<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- ------------------ ------------ ---------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- DOMESTIC (6.2%)
$ 31,500 Bank of America, Chicago......................... 11/07/97 5.570% $ 31,447,887
49,400 Republic National Bank........................... 06/30/97 5.590 49,400,792
40,000 Bankers Trust Co................................. 12/10/97 5.500 39,979,813
119,000 Harris Trust & Savings Bank...................... 06/05/97-06/27/97 5.540-5.550 118,999,764
---------------
239,828,256
TOTAL CERTIFICATES OF DEPOSIT -- DOMESTIC....
---------------
CERTIFICATES OF DEPOSIT -- FOREIGN (35.5%)
44,000 ABN AMRO Bank Yankee CD.......................... 06/23/97 5.530 44,000,268
25,000 Bank of Nova Scotia.............................. 08/08/97 5.720 25,000,000
76,000 Bank of Tokyo Mitsubishi......................... 06/06/97-07/15/97 5.580-5.850 76,000,098
166,000 Bayerische Landesbank............................ 06/25/97-11/21/97 5.500-5.530 165,994,397
125,000 Bayerische Vereinsbank AG, New York.............. 06/24/97-10/28/97 5.510-5.680 124,990,698
135,790 Canadian Imperial Bank of Commerce............... 06/30/97-08/20/97 5.590-5.740 135,789,777
50,500 Commerzbank Agency, New York..................... 07/10/97 5.680 50,498,187
400 Creditanstalt Bankverein......................... 07/03/97 5.570 400,004
56,100 Dai-Ichi Kangyo Bank............................. 06/13/97-07/28/97 5.570-5.860 56,101,365
48,000 Dai-Ichi Kangyo Yankee CD........................ 06/26/97 5.800 48,000,000
139,500 Deutsche Bank, New York.......................... 07/02/97-02/06/98 5.550-5.760 139,469,379
62,000 Industrial Bank of Japan Ltd..................... 06/06/97 5.750 62,000,257
75,000 Landesbank Hessen Thuringen...................... 07/18/97 6.010 75,030,432
12,000 National Westminster Bank, PLC................... 10/02/97-05/26/98 5.660-6.060 11,998,125
10,000 Rabobank Nederland Inst. CTF..................... 03/24/98 5.990 9,996,126
50,000 Rabobank Nederland N.V........................... 06/23/97 5.530 50,000,304
23,000 Royal Bank of Canada, New York................... 05/12/98 6.140 22,993,777
116,000 Societe Generale, New York....................... 06/02/97-08/06/97 5.420-5.720 116,000,903
38,000 Societe Generale Bank Yankee CD.................. 10/06/97 5.840 37,996,205
28,000 Sumitomo Bank Yankee CD.......................... 07/01/97 5.680 28,000,423
50,000 Swiss Bank Corp., New York....................... 03/19/98 5.980 49,992,380
35,000 Westpac Banking Corp. Yankee CD.................. 03/23/98 5.970 34,978,337
---------------
1,365,231,442
TOTAL CERTIFICATES OF DEPOSIT -- FOREIGN.....
---------------
COMMERCIAL PAPER -- DOMESTIC (9.7%)
25,476 AIG Funding...................................... 06/10/97 5.510 25,440,907
35,000 AT&T Corp........................................ 06/24/97 5.480 34,877,461
9,100 Chase Manhattan Bank............................. 06/19/97 5.600 9,074,520
20,000 Chevron Transport Corp........................... 07/07/97 5.500 19,890,000
191,500 General Electric Capital Corp.................... 06/05/97-10/27/97 5.530-5.720 190,457,424
79,636 Koch Industries Inc.............................. 06/02/97 5.610 79,623,590
16,000 NationsBank Corp................................. 08/01/97 5.630 15,847,364
---------------
375,211,266
TOTAL COMMERCIAL PAPER -- DOMESTIC...........
