<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ---------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- DOMESTIC (2.1%)
$ 101,600 Nationsbank Corp................................. 09/04/98-12/28/98 5.600-5.830% $ 101,583,955
50,000 Regions Bank..................................... 06/25/98 6.000 49,999,058
---------------
TOTAL CERTIFICATES OF DEPOSIT -- DOMESTIC.... 151,583,013
---------------
CERTIFICATES OF DEPOSIT -- FOREIGN (9.5%)
26,500 Bank of Montreal................................. 07/07/98 5.580 26,501,176
67,500 Bayerische Vereinsbank AG........................ 02/02/99 5.600 67,465,264
200,000 Canadian Imperial Bank of Commerce............... 06/22/98-04/01/99 5.530-5.750 199,952,152
25,000 Commerzbank AG................................... 03/05/99 5.670 24,990,909
165,000 Deutsche Bank.................................... 03/04/99-04/15/99 5.650-5.730 164,936,642
45,000 Landesbank Hessen Thuringen...................... 06/09/98-06/19/98 5.940-6.080 44,999,225
20,000 Norinchukin Bank................................. 06/05/98 5.910 20,000,022
32,000 Swiss Bank Corp.................................. 06/04/98 5.820 32,000,583
100,000 Westpac Banking Corp............................. 03/04/99-04/09/99 5.640-5.680 99,955,884
---------------
TOTAL CERTIFICATES OF DEPOSIT -- FOREIGN..... 680,801,857
---------------
COMMERCIAL PAPER -- DOMESTIC (25.3%)
236,867 Alpine Securitization Corp....................... 06/02/98-06/11/98 5.500-5.530 236,609,874
145,000 Aspen Funding Corp............................... 06/08/98-06/17/98 5.530 144,747,310
14,000 Bank of New York................................. 03/26/99 5.640 13,993,426
78,955 Bavaria Trading Corp............................. 06/04/98-06/15/98 5.540-5.550 78,869,422
75,000 BBL North America Inc............................ 06/15/98 5.510 74,839,292
248,750 CXC Inc.......................................... 06/03/98-08/12/98 5.500-5.530 247,722,486
28,000 Dupont EI de Nemours & Co........................ 06/05/98 5.460 27,983,013
98,623 Enterprise Funding Corp.......................... 06/08/98-06/19/98 5.500-5.520 98,412,245
150,000 General Electric Capital Corp.................... 08/19/98 5.380 148,229,083
69,000 General Motors Acceptance Corp................... 06/03/98 5.500 68,978,917
73,379 Receivables Capital Corp......................... 06/17/98-07/23/98 5.510-5.520 73,140,715
312,482 Trident Capital Finance Inc...................... 06/03/98-08/07/98 5.520-5.530 311,964,497
290,208 Windmill Funding Corp............................ 06/03/98-06/24/98 5.510-5.530 289,536,717
---------------
TOTAL COMMERCIAL PAPER -- DOMESTIC........... 1,815,026,997
---------------
COMMERCIAL PAPER -- FOREIGN (6.7%)
182,500 Banque et Caisse D' Epargne...................... 06/09/98-08/12/98 5.380-5.510 180,846,206
22,500 Barclays Funding................................. 06/17/98 5.500 22,445,000
25,000 Caisse D' Amortissement.......................... 08/03/98 5.370 24,765,063
50,000 Commonwealth Bank of Australia (Series A)........ 07/20/98 5.400 49,631,819
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ---------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- FOREIGN (CONTINUED)
$ 157,000 Diageo PLC....................................... 07/06/98-07/24/98 5.440-5.490% $ 156,094,217
50,000 Halifax Building Society......................... 06/17/98 5.480 49,878,222
---------------
TOTAL COMMERCIAL PAPER -- FOREIGN............ 483,660,527
---------------
FLOATING RATE NOTES (37.2%) (V)
38,000 American Express Centurion Bank, (resets monthly
to one month LIBOR -6 basis points, due
05/07/99)...................................... 06/08/98(a) 5.592 38,000,000
50,000 American Express Centurion Bank, (resets monthly
to one month LIBOR -6 basis points, due
05/10/99)...................................... 06/10/98(a) 5.592 50,000,000
50,000 American Express Centurion Bank, (resets monthly
to one month LIBOR -6 basis points, due
06/18/99)...................................... 06/18/98(a) 5.596 50,000,000
25,000 American Express Centurion Bank, (resets daily to
one month LIBOR +5 basis points, due
09/16/98)...................................... 06/01/98(a) 5.706 25,008,025
27,800 Asset Backed Securities Investment Trust, Series
1995-A, Class 2, (resets monthly to one month
LIBOR -3 basis points, due 08/10/98)........... 06/10/98(a) 5.615 27,798,317
100,000 Asset Backed Securities Investment Trust, Series
1997-C, (resets monthly to one month LIBOR, due
06/15/98) (144A)............................... 06/15/98(a) 5.656 100,000,000
50,000 Asset Backed Securities Investment Trust, Series
1997-E, Class N, (resets monthly to one month
LIBOR, due 08/17/98) (144A).................... 06/15/98(a) 5.656 50,000,000
100,000 BankBoston Corp., (resets daily to Fed Funds rate
+5 basis points, due 04/08/99)................. 06/01/98(a) 5.450 99,958,420
