<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
April 15, 1997
Dear Shareholder:
The previous six-month period was a lean one for most fixed income investors, as
rising interest rates undercut the value of bond portfolios. Despite this, The
JPM Institutional Tax Exempt Money Market Fund posted a positive 1.60% return,
while its benchmark, the IBC/Donoghue Tax Exempt Money Fund Average posted a
gain of 1.46% over the same period. The Fund's 7-day yield, at 3.22% translates
to a pre-tax equivalent yield of 5.33%, assuming a 39.6% tax rate.
The Fund maintained a stable $1.00 net asset value over the period. On February
28, 1997, the net assets of the Fund were $169,507,378 while the net assets of
The Tax Exempt Money Market Portfolio, in which the Fund invests, were
$1,252,424,211. A dividend of approximately $0.02 per share was paid, all of
which is exempt from Federal income taxes.
This report includes a discussion with Dan Mulvey, the portfolio manager
primarily responsible for The Tax Exempt Money Market Portfolio, and Elaine
Manza, a trader for the Portfolio. In this interview, Dan and Elaine talk about
the events of the previous six-month period that had the greatest effect on the
Portfolio and also discusses how our investment strategy was used to protect
assets in a difficult environment. We hope this helps you to understand some of
the factors that affect how your money is managed.
As always, we welcome your comments, questions or any suggestions on how we can
further improve our financial reports. Please call J.P. Morgan Funds Services
toll free at (800) 766-7722.
Sincerely yours,
/s/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS....1 GLOSSARY OF TERMS..............6
FUND PERFORMANCE..............2 FUND FACTS AND HIGHLIGHTS......7
PORTFOLIO MANAGER Q&A.........3 FINANCIAL STATEMENTS...........9
- --------------------------------------------------------------------------------
1
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
One way to look at performance is to review a fund's average annual total
return. This figure takes a fund's actual (or cumulative) return and shows you
what would have happened if the fund had achieved that return by performing at a
constant rate each year. Average annual total returns represent the average
yearly change of a fund's value over various time periods, typically 1, 5, or 10
years. Total returns for periods of less than one year are not annualized and
provide a picture of how the fund has performed over the short term.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
---------------------- --------------------------------------------------
THREE SIX ONE THREE FIVE TEN
AS OF FEBRUARY 28, 1997 MONTHS MONTHS YEAR YEARS* YEARS* YEARS*
- ------------------------------------------------------------- --------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
The JPM Institutional Tax Exempt
Money Market Fund 0.79% 1.60% 3.23% 3.25% 2.88% 3.92%
IBC/Donoghue Tax Free
Money Fund Average 0.72% 1.46% 2.92% 2.93% 2.62% 3.74%
As of December 31, 1996
- ------------------------------------------------------------- --------------------------------------------------
The JPM Institutional Tax Exempt
Money Market Fund 0.82% 1.62% 3.24% 3.19% 2.88% 3.94%
IBC/Donoghue Tax Free
Money Fund Average 0.74% 1.45% 2.93% 2.87% 2.62% 3.75%
</TABLE>
*REFLECTS PERFORMANCE OF THE PIERPONT TAX EXEMPT MONEY MARKET FUND, THE
PREDECESSOR ENTITY TO THE TAX EXEMPT MONEY MARKET PORTFOLIO, FOR PERIODS PRIOR
TO AUGUST 5, 1993 (COMMENCEMENT OF INVESTMENT OPERATIONS).
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. FUND RETURNS ASSUME THE
REINVESTMENT OF DISTRIBUTIONS AND REFLECT REIMBURSEMENT OF CERTAIN FUND AND
PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS. IBC/DONOGHUE'S TAX FREE MONEY
FUND AVERAGE IS AN AVERAGE OF ALL MAJOR TAX FREE MONEY MARKET FUND RETURNS. THIS
COMPARATIVE INFORMATION IS AVAILABLE TO THE PUBLIC FROM THE IBC/DONOGHUE
ORGANIZATION, INC. NO REPRESENTATION IS MADE THAT INFORMATION GATHERED FROM THIS
SOURCE IS ACCURATE OR COMPLETE.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTOGRAPH]
[PHOTOGRAPH]
The following is an interview with DAN MULVEY, Vice President, who is
responsible for managing the Tax Exempt Money Market Portfolio, in which the
Fund invests, and ELAINE MANZA, Vice President, who is a trader for this
Portfolio. Dan joined Morgan in September 1991 after six years at Equitable Life
where he was a trader for money market, government and corporate securities. He
earned a B.A. in economics from the University of Illinois and an M.B.A. from
Fordham University. Elaine joined Morgan over 20 years ago, working first in
Private Banking, and then in Investment Management. She has traded tax exempt
municipal securities for the previous 8 years, with responsibility for the Tax
Exempt Money Market Portfolio for that entire time. She is a graduate of
Southampton College on Long Island, New York. This interview was conducted on
March 28, 1997 and represents Dan's and Elaine's views on that date.
WHAT FACTORS HAVE MOST INFLUENCED THE TAX EXEMPT MONEY MARKET OVER THE LAST SIX
MONTHS?
Right now, probably the biggest factor is the surge in money market assets,
which are at record levels. This is true for both our taxable and tax exempt
money market funds, which have both seen significant cash inflows. These inflows
have helped to mitigate some of the effects of the recent Fed tightening.
WHAT DO YOU SEE AS BEING THE REASON FOR THESE HIGH LEVELS OF CASH?
Actually, we see several factors at work here. One factor certainly is a growing
uneasiness with stock market valuations which is leading investors, both in
asset allocation accounts and individually, to reduce stock positions and move
into money market or fixed income investments. The recent Federal Reserve
tightening, and a widely-held belief that more tightening is to come, have
certainly contributed to these concerns. But another, perhaps larger, factor is
a substantial increase in the amount of cash on corporate balance sheets. Partly
this is attributable to recent strong earnings. However, it is also a reflection
of the economy's being in a later part of the business cycle. Companies whose
business is strongly affected by these cycles -- automobile manufacturers, for
example -- may be bracing for a downturn and want a cash cushion.
Adding to these influences is the April 15 tax deadline which reliably
produces movements in money markets as taxpayers prepare to pay their taxes.
DOES APRIL 15 HAVE A SIGNIFICANT EFFECT ON MONEY MARKETS? DOES IT CREATE
OPPORTUNITIES?
Well, of course, because this is a normally-recurring event, the money flows are
anticipated and reasonably predictable. We normally expect to experience a
certain percentage of redemptions, typically around 5% of Portfolio assets, and
we sell quite a bit in the week leading up to April 15 to make sure we have the
liquidity
3
<PAGE>
to meet the demand. Tax time actually offers an opportunity to reallocate the
Portfolio a bit, and if, after April 15, we have some surplus liquidity, the
market generally offers a broader range of choices than we usually see. Our
expectation of market direction may differ from other managers and, depending on
whether they are more or less optimistic than we are, they may want to sell
cheaply something that we will want to buy.
Tax time shakes up the market and provides everybody with opportunities to
restructure their Portfolios and freshen them up a bit. One could call it spring
cleaning.
HAVE THERE BEEN ANY NEW TRENDS ON THE TAX EXEMPT MONEY MARKET?
One important development for all money market funds concerns proposed
amendments to the SEC rule covering money market funds. For tax exempt money
market funds, the SEC is proposing even more rigorous portfolio construction
guidelines, including greater diversification and more due diligence on credit.
WOULD THESE AMENDMENTS CHANGE THE WAY WE MANAGE THE PORTFOLIO?
Actually, when the proposed changes were first publicized, we did a spot check
to see what we would have to change. We were pleasantly surprised to find that
the Portfolio is already in compliance with the proposed new set of standards.
We manage, and have always managed, money market funds with the belief that you
can achieve good performance by anticipating moves on the yield curve. With the
spread in yields between top quality credit and lower quality so narrow, we feel
that the incremental yield is not compensated by the additional credit risk. We
have found that we do better by just diversifying, really trying to understand
the yield curve and then working the curve, going a little longer or shorter.
This has worked for us, and we are pleased we will not have to change the way we
manage the Portfolio should these amendments be adopted.
The good news for money market funds is that the SEC intends to "grandfather"
fund holdings if these provisions are adopted. This means that funds out of
compliance with the new rules will not have to immediately sell off the
forbidden holdings, as was true of some rule changes in the past, but can hold
them until maturity. The forced selling that accompanied earlier rule changes
caused a great deal of market disruption and substantial losses that should be
avoided this time.