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- ------------------ ------------ ---------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- FOREIGN (22.7%)
$ 16,780 ABN AMRO......................................... 06/19/97-08/19/97 5.340-5.615% $ 16,600,072
161,000 Abbey National North America..................... 07/08/97-08/12/97 5.300-5.620 159,360,925
33,400 BBL North America Inc............................ 07/01/97 5.620 33,243,577
52,249 Bank of Montreal................................. 06/05/97-06/06/97 5.520-5.543 52,212,258
50,000 Bank of Nova Scotia.............................. 06/12/97 5.365 49,918,035
90,000 Caisse D'Amortissement........................... 06/06/97 5.290 89,933,875
52,500 Cregem North America Inc......................... 06/11/97-06/13/97 5.290 52,413,303
50,000 Electricite de France............................ 06/23/97 5.480 49,832,555
47,000 KFW International Finance, Inc................... 06/10/97 5.500 46,935,375
193,820 Korea Development Bank........................... 06/09/97-08/22/97 5.580-5.650 191,874,050
35,500 Lloyds Bank PLC.................................. 08/22/97 5.650 35,043,135
25,000 Province de Quebec............................... 10/28/97 5.730 24,407,104
25,000 Royal Bank of Scotland, PLC...................... 07/28/97 5.640 24,776,750
47,000 San Paolo U.S. Finance Co........................ 08/21/97 5.670 46,400,397
3,352 UBS Finance Delaware Inc......................... 06/02/97 5.580 3,351,480
---------------
876,302,891
TOTAL COMMERCIAL PAPER -- FOREIGN............
---------------
CORPORATE OBLIGATIONS (1.5%)
34,000 Abbey National Treasury Services, PLC............ 11/26/97-02/05/98 5.500-5.750 33,958,024
25,000 John Deere Capital Corp.......................... 07/03/97 5.850 24,998,466
---------------
58,956,490
TOTAL CORPORATE OBLIGATIONS..................
---------------
FLOATING RATE NOTES (11.9%) (A)
72,500 Asset Backed Securities Investment Trust, Series 06/13/97(b) 5.688 72,500,000
1996-M, (resets monthly to one month LIBOR, due
10/15/97) (144A)...............................
60,000 Bankers Trust, (resets daily to Prime rate -281 06/02/97(b) 5.690 59,974,063
basis points, due 04/23/98)....................
20,000 Federal National Mortgage Association, (resets 06/03/97(b) 5.580 19,999,576
weekly to six month Treasury Bill rate +10
basis points, due 06/11/97)....................
20,000 First Union Bank of North Carolina, (resets 06/19/97(b) 5.720 20,000,000
monthly to one month LIBOR, due 12/19/97)......
150,000 Liquid Asset Backed Securities Trust, Series 06/28/97(b) 5.688 150,000,000
1997-2, (resets monthly to one month LIBOR, due
06/30/98) (144A)...............................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- ------------------ ------------ ---------------
<C> <S> <C> <C> <C>
FLOATING RATE NOTES (CONTINUED)
$ 94,622 Natwest Asset Trust Securities, Series R-13/14A, 06/16/97(b) 5.708% $ 94,622,000
(resets monthly to one month LIBOR +2 basis
points, due 09/15/03) (144A)...................
40,000 Society National Bank of Cleveland, (resets daily 06/02/97(b) 5.640 39,997,239
to the Fed Funds rate +8 basis points, due
07/08/97)......................................
---------------
457,092,878
TOTAL FLOATING RATE NOTES....................
---------------
GOVERNMENT OBLIGATIONS (1.3%)
CANADA (1.3%)
50,000 Canadian Treasury Bills.......................... 07/08/97 5.260 49,729,694
---------------
TIME DEPOSITS -- DOMESTIC (0.9%)
33,429 Wachovia Bank & Trust, Grand Cayman.............. 06/02/97 5.620 33,429,000
---------------
TIME DEPOSITS -- FOREIGN (5.2%)
40,000 Bank of Nova Scotia.............................. 06/02/97 5.625 40,000,000
100,000 Bank of Tokyo Mitsubishi......................... 06/02/97 5.750 100,000,000
30,000 Societe Generale, Grand Cayman................... 06/02/97 5.625 30,000,000
30,000 Westdeutsche Landesbank.......................... 06/02/97 5.687 30,000,000
---------------
200,000,000
TOTAL TIME DEPOSITS -- FOREIGN...............
