<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT
MONEY MARKET FUND
April 6, 1998
Dear Shareholder:
The previous six-month period was dominated by events in Asia, which rippled
through U.S. financial markets. In the midst of the Asian crisis, investors
looked to money market funds as a traditional safe haven. The subsequent demand
for money market instruments rose, causing yields on short-term debt instruments
to fall. During this period, the J.P. Morgan Institutional Service Tax Exempt
Money Market Fund posted a 1.77%* return, while its benchmark, the IBC Tax Free
Money Fund Average posted a gain of 1.53%.
The fund maintained a stable $1.00 net asset value over the period. On February
28, 1998, the net assets of the fund were $17,910 while the net assets of the
Tax Exempt Money Market Portfolio, in which the fund invests, were
$1,856,276,563. Dividends of approximately $0.01 per share were paid,
substantially 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. In this
interview, Dan talks about the events of the previous six months 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 chairman and president of Asset Management Services, we appreciate your
investment in the fund. If you have any comments or questions, please call
your Morgan representative or J.P. Morgan Funds Services at (800) 766-7722.
Sincerely yours,
/s/ Ramon de Oliveira /s/ Keith M. Schappert
Ramon de Oliveira Keith M. Schappert
Chairman of Asset Management Services President of Asset Management Services
J.P. Morgan & Co. Incorporated J.P. Morgan & Co. Incorporated
* REFLECTS PERFORMANCE OF THE J.P. MORGAN TAX EXEMPT MONEY MARKET FUND, THE
PREDECESSOR ENTITY TO THE TAX EXEMPT MONEY MARKET PORTFOLIO, FOR PERIODS
PRIOR TO DECEMBER 1, 1997 (COMMENCEMENT OF INVESTMENT OPERATIONS).
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS . . . . 1 FUND FACTS AND HIGHLIGHTS. . . . . . . 5
PORTFOLIO MANAGER Q&A. . . . . . . 2 FINANCIAL STATEMENTS . . . . . . . . . 8
GLOSSARY OF TERMS. . . . . . . . . 4
- --------------------------------------------------------------------------------
1
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO]
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. 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 BA in economics from the University of Illinois and an
MBA from Fordham University. This interview was conducted on April 3, 1998, and
represents Dan's views on that date.
WHAT FACTORS HAVE MOST INFLUENCED THE TAX-EXEMPT MONEY MARKET OVER THE LAST SIX
MONTHS?
DM: The most important event during the six-month period was the turmoil in the
Asian markets and the ripple effect it had in the U.S. markets. Investors sought
safety and created a strong bid in the front of the U.S. fixed-income market. We
saw tremendous demand for paper in the tax-exempt market, as tax-exempt money
funds made sense as a safe haven versus Treasuries for investors in the highest
tax bracket. This resulted in asset growth for the fund. At the same time, the
supply of money market issues remained the same. This was evident in January
when there was a scarcity of supply, causing rates to fall to a low level.
Another important effect of the Asian crisis was a change in the stance of the
Federal Reserve. Prior to the fallout from Asia, the Fed seemed poised to
tighten monetary policy. Currently, the Asian effect seems to have temporarily
taken the Fed out of the equation.
THE FUND OUTPERFORMED THE IBC TAX FREE MONEY FUND AVERAGE AND THE LIPPER
INSTITUTIONAL TAX EXEMPT MONEY FUND AVERAGE FOR THE PERIOD. TO WHAT DO YOU
ATTRIBUTE THIS PERFORMANCE?
DM: The portfolio fared especially well when you take into consideration the
drop in rates during the period. One reason is that, despite the expectation of
Fed tightening, we maintained a slightly longer-than-average maturity in the
portfolio. However, the strong performance was a function of our liquidity
management. We were able to maintain enough liquidity in the portfolio to
reinvest at times when rates moved temporarily higher, and avoid the
reinvestment periods when there was less supply and thus lower rates.
HOW DO YOU GO ABOUT MANAGING LIQUIDITY IN THE PORTFOLIO?
DM: It has a lot to do with the structure of the portfolio. We try to "smooth
out" maturity dates in the portfolio so we don't have clusters of securities
maturing at times we know will not be favorable for reinvestment. Conversely, we
try to have more cash on hand if we are anticipating a period that will be
favorable for reinvestment. It also helps that we have a well-coordinated effort
with our sales group and we're able to identify early what our cash flows will
be. We've found that managing a portfolio's cash flow is as important as
managing the underlying investments.
2
<PAGE>
December would be a good example of how this worked in the Portfolio's favor.
Generally speaking, investors tend to pull out of money funds in December,
putting upward pressure on rates. We were prepared for this, and were able to
take advantage of the relatively lofty rates we saw this December. In addition,
the portfolio experienced several strong inflows in December, which was a big
help in smoothing things out.
WHAT IS YOUR OUTLOOK FOR THE COMING MONTHS? AND HOW WILL YOU BE POSITIONING THE
PORTFOLIO?
DM: Currently, we're caught between technical factors that favor being fully
invested and fundamental concerns about the strength of the U.S. economy. There
is underlying strength in the economy that could ultimately warrant another
tightening of monetary policy by the Fed. However, there is still a tremendous
amount of liquidity in the system. A lot of money is looking to be put to work
in the front of the market -- and that should keep rates fairly stable. All
things considered, we're not expecting too much one way or the other in the
front end of the fixed-income market, and we are leaning toward a fully invested
posture for the portfolio.
In general, we will try to avoid being caught with excess cash when there's a
large amount of demand and not a lot of paper out there to reinvest in. We will
also try to stagger our maturities, avoiding problematic reinvestment periods
such as June, when seasonal pressures tend to push rates lower. We are likely to
further diversify the asset mix, adding more commercial paper and notes whenever
they're attractive relative to shorter-term variable-rate demand notes. In
short, we want to keep a balanced mix of maturities and security types.
3
<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.
4
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The J.P. Morgan Institutional Service Tax Exempt Money Market Fund seeks to
provide current income, maintain a high level of liquidity, and preserve
capital. It is designed for investors who seek to preserve capital and earn
current income from a portfolio of high quality money market instruments.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
11/4/97
- --------------------------------------------------------------------------------
FUND NET ASSETS AS OF 2/28/98
$17,910
- --------------------------------------------------------------------------------
PORTFOLIO NET ASSETS AS OF 2/28/98
$1,856,276,563
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
LONG-TERM CAPITAL GAIN PAYABLE DATE(IF APPLICABLE)
12/11/98
EXPENSE RATIO
The fund's current expense ratio of 0.60% covers shareholders' expenses for
custody, tax reporting, investment advisory, and shareholder services, after
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, 1998
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
VARIABLE RATE DEMAND NOTES 67.1%
TAX REVENUE ANTICIPATION NOTES 11.3%
COMMERCIAL PAPER 8.8%
REVENUE ANTICIPATION NOTES 4.5%
TAX ANTICIPATION NOTES 2.3%
U.S. GOVT AGENCY OBLIGATIONS 2.1%
OPTIONAL PUT BONDS 1.1%
REVENUE ANTICIPATION WARRANTS 0.8%
OTHER 2.0%
AVERAGE MATURITY
33 days
5
<PAGE>
DISTRIBUTED BY FUNDS DISTRIBUTOR, INC. MORGAN GUARANTY TRUST COMPANY OF NEW
YORK SERVES AS AN INVESTMENT ADVISOR AND MAKES THE FUND AVAILABLE SOLELY IN
ITS CAPACITY AS SHAREHOLDER SERVICING AGENT. SHARES OF THE FUND ARE NOT BANK
DEPOSITS AND ARE NOT GUARANTEED BY ANY BANK, GOVERNMENT ENTITY, OR THE FDIC.
