<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN
INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
April 1, 1999
Dear Shareholder:
The previous six-month period was marked by a tightening in the supply of
short-term municipal bonds, accompanied by a decline in tax exempt yields,
particularly since the beginning of 1999. During this period, the J.P. Morgan
Institutional Tax Exempt Money Market Fund posted a 1.52% return, besting the
1.31% return of the IBC Tax Free Money Fund Average and the 1.44% return of the
Lipper Institutional Tax Exempt Money Market Average. The fund's current average
seven-day yield of 2.82% translates into a tax equivalent yield of 4.67%,
assuming a 39.6% federal income tax rate.
The fund maintained a stable net asset value of $1.00 over the period. On
February 28, 1999, the net assets of the fund were approximately $566 million,
while the assets of The Tax Exempt Money Market Portfolio, in which the fund
invests, amounted to approximately $2.2 billion. Dividends of approximately
$0.02 per share were paid from ordinary income, all of which is exempt from
federal income tax.
This report includes a discussion with Richard Oswald, the portfolio manager
primarily responsible for The Tax Exempt Money Market Portfolio. In this
interview, Dick talks about the events of the previous six months that had the
greatest effect on the portfolio and discusses our investment strategy.
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
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<S> <C> <C> <C>
LETTER TO THE SHAREHOLDERS . . . .1 GLOSSARY OF TERMS . . . . . . . .5
FUND PERFORMANCE . . . . . . . . .2 FUND FACTS AND HIGHLIGHTS. . . . .6
PORTFOLIO MANAGER Q&A. . . . . . .3 FINANCIAL STATEMENTS . . . . . . .8
- --------------------------------------------------------------------------------
</TABLE>
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 the fund's actual (or cumulative) return and shows
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 one, five,
or ten years (or since inception). Total returns for periods of less than one
year are not annualized and provide a picture of how a 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, 1999 MONTHS MONTHS YEAR YEARS YEARS YEARS*
- ------------------------------------------------------------------ ------------------------------------
<S> <C> <C> <C> <C> <C> <C>
J.P. Morgain Institutional Tax Exempt
Money Market Fund 0.72% 1.52% 3.24% 3.32% 3.30% 3.65%
IBC Tax Free Money Fund Average 0.61% 1.31% 2.81% 2.94% 2.94% 3.40%
Lipper Institutional Tax Exempt
Money Market Average 0.67% 1.44% 3.10% 3.21% 3.21% 3.65%
AS OF DECEMBER 31, 1998
- ------------------------------------------------------------------ ------------------------------------
J.P. Morgan Institutional Tax Exempt
Money Market Fund 0.79% 1.62% 3.32% 3.34% 3.27% 3.70%
IBC Tax Free Money Fund Average 0.67% 1.39% 2.90% 2.98% 2.92% 3.46%
Lipper Institutional Tax Exempt
Money Market Average 0.75% 1.54% 3.18% 3.24% 3.19% 3.71%
</TABLE>
* REFLECTS PERFORMANCE OF THE J.P. MORGAN TAX EXEMPT MONEY MARKET FUND, WHICH
HAD A HIGHER EXPENSE RATIO, FROM AUGUST 31, 1988, THROUGH AUGUST 5, 1993
(COMMENCEMENT OF INVESTMENT OPERATIONS).
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. FUND RETURNS ARE NET OF
FEES, ASSUME THE REINVESTMENT OF DISTRIBUTIONS, AND REFLECT REIMBURSEMENT OF
CERTAIN FUND AND PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS. HAD EXPENSES
NOT BEEN SUBSIDIZED, RETURNS WOULD HAVE BEEN LOWER. IBC 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 ORGANIZATION,
INC. LIPPER ANALYTICAL SERVICES, INC. IS A LEADING SOURCE FOR MUTUAL FUND DATA.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO]
The following is an interview with RICHARD OSWALD, vice president, who is
responsible for managing The Tax Exempt Money Market Portfolio, in which the
fund invests. Dick joined Morgan in October 1996 after eight years with CBS
Inc., where he served as corporate treasurer and president of the company's
investment subsidiary. Dick has also held financial positions with Primerica
Corporation and Price Waterhouse. He earned a B.A. from the University of
Toronto and an M.B.A. from the Rochester Institute of Technology, and is
licensed as a C.P.A. in New York State. This interview was conducted on
March 30, 1999, and represents Dick's views on that date.
WHAT FACTORS HAVE MOST INFLUENCED THE TAX EXEMPT MONEY MARKET OVER THE PAST SIX
MONTHS?
RO: The supply of short-term municipal bonds has tightened considerably over
the past few months, and tax exempt yields have been low, particularly since
January. The issuance of bonds on the municipal level has shrunk, owing in part
to increased state tax revenues. This reduction in traditional note issuance
comes on top of a decline in synthetic note issuance that resulted from the
unwinding of a significant number of profitable leverage trades. All this has
made for a difficult investment environment.
TO WHAT DO YOU ATTRIBUTE THE PORTFOLIO'S ABOVE-BENCHMARK PERFORMANCE?
RO: In general, the key is being able to efficiently manage our liquidity
needs, which we've been fairly successful in doing. Plus, our credit analysis
team allows us to make prompt decisions on investment opportunities, which often
translate into more favorable purchase prices. We also try to remain open to new
and different investment structures that offer additional yield relative to
traditional muni investments. More specifically, we increased our holdings of
variable rate demand notes and commercial paper, and some inflows at year-end
allowed us to take advantage of cheaper resets.
Over the past six months, assets under management in the portfolio increased to
about $2.2 billion from approximately $1.8 billion. This is partly due to the
thriving equity markets, as some investors have taken profits and reallocated
them into more conservative investments such as money market funds.
Additionally, the fund recently received an AAA rating from Moody's.*
* RATINGS FROM MOODY'S INVESTORS SERVICE ARE HISTORICAL AND ARE BASED ON CREDIT
QUALITY, MATURITY LIMITATIONS, MARKET PRICE EXPOSURE, MANAGMENT, AND OTHER
RELEVANT FACTORS.
