<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 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 (1.1%)
$171,000 Nationsbank Corp., (Series 1)......... 01/05/00 5.000% $ 170,996,836
---------------
CERTIFICATES OF DEPOSIT -- FOREIGN (16.0%)
200,000 Abbey National PLC, (MTN, Series
1A)................................. 05/11/00 5.220 199,957,288
50,000 Bank of Nova Scotia................... 02/25/00 5.160 49,994,327
50,000 Barclays Bank PLC..................... 01/10/00 4.980 49,996,830
325,000 Bayerische Hypo Vereinsbank........... 02/22/00-04/25/00 5.130-5.150 324,953,011
452,000 Bayerische Landesbank................. 08/04/00-10/02/00 5.875-5.930 451,530,943
100,000 Canadian Imperial Bank................ 02/07/00 5.010 99,994,610
124,500 Commerzbank........................... 01/10/00-02/08/00 5.050-5.010 124,493,949
375,000 Deutsche Bank......................... 01/11/00-12/1/00 4.970-6.190 374,826,960
75,000 Dresdner Bank......................... 01/07/00 6.350 75,000,000
100,000 Norddeutsche Landesbank Girozentra.... 02/18/00 5.090 99,991,657
75,000 Rabobank Nederland.................... 01/10/00 4.980 74,995,245
500,000 Union Bank of Switzerland............. 01/13/00-07/03/00 5.080-5.760 499,915,330
50,000 Westdeutsche Landesbank Girozentra.... 01/26/00 6.030 50,000,000
---------------
TOTAL CERTIFICATES OF DEPOSIT --
FOREIGN......................... 2,475,650,150
---------------
COMMERCIAL PAPER -- DOMESTIC (33.8%)
675,847 Alpine Securitization Corp............ 12/14/99-02/29/00 5.490-6.753 670,005,360
397,450 Aspen Funding Corp.................... 12/01/99-01/19/00 5.490-6.430 396,989,569
230,000 Asset Securitization Corp............. 12/03/99-01/28/00 5.597-6.446 228,259,425
106,643 Associates Corp....................... 12/01/99 5.600 106,643,000
250,000 Associates First Capital Corp......... 12/01/99 5.600 250,000,000
50,000 BankAmerica Corp...................... 01/25/00 6.442 49,546,250
65,750 Bavaria Trust Corp.................... 03/17/00 6.140 64,591,138
83,000 BBL North America Funding Corp........ 12/07/99-01/21/00 5.608-6.438 82,360,878
440,000 Citibank Capital Markets Corp......... 12/07/99-02/10/00 5.608-6.435 436,146,951
417,000 CXC, Inc.............................. 12/02/99-02/22/00 5.597-6.442 414,582,981
188,846 Enterprise Funding Corp............... 12/02/99-12/15/99 5.598-5.667 188,601,374
100,000 General Electric Capital Corp......... 02/23/00 6.156 98,665,334
43,562 General Electric Co................... 12/01/99 5.600 43,562,000
451,000 General Motors Acceptance Corp........ 02/16/00-03/17/00 6.140-6.149 444,255,887
59,905 Gillette Co........................... 12/01/99 5.600 59,905,000
117,763 Monte Rosa Capital Corp............... 12/07/99-01/18/00 5.608-6.434 117,174,099
555,150 Newport Funding Corp.................. 12/01/1999-02/04/00 5.600-6.436 553,917,258
10,598 Parthenon Receivable Funding LLC...... 01/26/00 6.443 10,499,580
386,557 Receivable Capital Corp............... 12/01/99-01/27/00 5.600-6.445 384,195,040
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- --------------------- -------------------------------------- ----------------------- ----------- ---------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER -- DOMESTIC (CONTINUED)
$263,700 Trident Capital, Inc.................. 12/10/99-01/21/00 5.490-6.112% $ 262,760,038
346,848 Windmill Funding Corp................. 12/01/99-02/01/00 5.489-6.443 345,404,975
---------------
TOTAL COMMERCIAL PAPER --
DOMESTIC........................ 5,208,066,137
---------------
COMMERCIAL PAPER -- FOREIGN (1.8%)
150,000 CS First Boston, Inc.................. 02/11/00-02/16/00 6.149-6.183 148,179,444
123,516 France Telecommunication.............. 01/27/00-02/10/00 6.202-6.445 122,187,091
---------------
TOTAL COMMERCIAL PAPER --
FOREIGN......................... 270,366,535
---------------
FLOATING RATE NOTES (35.9%) (V)
200,000 American Express Centurion Bank, (due
06/12/00)........................... 12/13/99(a) 5.720 200,000,000
25,000 AT&T Capital Corp., (due 06/14/00).... 12/14/99(a) 6.963 25,187,833
16,500 AT&T Capital Corp., (Series G, due
12/01/00)........................... 01/07/00(a) 6.830 16,610,037
150,000 Bankers Trust Co., (due 04/14/00)..... 01/14/00(a) 6.149 149,972,889