WHILE THE FUND SEEKS TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE,
THERE IS NO ASSURANCE THAT IT WILL CONTINUE TO DO SO.
The fund invests through a master portfolio(another fund with the same
objective). Opinions expressed herein are based on current market conditions and
are subject to change without notice. Income may be subject to state and local
taxes. Some income may be subject to the Federal alternative minimum tax for
certain investors.
CALL J.P. MORGAN FUNDS SERVICES AT (800) 766-7722 FOR A PROSPECTUS CONTAINING
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES. PLEASE READ IT CAREFULLY BEFORE INVESTING.
6
<PAGE>
THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Tax Exempt Money Market
Portfolio ("Portfolio"), at value $38,595
Deferred Organization Expenses 10,301
Receivable for Expense Reimbursements 6,717
-------
Total Assets 55,613
-------
LIABILITIES
Organization Expenses Payable 11,000
Dividends Payable to Shareholders 87
Accrued Trustees' Fees and Expenses 9
Administrative Services Fee Payable 1
Shareholder Servicing Fee Payable 1
Accrued Expenses 26,605
-------
Total Liabilities 37,703
-------
NET ASSETS
Applicable to 17,906 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $17,910
-------
-------
Net Asset Value, Offering and Redemption Price
Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $17,906
Accumulated Net Realized Gain on Investment 4
-------
Net Assets $17,910
-------
-------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD NOVEMBER 4, 1997 (COMMENCEMENT OF OPERATIONS) TO FEBRUARY 28,
1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $392
Allocated Portfolio Expenses (23)
----
Net Investment Income Allocated from
Portfolio 369
FUND EXPENSES
Registration Fees $ 8,724
Transfer Agent Fees 6,047
Printing Expenses 5,995
Professional Fees 4,692
Amortization of Organization Expenses 699
Service Organization Fee 28
Trustees' Fees and Expenses 9
Shareholder Servicing Fee 5
Administrative Services Fee 3
Miscellaneous 1,239
--------
Total Fund Expenses 27,441
Less: Reimbursement of Expenses (27,409)
--------
NET FUND EXPENSES 32
----
NET INVESTMENT INCOME 337
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM
PORTFOLIO 4
----
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $341
----
----
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
NOVEMBER 4, 1997
(COMMENCEMENT OF
OPERATIONS) TO
FEBRUARY 28,
1998
(UNAUDITED)
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 337
Net Realized Gain on Investment Allocated from
Portfolio 4
----------------
Net Increase in Net Assets Resulting from
Operations 341
----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (337)
----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT
A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 238,645
Cost of Shares of Beneficial Interest Redeemed (220,739)
----------------
Net Increase from Transactions in Shares of
Beneficial Interest 17,906
----------------
Total Increase in Net Assets 17,910
NET ASSETS
Beginning of Period 0
----------------
End of Period $ 17,910
----------------
----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout the period is as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
NOVEMBER 4, 1997
(COMMENCEMENT OF
OPERATIONS) TO
FEBRUARY 28,
1998
(UNAUDITED)
----------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00
----------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0093
Net Realized Gain on Investments 0.0002
----------------
Total from Investment Operations 0.0095
----------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0093)
----------------
NET ASSET VALUE, END OF PERIOD $ 1.00
----------------
----------------
RATIOS AND SUPPLEMENTAL DATA
Total Return .93%(a)
Net Assets, End of Period (in thousands) $ 18
Ratios to Average Net Assets
Expenses .60%(b)
Net Investment Income 3.68%(b)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 298.92%(b)
</TABLE>
- ------------------------
(a) Not Annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The J.P. Morgan Institutional Service Tax Exempt Money Market Fund (the "fund")
is a separate series of the J.P. Morgan Institutional Funds, a Massachusetts
business trust (the "trust") which was organized on November 4, 1992. 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
November 4, 1997. Prior to January 1, 1998 the trust's and the fund's names were
The JPM Institutional Funds and The JPM Institutional Service Tax Exempt Money
Market Fund, respectively.
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 (Less than 1%
at February 28, 1998). 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 other investors in the portfolio at the time
of such determination.
c) Substantially all the fund's net investment income and net realized
capital gains, if any, are declared as dividends daily and paid monthly.
Substantially all the realized net long term capital gains, if any, of the
fund are declared and paid on an annual basis, except that an additional
capital gains distribution may be made in a given year to the extent
necessary to avoid the imposition of federal excise tax on the fund.
d) The fund incurred organization expenses in the amount of $11,000. Morgan
Guaranty Trust Company of New York ("Morgan") has paid the organization
expenses of the fund. The fund 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 fund.
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.
12
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
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, on behalf of the fund, has retained Funds Distributor, Inc.
("FDI"), a registered broker-dealer, to serve as co-administrator and
distributor for the fund. Under a Co-Administration agreement between FDI
and the trust on behalf of the fund, 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. 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 and certain other
investment companies subject to similar agreements with FDI. For the
period November 4, 1997 (commencement of operations) to February 28, 1998,
no fee was incurred for these services.
b) The trust, on behalf of the fund, 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
fund. Under the Services agreement, the fund has agreed to pay Morgan a
fee equal to its allocable share of an annual complex-wide charge. This
charge is calculated based on the aggregate average daily net assets of
the portfolio, and the other portfolios in which the trust and the J.P.
Morgan Funds invest (the "master portfolios") and J.P. Morgan Series Trust
in accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of the 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 fund is determined by the proportionate share that its net assets bear
to the net assets of the trust, the master portfolios, other investors in
the master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the period November 4, 1997 (commencement of
operations) to February 28, 1998, the fee for these services amounted to
$3.
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 0.60% of the
average daily net assets of the fund through August 31, 1998. For the
period November 4, 1997 (commencement of operations) to February 28, 1998,
Morgan has agreed to reimburse the fund $27,409 for expenses under this
agreement.
c) The trust, on behalf of the fund, has a Shareholder Servicing agreement
with Morgan to provide account administration and personal account
maintenance services to fund shareholders. 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 period November 4, 1997 (commencement of operations) to
February 28, 1998, the fee for these services amounted to $5.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
d) The trust, on behalf of the fund, has a Service Plan with respect to fund
shares which authorizes it to compensate Service Organizations for
providing account administration and other services to their customers who
are beneficial owners of such shares. The fund will enter into agreements
with Service Organizations which purchase shares on behalf of their
customers ("Service agreements"). The Service agreements provide that the
fund pay Service Organizations a fee which is computed daily and paid
monthly at an annual rate of up to 0.25% of the average daily net assets
of the fund with respect to the shares of the fund attributable to or held
in the name of the Service Organization for its customers. For the period
November 4, 1997 (commencement of operations) to February 28, 1998, the
fee for these services amounted to $28.
e) 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. For the
period November 4, 1997 (commencement of operations) to February 28, 1998,
there was no fee under this agreement.
f) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the master portfolios, and
J.P. Morgan Series Trust. The Trustees' Fees and Expenses shown in the
financial statements represents the fund's allocated portion of these
total fees and expenses. The trust'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. For the period
November 4, 1997 (commencement of operations) to February 28, 1998, no
portion of this fee was allocated to the fund.