WITH THE BENEFIT OF 20/20 HINDSIGHT, ARE THERE ANY DECISIONS YOU WOULD HAVE DONE
DIFFERENTLY?
The spreads between daily and weekly notes -- at around 3.25% -- and one-year
notes -- at 3.50% to 3.60% -- did not seem attractive enough to warrant purchase
of the longer maturities. Later, of course, when rates dropped into the 2.00%
range, the 3.50% to 3.60% notes looked considerably more appealing. Nonetheless,
without knowing that rates would fall so low, we doubt that we would have done
anything differently.
EVEN WITHOUT ADVANCE KNOWLEDGE OF WHAT RATES WOULD DO, THE FUND STILL
OUTPERFORMED ITS COMPETITORS. WHAT DO YOU SEE AS SOME OF THE REASONS FOR THIS
OUTPERFORMANCE?
The growth in assets was beneficial because it allowed us to extend maturity
whenever we saw an opportunity without having to sell something else. However,
what basically keeps the Fund competitive, year in and
4
<PAGE>
year out, is vigilance. We keep readjusting the Portfolio and looking for
opportunities, even if they only add a few basis points, and when we find them
we take them. Over a month the Portfolio may show only a few basis points of
outperformance, but over a quarter and over a year, they add up. Then, in
addition to looking for incremental yield, we also consciously maintain
diversification and a high degree of liquidity. To get that liquidity, we also
have to sustain a high level of credit quality. The objective of all this is
better performance for our shareholders.
LOOKING FORWARD OVER THE NEXT SIX MONTHS, WHAT KINDS OF PROBLEMS OR
OPPORTUNITIES DO YOU FORESEE?
The Portfolio presently has a larger-than-normal allocation to floating rate
notes, instruments whose interest rate is tied to an Index, and we expect to cut
back on them as we move into summer. We expect a continuing high level of demand
that will keep rates low for the near future, and consequently we will look to
add yield by extending maturity.
5
<PAGE>
GLOSSARY OF TERMS
AVERAGE MATURITY: The weighted average time to maturity of the entire portfolio
with the weights equal to the percentage of the portfolio invested in each
security (see Maturity).
CREDIT RATING: The rating assigned to a bond or note by independent rating
agencies such as Standard & Poor's Corporation and Moody's Investors Service. In
evaluating creditworthiness, these agencies assess the issuer's present
financial condition and future ability and willingness to make principal and
interest payments when due.
CREDIT RISK: Financial risk that an obligation will not be paid and a loss will
result.
LETTER OF CREDIT: Instrument or document issued by a bank guaranteeing the
payment of a customer's drafts up to a stated amount and eliminating the
seller's risk.
MATURITY: The date on which the life of a financial instrument ends through cash
or physical settlement or expiration with no value or the date a security comes
due and fully payable.
VARIABLE RATE DEMAND NOTE: Note representing borrowings that is payable on
demand and that bears interest tied to a base money market rate, usually the
bank prime rate. The rate on the note is adjusted upward or downward each time
the base rate changes.
YIELD: Coupon rate of interest on a bond divided by the purchase price. As a
bond's price falls, its yield rises and vice versa.
YIELD CURVE: A graph showing the term structure or level of interest rates
ranging from the shortest to the longest maturities. The resulting curve shows
if short-term interest rates are higher or lower than long-term rates. Normally,
the longer the bond, the higher the yield it offers, resulting in a positive
yield curve. An inverted yield curve can occur when there are supply/demand
imbalances for various maturities, which results in short-term rates at higher
levels than longer-term instruments.
YIELD SPREAD: The difference in yield between different types of securities. For
example, if a Treasury bond is yielding 6.00% and a municipal is yielding 5.00%,
the yield spread is 1.00% or 100 basis points.
6
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Institutional Tax Exempt Money Market Fund seeks to provide a high level
of current income exempt from federal income tax and maintain a high level of
liquidity and preserve capital. It is designed for investors who seek to
preserve capital and earn current income exempt from federal income tax.
- --------------------------------------------------------------------------------
INCEPTION DATE
07/12/93
- --------------------------------------------------------------------------------
NET ASSETS AS OF 2/28/97
$169,507,378
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
Monthly
- --------------------------------------------------------------------------------
Capital gain payable dates (if applicable)
12/19/97
- --------------------------------------------------------------------------------
EXPENSE RATIO
The Fund's annual expense ratio of 0.35% covers shareholders' expenses for
custody, tax reporting, investment advisory and shareholder services (current
expenses are 0.25% of the Fund's annual average daily net assets as a result of
fee waivers and expense reimbursement). The Fund is no-load and does not charge
any sales, redemption, or exchange fees. There are no additional charges for
buying, selling, or safekeeping Fund shares, or for wiring redemption proceeds
from the Fund.
FUND HIGHLIGHTS
ALL DATA AS OF FEBRUARY 28, 1997
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[GRAPH]
- VARIABLE RATE DEMAND NOTES 65.9%
- TAX REVENUE ANTICIPATION NOTES 10.0%
- REVENUE ANTICIPATION NOTES 8.2%
- TAX ANTICIPATION NOTES 6.7%
- REVENUE BONDS 6.5%
- THIRD PARTY PUT BONDS 2.1%
- GENERAL OBLIGATIONS 0.4%
- COMMERCIAL PAPER 0.2%
AVERAGE 7-DAY YIELD
3.22%
AVERAGE MATURITY
49.5 days
7
<PAGE>
Funds Distributor, Inc. is the Distributor for The JPM Institutional Tax Exempt
Money Market Fund (the "Fund").
Morgan Guaranty Trust Company of New York ("Morgan") serves as Portfolio
Investment Advisor and makes the Fund available solely in its capacity as
shareholder servicing agent for customers. Investments in the Fund are not
deposits or obligations of, or guaranteed or endorsed by, Morgan or any other
bank. Shares of the Fund are not federally insured by the Federal Deposit
Insurance Corporation, the Federal Reserve Board, or any other governmental
agency. Although the Fund seeks to maintain a stable net asset value of $1.00
per share, there can be no assurance that it will be able to continue to do so.
The performance data quoted herein represent past performance. Please remember
that past performance is not a guarantee of future performance. Fund returns are
net of fees and assume the reinvestment of fund distributions. The Fund invests
all of its investable assets in The Tax Exempt Money Market Portfolio (the
"Portfolio"), a separately registered investment company, which is not available
to the public but only to other collective investment vehicles such as the Fund.
Consistent with applicable regulatory guidance, performance for the Fund prior
to July 12, 1993, reflects the performance of The Pierpont Tax Exempt Money
Market Fund, which had substantially similar investment objective and
restrictions as the Portfolio. The performance for such period reflects
deduction of the charges and expenses of The Pierpont Tax Exempt Money Market
Fund, which were higher than the charges and expenses for the Fund, after
reimbursement.
More complete information about the Fund, including management fees and other
expenses, is provided in the Prospectus, which should be read carefully before
investing. You may obtain an additional copy of the Prospectus by calling J.P.
Morgan Funds Services at (800) 766-7722.
