<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ----------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT -- DOMESTIC (1.9%)
$ 171,000 Nationsbank Corp................................. 01/05/00 5.000% $ 170,980,293
59,000 State Street Bank & Trust Co..................... 06/16/99 4.810 59,000,000
----------------
TOTAL CERTIFICATES OF DEPOSIT -- DOMESTIC.... 229,980,293
----------------
CERTIFICATES OF DEPOSIT -- FOREIGN (16.9%)
350,000 Abbey National PLC............................... 06/11/99-05/11/00 5.220-5.720 349,902,455
110,000 Bank of Nova Scotia.............................. 02/25/00 5.160 109,981,482
285,000 Barclays Bank PLC................................ 01/10/00 4.980 284,980,802
325,000 Bayerische Hypo Vereinsbank...................... 02/22/00-04/25/00 5.130-5.150 324,887,861
50,000 Bayerische Landesbank............................ 07/22/99 5.645 49,994,979
100,000 Canadian Imperial Bank........................... 02/07/00 5.010 99,980,106
124,500 Commerzbank...................................... 01/10/00-02/08/00 5.010-5.050 124,471,526
150,000 Credit Suisse First Boston....................... 07/20/99 5.710 150,000,000
125,000 Deutsche Bank.................................... 01/11/00-02/02/00 4.970-5.020 124,973,676
100,000 Norddeutsche Landesbank Girozentra............... 02/18/00 5.090 99,972,332
75,000 Rabobank Nederland............................... 01/10/00 4.980 74,973,487
300,000 Union Bank of Switzerland........................ 01/13/00-05/19/00 5.080-5.285 299,900,126
----------------
TOTAL CERTIFICATES OF DEPOSIT -- FOREIGN..... 2,094,018,832
----------------
COMMERCIAL PAPER -- DOMESTIC (28.7%)
542,078 Alpine Securitization Corp....................... 06/01/99-07/09/99 4.820-4.950 541,830,483
120,000 Aspen Funding Corp............................... 06/01/99 4.930 120,000,000
180,000 Asset Securitization Corp........................ 06/23/99 4.810 179,470,900
374,700 Bavaria Trust.................................... 06/14/99-07/23/99 4.820-4.830 373,869,047
191,622 Citibank Capital Market.......................... 06/11/99-06/14/99 4.870 191,338,022
505,839 CXC, Inc......................................... 06/01/99-06/23/99 4.800-4.930 505,575,657
42,000 General Electric Capital Corp.................... 06/14/99 4.790 41,927,352
224,695 Monte Rosa Capital............................... 06/16/99-07/07/99 4.830-4.950 223,831,919
273,000 Morgan Stanley Dean Witter & Co.................. 06/09/99-06/10/99 4.810-4.830 272,705,005
300,000 Newport Funding Corp............................. 06/01/99-06/17/99 4.820-4.930 299,785,778
175,842 Receivable Capital Corp.......................... 06/09/99-06/18/99 4.810 175,511,405
60,000 Suntrust Bank, Inc............................... 06/09/99 4.790 59,936,133
118,479 Trident Capital, Inc............................. 06/03/99-06/11/99 4.810-4.840 118,373,573
459,296 Windmill Funding Corp............................ 06/04/99-06/18/99 4.810 458,610,797
----------------
TOTAL COMMERCIAL PAPER -- DOMESTIC........... 3,562,766,071
----------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ----------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- FOREIGN (0.3%)
$ 37,000 Halifax PLC...................................... 07/13/99 4.730% $ 36,795,822
----------------
CORPORATE BONDS (0.4%)
50,000 IBM Credit Corp.................................. 08/10/99 5.625 49,991,082
----------------
FLOATING RATE NOTES (40.0%)(v)
50,000 American Express Centurion Bank, (resets monthly
to one month LIBOR -6 basis points)............ 06/18/99 4.840 50,000,000
50,000 Asset Backed Securities Investment Trust, Series
1997-E, Class N, (resets monthly to one month
LIBOR, due 10/15/03) (144A).................... 06/15/99(a) 4.903 50,000,000
60,000 Banc One Corp., (resets monthly to one month
LIBOR -6 basis points, due 10/01/99)........... 06/01/99(a) 4.841 59,992,621
150,000 Bankers Trust Co., (resets quarterly to one month
LIBOR -2.5 basis points, due 04/14/00)......... 07/14/99(a) 4.975 149,936,139
75,000 Barclays Bank PLC, (resets daily to Prime rate
-296 basis points, due 08/24/99)............... 06/01/99(a) 4.790 74,987,918
98,000 Bayerische Hypo Vereinsbank, (resets monthly to
one month LIBOR -8 basis points, due
05/15/00)...................................... 06/15/99(a) 4.823 97,938,417
51,000 CIT Group, Inc., (resets daily to Prime rate -280
basis points, due 10/20/99).................... 06/01/99(a) 4.950 51,001,911
25,000 CIT Group, Inc., (resets daily to Prime rate -282
basis points, due 11/02/99).................... 06/01/99(a) 4.930 24,995,716
62,000 CIT Group, Inc., (resets quarterly to three month
LIBOR -2.5 basis points, due 01/14/00)......... 07/14/99(a) 4.975 61,989,947
50,000 CIT Group, Inc., (resets daily to Prime rate -275