14
<PAGE>
The Tax Exempt Money Market Portfolio
Semi-annual Report February 28, 1998
(unaudited)
(The following pages should be read in conjunction
with J.P. Morgan Institutional Service Tax Exempt Money Market Fund
Semi-annual Financial Statements)
15
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
ALABAMA (1.3%)
$ 7,100 Columbia Industrial Development Board, (PCR,
Refunding, Alabama Power Co. Project,
Series 1995C, due 10/01/22).................... VRDN 03/02/98(a) 3.900% $ 7,100,000
8,600 Columbia Industrial Development Board, (PCR,
Refunding, Alabama Power Co. Project,
Series 1995D, due 10/01/22).................... VRDN 03/02/98(a) 3.650 8,600,000
2,250 Jefferson County, (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
Series 1988, due 05/01/08), LOC Amsouth Bank... VRDN 03/02/98(a) 5.525 2,250,000
5,300 Red Bay County, (Industrial Development Board,
IDR, Refunding, Gates Rubber Co. Project,
Series 1987, due 11/01/97), LOC National Bank
of Detroit..................................... VRDN 03/05/98(a) 3.490 5,300,000
900 Stevenson Industrial Development Board,
(Refunding, Mead Corp. Project, due 11/01/16),
LOC CS First Boston............................ VRDN 03/02/98(a) 3.700 900,000
---------------
24,150,000
---------------
ALASKA (0.8%)
5,100 Alaska State Housing Finance Corp., (Series
1991C, due 06/01/26), LOC Swiss Bank........... VRDN 03/03/98(a) 3.400 5,100,000
9,300 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series A, due
12/01/33)...................................... VRDN 03/02/98(a) 3.650 9,300,000
---------------
14,400,000
---------------
ARIZONA (1.3%)
7,700 Apache County, (IDR, Tuscon Power Co.,
Springerville Project, due 12/01/20), LOC
Barclays Bank International.................... VRDN 03/04/98(a) 3.350 7,700,000
1,800 Casa Grande Industrial Development Authority,
(IDR, Frito-Lay Inc./Pepsico., due 12/01/14)... VRDN 03/02/98(a) 4.675 1,800,000
4,700 Maricopa County Pollution Control Corp., (PCR, El
Paso Electric Co., due 12/01/14), LOC CS First
Boston......................................... VRDN 03/04/98(a) 3.400 4,700,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 6,700 Maricopa County Pollution Control Corp., (PCR,
Refunding, Series D, due 05/01/29), LOC Bank of
America N.T. & S.A............................. VRDN 03/02/98(a) 3.550% $ 6,700,000
3,705 Pima County Industrial Development Authority,
(MFHR, Refunding, La Cholla Apartments Project,
due 12/01/25), LOC Texas Commerce Bank......... VRDN 03/05/98(a) 3.450 3,705,000
---------------
24,605,000
---------------
ARKANSAS (0.3%)
750 North Little Rock, (IDR, Refunding, Noland Co.
Project, Series 1989, due 02/01/99), LOC
Wachovia Bank and Trust........................ VRDN 03/05/98(a) 3.490 750,000
5,175 Texarkana, (IDR, Refunding, Cooper Tire & Rubber
Co. Project, Series 1991, due 03/01/21)........ VRDN 03/05/98(a) 4.100 5,175,000
---------------
5,925,000
---------------
CALIFORNIA (11.1%)
20,000 California....................................... RAN 06/30/98 4.500 20,042,368
12,900 California Health Facilities Finance Authority,
(Refunding, Sutter Health, Series B, due
07/01/12), AMBAC Insured....................... VRDN 03/02/98(a) 3.650 12,900,000
3,900 California Pollution Control Financing Authority,
(PCR, Southern California Edison Project,
Series D, due 02/28/08)........................ VRDN 03/02/98(a) 3.900 3,900,000
6,300 California Pollution Control Financing Authority,
(PCR, Southern California Edison Project,
Series C, due 02/28/08)........................ VRDN 03/02/98(a) 3.850 6,300,000
3,000 California Pollution Control Financing Authority,
(PCR, Southern California Edison Project,
Series A, due 02/28/08)........................ VRDN 03/02/98(a) 3.900 3,000,000
1,000 California Statewide Community Development
Authority (Certificate Participation, John
Muir/ Mt. Diablo Health, due 08/15/27), AMBAC
Insured........................................ VRDN 03/02/98(a) 3.600 1,000,000
12,000 California Statewide Community Development
Authority (Series A)........................... TRAN 06/30/98 4.500 12,026,806
44,815 California, (Series 23, due 06/30/98)............ VRDN 03/02/98(a) 3.900 44,815,000
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project, due 08/01/05), LOC Bank of Nova
Scotia......................................... VRDN 03/02/98(a) 5.252 2,000,000
14,000 Los Angeles...................................... TRAN 06/30/98 4.500 14,028,151
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (CONTINUED)
$ 35,500 Los Angeles...................................... TRAN 06/30/98 4.500% $ 35,617,270
17,100 Los Angeles Regional Airports Improvement Corp.,
(American Airlines - LA International, Series
2, due 12/01/25), LOC Societe Generale......... VRDN 03/02/98(a) 3.700 17,100,000
1,500 Los Angeles Regional Airports Improvement Corp.,
(American Airlines - LA International, Series
B, due 12/01/24), LOC Wachovia Bank of
Georgia........................................ VRDN 03/02/98(a) 3.700 1,500,000
1,500 Los Angeles Regional Airports Improvement Corp.,
(American Airlines - LA International, Series
F, due 12/01/24), LOC Wachovia Bank of
Georgia........................................ VRDN 03/02/98(a) 3.700 1,500,000
5,000 Los Angeles, (Unified School District)........... TRAN 10/01/98 4.500 5,019,695
8,000 Los Angeles, (Unified School District, Series
A)............................................. TRAN 07/01/98 4.500 8,018,023
100 Pico Rivera Redevelopment Agency, (Crossroads
Plaza Project, due 12/01/10), LOC Wachovia Bank
of Georgia..................................... VRDN 03/03/98(a) 3.200 100,000
17,000 San Bernardino County, (Series A)................ TRAN 06/30/98 4.500 17,035,263
300 Turlock Irrigation District, (Series A, due
01/01/14), LOC Societe Generale................ VRDN 03/04/98(a) 3.000 300,000
---------------
206,202,576
---------------
COLORADO (0.8%)
9,000 Colorado, (Series A)............................. TRAN 06/26/98 4.500 9,018,967
1,400 Douglas County, (MFHR, Autumn Chase Project, due
07/01/06), LOC Citibank N.A.................... VRDN 03/05/98(a) 3.500 1,400,000
5,000 Smith Creek Metro District, (due 10/01/35), LOC
Nationsbank of Texas........................... VRDN 03/05/98(a) 3.450 5,000,000
---------------
15,418,967
---------------
DISTRICT OF COLUMBIA (0.8%)
2,200 District of Columbia, (Refunding, Series 1992
A-1, due 10/01/07), LOC National Westminster
Bank PLC....................................... VRDN 03/02/98(a) 3.700 2,200,000
1,600 District of Columbia, (Refunding, Series 1992
A-2, due 10/01/07), LOC Canadian Imperial
Bank........................................... VRDN 03/02/98(a) 3.700 1,600,000
1,800 District of Columbia, (Refunding, Series 1992
A-5, due 10/01/07), LOC Bank of Nova Scotia.... VRDN 03/02/98(a) 3.700 1,800,000
10,000 District of Columbia, (Refunding, Series 1992
A-6, due 10/01/07), LOC National Westminster
Bank PLC....................................... VRDN 03/02/98(a) 3.700 10,000,000
---------------
15,600,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
FLORIDA (4.5%)
$ 5,800 Citrus Park Community Development District,
(Florida Capital Improvement Project, due
11/01/16), LOC Dresdner Bank................... VRDN 03/04/98(a) 3.450% $ 5,800,000
5,750 Hernando County, (Refunding, Beverly Enterprises
Inc. Project, Series 1987, due 09/01/11), LOC