8
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The JPM Institutional Tax Exempt
Money Market Fund ("Portfolio"), at value $169,739,236
Receivable for Expense Reimbursements 27,465
Deferred Organization Expenses 15,490
Prepaid Expenses and Other Assets 4,648
------------
Total Assets 169,786,839
------------
LIABILITIES
Dividends Payable to Shareholders 156,427
Shareholder Servicing Fee Payable 2,168
Accrued Trustees' Fees and Expenses 1,633
Administration Fee Payable 1,381
Administrative Services Fee Payable 4,085
Fund Services Fee Payable 364
Accrued Expenses 113,403
------------
Total Liabilities 279,461
------------
NET ASSETS
Applicable to 169,526,733 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $169,507,378
------------
------------
Net Asset Value, Offering and Redemption Price
Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $169,526,228
Accumulated Net Realized Loss on Investment (18,850)
------------
Net Assets $169,507,378
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $3,653,468
Allocated Portfolio Expenses (247,294)
----------
Net Investment Income Allocated from
Portfolio 3,406,174
FUND EXPENSES
Registration Fees $ 68,670
Shareholder Servicing Fee 46,640
Administrative Services Fee 32,353
Printing Expenses 14,718
Professional Fees 13,866
Transfer Agent Fees 10,513
Amortization of Organization Expenses 5,325
Fund Services Fee 3,849
Administration Fee 3,660
Trustees' Fees and Expenses 3,268
Miscellaneous 567
--------
Total Fund Expenses 203,429
Less: Reimbursement of Expenses (101,356)
--------
NET FUND EXPENSES 102,073
----------
NET INVESTMENT INCOME 3,304,101
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM
PORTFOLIO 5,351
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $3,309,452
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1997 YEAR ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,304,101 $ 5,203,471
Net Realized Gain (Loss) on Investment Allocated
from Portfolio 5,351 (1,741)
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 3,309,452 5,201,730
----------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (3,304,101) (5,203,471)
----------------- ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(AT A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 294,944,558 390,767,052
Reinvestment of Dividends 2,261,755 4,550,309
Cost of Shares of Beneficial Interest Redeemed (291,272,897) (331,888,931)
----------------- ---------------
Net Increase from Transactions in Shares of
Beneficial Interest 5,933,416 63,428,430
----------------- ---------------
Total Increase in Net Assets 5,938,767 63,426,689
NET ASSETS
Beginning of Period 163,568,611 100,141,922
----------------- ---------------
End of Period $ 169,507,378 $ 163,568,611
----------------- ---------------
----------------- ---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED JULY 12, 1993
FEBRUARY 28, AUGUST 31, (COMMENCEMENT OF
1997 ------------------------------ OPERATIONS) TO
(UNAUDITED) 1996 1995 1994 AUGUST 31, 1993
---------------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------------- -------- -------- -------- ----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0159 0.0331 0.0352 0.0228 0.0040
Net Realized Gain (Loss) on Investments 0.0000(a) (0.0000)(a) (0.0002) (0.0000)(a) (0.0000)(a)
---------------- -------- -------- -------- ----------------
Total from Investment Operations 0.0159 0.0331 0.0350 0.0228 0.0040
---------------- -------- -------- -------- ----------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0159) (0.0331) (0.0352) (0.0228) (0.0040)
Net Realized Gain -- -- -- (0.0000)(a) --
---------------- -------- -------- -------- ----------------
Total Distributions to Shareholders (0.0159) (0.0331) (0.0352) (0.0228) (0.0040)
---------------- -------- -------- -------- ----------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------------- -------- -------- -------- ----------------
---------------- -------- -------- -------- ----------------
Total Return 1.60%(b) 3.36% 3.57% 2.30% 0.40%(b)
---------------- -------- -------- -------- ----------------
---------------- -------- -------- -------- ----------------
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (in thousands) $ 169,507 $163,569 $100,142 $ 46,083 $ 35,004
Ratios to Average Net Assets
Expenses 0.34%(c) 0.35% 0.35% 0.35% 0.35%(c)
Net Investment Income 3.21%(c) 3.28% 3.49% 2.34% 2.25%(c)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.10%(c) 0.07% 0.15% 0.65% 1.08%(c)
</TABLE>
- ------------------------
(a) Less than $0.0001.
(b) Not Annualized.
(c) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Institutional Tax Exempt Money Market Fund (the "Fund") is a separate
series of The JPM Institutional Funds, which was organized on November 4, 1992
as a Massachusetts business trust (the "Trust"). The Trust is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund commenced operations on July 12, 1993.
The Fund invests all of its investable assets in The Tax Exempt Money Market
Portfolio (the "Portfolio"), a diversified open-end management investment
company having the same investment objective as the Fund. The value of such
investment included in the Statement of Assets and Liabilities reflects the
Fund's proportionate interest in the net assets of the Portfolio (14% at
February 28, 1997). The performance of the Fund is directly affected by the
performance of the Portfolio. The financial statements of the Portfolio,
including the Schedule of Investments, are included elsewhere in this report and
should be read in conjunction with the Fund's financial statements.
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 Fund:
a)Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in
this report.
b)The Fund records its share of net investment income, realized gain and
loss and adjusts its investment in the Portfolio each day. All the net
investment income and realized gain and loss of the Portfolio is allocated
pro rata among the Fund and the other investors in the Portfolio at the
time of such determination.
c)All the Fund's net investment income is declared as dividends daily and
paid monthly. Distributions to shareholders of net realized capital gain,
if any, are declared and paid annually.
d)The Fund incurred organization expenses in the amount of $58,457. These
costs were deferred and are being amortized on a straight-line basis over
a five-year period from the commencement of operations.
e)The Fund is treated as a separate entity for federal income tax purposes.
The Fund intends to comply with the provisions of the Internal Revenue
Code of 1986, as amended, applicable to regulated investment companies and
to distribute substantially all of its income, including net realized
capital gains, if any, within the prescribed time periods. Accordingly, no
provision for federal income or excise tax is necessary. As of August 31,
1996, the Fund incurred and elected to defer post-October losses of $2,047
until the next taxable year. For federal income tax purposes, the Fund had
a capital loss carryforward at August 31, 1996 of $22,490, of which $2,363
expires in 2003 and $20,127 which expires in 2004. To the extent that this
capital loss is used to offset future capital gains, it is probable that
the gains so offset will not be distributed to shareholders.
13
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
f)Expenses incurred by the Trust with respect to any two or more funds in
the Trust are allocated in proportion to the net assets of each fund in
the Trust, except where allocations of direct expenses to each fund can
otherwise be made fairly. Expenses directly attributable to a fund are
charged to that fund.
2. TRANSACTIONS WITH AFFILIATES
a)The Trust has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and distributor. Under a
Co-Administration Agreement, FDI provides administrative services
necessary for the operations of the Fund, furnishes office space and
facilities required for conducting the business of the Fund and pays the
compensation of the Fund's officers affiliated with FDI. Under the
Co-Administration Agreement, the Fund 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 Fund is based on
the ratio of the Fund's net assets to the aggregate net assets of The
Trust, The JPM Pierpont Funds, The JPM Advisor Funds, the Portfolio and
other portfolios (the "Master Portfolios") in which the Trust, The JPM
Pierpont Funds and The JPM Advisor Funds invest, JPM Series Trust and JPM
Series Trust II. For the six months ended February 28, 1997, the fee for
these services amounted to $3,660.
On November 15, 1996, The JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds were no longer included in the calculation of the allocation of
FDI's fees.
b)The Trust, on behalf of the Fund, 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 Fund. Under
the Services Agreement, the Fund has agreed to pay Morgan a fee equal to
its proportionate share of an annual complex-wide charge. The charge is
calculated daily based on the aggregate net assets of the Master
Portfolios and JPM Series Trust in accordance with the following annual
schedule: 0.09% on the first $7 billion of their aggregate average daily
net assets and 0.04% of their aggregate average daily net assets in excess
of $7 billion less the complex-wide fees payable to FDI. The portion of
this charge paid by the Fund is determined by the proportionate share that
its net assets bear to the net assets of the Trust, The JPM Pierpont
Funds, the Master Portfolios, other investors in the Master Portfolios for
which Morgan provides similar services and JPM Series Trust. For the six
month period ended February 28, 1997, the fee for these services amounted
to $32,353.
In addition, Morgan has agreed to reimburse the Fund to the extent
necessary to maintain the total operating expenses of the Fund, including
the expenses allocated to the Fund from the Portfolio, at no more than
0.35% of the average daily net assets of the Fund through December 31,
1997. Effective February 10, 1997, Morgan has agreed to waive its
shareholder servicing fee and reimburse the Fund for its administrative
services fee and the remainder of the Fund's expenses (excluding
extraordinary expenses and expenses allocated to the Fund from the
Portfolio), thereby reducing current total operating expenses of the Fund.
This waiver and reimbursement arrangement is in effect until
14
<PAGE>
THE JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
December 31, 1997 in addition to the reimbursement described above. For
the six months ended February 28, 1997, Morgan has agreed to reimburse the
Fund $101,356 for expenses under these arrangements.
c)The Trust, on behalf of the Fund, has a Shareholder Servicing Agreement
with Morgan. The agreement provides for the Fund to pay Morgan a fee for
these services which is computed daily and paid monthly at an annual rate
of 0.05% of the average daily net assets of the Fund. For the six months
ended February 28, 1997, the fee for these services amounted to $46,640
(see Note 2b).
d)The Trust, on behalf of the Fund, has a Fund Services Agreement with
Pierpont Group, Inc. ("Group") to assist the Trustees in exercising their
overall supervisory responsibilities for the Trust's affairs. The Trustees
of the Trust represent all the existing shareholders of Group. The Fund's
allocated portion of Group's costs in performing its services amounted to
$3,849 for the six months ended February 28, 1997.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Trust, The JPM Pierpont Funds, the Master Portfolios and
JPM Series Trust. The Trustees' Fees and Expenses shown in the financial
statements represents the Fund's allocated portion of the total fees and
expenses. The Trust's Chairman and Chief Executive Officer also serves as
Chairman of Group and received 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 $500.
