<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY DESCRIPTION VALUE
- --------------- ------------------------------------------------- -------------
<C> <S> <C>
CONVERTIBLE BONDS (3.1%)
MEXICO (1.2%)
$ 1,500,000 Banamex S.A., (144A), 11.00% due 07/15/03........ $ 1,601,250
-------------
THAILAND (1.9%)
1,000,000 Robinson Department Store Public Company Ltd.,
3.25% due 07/27/00............................. 930,000
1,291,000 Sahaviriya Steel Industries Public Company Ltd.,
(144A), 3.50% due 07/26/05..................... 542,220
1,000,000 Total Access Communication Public Company Ltd.,
2.00% due 05/31/06............................. 1,040,000
-------------
2,512,220
-------------
TOTAL CONVERTIBLE BONDS (COST $4,445,540).... 4,113,470
-------------
CORPORATE OBLIGATIONS (22.1%)
ARGENTINA (1.5%)
ARS 2,000,000 CEI Citicorp Holdings S.A., (144A), 11.25% due
02/14/07....................................... 2,040,000
-------------
BRAZIL (3.9%)
$ 2,000,000 Abril S.A., 12.00% due 10/25/03.................. 2,215,000
1,000,000 Safra Leasing S.A., (144A), 8.125% due
06/16/05....................................... 990,000
2,000,000 Voto-Votorantim Overseas Trading, (144A), 8.50%
due 06/27/05................................... 1,990,000
-------------
5,195,000
-------------
CHINA (0.4%)
500,000 Zhuhai Highway Company Ltd. Series B, (144A),
11.50% due 07/01/08............................ 578,660
-------------
COLOMBIA (1.2%)
1,500,000 Termoemcali Funding Corp., (144A), 10.125% due
12/15/14....................................... 1,627,305
-------------
INDONESIA (4.8%)
1,000,000 Indah Kiat Finance Co. Mauritius, (144A), 10.00%
due 07/01/07................................... 996,250
2,000,000 Indah Kiat International Finance Co. Global Bonds
Series B, 11.875% due 06/15/02................. 2,200,000
1,000,000 Matahari International Finance Co. BV, 11.25% due
03/15/01....................................... 1,072,500
IDR 5,000,000,000 PT Polysindo Eka Perkasa, 19.00% due 04/26/99.... 2,111,865
-------------
6,380,615
-------------
MEXICO (6.1%)
$ 1,000,000 Altos Hornos de Mexico S.A., (144A), 11.375% due
04/30/02....................................... 1,062,500
4,500,000 Copamex Industrias S.A., (144A), 11.375% due
04/30/04....................................... 4,860,000
1,500,000 Grupo Televisa S.A. de CV Senior Notes, 11.875%
due 05/15/06................................... 1,689,375
500,000 TFM S.A. de CV, (144A), 10.25% due 06/15/07...... 508,125
-------------
8,120,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY DESCRIPTION VALUE
- --------------- ------------------------------------------------- -------------
<C> <S> <C>
PHILLIPINES (1.6%)
$ 2,000,000 CE Casecnan Water & Energy Inc. Senior Notes
Series A, 11.45% due 11/15/05.................. $ 2,194,800
-------------
THAILAND (0.7%)
1,000,000 Thai Farmers Bank Public Company Ltd., (144A),
8.25% due 08/21/16............................. 947,240
-------------
VENEZUELA (1.9%)
2,500,000 CANTV Finance Ltd., 9.25% due 02/01/04........... 2,540,625
-------------
TOTAL CORPORATE OBLIGATIONS (COST
$28,764,878)............................... 29,624,245
-------------
GOVERNMENT OBLIGATIONS (3.0%)
ARGENTINA (1.5%)
ARS 2,000,000 City of Buenos Aires, (144A), 10.50% due
05/28/04....................................... 2,045,000
-------------
RUSSIA (1.5%)
$ 2,000,000 City of Moscow, (144A), 9.50% due 05/31/00....... 2,012,000
-------------
TOTAL GOVERNMENT OBLIGATIONS (COST
$4,028,962)................................ 4,057,000
-------------
SOVEREIGN BONDS (60.5%)
ALGERIA (1.3%)
2,000,000 Algerian Repro Loan Agreement Tranche A/1, 6.909%
due 09/04/06{*}................................ 1,745,000
-------------
ARGENTINA (14.3%)
4,000,000 Republic of Argentina Bonos del Tesoro, Series
BT02, 8.75% due 05/09/02....................... 4,000,000
4,000,000 Republic of Argentina Discount Bonds, 6.875% due
03/31/23{*}.................................... 3,460,000