---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (3.4%)
16,155 Federal Home Loan Banks.......................... 06/02/97 5.550 16,152,509
25,000 Federal Home Loan Banks.......................... 06/05/97 5.460 24,984,833
16,000 Federal Home Loan Mortgage Corp.................. 04/08/98 5.840 15,971,139
75,000 Federal National Morgage Association............. 06/06/97 5.370 74,944,063
---------------
132,052,544
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS.....
---------------
U.S. TREASURY OBLIGATIONS (0.2%)
8,000 United States Treasury Notes..................... 02/28/98 5.125 7,958,103
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- ------------------ ------------ ---------------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENT (0.9%)
$ 33,705 State Street Repurchase Agreement, dated 5/30/97, 06/02/97 5.470% $ 33,705,000
proceeds $33,720,364 (collateralized by
$33,440,000 U.S. Treasury Notes 6.250%, due
05/31/00 valued at $34,379,965) (cost
$33,705,000)...................................
---------------
3,829,497,564
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.4%)
21,522,417
OTHER ASSETS IN EXCESS OF LIABILITIES (0.6%)
---------------
$ 3,851,019,981
NET ASSETS (100.0%)
---------------
---------------
</TABLE>
- ------------------------------
(a) The Coupon rate shown on floating or adjustable rate securities represents
the rate at the end of the reporting period. The due date in the security
description reflects the final maturity date.
(b) Reflects the next interest rate reset date.
144A -- Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $3,829,497,564
Interest Receivable 22,202,128
Prepaid Trustees' Fees 13,141
Prepaid Expenses and Other Assets 3,651
--------------
Total Assets 3,851,716,484
--------------
LIABILITIES
Advisory Fee Payable 424,864
Custody Fee Payable 117,046
Administrative Services Fee Payable 106,368
Administration Fee Payable 11,638
Fund Services Fee Payable 2,780
Accrued Expenses 33,807
--------------
Total Liabilities 696,503
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $3,851,019,981
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $111,885,340
EXPENSES
Advisory Fee $2,523,337
Administrative Services Fee 636,014
Custodian Fees and Expenses 315,508
Fund Services Fee 68,278
Administration Fee 50,720
Trustees' Fees and Expenses 30,589
Miscellaneous 47,412
----------
Total Expenses 3,671,858
------------
NET INVESTMENT INCOME 108,213,482
NET REALIZED LOSS ON INVESTMENTS (72,774)
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $108,140,708
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
MAY 31, 1997 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 1996
--------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 108,213,482 $ 185,209,978
Net Realized Gain (Loss) on Investments (72,774) 267,432
--------------- -----------------
Net Increase in Net Assets Resulting from
Operations 108,140,708 185,477,410
--------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 10,393,686,669 18,847,392,256
Withdrawals (10,499,057,313) (18,519,575,165)
--------------- -----------------
Net Increase (Decrease) from Investors'
Transactions (105,370,644) 327,817,091
--------------- -----------------
Total Increase in Net Assets 2,770,064 513,294,501
NET ASSETS
Beginning of Period 3,848,249,917 3,334,955,416
--------------- -----------------
End of Period $ 3,851,019,981 $ 3,848,249,917
--------------- -----------------
--------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL JULY 12, 1993
FOR THE SIX YEAR ENDED (COMMENCEMENT OF
MONTHS ENDED NOVEMBER 30, OPERATIONS) TO
MAY 31, 1997 ------------------ NOVEMBER 30,
(UNAUDITED) 1996 1995 1994 1993
------------ ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.18%(a) 0.19% 0.19% 0.20% 0.19%(a)
Net Investment Income 5.34%(a) 5.29% 5.77% 3.90% 2.98%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement -- 0.00%(b) -- 0.00%(b) --
</TABLE>
- ------------------------
(a) Annualized.
(b) Less than 0.01%.
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Prime 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. Prior to May 12, 1997, the Portfolio's name was The 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 tri-party repurchase agreements, take 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 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, 1997, this fee amounted to
$2,523,337.
24
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
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
JPM Pierpont Funds, The JPM Institutional Funds, the Portfolio and the
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 May 31, 1997, the fee for these
services amounted to $50,720.
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 May 31, 1997, the fee for these
services amounted to $636,014.
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, 1998. For the six months ended May 31, 1997, there was no
reimbursement necessary 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 $68,278 for the six months ended May 31, 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 $13,800.
25