Fuji Bank Ltd.................................. VRDN 03/04/98(a) 3.440 5,750,000
6,200 Hillsborough County Industrial Development
Authority, (PCR, Refunding, Tampa Electric
Co./Gannon, due 05/15/18)...................... VRDN 03/02/98(a) 3.550 6,200,000
13,040 Jacksonville, (Refunding, Florida Power & Light
Co. Project, Series 1995, due 05/01/29)........ VRDN 03/02/98(a) 3.550 13,040,000
7,400 Orange County Health Facilities Authority,
(Pooled Hospital Loan Program, Series 1985, due
12/01/25), MBIA Insured........................ VRDN 03/02/98(a) 3.500 7,400,000
4,500 Orange County Health Facilities Authority,
(Series 1995, due 10/01/14).................... TPP 03/05/98(b) 3.450 4,500,000
575 Orange County Industrial Development Authority,
(IDR, Refunding, Noland Co. Project, Series
1989, due 02/01/04), LOC Wachovia Bank and
Trust.......................................... VRDN 03/05/98(a) 3.490 575,000
5,000 Pinellas County Educational Facilities Authority,
(Refunding, Pooled Independent Higher
Education, due 12/01/25), MBIA Insured......... VRDN 03/02/98(a) 3.500 5,000,000
23,395 St. Lucie County, (PCR, Refunding, Florida Power
& Light Co. Project, due 03/01/27)............. VRDN 03/02/98(a) 3.550 23,395,000
7,300 Tampa Occupational License Tax, (Series A, due
10/01/18), FGIC Insured........................ VRDN 03/04/98(a) 3.450 7,300,000
5,000 University Athletic Association, (University of
Florida Stadium Project, due 02/01/20), LOC
Suntrust Bank of Central Florida............... VRDN 03/02/98(a) 3.650 5,000,000
---------------
83,960,000
---------------
GEORGIA (6.8%)
17,000 Appling County Development Authority, (PCR,
Georgia Power Co. - Hatch Project, due
09/01/29)...................................... VRDN 03/02/98(a) 3.550 17,000,000
15,550 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1994, Vogtle Project - 4th
Series due 07/01/24)........................... VRDN 03/02/98(a) 3.900 15,550,000
13,400 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1994, Vogtle Project - 5th
Series due 07/01/24)........................... VRDN 03/02/98(a) 3.650 13,400,000
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 9,900 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1997, Vogtle Project - 1st
Series, due 04/01/32).......................... VRDN 03/02/98(a) 3.550% $ 9,900,000
11,800 Burke County Development Authority, (PCR,
Oglethorpe Power Corp., Series 1994A, due
01/01/19), FGIC Insured........................ VRDN 03/04/98(a) 3.350 11,800,000
1,660 Clayton County Housing Authority, (MFHR,
Refunding, Huntington Woods Project, Series
1990A, FSA, due 01/01/21), LOC Barclays Bank
PLC............................................ VRDN 03/04/98(a) 3.550 1,660,000
690 Cobb County Development Authority, (IDR,
Refunding, Noland Co. Project, Series 1989, due
08/01/99), LOC Wachovia Bank and Trust......... VRDN 03/05/98(a) 3.490 690,000
4,000 DeKalb County Development Authority, (Metro
Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank of Georgia........ VRDN 03/04/98(a) 3.400 4,000,000
1,500 DeKalb County Development Authority, (Refunding,
Noland Co. Project, Series 1989, due 08/01/01),
LOC Wachovia Bank and Trust.................... VRDN 03/05/98(a) 3.490 1,500,000
3,000 Fulton County Housing Authority, (MFHR, Series
1997-1, due 09/01/07).......................... VRDN 03/04/98(a) 3.700 3,000,000
7,000 Georgia Municipal Association Pool, (due
12/15/20), MBIA Insured........................ VRDN 03/05/98(a) 3.500 7,000,396
9,600 Heard County Development Authority, (PCR, Georgia
Power Co., Wansley Project, due 09/01/29)...... VRDN 03/02/98(a) 3.550 9,600,000
7,300 Monroe County Development Authority, (Georgia
Power Co. Scherer Plant, due 09/01/29)......... VRDN 03/02/98(a) 3.900 7,300,000
13,500 Monroe County Development Authority, (PCR,
Georgia Power Co. Scherer Plant, due
09/01/29....................................... VRDN 03/02/98(a) 3.550 13,500,000
7,200 Putnam County Development Authority, (PCR,
Georgia Power Co., Series 1, due 06/01/23)..... VRDN 03/02/98(a) 3.550 7,200,000
2,400 Putnam County Development Authority, (PCR,
Georgia Power Co., Series 1, due 06/01/23)..... VRDN 03/02/98(a) 3.900 2,400,000
---------------
125,500,396
---------------
IDAHO (0.7%)
12,500 Idaho............................................ TAN 06/30/98 4.625 12,529,710
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (8.2%)
$ 10,000 Chicago, (MFHR, Waveland Association Project, due
11/01/10), LOC Swiss Bank...................... VRDN 03/04/98(a) 3.300% $ 10,000,000
10,000 Illinois Development Finance Authority, (Chicago
Symphony Project, due 06/01/31), LOC Bank of
America........................................ VRDN 03/04/98(a) 3.350 10,000,000
1,100 Illinois Development Finance Authority, (Olin
Corp. Project, Series A, due 06/01/04), LOC
Wachovia Bank of South Carolina................ VRDN 03/02/98(a) 3.600 1,100,000
4,540 Illinois Development Finance Authority, (Olin
Corp. Project, Series D, due 03/01/16), LOC
Wachovia Bank of South Carolina................ VRDN 03/02/98(a) 3.600 4,540,000
5,200 Illinois Development Finance Authority, (PCR,
Illinois Power Co. Project, Series 1993B, due
11/01/28), LOC Canadian Imperial Bank.......... VRDN 03/04/98(a) 3.450 5,200,000
23,135 Illinois Educational Facilities Authority,
(University Pooled Financing Program, due
12/01/05), FGIC Insured........................ VRDN 03/04/98(a) 3.350 23,135,000
3,900 Illinois Health Facilities Authority, (Children's
Memorial Hospital Project, Series B, due
11/01/15), LOC First National Bank of
Chicago........................................ VRDN 03/04/98(a) 3.350 3,900,000
2,500 Illinois Health Facilities Authority, (Loyola
University Health System, Series B, due
07/01/24), MBIA Insured........................ VRDN 03/04/98(a) 3.350 2,500,000
2,400 Illinois Health Facilities Authority, (SSM Health
Care Project, Series 1990A, due 06/01/06), LOC
Rabobank Nederland............................. VRDN 03/04/98(a) 3.400 2,400,000
39,500 Illinois Health Facilities Authority, (Swedish
Covenant Hospital Project, Series 1995, due
08/01/25), AMBAC Insured....................... VRDN 03/04/98(a) 3.500 39,500,000
25,300 Illinois Health Facilities Authority, (Swedish
Covenant, Series A, due 08/15/27).............. VRDN 03/04/98(a) 3.500 25,300,000
13,200 Illinois Toll Highway Authority, (Refunding,
Series 1993B, due 01/01/10), LOC Societe
Generale....................................... VRDN 03/04/98(a) 3.350 13,200,000
7,600 Oak Forest, (Weekly Mode - Homewood Pool, due
07/01/24), LOC First National Bank of
Chicago........................................ VRDN 03/04/98(a) 3.350 7,600,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, Series 1986, due 12/15/26), LOC Bank
One Texas...................................... VRDN 03/04/98(a) 3.600 3,000,000
---------------
151,375,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
INDIANA (2.1%)
$ 20,000 Indiana Bond Bank................................ CP 05/14/98 3.400% $ 20,000,000
12,000 Indiana Development Finance Authority, (Bayer
Corp. Project, due 03/01/09)................... VRDN 03/02/98(a) 3.600 12,000,000
1,200 Jasper County, (PCR, Refunding, Northern Indiana
Public Service, Series B, due 06/01/13)........ VRDN 03/02/98(a) 3.650 1,200,000
2,100 Princeton, (PCR, Refunding, PSI Energy Inc.