15
<PAGE>
The Tax Exempt Money Market Portfolio
Semi-Annual Report February 28, 1997
(unaudited)
(The following pages should be read in conjunction
with The JPM Institutional Tax Exempt Money Market Fund
Semi-annual Financial Statements)
16
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (100.1%)
ALABAMA (2.3%)
$ 6,000 Columbia, (Industrial Development Board, PCR, VRDN 03/03/97(a) 3.450% $ 6,000,000
Refunding, Alabama Power Co. Project, Series
1995D, due 10/01/22)...........................
9,100 Columbia, (Industrial Development Board, PCR, VRDN 03/03/97(a) 3.550 9,100,000
Refunding, Alabama Power Co. Project, Series
1995C, due 10/01/22)...........................
2,250 Jefferson County, (Public Improvement Revenue VRDN 03/03/97(a) 5.363 2,250,000
Warrant, Briarwood Presbyterian Church Project,
Series 1988, due 05/01/08), LOC Amsouth Bank...
5,700 North Alabama Environmental Improvement Authority VRDN 03/03/97(a) 3.500 5,700,000
(PCR, Refunding, Reynolds Metals Inc. Project,
Series 1985, due 12/01/00), LOC Bank of Nova
Scotia.........................................
5,300 Red Bay County, (Industrial Development Board, VRDN 03/06/97(a) 3.383 5,300,000
IDR, Refunding, Gates Rubber Co. Project,
Series 1987, due 11/01/97), LOC National Bank
of Detroit.....................................
900 Stevenson, (Industrial Development Board, VRDN 03/03/97(a) 3.500 900,000
Refunding, Mead Corp. Project, Series 1986, due
11/01/16), LOC Credit Suisse...................
---------------
29,250,000
---------------
ALASKA (0.4%)
5,100 Alaska State Housing Finance Corp., (Series VRDN 03/03/97(a) 3.400 5,100,000
1991C, due 06/01/26), LOC Swiss Bank...........
---------------
ARIZONA (4.0%)
1,800 Casa Grande, (Industrial Development Authority, VRDN 03/03/97(a) 4.538 1,800,000
IDR, Abbott Labs Project, Series 1983, due
12/01/03)......................................
6,200 Maricopa County, (PCR, Refunding, Series D, due VRDN 03/03/97(a) 3.450 6,200,000
05/01/29) LOC Bank of America..................
13,500 Pima County Industrial Development Authority, VRDN 03/03/97(a) 3.250 13,500,000
(Tucson Electric, due 10/01/22), LOC Societe
Generale.......................................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 3,705 Pima County Industrial Development Authority, VRDN 03/06/97(a) 3.350% $ 3,705,000
IDR, (Refunding, La Cholla Apartments Project,
due 12/01/25), LOC Texas Commerce..............
24,300 Pima County Industrial Development Authority, VRDN 03/05/97(a) 3.300 24,300,000
IDR, (Tucson Electric Co. Project, Series
1982A, due 06/15/22), LOC Societe Generale.....
---------------
49,505,000
---------------
ARKANSAS (0.5%)
750 North Little Rock, (IDR, Refunding, Noland Co. VRDN 03/06/97(a) 3.390 750,000
Project, Series 1989, due 02/01/99), LOC
Wachovia Bank and Trust........................
5,175 Texarkana, (Refunding, Cooper Tire and Rubber Co. VRDN 03/06/97(a) 4.050 5,175,000
Project, Series 1991, due 03/01/21)............
---------------
5,925,000
---------------
CALIFORNIA (4.0%)
33,000 California (Series A)............................ RAN 06/30/97 4.500 33,089,829
5,000 California Health Facilities Finance Authority, VRDN 03/03/97 (a) 3.350 5,000,000
(Refunding, Sutter Health, Series B, due
07/01/12), AMBAC Insured.......................
2,600 California Health Facilities Finance Authority, VRDN 03/03/97 (a) 3.350 2,600,000
(Refunding, Sutter Health, Series C,
due 07/01/22)..................................
2,400 California Pollution Control Financing Authority, VRDN 03/03/97 (a) 3.450 2,400,000
(Refunding, Southern California Edison Project,
Series A, due 02/28/08)........................
2,000 California, (GO, due 06/01/26)................... VRDN 03/06/97 (a) 3.350 2,000,000
2,000 Fresno, (IDR, Fresno MSA Limited Partnership VRDN 03/01/97 (a) 5.363 2,000,000
Project, due 08/01/05), LOC Bank of Nova
Scotia.........................................
400 Los Angeles Regional Airports Improvement Corp., VRDN 03/06/97 (a) 3.500 400,000
(Los Angeles International Airport, Series
1985, due 12/01/25), LOC Societe Generale......
2,500 San Francisco.................................... TRAN 10/08/97 4.500 2,510,929
---------------
50,000,758
---------------
COLORADO (3.7%)
12,800 Colorado State, (Series A)....................... TRAN 06/27/97 4.500 12,837,547
33,300 Moffat County, (PCR, Refunding, Series 1984, due VRDN 03/05/97 (a) 3.300 33,300,000
07/01/10), AMBAC Insured.......................
---------------
46,137,547
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
CONNECTICUT (0.3%)
$ 4,000 Connecticut State, (Special Assessment, VRDN 07/01/97(b) 3.900% $ 4,000,000
Unemployment Compensation Fund Revenue, Series
1993C, due 11/15/01), FGIC Insured.............
---------------
DISTRICT OF COLUMBIA (2.4%)
2,500 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 2,500,000
A-1, due 10/01/07), LOC National Westminster
Bank PLC.......................................
1,800 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 1,800,000
A-2, due 10/01/07), LOC Bank of Nova Scotia....
6,000 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 6,000,000
A-3, due 10/01/07), LOC Toronto Dominion
Bank...........................................
2,000 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 2,000,000
A-5, due 10/01/07), LOC Bank of Nova Scotia....
11,200 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 11,200,000
A-6, due 10/01/07), LOC National Westminster
Bank PLC.......................................
6,400 District of Columbia, (The American University VRDN 03/05/97(a) 3.350 6,400,000
Issue, Series 1985, due 10/01/15), LOC National
Westminster Bank PLC...........................
---------------
29,900,000
---------------
FLORIDA (3.8%)
26,450 Dade County, (Water & Sewer System, Series 1994, VRDN 03/05/97(a) 3.250 26,450,000
due 10/05/22), FGIC Insured....................
2,400 Florida State Board of Education, GO 06/01/97(b) 7.750 2,496,107
(Prerefunded,Capital Outlay, Series 1987B, due
06/01/16)......................................
5,750 Hernando County, (IDR, Refunding, Moore McCormack RB 03/01/97(b) 3.341 5,750,000
Resources Inc. Project, Series 1988, due
12/01/04), LOC Societe Generale................
6,870 Hillsborough County Industrial Development VRDN 03/03/97(a) 3.450 6,870,000
Authority, (PCR, Refunding, due 05/15/18)......
4,500 Orange County Health Facilities Authority, (due TPP 03/06/97(a) 3.650 4,500,000
10/01/14)......................................
575 Orange County Industrial Development Authority, VRDN 03/06/97(a) 3.390 575,000
(IDR, Refunding, Noland Co. Project, Series
1989, due 02/01/04), LOC Wachovia Bank and
Trust..........................................
1,500 Palm Beach County School District................ TAN 09/26/97 4.500 1,507,524
---------------
48,148,631
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
GEORGIA (6.0%)
$ 3,000 Burke County Development Authority, (PCR, Georgia VRDN 03/05/97(a) 3.450% $ 3,000,000
Power Co., Series 1994, Vogtle Project-4th
Series, due 09/01/25)..........................
12,250 Burke County Development Authority, (PCR, Georgia VRDN 03/03/97(a) 3.550 12,250,000
Power Co., Series 1994, Vogtle Project-4th.
Series, due 07/01/24)..........................