3
<PAGE>
WHAT DO YOU SEE ON THE HORIZON FOR THE TAX EXEMPT MONEY MARKET, AND HOW WILL YOU
POSITION THE PORTFOLIO?
RO: Trends in the muni market tend to be cyclical and are driven more by
technical issues than fundamentals. For example, short-term muni rates tend to
peak in the weeks following the April 15 tax-filing deadline. We plan on
increasing our liquidity around that time in order to meet any redemptions as a
result of our investors making income tax payments. At the same time, we want to
be liquid enough to take advantage of the price trough that accompanies the rate
peak. The limited supply of muni bonds should continue to be an issue, but we
think the seasonal reduction in demand will be more significant and provide us
with some good investment opportunities.
Though technical factors dominate, munis also tend to trade in sympathy with
broader interest rates; since we expect the Federal Reserve to be on hold
through at least the end of the year, this shouldn't be an issue.
We're not trying to hit any home runs in our investment approach for the next
few months. We'll continue to invest in high-quality credits. We're trying to
stay pretty liquid; we have roughly 10% of the portfolio invested in securities
that provide daily liquidity. We had been trying to extend the duration of the
portfolio, but have found that task difficult because of the tight supply of
issues. We've put that on hold for now, but we'll move more aggressively to
extend duration in late April, when we expect to be able to purchase some
longer-term issues at attractive prices.
4
<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 result 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.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
J.P. Morgan Institutional Tax Exempt Money Market Fund seeks to maximize current
income that is exempt from federal income tax consistent with the preservation
of capital and same-day liquidity.
- --------------------------------------------------------------------------------
COMMENCEMENT OF INVESTMENT OPERATIONS
07/12/93
- --------------------------------------------------------------------------------
FUND NET ASSETS AS OF 2/28/99
$565,917,270
- --------------------------------------------------------------------------------
PORTFOLIO NET ASSETS AS OF 2/28/99
$2,217,712,029
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/13/99
EXPENSE RATIO
The fund's current annual expense ratio of 0.20% covers shareholders' expenses
for custody, tax reporting, investment advisory and shareholder services, after
fee waivers and 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, 1999
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
<TABLE>
<S> <C>
Variable rate demand notes 68.0%
Commercial paper 16.3%
Tax revenue anticipation notes 8.1%
Revenue anticipation notes 2.8%
General obligations 1.5%
Mandatory put 1.4%
Tax anticipation notes 0.9%
Revenue bonds 0.5%
Third party put bonds 0.5%
</TABLE>
AVERAGE 7-DAY YIELD
2.82%*
AVERAGE MATURITY
35 days
*YIELDS ARE NET OF FEES, ASSUME REINVESTMENT OF FUND DISTRIBUTIONS AND REFLECT
THE REIMBURSEMENT OF CERTAIN FUND EXPENSES AS DESCRIBED IN THE PROSPECTUS. HAD
THESE EXPENSES NOT BEEN SUBSIDIZED, THE 7-DAY YIELD WOULD HAVE BEEN 2.77%.
6
<PAGE>
DISTRIBUTED BY FUNDS DISTRIBUTOR, INC. J.P. MORGAN INVESTMENT MANAGEMENT INC.
SERVES AS INVESTMENT ADVISOR. 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.
Opinions expressed herein are based on current market conditions and are subject
to change without notice. The fund invests through a master portfolio (another
fund with the same objective). Income may be subject to some state and local
taxes. Some income may be subject to the Federal alternative minimum tax for
certain investors. Capital gains are not exempt from taxes.
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 THE PROSPECTUS CAREFULLY BEFORE INVESTING.
7
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Tax Exempt Money Market
Portfolio ("Portfolio"), at value $566,223,616
Receivable for Expense Reimbursements 67,830
Prepaid Trustees' Fees 1,346
Prepaid Expenses and Other Assets 3,872
------------
Total Assets 566,296,664
------------
LIABILITIES
Dividends Payable to Shareholders 291,516
Administrative Services Fee Payable 19,204
Fund Services Fee Payable 438
Accrued Expenses 68,236
------------
Total Liabilities 379,394
------------
NET ASSETS
Applicable to 565,910,577 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $565,917,270
------------
------------
Net Asset Value, Offering and Redemption Price
Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $565,910,040
Accumulated Net Realized Gain on Investment 7,230
------------
Net Assets $565,917,270
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $10,382,910
Allocated Portfolio Expenses (646,108)
-----------
Net Investment Income Allocated from
Portfolio 9,736,802
FUND EXPENSES
Shareholder Servicing Fee $ 319,515
Administrative Services Fee 87,216
Registration Fees 16,703
Transfer Agent Fees 10,064
Professional Fees 9,605
Fund Services Fee 8,441
Administration Fee 5,610
Trustees' Fees and Expenses 4,407
Miscellaneous 13,119
---------
Total Fund Expenses 474,680
Less: Reimbursement of Expenses (474,680)
---------
NET FUND EXPENSES --
-----------
NET INVESTMENT INCOME 9,736,802
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM
PORTFOLIO 16,525
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 9,753,327
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1999 YEAR ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 9,736,802 $ 16,998,901
Net Realized Gain on Investment Allocated from
Portfolio 16,525 16,861
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 9,753,327 17,015,762
----------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (9,736,802) (16,998,901)
----------------- ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT
A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 1,785,695,439 3,041,853,798
Reinvestment of Dividends 7,077,951 11,998,593
Cost of Shares of Beneficial Interest Redeemed (1,821,163,887) (2,750,521,384)
----------------- ---------------
Net Increase (Decrease) from Transactions in
Shares of Beneficial Interest (28,390,497) 303,331,007
----------------- ---------------
Total Increase (Decrease) in Net Assets (28,373,972) 303,347,868
NET ASSETS
Beginning of Period 594,291,242 290,943,374
----------------- ---------------
End of Period $ 565,917,270 $ 594,291,242
----------------- ---------------
----------------- ---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
FEBRUARY 28, FOR THE FISCAL YEAR ENDED AUGUST 31,
1999 ----------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
---------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.0151 0.0339 0.0330 0.0331 0.0352 0.0228
Net Realized Gain (Loss) on Investments 0.0000(a) 0.0000(a) (0.0000)(a) (0.0000)(a) (0.0002) (0.0000)(a)
---------------- -------- -------- -------- -------- --------
Total from Investment Operations 0.0151 0.0339 0.0330 0.0331 0.0350 0.0228
---------------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.0151) (0.0339) (0.0330) (0.0331) (0.0352) (0.0228)
Net Realized Gain -- -- -- -- -- (0.0000)(a)
---------------- -------- -------- -------- -------- --------
Total Distributions to Shareholders (0.0151) (0.0339) (0.0330) (0.0331) (0.0352) (0.0228)
---------------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------------- -------- -------- -------- -------- --------
---------------- -------- -------- -------- -------- --------
RATIOS AND SUPPLEMENTAL DATA
Total Return 1.52%(b) 3.45% 3.35% 3.36% 3.57% 2.30%
Net Assets, End of Period (in thousands) $ 565,917 $594,291 $290,943 $163,569 $100,142 $ 46,083
Ratios to Average Net Assets
Net Expenses 0.20%(c) 0.22% 0.29% 0.35% 0.35% 0.35%
Net Investment Income 3.05%(c) 3.37% 3.29% 3.28% 3.49% 2.34%
Expenses without Reimbursement 0.35%(c) 0.35% 0.39% 0.42% 0.50% 1.00%
</TABLE>
- --------------------------
(a) Less than $0.0001.