Project, due 03/01/19), LOC Canadian Imperial
Bank........................................... VRDN 03/02/98(a) 3.650 2,100,000
4,050 Rockport, (PCR, Indiana and Michigan Electric Co.
Project, Series 1985A, due 08/01/14), LOC Swiss
Bank Corp...................................... VRDN 03/04/98(a) 3.600 4,050,000
---------------
39,350,000
---------------
IOWA (1.3%)
5,000 Iowa School Cash Anticipation Program, (Iowa
School Corp, Warrant Certificates, Series A),
FSA Insured.................................... RAW 06/26/98 4.500 5,010,803
10,000 Iowa School Cash Anticipation Program, (Iowa
School Corp. Warrant Certificates, Series B),
FSA Insured.................................... RAW 01/28/99 4.250 10,061,673
8,870 Polk County, (Hospital Equipment & Improvement
Revenue, due 12/01/05), MBIA Insured........... VRDN 03/04/98(a) 3.550 8,870,000
---------------
23,942,476
---------------
KANSAS (0.3%)
3,100 Burlington....................................... CP 07/20/98 3.450 3,100,000
2,000 Garden City, (IDR, Inland Container Corp.
Project, Series 1983, due 01/01/08), LOC CS
First Boston................................... VRDN 03/02/98(a) 3.600 2,000,000
---------------
5,100,000
---------------
KENTUCKY (0.3%)
6,000 Mayfield, (Multi-City Lease Revenue, Kentucky
League of Cities Funding Trust, due 07/01/26),
LOC PNC Bank................................... VRDN 03/04/98(a) 3.650 6,000,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (3.0%)
$ 4,500 Ascension Parish, (PCR, Refunding, Borden Inc.
Project, Series 1992, due 12/01/09), LOC CS
First Boston................................... VRDN 03/04/98(a) 3.450% $ 4,500,000
7,800 Calcasieu Parish, (IDR, Refunding, Olin Corp.
Project, Series 1993B, due 02/01/16), LOC
Wachovia Bank.................................. VRDN 03/02/98(a) 3.600 7,800,000
7,000 Lake Charles Harbor and Terminal District,
(Reynolds Metals Co. Project, due 05/01/06),
LOC Canadian Imperial Bank..................... VRDN 03/04/98(a) 3.450 7,000,000
9,025 Louisiana Public Facilities Authority, (College &
University Equipment and Capital, Series A, due
09/01/10), FGIC Insured........................ VRDN 03/04/98(a) 3.550 9,025,000
2,700 Louisiana Public Facilities Authority, (Kenner
Hotel Ltd., due 12/01/15), LOC Deutsche Bank... VRDN 03/02/98(a) 3.650 2,700,000
7,355 Louisiana Public Facilities Authority,
(Refunding, Series 1985, due 12/01/00), MBIA
Insured........................................ VRDN 03/04/98(a) 3.550 7,355,000
6,200 Louisiana, FSA Insured, LOC Commerzbank AG....... CP 04/22/98 3.450 6,200,000
10,800 South Louisiana Communication Port, (Refunding,
Occidental Petroleum Co., due 07/01/18), LOC
Wachovia Bank of Georgia....................... VRDN 03/04/98(a) 3.450 10,800,000
---------------
55,380,000
---------------
MARYLAND (1.0%)
10,000 Anne Arundel County, (PCR, Baltimore Gas and
Electric Co. Project, Series 1984, due
07/01/14)...................................... OP 07/01/98(b) 3.800 10,000,000
9,000 Montgomery County, (Series 1995)................. CP 05/06/98 3.400 9,000,000
---------------
19,000,000
---------------
MASSACHUSETTS (2.2%)
4,000 Haverhill Water Pollution........................ CP 05/13/98 3.500 4,000,000
3,600 Massachusetts Bay Transportation Authority, LOC
West Deutsche Landesbank....................... CP 06/08/98 3.450 3,600,000
18,680 Massachusetts Health & Educational Facilities
Authority, (Harvard University, due
02/01/16)...................................... VRDN 03/05/98(a) 2.950 18,680,000
13,700 Massachusetts Health & Educational Facilities
Authority, (Newton Wellesley Hospital, Series
F, due 07/01/25), MBIA Insured................. VRDN 03/02/98(a) 3.150 13,700,000
---------------
39,980,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (3.9%)
$ 11,000 Michigan......................................... GO 09/30/98 4.500% $ 11,063,332
1,700 Michigan Hospital Finance Authority, (Hospital
Equipment Loan Progam, Insured, Series A, due
12/01/23), LOC First of America Bank........... VRDN 03/04/98(a) 3.500 1,700,000
3,000 Michigan Job Development Authority, (Gordon Food
Service Project, due 08/01/15), LOC Rabobank
Nederland...................................... VRDN 03/05/98(a) 3.350 3,000,000
8,000 Michigan Strategic Fund Ltd. (Lutheran Homes of
Michigan Project, due 09/01/17), LOC National
Bank of Detroit................................ VRDN 03/04/98(a) 3.350 8,000,000
28,700 Michigan Strategic Fund Ltd., (Reserve 1, Series
1995, due 09/01/30), LOC Barclays Bank PLC..... VRDN 03/02/98(a) 3.550 28,700,000
18,975 Midland County Economic Development Corp., (Dow
Chemical Co. Project, Refunding, Series 1993B,
due 12/01/15).................................. VRDN 03/02/98(a) 3.600 18,975,000
---------------
71,438,332
---------------
MISSISSIPPI (0.0%)*
535 Columbus, (IDR, Refunding, Noland Co. Project,
Series 1989, due 05/01/99), LOC Wachovia Bank
and Trust...................................... VRDN 03/05/98(a) 3.490 535,000
---------------
MISSOURI (3.2%)
7,200 Missouri Development Finance Board, (Sci City
Union Station, Series B, due 12/01/03), LOC
Canadian Imperial Bank......................... VRDN 03/02/98(a) 3.900 7,200,000
11,000 Missouri Environmental Improvement and Energy
Resources Authority, (PCR, Union Electric Co.
Project, Series 1984B, due 06/01/14), LOC Union
Bank of Switzerland............................ OP 06/01/98(b) 3.950 11,000,000
7,600 Missouri Health and Educational Facilities, (SSM
Health Care Projects, Series 1995C, due
06/01/22), MBIA Insured........................ VRDN 03/02/98(a) 3.500 7,600,000
33,000 University, (Capital Project Notes, Series FY
1997-98)....................................... RAN 06/30/98 4.250 33,075,995
---------------
58,875,995
---------------
MONTANA (0.5%)
9,700 Forsyth County, (PCR, Refunding, Pacificorp.
Project, due 01/01/18), LOC Rabobank
Nederland...................................... VRDN 03/02/98(a) 3.900 9,700,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
NEBRASKA (0.6%)
$ 10,265 Lancaster County Hospital Authority (Refunding,
Bryan Memorial Hospital Project #1, due
06/01/12), MBIA Insured........................ VRDN 03/04/98(a) 3.350% $ 10,265,000
---------------
NEW JERSEY (0.4%)
6,200 New Jersey....................................... CP 06/08/98 3.450 6,200,000
1,500 New Jersey Economic Development Authority,
(Refunding, United Water, Series B, due
11/01/25), AMBAC Insured....................... VRDN 03/02/98(a) 3.300 1,500,000
---------------
7,700,000
---------------
NEW MEXICO (2.7%)
50,000 New Mexico, (Series A)........................... TRAN 06/30/98 4.500 50,107,226
---------------
NEW YORK (6.9%)
14,200 New York City Municipal Assistance Corp.