64,000 Bankers Trust, (resets daily to Fed Funds rate +5
basis points, due 07/07/98).................... 06/01/98(a) 5.550 63,993,290
100,000 Bayerische Landesbank, (resets monthly to one
month LIBOR -10 basis points, due 06/26/98).... 06/26/98(a) 5.558 99,994,672
50,000 Corestates Bank, (resets monthly to one month
LIBOR -5.5 basis points, due 04/20/99)......... 06/20/98(a) 5.647 50,000,000
100,000 Corestates Bank, (resets monthly to one month
LIBOR -5.5 basis points, due 05/07/99)......... 06/08/98(a) 5.597 100,000,000
15,000 Corestates Bank, (resets monthly to one month
LIBOR -5.5 basis points, due 05/14/99)......... 06/14/98(a) 5.601 15,000,000
50,000 Corestates Bank, (resets monthly to one month
LIBOR +3 basis points, due 04/21/99)........... 06/21/98(a) 5.678 50,000,000
25,000 FCC National Bank, (resets monthly to one month
LIBOR -12 basis points, due 07/02/98).......... 06/02/98(a) 5.536 24,998,520
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ---------------
<C> <S> <C> <C> <C>
FLOATING RATE NOTES (CONTINUED)
$ 35,000 FCC National Bank, (resets daily to Fed Funds
rate +20 basis points, due 07/23/98)........... 06/01/98(a) 5.888% $ 35,003,891
5,000 First USA Bank, (resets quarterly to three month
LIBOR +30 basis points, due 07/29/98).......... 07/16/98(a) 5.988 5,002,614
15,000 First USA Bank, (resets quarterly to three month
LIBOR +30 basis points, due 09/03/98).......... 06/17/98(a) 5.984 15,013,552
16,000 Ford Motor Credit, (resets daily to Fed Funds
rate +45 basis points, due 04/19/99)........... 06/01/98(a) 6.138 16,046,798
91,000 General Electric Capital Corp., (resets daily to
Prime rate -289 basis points, due 05/04/99).... 06/01/98(a) 5.610 91,000,000
112,592 Greentree Financial Corp., (resets monthly to one
month LIBOR +3 basis points, due 11/15/98)..... 06/15/98(a) 5.686 112,566,639
43,000 Household Finance Corp., (resets quarterly to
three month LIBOR -12 basis points, due
03/30/99)...................................... 06/30/98(a) 5.591 42,974,187
200,000 Key Bank, (resets daily to Prime rate -295 basis
points, due 02/24/99).......................... 06/01/98(a) 5.550 199,900,142
65,000 Key Bank, (resets daily to Fed Funds rate +4.5
basis points, due 04/16/99).................... 06/01/98(a) 6.138 64,962,932
135,101 Liquid Asset Backed Securities Trust, Series
1997-2, (resets monthly to one month LIBOR, due
06/30/98) (144A)............................... 06/30/98(a) 5.656 135,101,368
187,036 Money Store Equity Trust, Series 1997-A36,
(resets monthly to one month LIBOR +3 basis
points, due 11/15/98).......................... 06/15/98(a) 5.686 187,028,986
94,622 Natwest Asset Trust Securities, Series R-13/14A,
(resets monthly to one month LIBOR +2 basis
points, due 10/15/01) (144A)................... 06/15/98(a) 5.676 94,622,000
66,500 Old Kent Bank, (resets daily to Prime rate -285
basis points, due 11/04/98).................... 06/01/98(a) 5.650 66,500,000
50,000 PNC Bank, N.A., (resets daily to Fed Funds rate
+7 basis points, due 06/04/98)................. 06/01/98(a) 5.758 49,999,775
200,000 PNC Bank, N.A., (resets daily to Prime rate -290
basis points, due 01/19/99).................... 06/01/98(a) 5.600 199,968,478
100,000 Racers 97-MM-8-6, (resets monthly to one month
LIBOR -2 basis points, due 08/28/98) (144A).... 06/28/98(a) 5.632 99,997,655
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ---------------
<C> <S> <C> <C> <C>
FLOATING RATE NOTES (CONTINUED)
$ 245,000 Societe Generale, (resets monthly to one month
LIBOR +8.5 basis points, due 05/26/99)......... 06/26/98(a) 5.563% $ 244,833,801
161,500 Triangle Funding Ltd., Series 1997-1, (resets
quarterly to three month LIBOR, due 11/15/98)
(144A)......................................... 07/15/98(a) 5.687 161,496,451
---------------
TOTAL FLOATING RATE NOTES.................... 2,666,770,513
---------------
TAXABLE MUNICIPALS (1.3%)(V)
44,200 Jacksonville Health Facility Hospital, (resets
weekly, due 08/15/14).......................... 06/03/98(a) 5.650 44,200,000
39,240 Sacramento County, (resets quarterly to three
month LIBOR, due 08/15/14)..................... 08/14/98(a) 5.699 39,236,968
6,200 Wake Forest University, (resets weekly, due
07/01/17), LOC Wachovia Bank................... 06/09/98(a) 5.600 6,200,000
---------------
TOTAL TAXABLE MUNICIPALS..................... 89,636,968
---------------
TIME DEPOSITS -- DOMESTIC (3.9%)
276,343 Suntrust Bank.................................... 06/01/98 5.687 276,343,000
---------------
TIME DEPOSITS -- FOREIGN (13.7%)
325,000 Bank of Montreal................................. 06/01/98 5.687-5.718 325,000,000
125,000 Bank of Nova Scotia.............................. 06/01/98 5.687 125,000,000
150,000 Bayerische Vereinsbank........................... 06/01/98 5.687 150,000,000
