMESTIC (26.8%)
6,200 A I Credit Corp......................... 09/05/96 5.270 6,112,869
63,500 A I G Funding Corp...................... 06/04/96-06/06/96 5.230-5.280 63,469,052
120,000 American Express Credit Corp............ 06/07/96-07/01/96 5.280-5.290 119,823,833
15,000 Chevron Transportation Corp............. 06/26/96 5.300 14,944,792
51,467 Coca Cola Co............................ 06/06/96-06/10/96 5.250-5.280 51,413,639
17,200 Dupont (E.I.) de Nemours & Co., Inc..... 07/24/96 5.500 17,060,728
91,500 Exxon Asset Management.................. 06/05/96 5.260 91,446,523
122,500 Ford Motor Corp......................... 06/06/96-10/01/96 5.090-5.290 121,831,981
101,820 General Electric Capital Corp........... 06/11/96-06/18/96 5.260-5.320 101,633,743
4,000 John Deere Capital Corp................. 06/14/96 5.290 3,992,359
72,813 Koch Industries......................... 06/06/96-06/18/96 5.280-5.380 72,712,237
40,750 Motorola Credit Corp.................... 06/06/96 5.250 40,720,287
45,000 Norwest Corp............................ 06/17/96 5.270 44,894,600
45,000 Pfizer Inc.............................. 07/18/96 5.300 44,688,625
30,700 Procter & Gamble Co..................... 06/05/96 5.280 30,681,989
20,000 Raytheon Co............................. 06/11/96 5.300 19,970,555
49,500 Seagram, Joseph E. & Sons Inc........... 06/19/96-06/26/96 5.270-5.280 49,346,871
37,500 Walt Disney Co.......................... 08/05/96 5.280 37,142,500
---------------
TOTAL COMMERCIAL PAPER -- DOMESTIC...... 931,887,183
---------------
COMMERCIAL PAPER - FOREIGN (5.7%)
43,000 Barclays U.S. Funding, Inc.............. 06/19/96 5.290 42,886,265
39,000 Bayerische Vereinsbank.................. 06/12/96 5.270 38,937,199
3,850 Commerzbank U.S. Finance, Inc........... 06/03/96 5.280 3,848,871
21,000 Export Development Corp................. 06/04/96 5.290 20,990,743
52,000 KFW International Finance, Inc.......... 06/25/96-07/15/96 5.280-5.340 51,735,780
38,312 UBS Finance (Delaware), Inc............. 06/03/96 5.410 38,300,485
---------------
TOTAL COMMERCIAL PAPER-FOREIGN.......... 196,699,343
---------------
CORPORATE BONDS (1.4%)
40,000 General Electric Capital Corp........... 09/09/96-01/31/97 5.080-5.680 40,011,947
9,000 Old Kent Bank & Trust Co................ 01/15/97 5.125 9,000,000
---------------
TOTAL CORPORATE BONDS................... 49,011,947
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT YIELD TO
(IN MATURITY/
THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- ----------- ---------------------------------------- ------------------ ------------ ---------------
EURODOLLAR CERTIFICATES OF DEPOSIT (1.9%)
<C> <S> <C> <C> <C>
$ 66,000 Abbey National, North America........... 07/26/96 5.240% $ 66,002,947
---------------
FLOATING RATE NOTES (8.4%) (A)
11,000 Bayerische Landesbank, (resets monthly
to one month LIBOR Rate -13 basis
points)................................ 01/15/97 5.300 10,995,658
25,000 Boatmens First National Bank, (resets
monthly to one month LIBOR Rate -1
basis point)........................... 06/12/96 5.427 25,000,000
150,000 Federal National Mortgage Association,
(resets daily to one month LIBOR Rate
-19 basis points)...................... 10/11/96 5.247 149,941,068
40,000 Federal National Mortgage Association,
(resets weekly to the Fed Funds Flat
Rate).................................. 11/15/96 5.220 39,984,514
67,000 Student Loan Marketing Association,
(resets monthly to one month LIBOR Rate
-17 basis points)...................... 07/01/96 5.267 66,996,069
---------------
TOTAL FLOATING RATE NOTES............... 292,917,309
---------------
GOVERNMENT OBLIGATIONS -- FOREIGN (2.5%)
88,000 Canadian Treasury Bills................. 06/03/96-06/27/96 5.190-5.250 87,841,500
---------------
TIME DEPOSITS -- FOREIGN (11.1%)
74,686 Chemical Bank, Nassau................... 06/03/96 5.375 74,686,000
160,000 Deutsche Bank, Grand Cayman............. 06/03/96 5.375 160,000,000
150,000 Sumitomo Bank, Grand Cayman............. 06/03/96 5.437 150,000,000
---------------
TOTAL TIME DEPOSITS -- FOREIGN.......... 384,686,000
---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (23.3%)
30,000 Federal Farm Credit Bank................ 12/02/96 5.400 29,975,736
158,990 Federal Home Loan Bank.................. 06/03/96-07/16/96 5.000-5.260 158,464,260
305,955 Federal Home Loan Mortgage Corp......... 06/03/96-07/12/96 5.200-5.250 305,236,608
316,725 Federal National Mortgage Association... 06/11/96-12/18/96 5.170-5.620 315,963,182
---------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS............................ 809,639,786
---------------
U.S. TREASURY OBLIGATIONS (4.1%)
2,484 United States Treasury Bills............ 06/20/96-07/25/96 4.920-5.005 2,468,600
136,500 United States Treasury Notes............ 01/31/97-06/30/97 5.625-7.500 138,140,718
---------------
TOTAL U.S. TREASURY OBLIGATIONS......... 140,609,318
---------------
TOTAL INVESTMENTS (AMORTIZED COST $3,483,225,620) (100.3%) 3,483,225,620
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.3%) (11,637,610)
---------------
NET ASSETS (100.0%) $ 3,471,588,010
---------------
---------------
<FN>
(a) The coupon rate shown on floating or adjustable rate securities represents the rate at the end of the reporting
period. The due date on these types of securities reflects the final maturity date.