(b) Not Annualized.
(c) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The J.P. Morgan Institutional 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 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 (26% at
February 28, 1999). 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 1a 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.
Net short-term capital gains, if any, will be distributed in accordance
with the requirements of the Internal Revenue Code of 1986, as amended
(the "Code"), and may be reflected in the fund's daily dividends.
Substantially all the realized net long-term capital gains, if any, are
declared and paid annually, 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) 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.
e) The fund is treated as a separate entity for federal income tax purposes
and intends to comply with the provisions of the Code, 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. For United States federal
income tax purposes, the fund had a capital loss carryforward at August
31, 1998 of $7,763, of which $6,639 expires in 2004 and $1,124 expires in
2005. To the extent that this capital loss is used to
12
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
offset future capital gains, it is probable that gains so offset will not
be distributed to shareholders. The fund incurred approximately $1,867 of
realized long term capital losses in the period from November 1, 1997 to
August 31, 1998. These losses were deferred for tax purposes until
September 1, 1998.
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 the 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 six
months ended February 28, 1999, the fee for these services amounted to
$5,610.
b) The trust, on behalf of the fund, has an Administrative Services Agreement
(the "Services Agreement") with Morgan Guaranty Trust Company of New York
("Morgan"), a wholly owned subsidiary of J.P. Morgan & Co. Incorporated
("J.P. 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 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 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 six months ended February 28, 1999, the fee for
these services amounted to $87,216.
J.P. Morgan has agreed to waive and/or reimburse all fund expenses (except
for those allocated to the fund by the portfolio, and extraordinary
expenses). J.P. Morgan will not waive/reimburse fund expenses if such
waiver/reimbursement would cause total operating expenses to be less than
0.20%, and in no case will total operating expenses exceed 0.35%. This
reimbursement arrangement can be changed or terminated at any time at the
option of J.P. Morgan. For the six months ended February 28, 1998, J.P.
Morgan has agreed to reimburse the fund $474,680 for expenses under these
arrangements.
c) The trust, on behalf of the fund, has a Shareholder Servicing Agreement
with Morgan to provide account administration and personal account
maintenance service 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 0.10% of the average daily net assets of
the fund. Morgan has waived the expenses of the Agreement until February
28, 1999. For the six months ended February 28, 1999, the fee of $319,515
for these services was waived.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
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
$8,441 for the six months ended February 28, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the 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 the 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. The allocated portion
of such compensation and benefits included in the Fund Services Fee shown
in the financial statements was $1,800.
14
<PAGE>
The Tax Exempt Money Market Portfolio
Semiannual report February 28, 1999
(unaudited)
(The following pages should be read in conjunction
with J.P. Morgan Institutional Tax Exempt Money Market Fund
Semiannual Financial Statements)
15
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ALABAMA (1.1%)
$ 19,000 Birmingham-Carraway Special Care Facilities
Financing Authority, (Callable, Carraway
Methodist Health, Series A, due 08/15/28), LOC
Amsouth Bank................................... VRDN 03/03/99(b) 2.900% $ 19,000,000
2,750 Columbia, (Callable, Industrial Development
Board, PCR, Refunding, Alabama Power Co.
Project, Series D, due 10/01/22)............... VRDN 03/01/99(b) 3.300 2,750,000
2,250 Jefferson County, (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
due 05/01/08), LOC Amsouth Bank................ VRDN 03/01/99(b) 4.573 2,250,000
590 West Jefferson Industrial Development Board,
(Callable, PCR, Refunding, Alabama Power Co.