(Subseries K-2, due 07/01/08).................. VRDN 03/04/98(a) 3.150 14,200,000
6,700 New York City Municipal Water Finance Authority,
(Series C, due 06/15/22), FGIC Insured......... VRDN 03/02/98(a) 3.650 6,700,000
3,000 New York City Municipal Water Finance Authority,
(Water and Sewer Systems Revenue, Series A, due
06/15/25), FGIC Insured........................ VRDN 03/02/98(a) 3.900 3,000,000
3,900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems Revenue, Series C, due
06/15/23), FGIC Insured........................ VRDN 03/02/98(a) 3.650 3,900,000
6,100 New York City, (Municipal Water Finance
Authority, Water and Sewer Systems Revenue,
Series 29, due 06/15/30)....................... VRDN 03/05/98(a) 3.650 6,100,000
2,830 New York City, (Series 1992B, due 10/01/20), FGIC
Insured........................................ VRDN 03/02/98(a) 3.900 2,830,000
14,900 New York City, (Series 1992B, due 10/01/22), FGIC
Insured........................................ VRDN 03/02/98(a) 3.900 14,900,000
5,000 New York City, (Series B, due 10/01/21), FGIC
Insured........................................ VRDN 03/02/98(a) 3.900 5,000,000
5,300 New York City, (Sub-Series 1993 B-4, due
08/15/21), LOC Union Bank of Switzerland....... VRDN 03/02/98(a) 3.900 5,300,000
2,600 New York City, (Sub-Series 1994 B-5, MBIA
Insured, due 08/15/22)......................... VRDN 03/02/98(a) 3.600 2,600,000
2,600 New York City, (Sub-Series 1994 B-6, MBIA
Insured, due 08/15/05)......................... TAN 03/02/98(b) 3.600 2,600,000
8,940 New York Dormitory Authority (due 07/01/25)...... VRDN 03/05/98(a) 3.650 8,940,000
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 10,200 New York State and Local Government Assistance
Corp., (Series G, due 04/01/25), LOC Bank of
Nova Scotia.................................... VRDN 03/05/98(a) 3.250% $ 10,200,000
4,150 New York State Energy Research & Development
Authority, (Niagara Mohawk Power Corp., Series
1985A, due 07/01/15), LOC Toronto Dominion
Bank........................................... VRDN 03/02/98(a) 3.900 4,150,000
12,000 New York State Energy Research and Development
Authority, (PCR, Lilco Project, Series 1985B,
due 03/01/16), LOC Deutsche Bank AG............ MP 03/01/98(b) 3.600 12,000,000
200 New York State Energy Research and Development
Authority, (PCR, New York Electric and Gas,
Refunding, Series B, due 02/01/29), LOC Union
Bank of Switzerland............................ VRDN 03/02/98(a) 3.500 200,000
10,200 New York State Energy Research and Development
Authority, (PCR, New York Electric and Gas,
Refunding, Series D, due 10/01/29), LOC Union
Bank of Switzerland............................ VRDN 03/02/98(a) 3.600 10,200,000
9,735 New York State Energy Research and Development
Authority, (PCR, New York Electric and Gas,
Series 1985D, due 12/01/15), LOC Union Bank of
Switzerland.................................... OP 12/01/98(b) 3.600 9,735,000
4,995 New York State Environmental Facilities Corp.,
(PCR, due 06/15/11)............................ VRDN 03/05/98(a) 3.800 4,995,000
---------------
127,550,000
---------------
NORTH CAROLINA (2.0%)
2,100 Ashe County Industrial Facilities and Pollution
Control Finance Authority, (IDR, Refunding,
Gates Rubber Co. Project, Series 1988, due
07/01/10), LOC National Bank of Detroit........ VRDN 03/02/98(a) 3.490 2,100,000
2,300 Charlotte, (Refunding, Airport Revenue, Series A,
due 07/01/16), MBIA Insured.................... VRDN 03/04/98(a) 3.350 2,300,000
2,140 Davidson County Industrial Facilities and
Pollution Control Financing Authority, (IDR,
Lowes Co., Inc. Project, Series 1990, due
07/01/20), LOC National Westminster Bank PLC... VRDN 03/05/98(a) 3.490 2,140,000
2,000 Mecklenburg County, (Refunding, due 07/01/03).... VRDN 03/03/98(a) 3.550 2,000,000
7,645 North Carolina Eastern Municipal Power Agency,
(Power Systems Revenue, due 01/01/15).......... VRDN 03/05/98(a) 3.510 7,645,000
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$ 5,200 North Carolina Educational Facilities Finance
Agency, (Bowman Grey School Medical Project,
due 09/01/20), LOC Wachovia Bank & Trust....... VRDN 03/05/98(a) 3.400% $ 5,200,000
6,500 North Carolina Educational Facilities Finance
Agency, (Greensboro College, due 09/01/27)..... VRDN 03/04/98(a) 3.400 6,500,000
5,000 North Carolina Educational Facilities Finance
Agency, (Guilford College, due 05/01/24), MBIA
Insured........................................ VRDN 03/02/98(a) 3.550 5,000,000
4,000 Wake County Industrial Facilities and Pollution
Control Financing Authority, (PCR, Carolina
Power & Light Project, Series 1985A, due
05/01/15), LOC CS First Boston................. VRDN 03/04/98(a) 3.400 4,000,000
---------------
36,885,000
---------------
OHIO (1.5%)
16,250 Hamilton County Hospital Facilities Revenue,
(Health Alliance, Series A, due 01/01/18), MBIA
Insured........................................ VRDN 03/02/98(a) 3.450 16,250,000
4,900 Ohio Air Quality Development Authority,
(Refunding, Cincinnati Gas & Electric, Series
1985A, due 09/01/30), LOC ABN Amro Bank........ VRDN 03/02/98(a) 3.600 4,900,000
7,000 Student Loan Funding Corp., (Cincinnati Student
Loan Revenue, Series 1983A, due 12/29/98), LOC
Bank of America................................ VRDN 03/04/98(a) 3.400 7,000,000
---------------
28,150,000
---------------
OREGON (0.4%)
7,700 Port of St. Helens, (PCR, Portland General
Electric Co, due 04/01/10), LOC Canadian
Imperial Bank.................................. VRDN 03/02/98(a) 3.550 7,700,000
---------------
PENNSYLVANIA (5.6%)
2,475 Allegheny County Hospital Development Authority,
(Presbyterian University Hospital, Series
1988B-3, due 03/01/18), LOC PNC Bank........... VRDN 03/06/98(a) 3.350 2,475,000
4,000 Allegheny County Hospital Development Authority,
(Presbyterian University Hospital, Series
1990B, due 03/01/20), MBIA Insured............. VRDN 03/05/98(a) 3.350 4,000,000
6,000 Allegheny County Industrial Development
Authority, (IDR, Refunding, Dowty Corp.