22,900 Burke County Development Authority, (PCR, Georgia VRDN 03/03/97(a) 3.450 22,900,000
Power Co., Series 1994, Vogtle Project-5th
Series, due 07/01/24)..........................
1,660 Clayton County Housing Authority, (Refunding, VRDN 03/05/97(a) 3.300 1,660,000
Series 1990A, due 01/01/21), LOC Barclays Bank
PLC............................................
690 Cobb County Development Authority, (IDR, VRDN 03/06/97(a) 3.383 690,000
Refunding, Noland Co. Project, Series 1989, due
08/01/99), LOC Wachovia Bank and Trust.........
4,000 DeKalb County, (Development Authority Revenue, VRDN 03/05/97(a) 3.350 4,000,000
Metro Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank and Trust.........
1,500 DeKalb County, (Development Authority Revenue, VRDN 03/06/97(a) 3.390 1,500,000
Refunding, Noland Co. Project, Series 1989, due
08/01/00), LOC Wachovia Bank and Trust.........
2,000 Georgia, (Series 1988B).......................... GO 04/01/97 8.400 2,008,338
10,000 Georgia, (Series 1993 C, BT # 149, due TPP 03/06/97(a) 3.400 10,000,000
07/01/08)......................................
7,900 Monroe County, (Development Authority, PCR, VRDN 03/03/97(a) 3.550 7,900,000
Georgia Power Co., Series 1995, Scherer
Project-2nd. Series, due 07/01/25).............
9,600 Putnam County Development Authority, (PCR, VRDN 03/03/97 3.450 9,600,000
Georgia Power Co., Series 1, due 06/01/23).....
---------------
75,508,338
---------------
IDAHO (3.5%)
43,900 Idaho State, (Series 1996)....................... TAN 06/30/97 4.500 44,013,889
---------------
ILLINOIS (4.4%)
140 Charleston, (Servistar Corp. Project, Series VRDN 03/06/97(a) 3.383 140,000
1988, due 10/01/97), LOC ABN Amro Bank NV......
10,785 Chicago, (O'Hare International Airport, General VRDN 03/05/97(a) 3.300 10,785,000
Airport Second Lien, Series 1984B, due
01/01/15), LOC Societe Generale................
9,900 Counties of Jackson and Union, (Regional Port VRDN 03/05/97(a) 3.400 9,900,000
Distributors, Enron Transportation Services,
Refunding, Series 1994, due 04/01/24), LOC
Mitsubishi Bank Ltd., Houston..................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 5,200 Illinois Development Finance Authority, (PCR, VRDN 03/05/97(a) 3.300% $ 5,200,000
Illinois Power Co. Project, Series 1993B, due
11/01/28), LOC Canadian Imperial Bank..........
2,600 Illinois Health Facilities Authority, (SSM Health VRDN 03/14/97(a) 3.400 2,600,000
Care Project, Series 1990A, due 06/01/06), LOC
Rabobank Nederland.............................
5,000 Illinois Health Facilities Authority, (Swedish VRDN 03/05/97(a) 3.300 5,000,000
Covenant Hospital Project, Series 1995, due
08/01/25), AMBAC Insured.......................
13,200 Illinois, (Toll Highway Authority, Refunding, VRDN 03/05/97(a) 3.250 13,200,000
Series 1993B, due 01/01/10), LOC Societe
Generale.......................................
5,000 Joliet, (Regional Port District, Refunding, Exxon VRDN 03/03/97(a) 3.450 5,000,000
Project, Series 1989, due 10/01/24)............
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest VRDN 03/05/97(a) 3.400 3,000,000
Project, Series 1986, due 12/15/26), LOC
National Westminster PLC.......................
---------------
54,825,000
---------------
INDIANA (2.2%)
20,000 Indiana Health Facility Financing Authority, VRDN 03/05/97(a) 3.400 20,000,000
(Refunding, Clarian Health Partners, Series
1996B, due 02/15/26), LOC National Bank of
Detroit........................................
4,050 Rockport, (PCR, Indiana and Michigan Electric Co. VRDN 03/05/97(a) 3.350 4,050,000
Project, Series 1985A, due 08/01/14), LOC Swiss
Bank Corp......................................
3,000 Rockport, (PCR, Refunding, AEP Generating Co. VRDN 03/03/97(a) 3.500 3,000,000
Project, Series 1995B, due 07/01/25), AMBAC
Insured........................................
---------------
27,050,000
---------------
IOWA (0.8%)
10,370 Polk County, (Hospital Equipment & Improvement VRDN 03/05/97 (a) 3.300 10,370,000
Revenue, due 12/01/05), MBIA Insured...........
---------------
KANSAS (1.0%)
2,000 Garden City, (IDR, Inland Container Corp. VRDN 03/03/97 (a) 3.350 2,000,000
Project, Series 1983, due 01/01/08), LOC Credit
Suisse.........................................
10,000 Kansas Department of Transportation, (Series VRDN 03/04/97 (a) 3.250 10,000,000
1994B, due 09/01/14)...........................
---------------
12,000,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
KENTUCKY (2.7%)
$ 13,000 Kentucky Economic Development Finance Authority, VRDN 03/05/97(a) 3.300% $ 13,000,000
(Baptist Healthcare Systems, due 08/15/31), LOC
Canadian Imperial Bank.........................
6,000 Mayfield, (Multi-City Revenue, due 07/01/26), LOC VRDN 03/05/97(a) 3.500 6,000,000
PNC Bank.......................................
15,000 Pendleton County, (Kentucky Multi-County Lease VRDN 03/13/97(a) 3.400 15,000,000
Revenue, due 03/01/19), LOC Commonwealth Bank
of Australia...................................
---------------
34,000,000
---------------
LOUISIANA (3.3%)
4,500 Ascension Parish, (PCR, Borden Inc. Project, VRDN 03/05/97(a) 3.300 4,500,000
Refunding, Series 1992, due 12/01/09), LOC
Credit Suisse..................................
6,000 Calcasieu Parish, (IDR, Refunding, Olin Corp. VRDN 03/03/97 3.450 6,000,000
Project, Series 1993B, due 02/01/16), LOC
Wachovia Bank..................................
3,770 Calcasieu Parish, (Recovery District Sales Tax, VRDN 03/06/97(a) 3.350 3,770,000
Road Improvement, due 09/01/97), LOC National
Westminster Bank PLC...........................
7,000 Lake Charles, (Harbor and Terminal District VRDN 03/05/97(a) 3.300 7,000,000
Revenue, Reynolds Metal Co. Project, Series
1990, due 05/01/06), LOC Canadian Imperial
Bank...........................................
2,750 Louisiana Public Facilities Authority, (Colleges VRDN 03/05/97(a) 3.300 2,750,000
& University Equipment and Capital, Series A,
due 09/01/10), LOC Societe Generale............
7,200 Louisiana Public Facilities Authority, VRDN 03/05/97(a) 3.650 7,200,000
(Refunding, Hospital Equipment Financing,
Series 1985A, due 12/01/05), LOC Sumitomo Bank
Ltd............................................
8,855 Louisiana Public Facilities Authority, VRDN 03/03/97(a) 3.300 8,855,000
(Refunding, Hospital Revenue, Series 1985, due
12/01/00), LOC Banque National de Paris........
1,200 Saint Charles Parish, (PCR, Refunding, Shell Oil VRDN 03/03/97(a) 3.400 1,200,000
Project, Series B, due 10/1/22)................
---------------
41,275,000
---------------
MARYLAND (0.8%)
10,000 Anne Arundel County, (PCR, Baltimore Gas and RB 07/01/97(b) 3.950 10,000,000
Electric Co. Project, Series 1984, due
07/01/14)......................................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
MASSACHUSETTS (0.2%)
$ 2,720 Massachusetts State, (Water Resource Authority, VRDN 03/05/97(a) 3.350% $ 2,720,000
Floats PA-137, due 11/01/26)...................
---------------
MICHIGAN (1.2%)
6,300 Michigan State, (Strategic Fund Limited, Reserve VRDN 03/03/97(a) 3.450 6,300,000
1, Series 1995, due 09/01/30), LOC Barclays
Bank PLC.......................................
9,000 Midland County Economic Development Corp., (Dow VRDN 03/03/97(a) 3.450 9,000,000
Chemical Co. Project, Refunding, Series 1993B,
due 12/01/15)..................................