98,000 Bayerische Hypo Vereinsbank, (due
05/15/00)........................... 12/15/99(a) 5.348 97,970,708
62,000 CIT Group, Inc........................ 01/14/00 6.149 61,998,052
200,000 CIT Group, Inc........................ 02/14/00 5.750 199,977,604
50,000 CIT Group, Inc., (due 03/14/00)....... 12/14/99(a) 5.650 49,995,962
175,000 CIT Group, Inc., (MTN, due
08/14/00)........................... 02/15/00(a) 5.750 174,880,230
228,000 Citicorp, (due 08/02/00).............. 12/02/99(a) 5.439 228,000,000
22,500 Citigroup, Inc........................ 02/03/00 6.261 22,505,344
125,000 Comerica Bank, (due 01/20/00)......... 12/20/99(a) 5.533 124,993,150
100,000 Comerica Bank, (due 02/14/00)......... 12/14/99(a) 5.383 99,994,932
148,500 Comerica Bank, (due 03/22/00)......... 02/22/00(a) 5.650 148,482,860
266,000 Commerzbank........................... 02/11/00- 02/23/00 5.650-5.655 265,980,578
100,000 Crestar Bank, (due 03/01/00).......... 02/03/00(a) 5.740 99,997,934
401,000 CS First Boston, Inc. LINCS, (Series
1998-3, due 02/15/00)............... 12/11/99(a) 5.478 401,000,000
350,000 CS First Boston, Inc. LINCS, (Series
1998-4, Class 1, due 02/18/00)
(144A).............................. 12/17/00(a) 5.493 349,998,388
375,000 CS First Boston, Inc SPARCS, (Series
1999, Class 4, due 01/24/00)........ 01/23/00(a) 6.220 375,000,000
200,000 Deutsche Bank......................... 02/11/00 5.660 199,988,560
350,000 First Union National Bank, (due
03/10/00)........................... 02/17/00(a) 6.015 349,991,964
163,000 Fleet Financial Group, (MTN, Series N,
due 07/28/00)....................... 01/28/00(a) 6.274 163,105,519
25,000 General Electric Capital Corp., (due
04/13/00)........................... 01/13/00(a) 6.124 25,000,000
200,000 General Electric Capital Corp., (due
05/03/00)........................... 02/03/00(a) 6.111 200,000,000
75,000 Key Bank NA, (due 09/07/00)........... 12/07/99(a) 5.551 75,025,852
180,000 Key Bank NA, (due 05/19/00)........... 12/20/99(a) 5.693 179,982,298
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 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)
$220,000 Lehman RACERS 1998-MM-7-1, (due
08/11/00) (144A).................... 12/18/99(a) 5.509% $ 220,000,000
292,000 Lehman RACERS 1999-25-MM-MBS, (due
09/06/00) (144A).................... 12/06/99(a) 5.485 292,000,000
25,497 Merrill Lynch STEERS, (Series 1998,
Class A, due 01/15/00).............. 12/15/99(a) 5.538 25,497,358
200,000 National City Bank, (due 03/10/00).... 12/10/99(a) 5.640 199,970,484
110,000 National City Bank.................... 02/10/00 5.650 109,989,515
248,500 Royal Bank of Canada.................. 02/17/00 5.645 248,476,532
138,000 Southtrust Bank NA, (due 05/17/00).... 02/17/00(a) 5.640 137,942,207
21,000 Wells Fargo Co., (Series J, MTN, due
03/10/00)........................... 12/10/99(a) 5.409 20,996,508
---------------
TOTAL FLOATING RATE NOTES......... 5,540,513,298
---------------
REPURCHASE AGREEMENT (5.3%)
820,000 Goldman Sachs Repurchase Agreement,
proceeds $820,128,694
(collateralized by $284,525,780
Federal Home Loan Mortgage Corp.,
5.500%-16.000% due
12/15/99-11/01/29, valued at
$28,464,638; $1,116,667,088 Federal
National Mortgage Association,
5.500%-12.500% due 12/25/99-12/01/29
valued at $807,935,363)............. 12/01/99 5.650 820,000,000
---------------
TAXABLE MUNICIPALS (0.3%) (V)
41,145 Sacramento County, (Series A, due
08/15/14), MBIA Insured............. 02/13/00(a) 6.220 41,142,249
6,200 Wake Forest University, (Series 1997,
due 07/01/17), LOC-Wachovia Bank.... 12/01/99(a) 5.590 6,200,000
---------------
TOTAL TAXABLE MUNICIPALS.......... 47,342,249
---------------
TIME DEPOSITS -- DOMESTIC (2.8%)
436,639 Suntrust Bank Cayman.................. 12/01/99 5.438-5.563 436,639,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL YIELD TO
AMOUNT MATURITY/
(IN THOUSANDS) SECURITY DESCRIPTION MATURITY DATES RATE VALUE
- --------------------- -------------------------------------- ----------------------- ----------- ---------------
<C> <S> <C> <C> <C>
TIME DEPOSITS -- FOREIGN (4.0%)
$150,000 Bank of Montreal...................... 12/01/99 5.500% $ 150,000,000
356,529 Chase Nassau.......................... 12/01/99 5.500-5.625 356,529,000