Project, Series 1986, due 12/01/01), LOC Mellon
Bank........................................... VRDN 03/04/98(a) 3.400 6,000,000
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 3,500 Clinton County Industrial Development Authority,
(IDR, Mellon Bank Central National Assistance
Project, Series 1985, due 09/01/05), LOC Mellon
Bank........................................... VRDN 03/04/98(a) 3.550% $ 3,500,000
5,000 Delaware County Industrial Development
Authority...................................... CP 05/18/98 3.250 5,000,000
1,800 Delaware County Industrial Development Authority,
(Airport Facilities Revenue, United Parcel
Service Project, due 12/01/15)................. VRDN 03/02/98(a) 3.600 1,800,000
3,150 Lehigh County Industrial Development Authority,
(PCR, P-Floats-PA-99, due 09/01/29), MBIA
Insured........................................ VRDN 03/05/98(a) 3.460 3,150,000
7,000 Montgomery County Industrial Development
Authority, (Pico Energy Project, due
06/01/29)...................................... CP 03/05/98(b) 2.900 7,000,000
5,000 Pennsylvania..................................... CP 07/15/98 3.450 5,000,000
14,800 Pennsylvania Higher Education Facilities
Authority, (Allegheny/Delaware Valley, Series
D, due 11/15/35), LOC PNC Bank................. VRDN 03/04/98(a) 3.450 14,800,000
2,000 Pennsylvania Industrial Development Authority,
(Series 1990, due 05/01/04).................... VRDN 03/05/98(a) 3.550 2,000,000
26,400 Thomas Jefferson University Hospital, (Series A,
due 05/15/08).................................. VRDN 03/03/98(a) 3.700 26,400,000
23,600 Thomas Jefferson University Hospital, (Series B,
due 05/15/12).................................. VRDN 03/03/98(a) 3.750 23,600,000
---------------
104,725,000
---------------
PUERTO RICO (0.5%)
9,800 Puerto Rico Insured Trade Receipts, (Regulation
D, Restricted, due 07/01/27)................... VRDN 03/05/98(a) 3.150 9,800,000
---------------
SOUTH CAROLINA (1.0%)
9,250 Allendale County, (IDR, Refunding, King Seeley
Thermos Co. Project, Series 1988, due
08/01/01), LOC Bank of Nova Scotia............. VRDN 03/05/98(a) 3.490 9,250,000
4,300 Berkeley County, (Refunding, Bayer Corp. Project,
due 03/01/09).................................. VRDN 03/02/98(a) 3.600 4,300,000
5,635 South Carolina Economic Development Authority
(St. Francis Hospital, due 07/01/22), LOC Chase
Manhattan Bank................................. VRDN 03/04/98(a) 3.700 5,635,000
---------------
19,185,000
---------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
SOUTH DAKOTA (0.9%)
$ 16,900 Lawrence County, (PCR, Refunding, Homestake
Mining, Series B, due 07/01/32), LOC Chase
Manhattan Bank................................. VRDN 03/02/98(a) 3.600% $ 16,900,000
---------------
TENNESSEE (1.4%)
4,100 Bradley County Industrial Development Board,
(Olin Corp. Project, Series C, due 11/01/17),
LOC Wachovia Bank.............................. VRDN 03/02/98(a) 3.600 4,100,000
3,100 Collierville Industrial Development Board, (due
03/01/00), LOC National City Bank of
Cleveland...................................... VRDN 03/02/98(a) 5.525 3,100,000
6,500 Knox County Industrial Development Board, (IDR,
Professional Plaza Project, due 12/01/14)...... VRDN 03/02/98(a) 3.700 6,500,000
5,900 Tennessee State, (Series A, due 07/01/01)........ VRDN 03/04/98(a) 3.350 5,900,000
6,300 Tennessee State, (Series E, due 07/02/01)........ RAN 03/04/98(b) 3.350 6,300,000
---------------
25,900,000
---------------
TEXAS (9.9%)
7,000 Bexar County (Health Facilities Development
Corporation, Warm Springs Haelthcare Systems,
due 09/01/27), LOC Texas Commerce Bank......... VRDN 03/01/98(a) 3.650 7,000,000
1,500 El Paso Industrial Development Authority, (Contel
Cellular of El Paso Inc. Project, Series 1985,
due 02/01/04), LOC Bank of Nova Scotia......... VRDN 03/02/98(a) 5.525 1,500,000
9,000 Grayson County Industrial Development Corp.,
(Aluminum Co. of America, Refunding, Series
1992, due 12/01/02)............................ VRDN 03/05/98(a) 3.550 9,000,000
3,700 Guadalupe-Blanco River Authority, (PCR,
Refunding, Central Power & Light Co. Project,
due 11/01/15), LOC ABN Amro Bank N.V........... VRDN 03/02/98(a) 3.650 3,700,000
1,400 Gulf Coast Waste Disposal Authority, (PCR,
Refunding, Amoco Oil Co. Project, due
10/01/17)...................................... VRDN 03/02/98(a) 3.650 1,400,000
6,300 Harris County Health Facilities Development
Corp., (Memorial Hospital Systems Project,
Series B, due 06/01/24) MBIA Insured........... VRDN 03/02/98(a) 3.350 6,300,000
33,200 Harris County Health Facilities, (Series
1997A)......................................... CP 03/04/98 3.550 33,200,000
3,105 Harris County Industrial Development Corp.,
(Johann Haltermann Project, Series 1996A, due
04/01/08), LOC Texas Commerce Bank............. VRDN 03/02/98(a) 3.450 3,105,000
2,255 Harris County Industrial Development Corp.,
(Johann Haltermann Project, Series 1996B, due
04/01/08), LOC Texas Commerce Bank............. VRDN 03/02/98(a) 3.450 2,255,000
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series A-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 03/02/98(a) 3.700% $ 400,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 03/02/98(a) 3.700 400,000
900 Lone Star Airport Improvement Authority, (Series
1984 B-4, due 12/01/14), LOC Royal Bank of
Canada......................................... VRDN 03/02/98(a) 3.700 900,000
1,400 Lone Star Texas Airport Improvement Authority,
(Series 1984 B-3, due 12/01/14), LOC Royal Bank
of Canada...................................... VRDN 03/02/98(a) 3.700 1,400,000
7,600 Lower Colorado River Authority, (Refunding,
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured........................ VRDN 03/02/98(a) 3.400 7,600,000
4,500 Mansfield Industrial Development Corp., (Pier 1
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC Bank of Texas................... VRDN 03/04/98(a) 3.600 4,500,000
10,050 North Central Health Facilities Development
Corp., (Hospital Revenue, Presbyterian Medical
Center, Series 1985D, due 12/01/15), MBIA
Insured........................................ VRDN 03/02/98(a) 3.700 10,050,000
2,200 North Central Health Facilities Development
Corp., (Presbyterian Medical Center, Series C,
due 12/01/15).................................. VRDN 03/02/98(a) 3.700 2,200,000
15,000 Port Corpus Christi Industrial Development
Corporation, (Refunding, Valero Refining,
Series A, due 04/01/27), LOC Bank of Montreal.. VRDN 03/04/98(a) 3.600 15,000,000
3,900 Port Development Corp., (Refunding, Stolt Marine
Terminal Project, due 01/15/14), LOC Canadian
Imperial Bank.................................. VRDN 03/04/98(a) 3.400 3,900,000
5,050 Sabine River Authority, (PCR, Series 1995B, due
06/01/30), LOC Union Bank of Switzerland....... VRDN 03/04/98(a) 3.900 5,050,000
1,040 Texas Higher Education Authority Inc, (Series
1985B, due 02/01/25), FGIC Insured............. VRDN 03/04/98(a) 3.550 1,040,000
60,700 Texas, (Series A)................................ TRAN 08/31/98 4.750 60,995,248
2,200 Waller County Industrial Development Corp., (IDR,
Refunding, Tubular Steel Project, due
09/01/99), LOC Wachovia Bank of Georgia........ VRDN 03/04/98(a) 3.350 2,200,000
---------------
183,095,248
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
UTAH (2.9%)
$ 2,565 Carbon County, (PCR, Refunding, Pacificorp
Project, Series 1994, due 11/01/24), LOC Bank
of New York.................................... VRDN 03/02/98(a) 3.650% $ 2,565,000
9,000 Intermountain Power Agency, (Utah Power Supply
Revenue, Series 1985F, due 07/01/15), LOC Swiss
Bank........................................... VRDN 03/16/98(a) 3.750 9,000,000
42,400 Intermountain Power Authority, LOC Bank of
America........................................ CP 05/19/98 3.450 42,400,000
---------------
53,965,000
---------------
VERMONT (0.4%)
6,600 Vermont Student Loan Assistance Corp., (Series
1985, due 01/01/04), LOC National Westminster
Bank PLC....................................... VRDN 03/02/98(a) 3.650 6,600,000
---------------
VIRGINIA (0.2%)
1,000 Virginia Beach Industrial Development Authority,
(IDR, Norfolk Virginia Beach, Portsmouth MSA
Limited Partnership Project, due 12/01/04), LOC
Bank of Nova Scotia............................ VRDN 03/02/98(a) 5.525 1,000,000
2,200 Virginia State Housing Development Authority,
(AHC Service Corp., Series 1987A, due
09/01/17), LOC Mitsubishi Ltd.................. VRDN 03/04/98(a) 3.750 2,200,000
---------------
3,200,000
---------------
WASHINGTON (1.0%)
6,400 Seattle, (Water System Revenue, Series 1995, due
09/01/25), LOC Bayerische Landesbank........... VRDN 03/04/98(a) 3.450 6,400,000
2,400 Washington Public Power Supply System, (Nuclear
Project #3, Series 3A-1, due 07/01/18), LOC
Bank of America................................ VRDN 03/04/98(a) 3.350 2,400,000
10,500 Washington State Health Care Facilities
Authority, (VA Mason Medical Center, Refunding,
Series B, due 02/15/27), MBIA Insured.......... VRDN 03/02/98(a) 3.700 10,500,000
---------------
19,300,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
WEST VIRGINIA (0.6%)
$ 9,500 Marshall County, (Refunding, Bayer Corporation
Project, due 03/01/09)......................... VRDN 03/02/98(a) 3.600% $ 9,500,000
1,000 Mercer County, (IDR, Refunding, Noland Co.