Project, due 06/01/28)......................... VRDN 03/01/99(b) 3.150 590,000
---------------
24,590,000
---------------
ALASKA (0.7%)
5,100 Alaska Housing Finance Corp., (Callable, Series
C, due 06/01/26)............................... VRDN 03/03/99(b) 2.900 5,100,000
7,360 Valdez Marine Terminal, (Callable, Refunding,
Exxon Pipeline Co. Project, Series A, due
12/01/33)...................................... VRDN 03/01/99(b) 3.150 7,360,000
2,200 Valdez Marine Terminal, (Callable, Refunding,
Exxon Pipeline Co. Project, Series C, due
12/01/33)...................................... VRDN 03/01/99(b) 3.150 2,200,000
---------------
14,660,000
---------------
ARIZONA (1.1%)
7,700 Apache County Industrial Development Authority,
(Callable, IDR, Tuscon Power Co., Springerville
Project, due 12/01/20), LOC Toronto Dominion
Bank........................................... VRDN 03/03/99(b) 2.900 7,700,000
1,000 Casa Grande Industrial Development Authority,
(Callable, IDR, Frito-Lay Inc./Pepsico., due
12/01/03)...................................... VRDN 03/01/99(b) 4.625 1,000,000
800 Casa Grande Industrial Development Authority,
(Callable, IDR, Frito-Lay Inc./Pepsico., due
12/01/99)...................................... VRDN 03/01/99(b) 4.625 800,000
4,700 Maricopa County Pollution Control Corp.,
(Callable, PCR, El Paso Electric Co., due
12/01/14), LOC Barclays Bank................... VRDN 03/03/99(b) 3.050 4,700,000
11,000 Maricopa County Pollution Control Corp.,
(Callable, PCR, El Paso Electric Co., Project
A, due 07/01/14)............................... VRDN 03/03/99(b) 3.050 11,000,000
---------------
25,200,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ARKANSAS (0.2%)
$ 5,175 Texarkana, (Callable, IDR, Refunding, Cooper Tire
& Rubber Co. Project, Series 1991, due
03/01/21)...................................... VRDN 03/04/99(b) 3.650% $ 5,175,000
---------------
CALIFORNIA (2.3%)
24,000 California....................................... RAN 06/30/99 4.000 24,065,981
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project, due 08/01/05), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 4.875 2,000,000
25,000 Los Angeles County, (Series A)................... TRAN 06/30/99 4.500 25,066,234
---------------
51,132,215
---------------
COLORADO (0.7%)
4,025 Denver City & County Airport, (Series 13, due
11/01/23)...................................... VRDN 03/03/99(b) 3.100 4,025,000
6,500 Douglas County, (School District RE-1)........... TAN 06/30/99 3.750 6,516,921
5,000 Smith Creek Metro District, (due 10/01/35), LOC
Nationsbank of Texas........................... VRDN 03/04/99(b) 2.950 5,000,000
---------------
15,541,921
---------------
DISTRICT OF COLUMBIA (0.4%)
1,900 District of Columbia, (Callable, Refunding,
Series A-1, due 10/01/07), LOC National
Westminster Bank PLC........................... VRDN 03/01/99(b) 3.350 1,900,000
1,400 District of Columbia, (Callable, Refunding,
Series A-2, due 10/01/07), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 3.350 1,400,000
1,600 District of Columbia, (Callable, Refunding,
Series A-5, due 10/01/07), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 3.350 1,600,000
3,265 District of Columbia, (Callable, The American
University Issue, due 10/01/15), LOC National
Westminster Bank PLC........................... VRDN 03/03/99(b) 2.950 3,265,000
---------------
8,165,000
---------------
FLORIDA (2.7%)
5,000 Alachua County Health Facilities Authority,
(Callable, Shands Teaching Hospital, Series B,
due 12/01/26).................................. VRDN 03/03/99(b) 2.900 5,000,000
5,800 Citrus Park Community Development District,
(Callable, Florida Capital Improvement Project,
due 11/01/16), LOC Dresdner Bank AG............ VRDN 03/03/99(b) 2.900 5,800,000
17,800 Dade County, (Callable, Water & Sewer System, due
10/05/22), FGIC Insured........................ VRDN 03/03/99(b) 3.000 17,800,000
10,700 Florida Municipal Power Agency, (Callable,
Refunding, Sub-Stanton II Project, due
10/01/27)...................................... VRDN 03/03/99(b) 2.900 10,700,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 6,900 Hillsborough County Industrial Development
Authority, (Callable, PCR, Refunding, due
05/15/18)...................................... VRDN 03/01/99(b) 3.150% $ 6,900,000
4,450 Jacksonville, (Callable, PCR, Refunding, Florida
Power & Light Co. Project, due 05/01/29)....... VRDN 03/01/99(b) 3.150 4,450,000
4,500 St. Lucie County, (Callable, PCR, Refunding,
Florida Power & Light Co. Project, due
03/01/27)...................................... VRDN 03/01/99(b) 3.150 4,500,000
4,800 Tampa Occupational License Tax, (Callable, Series
A, due 10/01/18), FGIC Insured................. VRDN 03/03/99(b) 2.900 4,800,000
---------------
59,950,000
---------------
GEORGIA (4.6%)
7,300 Appling County Development Authority, (Callable,
PCR, Georgia Power Co. - Hatch Project, due
09/01/29)...................................... VRDN 03/01/99(b) 3.150 7,300,000
5,900 Burke County Development Authority, (Callable,
PCR, Georgia Power Co., Vogtle Project -1st
Series, due 04/01/32).......................... VRDN 03/01/99(b) 3.150 5,900,000
4,700 Burke County Development Authority, (Callable,
PCR, Georgia Power Co., Vogtle Project-5th
Series, due 07/01/24).......................... VRDN 03/01/99(b) 3.300 4,700,000
19,700 Burke County Development Authority, (Callable,
PCR, Oglethorpe Power Corp., Series A, due
01/01/19), FGIC Insured........................ VRDN 03/03/99(b) 2.950 19,700,000
2,525 Coweta County Development Authority, (Callable,
PCR, Georgia Power Co., Yates Plant Project,
due 03/01/24).................................. VRDN 03/01/99(b) 3.150 2,525,000
4,000 DeKalb County Development Authority, (Callable,