10,912,500 Republic of Argentina FRB Series L, 6.75% due
03/31/05{*}.................................... 10,257,750
ARS 1,298,916 Republic of Argentina Pensioner BOCON Previs 1,
3.242% due 04/01/01{*}......................... 1,188,892
$ 311,637 Republic of Argentina Pensioner BOCON Previs 2,
5.695% due 04/01/01{*}......................... 303,259
-------------
19,209,901
-------------
BRAZIL (13.8%)
5,125,000 Republic of Brazil Bearer DCB, 6.938% due
04/15/12{*}.................................... 4,234,531
4,000,000 Republic of Brazil Exit Bonds, 6.00% due
09/15/13....................................... 3,070,000
1,305,000 Republic of Brazil IDU Series A, 6.50% due
01/01/01{*}.................................... 1,287,382
970,430 Republic of Brazil MYDFA Trust Certificates
Series REGS, 6.563% due 09/15/07{*}............ 883,693
5,000,000 Republic of Brazil NMB-1994, 6.938% due
04/15/09{*}.................................... 4,387,500
5,827,380 Republic of Brazil, C Bonds, 8.00% due
04/15/14....................................... 4,680,144
-------------
18,543,250
-------------
CROATIA (2.2%)
3,000,000 Republic of Croatia, 6.50% due 07/30/10{*}....... 2,910,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY DESCRIPTION VALUE
- --------------- ------------------------------------------------- -------------
<C> <S> <C>
ECUADOR (4.4%)
$ 4,000,000 Republic of Ecuador FRN, (144A), 10.813% due
04/25/04{*}.................................... $ 4,205,000
2,690,775 Republic of Ecuador Global Bearer PDI Bonds,
6.438% due 02/27/15{*}......................... 1,728,823
-------------
5,933,823
-------------
GREECE (0.7%)
GRD 245,000,000 Hellenic Republic, 13.50% due 12/27/02{*}........ 939,939
-------------
KAZAKHSTAN (0.8%)
$ 1,000,000 Republic of Kazakhstan Series REGS, 9.25% due
12/20/99....................................... 1,012,500
-------------
MEXICO (9.0%)
50,000 United Mexican States Discount Bonds Series A
(including 76,900 value recovery rights
expiring 6/30/03), 6.867% due 12/31/19{*}...... 46,500
6,000,000 United Mexican States Discount Bonds Series D
(including 9,228,000 value recovery rights
expiring 6/30/03), 6.813% due 12/31/19{*}...... 5,580,000
2,000,000 United Mexican States FRN Series REGS, 7.875% due
08/06/01{*}.................................... 2,002,000
3,000,000 United Mexican States Global Bonds, 11.375% due
09/15/16....................................... 3,371,400
1,000,000 United Mexican States Global Bonds, 11.50% due
05/15/26....................................... 1,141,200
-------------
12,141,100
-------------
MOROCCO (1.4%)
2,000,000 Kingdom of Morocco Restructuring & Consolidating
Agreement, 6.813% due 01/01/09{*}.............. 1,821,260
-------------
PANAMA (4.9%)
961,547 Republic of Panama Bearer Bonds, 7.031% due
05/14/02{*}.................................... 950,729
5,000,000 Republic of Panama IRB, 3.50% due 07/17/14{*}.... 3,850,000
2,028,120 Republic of Panama PDI, 6.563% due 07/17/16{*}... 1,784,746
-------------
6,585,475
-------------
PERU (3.4%)
7,000,000 Republic of Peru PDI, 4.00% due 03/07/17{*}...... 4,541,600
-------------
RUSSIA (0.7%)
1,000,000 Ministry of Finance Russia, (144A), 10.00% due
06/26/07....................................... 996,200
-------------
VENEZUELA (3.6%)
5,238,095 Republic of Venezuela FLIRB Series B, 6.75% due
03/31/07{*}.................................... 4,865,142
-------------
TOTAL SOVEREIGN BONDS (COST $78,343,198)..... 81,245,190
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY DESCRIPTION VALUE
- --------------- ------------------------------------------------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (8.7%)
EURO DOLLAR TIME DEPOSITS (2.0%)
$ 2,732,000 State Street Bank, Euro Dollar 5.25% due
7/01/97........................................ $ 2,732,000
-------------
POLAND (2.1%)
3,007,563 ING Bank Warsaw PLN Pass Thru Note, 21.50% due
07/22/97....................................... 2,858,571