Project, Series 1989, due 05/01/01), LOC
Wachovia Bank and Trust........................ VRDN 03/05/98(a) 3.490 1,000,000
---------------
10,500,000
---------------
WISCONSIN (4.7%)
2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project,
Series 1984, due 12/01/14), LOC Wachovia Bank
and Trust...................................... VRDN 03/05/98(a) 3.490 2,500,000
25,000 Milwaukee, (Series A)............................ RAN 02/25/99 5.000 25,347,250
2,700 Wisconsin Health & Educational Facilities
Authority, (Felician Services, Series A, due
01/01/20), AMBAC Insured....................... VRDN 03/04/98(a) 3.290 2,700,000
9,200 Wisconsin Health & Educational Facilities
Authority, (St. Luke's Medical Center,
Remarketed 03/10/97, due 12/01/17), LOC First
National Bank of Chicago....................... VRDN 03/04/98(a) 3.350 9,200,000
27,000 Wisconsin Operating Notes........................ TAN 06/15/98 4.500 27,179,550
8,092 Wisconsin Student Loan........................... CP 03/04/98 3.500 8,092,000
13,041 Wisconsin Transportation Authority, LOC
Bayerische Vereinsbank......................... CP 03/04/98 3.250 13,041,000
---------------
88,059,800
---------------
WYOMING (1.0%)
6,450 Platte County, (PCR, Tri-State G&T, Series A, due
07/01/14), LOC Societe Generale................ VRDN 03/02/98(a) 3.900 6,450,000
8,700 Sweetwater County, (PCR, Refunding, Pacificorp
Project, Series A, due 07/01/15), LOC Credit
Suisse......................................... VRDN 03/04/98(a) 3.450 8,700,000
3,000 Sweetwater County, (PCR, Refunding, Pacificorp
Project, Series B, due 01/01/14), LOC Canadian
Imperial Bank.................................. VRDN 03/04/98(a) 3.900 3,000,000
---------------
18,150,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------------ ---------------
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (2.1%)
$ 39,800 Federal Home Loan Bank........................... 03/02/98(a) 5.540% $ 39,793,875
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (101.1%)................................... 1,876,499,601
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.1%)............................................ (20,223,038)
---------------
NET ASSETS (100.0%)...................................................................... $ 1,856,276,563
---------------
---------------
</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., MFHR - Multi-family Housing Revenue, MP - Mandatory Put, OP - Optional
Put, PCR - Pollution Control Revenue, RAN - Revenue Anticipation Note, RAW -
Revenue Anticipation Warrant, 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 canceled 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.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,876,499,601
Cash 110,158
Interest Receivable 13,493,627
Prepaid Trustees' Fees 3,981
Prepaid Expenses and Other Assets 5,121
--------------
Total Assets 1,890,112,488
--------------
LIABILITIES
Payable for Investments Purchased 33,501,690
Advisory Fee Payable 215,730
Administrative Services Fee Payable 41,276
Custody Fee Payable 33,463
Administration Fee Payable 3,590
Fund Services Fee Payable 324
Accrued Expenses 39,852
--------------
Total Liabilities 33,835,925
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,856,276,563
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $28,808,884
EXPENSES
Advisory Fee $1,284,141
Administrative Services Fee 236,899
Custodian Fees and Expenses 132,769
Professional Fees and Expenses 24,035
Fund Services Fee 21,641
Trustees' Fees and Expenses 13,331
Administration Fee 12,703
Miscellaneous 12,773
----------
Total Expenses 1,738,292
-----------
NET INVESTMENT INCOME 27,070,592
NET REALIZED GAIN ON INVESTMENTS 207,694
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $27,278,286
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<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, 1998 YEAR ENDED
(UNAUDITED) AUGUST 31, 1997
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 27,070,592 $ 42,392,039
Net Realized Gain (Loss) on Investments 207,694 (28,778)
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 27,278,286 42,363,261
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 4,176,883,690 4,757,986,948
Withdrawals (3,743,948,253) (4,618,864,155)
----------------- ---------------
Net Increase from Investors' Transactions 432,935,437 139,122,793
----------------- ---------------
Total Increase in Net Assets 460,213,723 181,486,054
NET ASSETS
Beginning of Period 1,396,062,840 1,214,576,786
----------------- ---------------
End of Period $ 1,856,276,563 $ 1,396,062,840
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED JULY 12, 1993
FEBRUARY 28, AUGUST 31, (COMMENCEMENT OF
1998 ------------------------- OPERATIONS) TO
(UNAUDITED) 1997 1996 1995 1994 AUGUST 31, 1993
---------------- ---- ---- ---- ---- ----------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.22%(a) 0.24% 0.25% 0.25% 0.25% 0.25%(a)
Net Investment Income 3.42%(a) 3.34% 3.40% 3.61% 2.37% 2.28%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
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 diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 29, 1993. 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 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 Declaration of Trust permits the trustees to issue an unlimited
number of beneficial interests in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the portfolio pays Morgan at an annual rate of 0.20% of the portfolio's
average daily net assets up to $1 billion and 0.10% on any excess over $1
billion. For the six months ended February 28, 1998, this fee amounted to
$1,284,141.
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
37
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1998
- --------------------------------------------------------------------------------
amount allocable to the portfolio is based on the ratio of the portfolio's
net assets to the aggregate net assets of the portfolio and certain other
investment companies subject to similar agreements with FDI. For the six
months ended February 28, 1998, the fee for these services amounted to
$12,703.
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 based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the six months ended February 28, 1998, the fee
for these services amounted to $236,899.
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 $21,641 for the six months ended February 28, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, J.P. Morgan Institutional Funds, the
master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of group and receives
compensation and employee benefits from group in his role as group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $4,400.
38
<PAGE>
J.P. MORGAN INSTITUTIONAL SERVICE FUNDS
FEDERAL MONEY MARKET FUND
PRIME MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
TREASURY MONEY MARKET FUND
FOR MORE INFORMATION ON THE J.P. MORGAN
INSTITUTIONAL SERVICE FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT (800)766-7722.
J.P. MORGAN
INSTITUTIONAL
SERVICE TAX EXEMPT
MONEY MARKET
FUND
SEMI-ANNUAL REPORT
FEBRUARY 28, 1998