basis points, due 02/14/00).................... 06/01/99(a) 5.000 49,986,108
200,000 CIT Group, Inc., (resets daily to Prime rate -285
basis points, due 03/14/00).................... 06/01/99(a) 4.900 199,938,190
22,500 Citigroup, Inc., (resets quarterly to one month
LIBOR +10 basis points, due 02/03/00).......... 08/03/99(a) 5.095 22,520,625
125,000 Comerica Bank, (resets monthly to one month LIBOR
-6 basis points, due 01/20/00)................. 06/21/99(a) 4.861 124,968,082
100,000 Comerica Bank, (resets monthly to one month LIBOR
-4.5 basis points, due 02/14/00)............... 06/14/99(a) 4.855 99,982,567
148,500 Comerica Bank, (resets daily to Prime rate -285
basis points, due 03/22/00).................... 06/01/99(a) 4.900 148,454,852
200,000 Commerzbank, (resets daily to Prime rate -284.5
basis points, due 02/11/00).................... 06/01/99(a) 4.905 199,952,493
66,000 Commerzbank, (resets daily to Prime rate -285
basis points, due 02/23/00).................... 06/01/99(a) 4.900 65,980,897
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ----------------
<C> <S> <C> <C> <C>
FLOATING RATE NOTES (continued)
$ 100,000 Crestar Bank, (resets daily to Prime rate -276
basis points, due 03/01/00).................... 06/01/99(a) 4.990% $ 99,993,779
200,000 Deutsche Bank, (resets daily to Prime rate -284
basis points, due 02/11/00).................... 06/01/99(a) 4.910 199,959,479
350,000 First Union National Bank, (resets quarterly to
three month LIBOR -5.5 basis points, due
03/10/00)...................................... 08/18/99(a) 4.973 349,977,259
25,000 General Electric Capital Corp., Series A, (resets
quarterly to three month LIBOR -5 basis points,
due 04/13/00).................................. 07/13/99(a) 4.950 25,000,000
200,000 General Electric Capital Corp., Series A, (resets
quarterly to three month LIBOR -5 basis points,
due 05/03/00).................................. 08/03/99(a) 4.945 200,000,000
100,000 IBM Corp., (resets quarterly to three month LIBOR
-3.5 basis points, due 10/22/99)............... 07/22/99(a) 4.965 99,978,805
48,000 Key Bank NA, (resets daily to Prime rate -291.5
basis points, due 09/03/99).................... 06/01/99(a) 4.835 47,996,975
25,000 Key Bank NA, (resets daily to Prime rate -287
basis points, due 10/13/99).................... 06/01/99(a) 4.880 24,998,820
401,000 LINCS, Series 1998-3, (resets monthly to one
month LIBOR, due 02/15/00)..................... 06/11/99(a) 4.904 401,000,000
325,000 LINCS, Series 1998-4, Class 1, (resets monthly to
one month LIBOR, due 02/18/00) (144A).......... 06/18/99(a) 4.903 325,000,000
191,870 Liquid Asset Backed Securities Trust, Series
1998-2, Class A, (resets monthly to one month
LIBOR, due 11/26/99) (144A).................... 06/26/99(a) 4.921 191,831,549
110,000 National City Bank, (resets daily to Prime rate
-285 basis points, due 02/10/00)............... 06/01/99(a) 4.900 109,962,492
200,000 National City Bank, (resets daily to Prime rate
-286 basis points, due 03/10/00)............... 06/01/99(a) 4.890 199,916,468
150,000 Pepsico, Inc., (resets quarterly to three month
LIBOR -19 basis points)........................ 08/19/99 4.838 149,963,366
220,000 RACERS 1998-MM-7-1, (resets monthly to one month
LIBOR -1 basis point, due 08/13/99) (144A)..... 06/17/99(a) 4.893 220,000,000
200,000 RACERS 1998-MM-8-5, (resets monthly to one month
LIBOR -1 basis point, due 09/02/99) (144A)..... 06/02/99(a) 4.891 200,000,000
248,500 Royal Bank of Canada, (resets daily to Prime rate
-285.5 basis points, due 02/17/00)............. 06/01/99(a) 4.895 248,421,478
103,387 Steers, (resets monthly to one month LIBOR +3
basis points, due 11/15/99).................... 06/17/99(a) 4.933 103,387,190
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- -------------- ------------------------------------------------- --------------------- ------------ ----------------
<C> <S> <C> <C> <C>
FLOATING RATE NOTES (continued)
$ 100,957 Steers, Series 1997-A 36, (resets monthly to one
month LIBOR + 3 basis points, due 11/15/99).... 06/17/99(a) 4.933% $ 100,957,519
100,000 Toyota Motor Credit Corp., (resets quarterly to
three month LIBOR + 4 basis points, due
10/22/99)...................................... 07/22/99(a) 5.040 100,000,000
21,000 Wells Fargo Co., Series J, (resets quarterly to
three month LIBOR -11 basis points, due
03/10/00)...................................... 06/10/99(a) 4.891 20,990,122
----------------
TOTAL FLOATING RATE NOTES.................... 4,951,961,784
----------------
TAXABLE MUNICIPALS (0.7%)(v)
43,690 Jacksonville Health Facilities Authority Hospital
Revenue, (resets weekly, due 08/15/19)......... 06/02/99(a) 4.900 43,690,000
41,145 Sacramento County, Series A, (resets quarterly to
three month LIBOR + 5 basis points, due