-------------
RUSSIA (4.6%)
2,000,000 Russian Federation GKO Series EM 136 Structured
Note, due 10/27/97............................. 1,922,039
2,500,000 Russian Federation GKO Series EM 183 USD Hedged
Structured Note, due 5/11/98................... 2,245,656
2,000,000 Russian Federation GKO USD Hedged Structured
Note, due 11/03/97............................. 1,927,724
-------------
6,095,419
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$11,836,859)............................... 11,685,990
-------------
TOTAL INVESTMENTS (COST $127,419,437) (97.4%).... 130,725,895
OTHER ASSETS IN EXCESS OF LIABILITIES (2.6%)..... 3,521,925
-------------
NET ASSETS (100.0%).............................. $ 134,247,820
-------------
-------------
</TABLE>
- ------------------------------
Note: The cost of securities for Federal Income Tax purposes at June 30, 1997,
was $127,580,461; the aggregate gross unrealized appreciation and depreciation
was $3,784,149 and $638,715, respectively, resulting in net unrealized
appreciation of $3,145,434.
{*} Rate shown reflects current rate on variable rate instrument or instrument
with step coupon rates.
144A -- Securities restricted for resale to Qualified Institutional Buyers.
ARS -- Argentine Peso.
BOCON -- Argentine pension consolidation bonds.
C -- Capitalization.
DCB -- Debt Conversion Bonds.
FLIRB -- Front Loaded Interest Reduction Bonds.
FRB -- Floating Rate Bond.
FRN -- Floating Rate Note.
GRD -- Greek Drachma.
GKO -- Russian Treasury Bills.
IDR -- Indonesian Rupiah.
IDU -- Interest Due and Unpaid.
IRB -- Interest Reduction Bonds.
MYDFA -- Multi-Year Refinancing Agreement.
NMB -- New Money Bonds.
PDI -- Past Due Interest.
PLN -- Poland.
USD -- United States Dollar.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $127,419,437 ) $130,725,895
Foreign Currency at Value (Cost $97,224 ) 97,185
Cash 645
Receivable for Investments Sold 8,523,077
Interest Receivable 2,343,036
Unrealized Appreciation of Open Swap Contracts 372,662
Unrealized Appreciation of Forward Foreign
Currency Contracts 86,156
Deferred Organization Expenses 15,180
Prepaid Expenses and Other Assets 19,865
------------
Total Assets 142,183,701
------------
LIABILITIES
Payable for Investments Purchased 7,754,842
Advisory Fee Payable 75,776
Custody Fee Payable 65,327
Organization Expenses Payable 14,200
Administrative Services Fee Payable 3,361
Accrued Trustees' Fees and Expenses 659
Administration Fee Payable 290
Fund Services Fee Payable 114
Accrued Expenses 21,312
------------
Total Liabilities 7,935,881
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $134,247,820
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD FROM MARCH 7, 1997 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $3,763,252
EXPENSES
Advisory Fee $ 271,243
Custodian Fees and Expenses 65,327
Professional Fees and Expenses 18,660
Administrative Services Fee 11,875
Printing Expenses 2,468
Amortization of Organization Expense 1,020
Administration Fee 941
Fund Services Fee 935
Trustees' Fees and Expenses 792
Registration Fees 235
Insurance Expense 169
Miscellaneous 231
----------
Total Expenses 373,896
----------
NET INVESTMENT INCOME 3,389,356
NET REALIZED GAIN (LOSS) ON
Investment Transactions (including $34,267 net
realized gain from swap contracts) 258,885
Foreign Currency Transactions (30,474)
----------
Net Realized Gain 228,411
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments (including $372,662 net unrealized
appreciation from swap contracts) 3,379,745
Foreign Currency Contracts and Translations 86,117
----------
Net Change in Unrealized Appreciation 3,465,862
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $7,083,629
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 7, 1997
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
(UNAUDITED)
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,389,356
Net Realized Gain on Investment and Foreign
Currency Transactions 228,411
Net Change in Unrealized Appreciation of