---------------
15,300,000
---------------
MINNESOTA (0.1%)
1,325 St. Louis Park, (Tax Increment Revenue, Series VRDN 03/06/97(a) 3.250 1,325,000
1987B, due 03/01/02), LOC Sumitomo Bank Ltd....
---------------
MISSISSIPPI (0.0%)*
535 Columbus, (IDR, Refunding Noland Co. Project, VRDN 03/06/97(a) 3.383 535,000
Series 1989, due 05/01/99), LOC Wachovia Bank
and Trust......................................
---------------
MISSOURI (1.5%)
11,000 Missouri Environmental Improvement and Energy RB 06/01/97(b) 3.650 11,000,000
Resources Authority, (PCR, Union Electric Co.
Project, Series 1984B, due 06/01/14), LOC Union
Bank of Switzerland............................
7,500 Missouri Health and Educational Facilities, (SSM VRDN 03/05/97(a) 3.300 7,500,000
Health Care Projects, Series 1995C, due
06/01/22), MBIA Insured........................
---------------
18,500,000
---------------
MONTANA (4.9%)
26,400 Forsyth, (PCR, Pacificorp. Project, due VRDN 03/03/97(a) 3.500 26,400,000
01/01/18), LOC Rabobank Nederland..............
34,500 Montana State.................................... TRAN 06/27/97 4.500 34,623,077
---------------
61,023,077
---------------
NEBRASKA (0.9%)
10,650 Lancaster County, (Hospital Authority No. 1, VRDN 03/05/97(a) 3.250 10,650,000
Hospital Revenue, Refunding, Bryan Memorial
Hospital Project, due 06/01/12), MBIA
Insured........................................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
NEW HAMPSHIRE (0.4%)
$ 1,790 New Hampshire Higher Educational and Health VRDN 06/01/97(a) 3.800% $ 1,790,000
Facilities Authority, (Dartmouth College Issue,
Student Loan Revenue, Series 1994, due
06/01/19)......................................
3,000 New Hampshire, (Series 1990B).................... CP 03/03/97 3.400 3,000,000
---------------
4,790,000
---------------
NEW JERSEY (0.2%)
2,500 New Jersey Economic Development Authority, (Utd VRDN 03/03/97(a) 3.050 2,500,000
Water, Refunding, due 11/01/25), AMBAC
Insured........................................
---------------
NEW MEXICO (0.3%)
4,200 Farmington, (PCR, Refunding, due 04/01/22), LOC VRDN 03/03/97(a) 3.350 4,200,000
Bank of America................................
---------------
NEW YORK (11.9%)
11,100 New York City Municipal Water Finance Authority, VRDN 03/03/97(a) 3.550 11,100,000
(Water and Sewer Systems Revenue, Series 1995A,
due 06/15/25), FGIC Insured....................
1,550 New York City, (Series 1992B, due 10/01/20), FGIC VRDN 03/03/97(a) 3.550 1,550,000
Insured........................................
14,350 New York City, (Series 1992B, due 10/01/21), FGIC VRDN 03/03/97(a) 3.550 14,350,000
Insured........................................
3,700 New York City, (Series 1992B, due 10/01/22), FGIC VRDN 03/03/97(a) 3.550 3,700,000
Insured........................................
2,600 New York City, (Sub-Series 1993 B-4, due VRDN 03/03/97(a) 3.550 2,600,000
08/15/21), LOC Union Bank of Switzerland.......
6,600 New York City, (Sub-Series 1993 B-4, due VRDN 03/03/97(a) 3.550 6,600,000
08/15/23), LOC Union Bank of Switzerland.......
8,900 New York State Energy Research & Development VRDN 03/03/97(a) 3.550 8,900,000
Authority, (Niagara Mohawk Power Corp., Series
1985A, due 07/01/15), LOC Toronto Dominion
Bank...........................................
12,000 New York State Energy Research and Development RB 03/01/98(b) 3.600 12,000,000
Authority, (PCR, Lilco Project, Series 1985B,
due 03/01/16), LOC Deutsche Bank AG............
31,600 New York State Energy Research and Development VRDN 03/03/97(a) 3.450 31,600,000
Authority, (PCR, New York Electric and Gas,
Refunding, Series 1994D, due 10/01/29), LOC
Union Bank of Switzerland......................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 9,735 New York State Energy Research and Development RB 12/01/97(b) 3.600% $ 9,735,000
Authority, (PCR, New York Electric and Gas,
Series 1985D, due 12/01/15), LOC Union Bank of
Switzerland....................................
32,000 New York, (Series B)............................. RAN 06/30/97 4.500 32,094,514
15,000 Suffolk County, (Series II)...................... TAN 09/11/97 4.500 15,042,150
---------------
149,271,664
---------------
NORTH CAROLINA (0.9%)
2,100 Ashe County Industrial Facilities and Pollution VRDN 03/06/97(a) 3.383 2,100,000
Control Finance Authority, (IDR, Refunding,
Gates Rubber Co. Project, Series 1988, due
07/01/10), LOC National Bank of Detroit........
2,140 Davidson County Industrial Facilities and VRDN 03/06/97(a) 3.383 2,140,000
Pollution Control Financing Authority, (IDR,
Lowes Co., Inc. Project, Series 1990, due
07/01/20), LOC National Westminster Bank PLC...
2,000 Mecklenburg County Industrial Facilities and VRDN 03/04/97(a) 3.450 2,000,000
Pollution Control Financing Authority, (IDR,
Allied Corp. Project, Series 1984, 09/01/14),
LOC ABN Amro Bank..............................
1,600 North Carolina Educational Facilities Finance VRDN 03/03/97(a) 3.450 1,600,000
Agency, (Guilford College Project, Series 1993,
due 09/01/23), LOC Wachovia Bank and Trust.....
4,000 Wake County Industrial Facilities and Pollution VRDN 03/05/97(a) 3.300 4,000,000
Control Financing Authority, (PCR, Carolina
Power and Light Project, Series 1985A, due
05/01/15), LOC Credit Suisse...................
---------------
11,840,000
---------------
OHIO (1.7%)
8,700 Hamilton County, (Health System Revenue, VRDN 03/03/97 (a) 3.550 8,700,000
Franciscan Sisters Poor Health, Series 1987A,
due 03/01/17), LOC Sumitomo Bank, Ltd..........
9,200 Ohio Air Quality Development Authority, (PCR, RB 05/08/97 3.400 9,200,000
Cleveland Electric, Series 1988B, due
03/01/18), FGIC Insured........................
3,500 Ohio Air Quality Development Authority, (Series VRDN 03/03/97 (a) 3.550 3,500,000
1985A, due 12/01/15), LOC Union Bank of
Switzerland....................................
---------------
21,400,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
OREGON (1.2%)
$ 5,000 Port of Portland, (PCR, Reynolds Metal Co. VRDN 03/03/97(a) 3.500% $ 5,000,000
Project, due 12/01/09), LOC Bank of Nova
Scotia.........................................
9,800 Port of St. Helens, (PCR, Portland General VRDN 03/03/97(a) 3.450 9,800,000
Electric Co, due 04/01/10), LOC Canadian
Imperial Bank..................................
---------------
14,800,000
---------------
PENNSYLVANIA (9.4%)
14,600 Allegheny County Industrial Development RB 05/09/97 3.400 14,600,000
Authority, (U.S.-Steel Environmental
Improvement Project, due 10/01/12), LOC
Commerzbank Aktiengesel........................
13,880 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 13,880,000
(Presbyterian University Hospital, Series
1988B-1, due 03/01/18), LOC PNC Bank...........
5,475 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 5,475,000
(Presbyterian University Hospital, Series
1988B-2, due 03/01/18), LOC PNC Bank...........
2,500 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 2,500,000
(Presbyterian University Hospital, Series
1988B-3, due 03/01/18), LOC PNC Bank...........
6,000 Allegheny County Industrial Development VRDN 03/03/97(a) 3.400 6,000,000
Authority, (IDR, Refunding, Dowty Corp.
Project, Series 1986, due 12/01/01), LOC Mellon
Bank...........................................
4,100 Allegheny County, Hospital Development Authority, VRDN 03/06/97(a) 3.350 4,100,000
(Presbyterian University Hospital, Series
1990B, due 03/01/20), MBIA Insured.............
3,500 Clinton County Industrial Development Authority, VRDN 03/05/97(a) 3.400 3,500,000
(IDR, Mellon Bank Central National Assistance
Project, Series 1985, due 09/01/05), LOC Mellon
Bank...........................................