Metro Atlanta YMCA Project, due 06/01/20), LOC
Wachovia Bank of Georgia....................... VRDN 03/03/99(b) 2.950 4,000,000
28,700 Georgia Municipal Association, (Callable, Pool
Bond Certificates, due 12/15/20), MBIA
Insured........................................ VRDN 03/04/99(b) 2.900 28,700,000
13,480 Georgia, (due 04/01/10).......................... VRDN 03/04/99(b) 2.970 13,480,000
4,100 Heard County Development Authority, (Callable,
PCR, Georgia Power Co., Wansley Project, due
09/01/29)...................................... VRDN 03/01/99(b) 3.150 4,100,000
8,925 Putnam County Development Authority, (Callable,
PCR, Georgia Power Co., due 03/01/24).......... VRDN 03/01/99(b) 3.150 8,925,000
3,500 Putnam County Development Authority, (Callable,
PCR, Georgia Power Co., Series 1, due
06/01/23)...................................... VRDN 03/01/99(b) 3.150 3,500,000
---------------
102,830,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (10.2%)
$ 10,000 Chicago, (Callable, MFHR, Waveland Association
Project-A, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900% $ 10,000,000
10,000 Chicago, (Callable, MFHR, Waveland Association
Project-B, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 10,000,000
3,000 Chicago, (Callable, MFHR, Waveland Association
Project-E, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 3,000,000
12,600 Chicago, (Callable, MFHR, Waveland Association
Project-F, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 12,600,000
5,800 Chicago, (Callable, O'Hare International Airport,
2nd Lien, Series A, due 01/01/15), LOC Societe
Generale....................................... VRDN 03/03/99(b) 2.900 5,800,000
4,359 Chicago, (Callable, O'Hare International Airport,
2nd Lien, Series B, due 01/01/15), LOC Societe
Generale....................................... VRDN 03/03/99(b) 2.900 4,359,000
19,110 Chicago, (due 01/01/28).......................... VRDN 03/04/99(b) 2.970 19,110,000
30,000 Chicago, (Putable, due 01/26/01), LOC
Westduetsche Landesbank........................ MP 01/27/00 2.950(v) 29,997,661
7,100 Chicago, (Wastewater Transmission Revenue, due
01/01/25)...................................... VRDN 03/04/99(b) 2.970 7,100,000
10,000 Illinois Development Finance Authority,
(Callable, Chicago Symphony Project, due
06/01/31), LOC Bank of America................. VRDN 03/03/99(b) 2.800 10,000,000
5,200 Illinois Development Finance Authority,
(Callable, PCR, Illinois Power Co. Project,
Series B, due 11/01/28), LOC ABN Amro Bank
NV............................................. VRDN 03/03/99(b) 2.900 5,200,000
1,600 Illinois Development Finance Authority,
(Callable, Refunding, Olin Corp. Project,
Series A, due 06/01/04), LOC Wachovia Bank of
South Carolina................................. VRDN 03/01/99(b) 3.200 1,600,000
2,740 Illinois Development Finance Authority,
(Callable, Refunding, Olin Corp. Project,
Series D, due 03/01/16), LOC Wachovia Bank of
South Carolina................................. VRDN 03/01/99(b) 3.200 2,740,000
16,900 Illinois Educational Facilities Authority,
(Callable, University Pooled Financing Program,
due 12/01/05), FGIC Insured.................... VRDN 03/03/99(b) 2.850 16,900,000
2,400 Illinois Health Facilities Authority, (Callable,
Loyola University Health System, Series B, due
07/01/24)...................................... VRDN 03/03/99(b) 2.950 2,400,000
24,400 Illinois Toll Highway Authority, (Callable,
Refunding, Series B, due 01/01/10), MBIA
Insured, LOC Societe Generale.................. VRDN 03/03/99(b) 2.950 24,400,000
26,785 Illinois, (due 04/01/23), FGIC Insured........... VRDN 03/04/99(b) 2.970 26,785,000
6,500 Illinois, (Series 40, due 08/05/12).............. VRDN 03/04/99(b) 3.070 6,500,000
14,930 Metropolitan Pier & Exposition Authority,
(Dedicated State Tax Revenue, due 06/15/28).... VRDN 03/04/99(b) 3.250 14,930,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 10,000 Metropolitan Pier & Exposition Authority,
(Dedicated State Tax Revenue, due 12/15/23).... VRDN 03/04/99(b) 2.970% $ 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, due 12/15/26), LOC Bank One Texas..... VRDN 03/03/99(b) 3.100 3,000,000
---------------
226,421,661
---------------
INDIANA (4.1%)
1,300 Indiana Development Finance Authority, (Callable,
Refunding, Bayer Corp. Project, due
03/01/09)...................................... VRDN 03/01/99(b) 3.250 1,300,000
80,000 Indiana Office Building Commission............... CP 03/05/99 3.000 80,000,000
4,050 Rockport, (Callable, PCR, Indiana and Michigan
Electric Co. Project, Series A, due
08/01/14)...................................... VRDN 03/03/99(b) 3.000 4,050,000
6,200 South Bend Redevelopment Authority, (Callable,
Rental-College Football, due 02/01/19), LOC
Landesbank Hessen.............................. VRDN 03/03/99(b) 3.100 6,200,000
---------------
91,550,000
---------------
KANSAS (0.1%)
2,000 Garden City, (Callable, IDR, Inland Container
Corp. Project, due 01/01/08), LOC CS First
Boston......................................... VRDN 03/01/99(b) 3.000 2,000,000
---------------
KENTUCKY (3.2%)
15,160 Kentucky Asset / Liability Commission............ CP 03/08/99 3.050 15,160,000
23,500 Kentucky Asset / Liability Commission, (General
Fund Revenue).................................. RAN 11/01/99 3.500 23,574,411
8,500 Kentucky Asset / Liability Commission, (General
Fund Revenue, Series B)........................ TRAN 06/25/99 4.000 8,517,685
18,090 Kentucky Turnpike Authority, (Resource Recovery,
Series 17, due 07/01/03), FSA Insured.......... VRDN 03/03/99(b) 3.100 18,090,000
6,000 Mayfield, (Callable, Multi-City Lease Revenue,
Kentucky League of Cities Funding Trust, due