Investments and Foreign Currency Contracts and
Translations 3,465,862
----------------
Net Increase in Net Assets Resulting from
Operations 7,083,629
----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 141,176,307
Withdrawals (14,012,116)
----------------
Net Increase from Investors' Transactions 127,164,191
----------------
Total Increase in Net Assets 134,247,820
NET ASSETS
Beginning of Period --
----------------
End of Period $ 134,247,820
----------------
----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
MARCH 7, 1997
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
(UNAUDITED)
----------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.96%(a)
Net Investment Income 8.75%(a)
Portfolio Turnover 118%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Emerging Markets Debt Portfolio (the "Portfolio") is one of eight subtrusts
(portfolios) comprising The Series Portfolio (the "Series Portfolio"). The
Series 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 June 24, 1994. The
Portfolio commenced operations on March 7, 1997 and received a contribution of
certain assets and liabilities, including securities, with a value of
$113,127,989 on that date from the JPM Emerging Markets Debt Fund, Ltd. in
exchange for a beneficial interest in the Portfolio. The Portfolio's investment
objective is high total return from a portfolio of fixed income securities of
emerging markets issuers. The Declaration of the Trust permits the Trustees to
issue an unlimited number of beneficial interests in the Portfolio.
Investments in emerging markets may involve certain considerations and risks not
typically associated with investments in the United States. Future economic and
political developments in emerging market countries could adversely affect the
liquidity or value, or both, of such securities in which the Portfolio is
invested. The ability of the issuers of the debt securities held by the
Portfolio to meet their obligations may be affected by economic and political
developments in a specific industry or region.
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)The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based on the
most recent sale price, or, in the absence of recorded sales, at the
closing bid price. Securities listed on a foreign exchange are valued at
the last quoted sale price available before the time when net assets are
valued. Unlisted securities are valued at the quoted bid price in the
over-the-counter market. Securities or other assets for which market
quotations are not readily available are valued at fair value in
accordance with procedures established by the Portfolio's Trustees. Such
procedures include the use of independent pricing services, which use
prices based upon yields or prices of securities of comparable quality,
coupon, maturity and type; indications as to values from dealers; and
general market conditions. All portfolio securities with a remaining
maturity of less than 60 days are valued at amortized cost.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the Portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market values of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expenses are
translated at the
25
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
exchange rates prevailing on the respective dates of such transactions.
Translation gains and losses resulting from changes in exchange rates
during the reporting period and gains and losses realized upon settlement
of foreign currency transactions are reported in the Statement of
Operations.
Although the net assets of the Portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the Portfolio
does not isolate the portion of the results of operations arising as a
result of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities during the period.
c)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. 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.