1,600 Delaware County Industrial Development Authority, VRDN 03/03/97(a) 3.400 1,600,000
(Airport Facilities Revenue, United Parcel
Service Project, due 12/01/15).................
3,150 Lehigh County Industrial Development Authority, VRDN 03/06/97(a) 3.350 3,150,000
(PCR, P-Floats-PA-99, due 09/01/29), MBIA
Insured........................................
8,000 Montgomery County Industrial Development RB 05/13/97(b) 3.450 8,000,000
Authority, (Pico Energy Project, due
06/01/29)......................................
14,800 Pennsylvania Higher Educational Facilities VRDN 03/05/97(a) 3.350 14,800,000
Authority, (Health Services Revenue, Allegheny
Delaware Valley, due 11/15/35), LOC PNC Bank...
23,000 Pennsylvania State............................... TAN 06/30/97 4.500 23,061,714
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 2,000 Pennsylvania State, (Industrial Development VRDN 03/06/97(a) 3.400% $ 2,000,000
Authority, Series 1990, due 05/01/04)..........
15,000 Philadelphia School District, (Series 1996)...... TRAN 06/30/97 4.500 15,023,939
---------------
117,690,653
---------------
SOUTH CAROLINA (1.0%)
9,250 Allendale County, (IDR, Refunding, King Seeley VRDN 03/06/97(a) 3.383 9,250,000
Thermos Co. Project, Series 1988, due
08/01/01), LOC Bank of Nova Scotia.............
3,000 York County, (PCR, North Carolina Electric VRDN 03/15/97(a) 3.800 3,000,000
Project NRU-84N-4, due 09/15/14)...............
---------------
12,250,000
---------------
TENNESSEE (3.5%)
3,100 Collierville Industrial Development Board, (due VRDN 03/01/97 (a) 5.363 3,100,000
03/01/00), LOC National City Bank of
Cleveland......................................
1,365 Franklin Industrial Development Board, (IDR, VRDN 03/06/97 (a) 3.390 1,365,000
Refunding, Noland Co. Project, Series 1989, due
05/01/97), LOC Wachovia Bank and Trust.........
6,500 Knox County Industrial Development Board, (IDR, VRDN 03/14/97 (a) 3.400 6,500,000
Moore McCormack Resources Inc. Project Series
1988, due 06/01/06), LOC Societe Generale......
1,400 Metropolitan Nashville & Davidson County, (Health RB 05/01/97 (b) 3.700 1,400,000
& Education Facilities Board, Vanderbilt
University, Series 1985B, due 05/01/13)........
1,700 Metropolitan Nashville Airport Authority, VRDN 03/03/97 (a) 3.500 1,700,000
(Special Facilities Revenue, American Airlines
Project, Series 1995A, due 10/01/12), LOC
Credit Suisse..................................
8,300 Metropolitan Nashville Airport Authority, VRDN 03/03/97 (a) 3.500 8,300,000
(Special Facilities Revenue, American Airlines
Project, Series 1995B, due 10/01/12), LOC
Bayerische Landesbank..........................
800 Sullivan County Industrial Development Board, VRDN 03/03/97 (a) 3.500 800,000
(PCR, Refunding, Mead Corp. Project, Series
1986, due 10/01/16), LOC Union Bank of
Switzerland....................................
20,000 Tennessee Local Development Authority, (Series RAN 05/29/97 4.000 20,018,336
1996A).........................................
---------------
43,183,336
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (9.0%)
$ 1,500 El Paso Industrial Development Authority, (Contel VRDN 03/06/97(a) 5.363% $ 1,500,000
Cellular of El Paso Inc. Project, Series 1985,
due 02/01/04), LOC Bank of Nova Scotia.........
9,000 Grayson County Industrial Development Corp., VRDN 03/06/97(a) 3.350 9,000,000
(Aluminum Co. of America, Refunding, Series
1992, due 12/01/02)............................
1,400 Gulf Coast Waste Disposal Authority, (PCR, Amoco VRDN 03/03/97(a) 3.450 1,400,000
Oil Co. Project, Refunding, due 10/01/17)......
3,400 Harris County Industrial Development Corp., VRDN 03/06/97(a) 3.350 3,400,000
(Johann Haltermann Project, Series 1996A, due
04/01/08), LOC Texas Commerce Bank.............
2,415 Harris County Industrial Development Corp., VRDN 03/06/97(a) 3.350 2,415,000
(Johann Haltermann Project, Series 1996B, due
04/01/08), LOC Texas Commerce Bank.............
900 Lone Star Airport Improvement Authority, (Series VRDN 03/06/97(a) 3.500 900,000
1984 B-4, due 12/01/14), LOC Royal Bank of
Canada.........................................
1,400 Lone Star Texas Airport Improvement Authority, VRDN 03/06/97(a) 3.500 1,400,000
(Series 1984 B-3, due 12/01/14), LOC Royal Bank
of Canada......................................
15,000 Lower Colorado River Authority, (Refunding, VRDN 03/05/97(a) 3.250 15,000,000
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured........................
4,500 Mansfield Industrial Development Corp., (Pier 1 VRDN 03/05/97(a) 3.400 4,500,000
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC National Wesminster Bank PLC....
3,000 North Central Health Facilities Development VRDN 03/03/97(a) 3.500 3,000,000
Corp., (Hospital Revenue, Presbyterian Medical
Center, Series 1985D, due 12/01/15), MBIA
Insured........................................
3,900 Port Development Corp., (Marine Terminal, Stolt VRDN 03/05/97(a) 3.400 3,900,000
Terminals Project, Refunding, due 01/15/14),
LOC Credit Suisse..............................
5,050 Sabine River Authority, (PCR, Series 1995B, due VRDN 03/03/97(a) 3.550 5,050,000
06/01/30), LOC Union Bank of Switzerland.......
1,265 Texas Higher Education Authority Inc, (Series VRDN 03/05/97(a) 3.300 1,265,000
1985B, due 02/01/25), FGIC Insured.............
60,200 Texas State...................................... TRAN 08/29/97 4.750 60,482,711
---------------
113,212,711
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
UTAH (0.9%)
$ 2,565 Carbon County, (PCR, Refunding, Pacificorp VRDN 03/03/97(a) 3.500% $ 2,565,000
Project, Series 1994, due 11/01/24), LOC Bank
of New York....................................
9,000 Intermountain Power Agency, (Utah Power Supply VRDN 03/03/97(a) 3.350 9,000,000
Revenue, Series 1985F, due 07/01/15), LOC Swiss
Bank...........................................
---------------
11,565,000
---------------
VERMONT (0.6%)
7,000 Vermont, (Student Assistance Corp., Series 1985, VRDN 03/03/97(a) 3.650 7,000,000
due 01/01/04), LOC National Wesminster Bank
PLC............................................
---------------
VIRGINIA (0.9%)
4,900 Arlington County, (Ballston Public Parking VRDN 03/04/96(a) 3.350 4,900,000
Project, Series 1984, due 08/01/17), LOC
Citibank.......................................
2,945 Chesterfield County, (Refunding, Series 1991, due TPP 03/06/97(a) 3.400 2,945,000
07/15/03)......................................
100 Peninsula Ports, (Dominion Terminal Project, RB 03/03/97(a) 3.400 100,000
Refunding, due 07/01/16), LOC National
Westminister Bank PLC..........................
1,000 Virginia Beach Industrial Development Authority, VRDN 03/03/97(a) 5.363 1,000,000
(IDR, Norfolk Virginia Beach, Portsmouth MSA
Limited Partnership Project, due 12/01/04), LOC
Bank of Nova Scotia............................
2,300 Virginia State Housing Development Authority, VRDN 03/05/97(a) 3.400 2,300,000
(AHC Service Corp., Series 1987A, due
09/01/17), LOC Mitsubishi Ltd..................
---------------
11,245,000
---------------
WASHINGTON (0.5%)
6,400 Seattle, (Water System Revenue, Series 1995, due VRDN 03/05/97(a) 3.300 6,400,000
09/01/25), LOC Bayerische Landesbank...........
---------------
WEST VIRGINIA (0.1%)
1,000 Mercer County, (IDR, Refunding, Noland Co. VRDN 03/06/97(a) 3.383 1,000,000
Project, Series 1989, due 05/01/01), LOC
Wachovia Bank and Trust........................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
WISCONSIN (2.4%)
$ 2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project, VRDN 03/06/97(a) 3.383% $ 2,500,000
Series 1984, due 12/01/14), LOC Wachovia Bank
and Trust......................................