07/01/26), LOC PNC Bank........................ VRDN 03/03/99(b) 3.050 6,000,000
---------------
71,342,096
---------------
LOUISIANA (2.2%)
4,500 Ascension Parish, (Callable, PCR, Refunding,
Borden Inc. Project, due 12/01/09), LOC CS
First Boston................................... VRDN 03/03/99(b) 2.900 4,500,000
16,400 East Baton Rouge Parish, (Callable, PCR, Exxon
Project, due 11/01/19)......................... VRDN 03/01/99(b) 3.100 16,400,000
7,000 Lake Charles Harbor & Terminal District,
(Callable, Reynolds Metals Co. Project, due
05/01/06), LOC Canadian Imperial Bank.......... VRDN 03/03/99(b) 2.900 7,000,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (CONTINUED)
$ 3,700 Louisiana Offshore Terminal Authority, (Deepwater
Port Revenue, due 09/01/08).................... VRDN 03/01/99(b) 3.200% $ 3,700,000
1,915 Louisiana Public Facilities Authority, (Callable,
Colleges & University Equipment and Capital,
Series A, due 09/01/10), FGIC Insured.......... VRDN 03/03/99(b) 2.950 1,915,000
7,230 Louisiana Public Facilities Authority, (Callable,
Refunding, Hospital Revenue, due 12/01/00),
MBIA Insured................................... VRDN 03/03/99(b) 2.950 7,230,000
7,300 Louisiana Public Facilities Authority, (Kenner
Hotel Limited Partnership Project, due
12/01/15), LOC Deutsche Bank................... VRDN 03/01/99(b) 3.150 7,300,000
---------------
48,045,000
---------------
MARYLAND (3.6%)
10,000 Anne Arundel County, (Callable, PCR, Baltimore
Gas & Electric Co. Project, due 07/01/14)...... TPP 07/01/99 3.730(v) 10,000,000
14,000 Baltimore County Metro District.................. CP 03/04/99 3.000 14,000,000
11,000 Montgomery County................................ CP 03/11/99 3.050 11,000,000
13,300 Montgomery County................................ CP 03/26/99 3.000 13,300,000
18,150 Montgomery County................................ CP 05/05/99 2.850 18,150,000
13,200 Montgomery County Housing Opportunities
Commission, (Callable, MFHR, Grosvenor, Series
A, due 07/15/07), FNMA Insured................. VRDN 03/03/99(b) 2.900 13,200,000
---------------
79,650,000
---------------
MASSACHUSETTS (1.3%)
17,900 Massachusetts Bay Transportation Authority....... CP 03/18/99 3.000 17,900,000
11,166 Massachusetts Health & Education Facilities
Authority, (Callable, Harvard University, due
02/01/16)...................................... VRDN 03/04/99(b) 2.700 11,166,000
---------------
29,066,000
---------------
MICHIGAN (1.4%)
8,800 Michigan Building Authority...................... CP 03/10/99 2.650 8,800,000
3,000 Michigan Job Development Authority, (Callable,
Gordon Food Service Project, due 08/01/15), LOC
Rabobank Nederland............................. VRDN 03/04/99(b) 2.900 3,000,000
9,900 Michigan Strategic Fund Ltd., (Callable, Reserve
1, due 09/01/30), LOC Barclays Bank PLC........ VRDN 03/01/99(b) 3.150 9,900,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (CONTINUED)
$ 7,600 Michigan Strategic Fund Ltd., (Lutheran Homes of
Michigan Project, due 09/01/17), LOC National
Bank of Detroit................................ VRDN 03/03/99(b) 2.850% $ 7,600,000
1,900 Midland County Economic Development Corp.,
(Callable, Refunding, Dow Chemical Co. Project,
Series B, due 12/01/15)........................ VRDN 03/01/99(b) 3.200 1,900,000
---------------
31,200,000
---------------
MINNESOTA (0.5%)
2,700 Minnesota Public Facilities Authority, (Water
Pollution Control Revenue, due 03/01/15)....... VRDN 03/04/99(b) 3.070 2,700,000
7,690 Minnesota, (due 06/01/15)........................ VRDN 03/04/99(b) 2.970 7,690,000
---------------
10,390,000
---------------
MISSISSIPPI (0.1%)
1,400 Jackson County, (Callable, PCR, Chevron Project,
due 06/01/23).................................. VRDN 03/01/99(b) 3.200 1,400,000
---------------
MISSOURI (0.5%)
400 Missouri Development Finance Board, (Callable,
Sci City Union Station, Series B, due
12/01/03), LOC Canadian Imperial Bank.......... VRDN 03/01/99(b) 3.600 400,000
1,600 Missouri Environmental Improvement Authority &
Energy Resource Authority, (Callable,
Refunding, Bayer Corp. Project, due
03/01/09)...................................... VRDN 03/01/99(b) 3.250 1,600,000
8,310 Missouri, (due 08/01/20)......................... VRDN 03/04/99(b) 2.970 8,310,000
---------------
10,310,000
---------------
MONTANA (0.7%)
15,000 Montana.......................................... TRAN 06/30/99 3.500 15,036,176
---------------
NEBRASKA (0.5%)
12,000 Lancaster County Hospital Authority, (Callable,
Refunding, Bryan Memorial Hospital Project #1,
due 06/01/12), MBIA Insured.................... VRDN 03/03/99(b) 2.950 12,000,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
NEVADA (1.4%)
$ 26,800 Clark County, (Callable, Refunding, Airport
Improvement Revenue, Series A, due 07/01/12),
MBIA Insured................................... VRDN 03/03/99(b) 2.950% $ 26,800,000
4,875 Nevada, (due 05/15/22)........................... VRDN 03/04/99(b) 3.010 4,875,000
---------------
31,675,000
---------------
NEW JERSEY (3.5%)
11,175 New Jersey....................................... GO 02/01/00 4.000 11,291,983
7,000 New Jersey Transportation........................ CP 03/15/99 3.050 7,000,000
24,000 New Jersey Transportation........................ CP 03/17/99 3.050 24,000,000
11,845 New Jersey Transportation Trust Fund, (due
06/15/14)...................................... VRDN 03/04/99(b) 2.940 11,845,000
17,730 New Jersey Transportation Trust Fund, (due
12/15/14)...................................... VRDN 03/04/99(b) 2.940 17,730,000
6,600 New Jersey Turnpike Authority, (Callable,
Turnpike Revenue, Series D, due 01/01/18), FGIC
Insured, LOC Societe Generale.................. VRDN 03/03/99(b) 2.600 6,600,000
---------------
78,466,983