d)The Portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the Portfolio's Trustees, and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of foreign currency translations. At June 30,
1997, the Portfolio had open forward foreign currency contracts as
follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
COST/PROCEEDS 6/30/97 (DEPRECIATION)
------------- ----------- --------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
- -------------------------------------------------
Egyptian Pound 6,827,760, expiring 7/7/97........ $ 2,000,000 $ 2,012,937 $ 12,937
El Salvador Colon 17,793,160, expiring
10/22/97........................................ 2,000,000 2,007,634 7,634
El Salvador Colon 17,781,800, expiring 12/3/97... 2,000,000 1,998,820 (1,180)
Mexican Peso 18,297,000, expiring 6/26/98........ 2,000,000 2,011,322 11,322
South African Rand 4,594,000, expiring 9/11/97... 1,000,000 994,085 (5,915)
SALES CONTRACTS
- -------------------------------------------------
German Mark 1,600,000, expiring 7/11/97.......... 965,309 919,183 46,126
German Mark 2,321,460, expiring 7/22/97.......... 1,350,000 1,334,768 15,232
--------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 86,156
--------------
--------------
</TABLE>
26
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
e)The Portfolio may engage in swap transactions, specifically interest rate,
currency, index and total return swaps. The Portfolio will use these
transactions to preserve a return or spread on a particular investment or
portion of its investments, to protect against currency fluctuations, as a
duration management technique, to protect against any increase in the
price of securities the Portfolio anticipates purchasing at a later date,
or to gain exposure to certain markets in the most economical way
possible. An interest rate swap is an agreement between two parties to
exchange interest payments on a specified amount (the "notional amount")
for a specified period. If a swap agreement provides for payments in
different currencies, the parties might agree to exchange the notional
amount as well. Risks associated with swap transactions include the
ability of counterparties to meet the terms of their contracts, and the
amount of the Portfolio's potential loss on any swap transaction is not
subject to any fixed limit.
The unrealized appreciation or depreciation on open swap contracts
represents the difference between the payments for which the
counterparties are liable to the Portfolio and the payments the Portfolio
has contracted to pay to the counterparties. These payment streams will
fluctuate with changes in interest rates, in currency exchange rates or in
the values of underlying securities in the case of total return swaps.
Realized gains and losses are recognized when the swap transactions are
terminated. At June 30, 1997, the Portfolio had open swap contracts as
follows:
SUMMARY OF OPEN SWAP CONTRACTS
<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTED APPRECIATION
AMOUNT (DEPRECIATION)
--------------- --------------
<S> <C> <C>
Morocco Tranche A Loans Total Return Swap,
expires 11/12/97................................ $ 1,000,000 $ 171,880
Morocco Tranche A Loans Total Return Swap,
expires 11/12/97................................ 1,000,000 201,255
Texmaco Indonesian Rupiah (IDR) Total Return
Swap, expires 2/23/98........................... IDR 1,345,317,017 (473)
--------------
Net Unrealized Appreciation on Open Swap
Contracts....................................... $ 372,662
--------------
--------------
</TABLE>
f)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 Portfolio earns foreign income which may
be subject to foreign withholding taxes at various rates.
g)The Portfolio incurred organization expenses in the amount of $16,200.
Morgan Guaranty Trust Company of New York ("Morgan") has agreed to pay the
organization expenses of the Portfolio. The Portfolio has agreed to
reimburse Morgan for these costs which are being deferred and will be
amortized on a straight-line basis over a period not to exceed five years
beginning with the commencement of operations of the Portfolio.
27
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
h)Expenses incurred by the Series Portfolio with respect to any two or more
portfolios in the Series Portfolio are allocated in proportion to the net
assets of each portfolio in the Series Portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan. Under the
terms of the agreement, the Portfolio pays Morgan at an annual rate of
0.70% of the Portfolio's average daily net assets. For the period from
March 7, 1997 (commencement of operations) to June 30, 1997, such fees
amounted to $271,243.
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 in which The JPM Pierpont Funds and The JPM Institutional
Funds invest (the "Master Portfolios"), JPM Series Trust, JPM Series Trust
II and certain other investment companies subject to similar agreements
with FDI. For the period from March 7, 1997 (commencement of operations)
to June 30, 1997, the fee for these services amounted to $941.
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 average daily 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, other investors in the Master Portfolios for which
Morgan provides similar services and JPM Series Trust. For the period from
March 7, 1997 (commencement of operations) to June 30, 1997, the fee for
these services amounted to $11,875.
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 $935 for the period from March 7, 1997 (commencement of
operations) to June 30, 1997.
28
<PAGE>
THE EMERGING MARKETS DEBT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 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 $200.
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the period from
March 7, 1997 (commencement of operations) to June 30, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C>
$151,664,662 $126,186,118
</TABLE>
29