08/15/14)...................................... 08/17/99(a) 5.100 41,142,155
6,200 Wake Forest University, (resets weekly, due
07/01/17)...................................... 06/02/99(a) 4.920 6,200,000
----------------
TOTAL TAXABLE MUNICIPALS..................... 91,032,155
----------------
TIME DEPOSITS -- DOMESTIC (3.3%)
414,343 Suntrust Bank Cayman............................. 06/01/99 4.750 414,343,000
----------------
TIME DEPOSITS -- FOREIGN (7.3%)
100,000 Bank of Nova Scotia Toronto...................... 06/01/99 4.844 100,000,000
200,000 Bayerische Hypo Vereinsbank...................... 06/01/99 4.875 200,000,000
200,000 Dresdner Bank Grand Cayman....................... 06/01/99 4.813 200,000,000
400,000 Westdeutsche Landesbank.......................... 06/01/99 4.875 400,000,000
----------------
TOTAL TIME DEPOSITS -- FOREIGN............... 900,000,000
----------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.5%).................................. 12,330,889,039
OTHERS ASSETS IN EXCESS OF LIABILITIES (0.5%).......................................... 60,647,786
----------------
NET ASSETS (100.0%).................................................................... $ 12,391,536,825
----------------
----------------
</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.
LIBOR -- London Interbank Offered Rate.
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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $12,330,889,039
Interest Receivable 63,927,462
Receivable for Investments Sold 439,827
Prepaid Trustees' Fees 3,203
Prepaid Expenses and Other Assets 38,430
---------------
Total Assets 12,395,297,961
---------------
LIABILITIES
Due to Custodian 2,257,255
Advisory Fee Payable 1,120,087
Administrative Services Fee Payable 267,496
Administration Fee Payable 12,628
Fund Services Fee Payable 9,665
Accrued Expenses 94,005
---------------
Total Liabilities 3,761,136
---------------
NET ASSETS
Applicable to Investors' Beneficial Interests $12,391,536,825
---------------
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $287,830,786
EXPENSES
Advisory Fee $6,141,104
Administrative Services Fee 1,469,698
Custodian Fees and Expenses 514,294
Fund Services Fee 114,876
Administration Fee 71,722
Trustees' Fees and Expenses 47,007
Miscellaneous 69,858
----------
Total Expenses 8,428,559
------------
NET INVESTMENT INCOME 279,402,227
NET REALIZED LOSS ON INVESTMENTS (524,332)
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $278,877,895
------------
------------
</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, 1999 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 1998
--------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 279,402,227 $ 339,699,391
Net Realized Loss on Investments (524,332) (55,967)
--------------- -----------------
Net Increase in Net Assets Resulting from
Operations 278,877,895 339,643,424
--------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 55,639,729,840 48,705,487,837
Withdrawals (51,307,294,816) (45,584,553,162)
--------------- -----------------
Net Increase from Investors' Transactions 4,332,435,024 3,120,934,675
--------------- -----------------
Total Increase in Net Assets 4,611,312,919 3,460,578,099
NET ASSETS
Beginning of Period 7,780,223,906 4,319,645,807
--------------- -----------------
End of Period $12,391,536,825 $ 7,780,223,906
--------------- -----------------
--------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FISCAL YEAR ENDED NOVEMBER
MONTHS ENDED 30,
MAY 31, 1999 -------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
------------ ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.15%(a) 0.17% 0.18% 0.19% 0.19% 0.20%
Net Investment Income 4.95%(a) 5.48% 5.43% 5.29% 5.77% 3.90%
</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, 1999
- --------------------------------------------------------------------------------
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 consistent with the preservation of capital and same-day
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 the 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
23
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 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 May 31, 1999, such fees
amounted to $6,141,104.
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 May 31, 1999, the fee for
these services amounted to $71,722.
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 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 May 31, 1999, the fee for
these services amounted to $1,469,698.
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 $114,876 for the six months ended May 31, 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
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 $24,100.
24