---------------
NEW MEXICO (0.8%)
3,900 Farmington, (Callable, PCR, Arizona Public
Service Company, Series B, due 09/01/24), LOC
Barclays Bank PLC.............................. VRDN 03/01/99(b) 3.200 3,900,000
15,000 New Mexico, (Series A)........................... TRAN 06/30/99 3.750 15,037,737
---------------
18,937,737
---------------
NEW YORK (7.8%)
10,000 Long Island Power Authority...................... CP 04/08/99 3.000 10,000,000
20,945 Metropolitan Transportation Authority,
(Transportation Facilities Revenue, due
07/01/26)...................................... VRDN 03/04/99(b) 2.970 20,945,000
2,600 New York City Municipal Assistance Corp.,
(Callable, Subseries K-1, due 07/01/08)........ VRDN 03/03/99(b) 2.650 2,600,000
6,500 New York City Municipal Assistance Corp.,
(Callable, Subseries K-2, due 07/01/08)........ VRDN 03/03/99(b) 2.650 6,500,000
300 New York City Municipal Water Finance Authority,
(Callable, Water and Sewer Systems, Series G,
due 06/15/24), FGIC Insured.................... VRDN 03/01/99(b) 3.200 300,000
15,900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, due 06/15/24)........ VRDN 03/04/99(b) 3.070 15,900,000
15,450 New York Dormitory Authority, (due 07/01/25)..... VRDN 03/03/99(b) 3.050 15,450,000
8,140 New York Medical Care Facilities Finance Agency,
(due 02/15/29)................................. VRDN 03/04/99(b) 3.010 8,140,000
9,400 New York State and Local Government Assistance
Corp., (Callable, Series G, due 04/01/25), LOC
Bank of Nova Scotia............................ VRDN 03/03/99(b) 2.600 9,400,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 12,000 New York State Energy Research and Development
Authority, (Callable, PCR, Lilco Project,
Series B, due 03/01/16)........................ RB 03/01/99 3.580% $ 12,000,000
5,000 New York Urban Development Corp., (Series SG-33,
due 01/01/25).................................. VRDN 03/04/99(b) 2.970 5,000,000
1,710 New York, (Callable, Series B, Subseries B5, due
08/15/22), MBIA Insured........................ VRDN 03/01/99(b) 3.200 1,710,000
12,000 New York, (due 08/01/17)......................... VRDN 03/04/99(b) 3.010 12,000,000
25,000 New York, (Series A79, due 04/13/99)............. VRDN 03/03/99(b) 2.900 24,998,017
13,090 Port Authority of New York & New Jersey, (due
12/01/14)...................................... VRDN 03/02/99(b) 3.208 13,090,000
14,000 Suffolk County, (Series 1)....................... TAN 08/12/99 3.500 14,030,829
---------------
172,063,846
---------------
NORTH CAROLINA (3.5%)
4,000 Greensboro Enterprise Systems, (Callable, Series
B, due 06/01/22), LOC Credit Local De France... VRDN 03/03/99(b) 2.950 4,000,000
9,100 North Carolina Educational Facilities Finance
Agency, (Callable, Bowman Grey School Medical
Project, due 09/01/20), LOC Wachovia Bank...... VRDN 03/04/99(b) 2.900 9,100,000
6,000 North Carolina Educational Facilities Finance
Agency, (Callable, Bowman Grey School Medical
Project, due 09/01/26), LOC Wachovia Bank...... VRDN 03/03/99(b) 2.900 6,000,000
10,310 North Carolina Educational Facilities Finance
Agency, (Callable, Elon College, due 01/01/21),
LOC Nationsbank N.A............................ VRDN 03/03/99(b) 2.950 10,310,000
9,500 North Carolina Educational Facilities Finance
Agency, (Callable, Greensboro College, due
09/01/27)...................................... VRDN 03/03/99(b) 2.950 9,500,000
4,955 North Carolina Educational Facilities Finance
Agency, (Callable, Guilford College, due
05/01/24), MBIA Insured........................ VRDN 03/03/99(b) 2.950 4,955,000
17,500 North Carolina Medical Care Community Health
System, (Callable, Catholic Health East, Series
D, due 11/15/28), AMBAC Insured................ VRDN 03/03/99(b) 2.950 17,500,000
10,175 North Carolina, (due 03/01/11)................... VRDN 03/04/99(b) 2.970 10,175,000
2,345 North Carolina, (due 03/01/16)................... VRDN 03/04/99(b) 3.010 2,345,000
4,000 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Callable, PCR,
Carolina Power & Light Project, Series A, due
05/01/15), LOC Wachovia Bank................... VRDN 03/03/99(b) 2.900 4,000,000
---------------
77,885,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
OHIO (0.4%)
$ 8,225 Warren County Health Care Facilities, (Callable,
Refunding & Improvement - Otterbein, Series A,
due 07/01/21), LOC Fifth Third Bank............ VRDN 03/03/99(b) 2.950% $ 8,225,000
---------------
OTHER (8.0%)
48,015 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 01/01/28)....................... VRDN 03/04/99(b) 3.450 48,015,000
10,000 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 06/15/30)....................... VRDN 03/04/99(b) 3.380 10,000,000
61,560 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 07/02/27)....................... VRDN 03/04/99(b) 3.450 61,560,000
58,115 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 10/01/30)....................... VRDN 03/04/99(b) 3.070 58,115,000
---------------
177,690,000
---------------
PENNSYLVANIA (3.3%)
31,075 Delaware Valley Regional Finance Authority,
(Callable, Mode 1, due 08/01/16), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 31,075,000
15,800 Delaware Valley Regional Finance Authority,
(Callable, Series C, due 12/01/20), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Callable, Series D, due 12/01/20), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 4,500,000
22,000 Philadelphia, (Series A)......................... TRAN 06/30/99 4.250 22,043,221
---------------
73,418,221
---------------
SOUTH CAROLINA (1.2%)
4,500 Berkeley County, (Callable, Refunding, Bayer
Corp. Project, due 03/01/09)................... VRDN 03/01/99(b) 3.250 4,500,000
21,500 Greenville County School District................ GO 03/01/00 3.500 21,614,380