231,848 Credit Agricole Grand Cayman..................... 06/01/98 5.687 231,848,000
150,000 Westdeutsche Landesbank.......................... 06/01/98 5.687 150,000,000
---------------
TOTAL TIME DEPOSITS -- FOREIGN............... 981,848,000
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.7%).................................. 7,145,670,875
OTHER ASSETS IN EXCESS OF LIABILITIES (0.3%)........................................... 21,485,558
---------------
NET ASSETS (100.0%).................................................................... $ 7,167,156,433
---------------
---------------
</TABLE>
- ------------------------------
(a)The date listed under the heading maturity date represents an optional tender
date or the next interest rate reset date. The final maturity date is
indicated in the security description.
(v)Rate shown reflects current rate on variable or floating rate instrument or
instrument with step coupon rate.
144A -- Securities restricted for resale to Qualified Institutional Buyers.
LOC -- Letter of Credit
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $7,145,670,875
Interest Receivable 28,459,621
Prepaid Trustees' Fees 2,573
Prepaid Expenses and Other Assets 7,425
--------------
Total Assets 7,174,140,494
--------------
LIABILITIES
Payable to Custodian 6,042,748
Advisory Fee Payable 621,913
Administrative Services Fee Payable 155,082
Custody Fee Payable 108,454
Administration Fee Payable 13,424
Fund Services Fee Payable 5,278
Accrued Expenses 37,162
--------------
Total Liabilities 6,984,061
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $7,167,156,433
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $156,414,646
EXPENSES
Advisory Fee $3,222,153
Administrative Services Fee 804,085
Custodian Fees and Expenses 363,162
Fund Services Fee 79,660
Administration Fee 54,547
Trustees' Fees and Expenses 38,019
Miscellaneous 51,977
----------
Total Expenses 4,613,603
------------
NET INVESTMENT INCOME 151,801,043
NET REALIZED LOSS ON INVESTMENTS (10,308)
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $151,790,735
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
MAY 31, 1998 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 1997
---------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 151,801,043 $ 220,786,337
Net Realized Loss on Investments (10,308) (105,748)
---------------- -----------------
Net Increase in Net Assets Resulting from
Operations 151,790,735 220,680,589
---------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 22,499,826,610 22,011,079,297
Withdrawals (19,804,106,719) (21,760,363,996)
---------------- -----------------
Net Increase from Investors' Transactions 2,695,719,891 250,715,301
---------------- -----------------
Total Increase in Net Assets 2,847,510,626 471,395,890
NET ASSETS
Beginning of Period 4,319,645,807 3,848,249,917
---------------- -----------------
End of Period $ 7,167,156,433 $ 4,319,645,807
---------------- -----------------
---------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL YEAR ENDED JULY 12, 1993
SIX MONTHS ENDED NOVEMBER 30, (COMMENCEMENT OF
MAY 31, 1998 ------------------------- OPERATIONS) THROUGH
(UNAUDITED) 1997 1996 1995 1994 NOVEMBER 30, 1993
---------------- ---- ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.17%(a) 0.18% 0.19% 0.19% 0.20% 0.19%(a)
Net Investment Income 5.57%(a) 5.43% 5.29% 5.77% 3.90% 2.98%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Prime Money Market Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, 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
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 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 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, 1998, such fees amounted to
$3,222,153.
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
23
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
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
May 31, 1998, the fee for these services amounted to $54,547.
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 certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust (formerly
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, other
investors in the master portfolios for which Morgan provides similar
services, and J.P. Morgan Series Trust. For the six months ended May 31,
1998, the fee for these services amounted to $804,085.
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, 1999. For the six months ended May 31, 1998, there was no
reimbursement 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 $79,660 for the six months ended May 31, 1998.
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 (formerly The JPM Pierpont
Funds), the J.P. Morgan Institutional Funds (formerly The JPM
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
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 $16,700.
24