18,000 Milwaukee, (Series A)............................ RAN 02/19/98 4.250 18,108,043
1,300 Seymour, (IDR, Beatrice Cheese Inc., Project, VRDN 03/06/97(a) 3.390 1,300,000
Series 1984, due 12/01/98), LOC Wachovia Bank
and Trust......................................
8,500 Wisconsin, (Custodial Receipt Certificates, due TPP 03/06/97(a) 3.400 8,500,000
05/01/04)......................................
---------------
30,408,043
---------------
WYOMING (0.3%)
4,000 Gillette, (PCR, Refunding, Pacificorp Project, VRDN 04/08/97(a) 3.350 4,000,000
due 01/01/18) LOC Deutsche Bank AG.............
---------------
1,253,818,647
TOTAL INVESTMENTS (COST $1,253,818,647) (100.1%)....................................
(1,394,436)
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.1%).......................................
---------------
$ 1,252,424,211
NET ASSETS (100.0%).................................................................
---------------
---------------
</TABLE>
- ------------------------------
(a) Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
(b) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security description.
* Less than 0.1%
Abbreviations used in the Schedule of Investments are as follows: AMBAC - Ambac
Indemnity Corp., CP - Commercial Paper, FGIC - Financial Guaranty Insurance
Company, GO - General Obligation, IDR - Industrial Development Revenue, LOC -
Letter of Credit, MBIA - Municipal Bond Investors Assurance Corp., PCR -
Pollution Control Revenue, RAN - Revenue Anticipation Note, RB - Revenue Bond,
TAN - Tax Anticipation Note, TPP - Third Party Put, TRAN - Tax Revenue
Anticipation Note, VRDN - Variable Rate Demand Note.
Refunding-Bonds for which the issuer has issued new bonds and cancelled the old
issue.
Prerefunded-Bonds for which the issuer of the bond invests the proceeds from a
subsequent bond issuance in treasury securities, whose maturity coincides with
the first call date of the first bond.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,253,818,647
Cash 84,362
Interest Receivable 10,794,420
Prepaid Trustees' Fees 7,054
Prepaid Expenses and Other Assets 23,265
--------------
Total Assets 1,264,727,748
--------------
LIABILITIES
Payable for Investments Purchased 12,000,000
Advisory Fee Payable 174,087
Custody Fee Payable 41,184
Administrative Services Fee Payable 30,742
Administration Fee Payable 17,247
Fund Services Fee Payable 2,418
Accrued Expenses 37,859
--------------
Total Liabilities 12,303,537
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,252,424,211
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $22,196,242
EXPENSES
Advisory Fee $1,120,826
Administrative Services Fee 198,842
Custodian Fees and Expenses 126,189
Fund Services Fee 23,594
Professional Fees and Expenses 17,503
Administration Fee 13,261
Trustees' Fees and Expenses 8,457
Miscellaneous 300
----------
Total Expenses 1,508,972
-----------
NET INVESTMENT INCOME 20,687,270
NET REALIZED GAIN ON INVESTMENTS 31,330
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $20,718,600
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1997 YEAR ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 20,687,270 $ 39,194,474
Net Realized Gain (Loss) on Investments 31,330 (1,789)
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 20,718,600 39,192,685
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,442,714,312 4,223,774,582
Withdrawals (2,425,585,487) (4,136,830,334)
----------------- ---------------
Net Increase from Investors' Transactions 17,128,825 86,944,248
----------------- ---------------
Total Increase in Net Assets 37,847,425 126,136,933
NET ASSETS
Beginning of Period 1,214,576,786 1,088,439,853
----------------- ---------------
End of Period $ 1,252,424,211 $ 1,214,576,786
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED FOR THE FISCAL YEAR JULY 12, 1993
FEBRUARY 28, ENDED AUGUST 31, (COMMENCEMENT OF
1997 --------------------- OPERATIONS) TO
(UNAUDITED) 1996 1995 1994 AUGUST 31, 1993
---------------- ----- ----- ----- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.24%(a) 0.25% 0.25% 0.25% 0.25%(a)
Net Investment Income 3.30%(a) 3.40% 3.61% 2.37% 2.28%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Tax Exempt 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. The Portfolio's investment objective is to provide a high
level of current income exempt from federal income tax and maintain a high level
of liquidity. The Portfolio commenced operations on July 12, 1993 and received a
contribution of certain assets and liabilities, including securities, with a
value of $955,814,753 on that date from The Pierpont Tax Exempt Money Market
Fund in exchange for a beneficial interest in the Portfolio. The Declaration of
Trust permits the Trustees to issue an unlimited number of beneficial interest
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.
b)Securities transactions are recorded on a trade date basis. Investment
income consists of interest income, which includes the amortization of
premiums and discounts, and is recorded on an accrual basis. For financial
and tax reporting purposes, realized gains and losses are determined on
the basis of specific lot identification.
c)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be subject to
taxation on its share of the Portfolio's ordinary income and capital
gains. It is intended that the Portfolio's assets will be managed in such
a way that an investor in the Portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code. The cost of
securities is substantially the same for book and tax.
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 February 28, 1997, this fee amounted to
$1,120,826.
b)The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and exclusive placement agent.
Under a Co-Administration Agreement, 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 Portfolio's officers affiliated with FDI. Under
the Co-Administration Agreement, 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-
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
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 JPM Advisor Funds, the
Portfolio and other portfolios (the "Master Portfolios") in which The JPM
Pierpont Funds, The JPM Institutional Funds and The JPM Advisor Funds
invest, JPM Series Trust and JPM Series Trust II. For the six months ended
February 28, 1997, the fee for those services amounted to $13,261.
On November 15, 1996, the JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds were no longer included in the calculation of the allocation of FDI's
fees.
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 had agreed to pay Morgan a fee
equal to its proportionate share of an annual complex-wide charge. This
charge is calculated daily based on the aggregate net assets of the Master
Portfolios and JPM Series Trust in accordance with the following annual
schedule: 0.09% on the first $7 billion of their aggregate average daily
net assets and 0.04% of their aggregate average daily net assets in excess
of $7 billion less the complex-wide fees payable to FDI. The portion of
this charge paid by the Portfolio is determined by the proportionate share
that its net assets bear to the net assets of the Master Portfolios,
investors in the Master Portfolios for which Morgan provide similar
services and JPM Series Trust. For the six months ended February 28, 1997,
the fee for these services amounted to $198,842.
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 $23,594 for the six months ended February 28, 1997.
e)An aggregate annual fee of $65,000 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. The Portfolio's Chairman and Chief
Executive Officer also serves as Chairman of Group and received
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 $3,000.
35
<PAGE>
JPM INSTITUTIONAL MONEY MARKET FUND
JPM INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
JPM INSTITUTIONAL FEDERAL MONEY MARKET FUND
JPM INSTITUTIONAL SHORT TERM BOND FUND
JPM INSTITUTIONAL BOND FUND
JPM INSTITUTIONAL TAX EXEMPT BOND FUND
JPM INSTITUTIONAL NEW YORK TOTAL RETURN BOND FUND
JPM INSTITUTIONAL SHARES OF CALIFORNIA BOND FUND
JPMINSTITUTIONAL INTERNATIONAL BOND FUND
JPM INSTITUTIONAL DIVERSIFIED FUND
JPM INSTITUTIONAL SELECTED U.S. EQUITY FUND
JPM INSTITUTIONAL DISCIPLINED EQUITY FUND
JPM INSTITUTIONAL U.S. SMALL COMPANY FUND
JPM INSTITUTIONAL INTERNATIONAL EQUITY FUND
JPM INSTITUTIONAL INTERNATIONAL OPPORTUNITIES FUND
JPM INSTITUTIONAL EMERGING MARKETS EQUITY FUND
JPMINSTITUTIONAL EUROPEAN EQUITY FUND
JPMINSTITUTIONAL JAPAN EQUITY FUND
JPMINSTITUTIONAL ASIA GROWTH FUND
FOR MORE INFORMATION ON THE JPM INSTITUTIONAL FAMILY OF FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT (800)766-7722.
THE
JPM INSTITUTIONAL
TAX EXEMPT
MONEY MARKET
FUND
SEMI-ANNUAL REPORT
February 28, 1997