100,000 Dresdner Bank Grand Cayman............ 12/01/99 5.500 100,000,000
---------------
TOTAL TIME DEPOSITS -- FOREIGN.... 606,529,000
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (101.0%).......................... 15,576,103,205
OTHERS LIABILITIES IN EXCESS OF ASSETS (-1.0%).................................. (150,393,232)
---------------
NET ASSETS (100.0%)............................................................. $15,425,709,973
===============
</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.
MBIA - Municipal Bond Investors Assurance Corp.
MTN - Medium Term Note.
RACERS - Restructured Asset Certificates.
SPARCS - Structured Product Asset Return.
STEERS - Structured Enhanced Return Trust.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $15,576,103,205
Cash 1,160
Interest Receivable 101,273,087
Prepaid Trustees' Fees 7,258
Prepaid Expenses and Other Assets 45,489
---------------
Total Assets 15,677,430,199
---------------
LIABILITIES
Payable for Investments Purchased 249,832,729
Advisory Fee Payable 1,252,710
Administrative Services Fee Payable 285,605
Fund Services Fee Payable 7,663
Accrued Expenses 341,519
---------------
Total Liabilities 251,720,226
---------------
NET ASSETS
Applicable to Investors' Beneficial Interests $15,425,709,973
===============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $638,947,545
EXPENSES
Advisory Fee $13,226,942
Administrative Services Fee 3,127,566
Custodian Fees and Expenses 1,467,725
Fund Services Fee 228,328
Administration Fee 147,749
Trustees' Fees and Expenses 93,415
Miscellaneous 159,724
-----------
Total Expenses 18,451,449
------------
NET INVESTMENT INCOME 620,496,096
NET REALIZED LOSS ON INVESTMENTS (502,599)
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $619,993,497
============
</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 FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
NOVEMBER 30, 1999 NOVEMBER 30, 1998
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 620,496,096 $ 339,699,391
Net Realized Loss on Investments (502,599) (55,967)
----------------- ----------------
Net Increase in Net Assets Resulting from
Operations 619,993,497 339,643,424
----------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 108,543,399,809 48,705,487,837
Withdrawals (101,517,907,239) (45,584,553,162)
----------------- ----------------
Net Increase from Investors' Transactions 7,025,492,570 3,120,934,675
----------------- ----------------
Total Increase in Net Assets 7,645,486,067 3,460,578,099
NET ASSETS
Beginning of Fiscal Year 7,780,223,906 4,319,645,807
----------------- ----------------
End of Fiscal Year $ 15,425,709,973 $ 7,780,223,906
================= ================
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED NOVEMBER 30,
--------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.15% 0.17% 0.18% 0.19% 0.19%
Net Investment Income 5.07% 5.48% 5.43% 5.29% 5.77%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 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 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 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
24
<PAGE>
THE PRIME MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 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 fiscal year ended November 30, 1999 such
fees amounted to $13,226,942.
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 fiscal year ended November 30, 1999, the fee
for these services amounted to $147,749.
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 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 fiscal year ended November 30, 1999, the fee for these services
amounted to $3,127,566.
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 $228,328 for the fiscal year ended November 30, 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 $43,400.
25
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Prime 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 Prime Money Market Portfolio (the
"portfolio") at November 30, 1999, and 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. 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, 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 November 30, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
January 14, 2000
26