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $3,483,225,620
Interest Receivable 14,510,071
Receivable for Expense Reimbursement 8,847
Prepaid Trustees' Fees 4,551
Prepaid Expenses and Other Assets 3,545
-------------
Total Assets 3,497,752,634
-------------
LIABILITIES
Payable for Investments Purchased 25,533,386
Advisory Fee Payable 350,661
Custody Fee Payable 121,093
Administrative Services Fee Payable 65,485
Administration Fee Payable 34,924
Fund Services Fee Payable 7,121
Accrued Expenses 51,954
-------------
Total Liabilities 26,164,624
-------------
NET ASSETS
Applicable to Investors' Beneficial Interests $3,471,588,010
-------------
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $91,846,156
EXPENSES
Advisory Fee $2,163,802
Administrative Services Fee 350,175
Custodian Fees and Expenses 282,117
Administration Fee 198,762
Fund Services Fee 92,706
Trustees' Fees and Expenses 32,224
Professional Fees 30,528
Miscellaneous 22,590
----------
Total Expenses 3,172,904
Less: Reimbursement of Expenses (9,994)
----------
NET EXPENSES (3,162,910)
-----------
NET INVESTMENT INCOME 88,683,246
NET REALIZED GAIN ON INVESTMENTS 165,967
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $88,849,213
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
FOR THE SIX FOR THE FISCAL
MONTHS ENDED YEAR ENDED
MAY 31, 1996 NOVEMBER 30,
(UNAUDITED) 1995
-------------- --------------
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 88,683,246 $ 168,180,713
Net Realized Gain on Investments 165,967 1,573,477
-------------- --------------
Net Increase in Net Assets Resulting from Operations 88,849,213 169,754,190
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 10,348,816,259 17,654,676,133
Withdrawals (10,301,032,878) (17,137,148,786)
-------------- --------------
Net Increase from Investors' Transactions 47,783,381 517,527,347
-------------- --------------
Total Increase in Net Assets 136,632,594 687,281,537
NET ASSETS
Beginning of Period 3,334,955,416 2,647,673,879
-------------- --------------
End of Period $3,471,588,010 $3,334,955,416
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
FOR THE FOR THE PERIOD
FOR THE FISCAL YEAR ENDED JULY 12, 1993
SIX MONTHS (COMMENCEMENT
ENDED NOVEMBER 30, OF OPERATIONS)
MAY 31, 1996 -------------------- THROUGH
(UNAUDITED) 1995 1994 NOVEMBER 30, 1993
--------------- --------- --------- -----------------
RATIOS TO AVERAGE NET ASSETS
Expenses 0.19%(a) 0.19% 0.20% 0.19%(a)
Net Investment Income 5.33%(a) 5.77% 3.90% 2.98%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursements 0.00%(a),(b) -- 0.00 (b) --
</TABLE>
- ------------------------
(a)Annualized
(b)Less than 0.01%
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Money Market Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940, as amended (the "Act"), 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 maximize
current income and maintain a high level of liquidity. The Portfolio commenced
operations on July 12, 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 the same for book and tax purposes.
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 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 May 31, 1996, this fee amounted to
$2,163,802.
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
21
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1996
- --------------------------------------------------------------------------------
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. Until
December 28, 1995, the Administration 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 is applied each day to the net assets of the Portfolio. For the
period from December 1, 1995, through December 28, 1995, Signature's fee
for these services amounted to $14,797.
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 May 31, 1996, Signature's fee
for these services amounted to $183,965.
Effective August 1, 1996, administrative functions provided by Signature
will be provided by Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, and by Morgan. FDI will also become the Portfolio's
exclusive placement agent. Under a Co-Administration Agreement between FDI
and the Portfolio, FDI's fees are to be paid by the Portfolio. (see Note
2c).
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan under which Morgan received 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 and fund
services fee 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 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 has agreed 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
May 31, 1996, the fee for these services amounted to $350,175.
22
<PAGE>
THE MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1996
- --------------------------------------------------------------------------------
Effective August 1, 1996, the Services Agreement will be amended such that
the aggregate complex-wide fees to be paid by the Portfolio under both the
amended Services Agreement and the Co-Administration Agreement (see Note
2b) will be 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 aggregate average daily net assets in excess
of $7 billion.
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
March 31, 1997. For the six months ended May 31, 1996, Morgan has agreed
to reimburse the Portfolio $9,994 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 $92,706 for the six months ended May 31, 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 represent 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 $11,900.
23