1,100 South Carolina Public Service Authority, (due
01/01/25)...................................... VRDN 03/03/99(b) 3.100 1,100,000
---------------
27,214,380
---------------
TENNESSEE (1.3%)
5,900 Bradley County Industrial Development Board,
(Callable, Olin Corp. Project, Series C, due
11/01/17), LOC Wachovia Bank................... VRDN 03/01/99(b) 3.200 5,900,000
6,500 Knox County Industrial Development Board,
(Callable, IDR, Professional Plaza Project, due
12/01/14)...................................... VRDN 03/12/99(b) 3.000 6,500,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
TENNESSEE (CONTINUED)
$ 5,700 Metropolitan Nashville Airport Authority,
(Callable, Special Facilities Revenue, American
Airlines Project, Series A, due 10/01/12)...... VRDN 03/01/99(b) 3.350% $ 5,700,000
10,100 Tennessee, (Series C, due 07/02/01).............. VRDN 03/03/99(b) 2.950 10,100,000
---------------
28,200,000
---------------
TEXAS (14.6%)
9,238 Dallas, (Waterworks & Sewer Authority, Series
B)............................................. CP 03/18/99 3.000 9,238,000
8,707 Dallas, (Waterworks & Sewer Authority, Series
B)............................................. CP 03/25/99 3.000 8,707,000
1,500 El Paso Industrial Development Authority, (Contel
Cellular of El Paso Inc. Project, due
02/01/04), LOC Bank of Nova Scotia............. VRDN 03/01/99(b) 4.875 1,500,000
9,000 Grayson County Industrial Development Corp.,
(Callable, Aluminum Co. of America, Refunding,
due 12/01/02).................................. VRDN 03/04/99(b) 3.150 9,000,000
16,500 Guadalupe-Blanco River Authority, (Callable, PCR,
Refunding, Central Power & Light Co. Project,
due 11/01/15), LOC ABN Amro Bank N.V........... VRDN 03/01/99(b) 3.200 16,500,000
12,565 Gulf Coast Waste Disposal Authority, (Callable,
PCR, Refunding, Amoco Oil Co. Project, due
10/01/17)...................................... VRDN 03/01/99(b) 3.150 12,565,000
21,600 Harris County Health Facilities Development
Corp........................................... CP 03/09/99 2.950 21,600,000
12,600 Harris County Health Facilities Development
Corp........................................... CP 04/07/99 3.050 12,600,000
16,600 Harris County Health Facilities Development
Corp........................................... CP 06/09/99 3.000 16,600,000
10,100 Harris County Health Facilities Development
Corp., (Hospital Revenue, Series 23, due
06/01/27), FSA Insured......................... VRDN 03/03/99(b) 3.100 10,100,000
2,790 Harris County Industrial Development Corp.,
(Callable, Johann Haltermann Project, Series A,
due 04/01/08), LOC Chase Bank of Texas......... VRDN 03/04/99(b) 3.000 2,790,000
2,090 Harris County Industrial Development Corp.,
(Callable, Johann Haltermann Project, Series B,
due 04/01/08), LOC Chase Bank of Texas......... VRDN 03/04/99(b) 3.000 2,090,000
10,000 Houston Water & Sewer Systems.................... CP 04/12/99 2.850 10,000,000
10,330 Houston Water & Sewer Systems, (Series PZ-11, due
12/01/28)...................................... VRDN 03/04/99(b) 3.250 10,330,000
19,600 Houston Water & Sewer Systems, (Series SG-120,
due 12/01/23).................................. VRDN 03/01/99(b) 2.970 19,600,000
400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series A-1, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350 400,000
400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series B-1, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350 400,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 1,400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series B-3, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350% $ 1,400,000
23,100 Lower Colorado River Authority, (Callable,
Refunding, Junior Lien, 3rd Supplement Series,
due 01/01/13), MBIA Insured.................... VRDN 03/03/99(b) 2.950 23,100,000
4,500 Mansfield Industrial Development Corp.,
(Callable, Pier 1 Imports-Texas Inc. Project,
due 11/01/26), LOC Bank of Texas............... VRDN 03/03/99(b) 3.100 4,500,000
3,900 Port Development Corp., (Callable, Refunding,
Stolt Marine Terminal Project, due 01/15/14),
LOC Canadian Imperial Bank..................... VRDN 03/03/99(b) 3.000 3,900,000
93,755 Texas............................................ TRAN 08/31/99 4.500 94,428,251
990 Texas Higher Education Authority Inc, (Callable,
Series B, due 02/01/25), FGIC Insured.......... VRDN 03/03/99(b) 2.950 990,000
20,070 Texas, (Callable, Refunding, Veterans Housing
Assistance - Fund I, due 12/01/16), Veterans
Administration Guaranteed...................... VRDN 03/03/99(b) 2.950 20,070,000
10,240 Texas, (due 10/01/14)............................ VRDN 03/04/99(b) 3.250 10,240,000
2,200 Waller County Industrial Development Corp.,
(Callable, IDR, Refunding, Tubular Steel
Project, due 09/01/99), LOC Wachovia Bank of
Georgia........................................ VRDN 03/03/99(b) 2.850 2,200,000
---------------
324,848,251
---------------
UTAH (4.0%)
5,865 Carbon County, (Callable, PCR, Refunding,
Pacificorp Project, due 11/01/24), AMBAC
Insured........................................ VRDN 03/01/99(b) 3.200 5,865,000
8,000 Intermountain Power Agency....................... CP 03/10/99 3.050 8,000,000
6,400 Intermountain Power Agency....................... CP 03/18/99 3.050 6,400,000
11,800 Intermountain Power Agency....................... CP 03/29/99 2.850 11,800,000
25,000 Intermountain Power Agency....................... CP 04/07/99 3.000 25,000,000
9,000 Intermountain Power Agency, (Callable, Utah Power
Supply Revenue, Series F, due 07/01/15), AMBAC
Insured, LOC Swiss Bank........................ VRDN 03/15/99(b) 3.300 9,000,000
21,815 Utah, (due 07/01/11)............................. VRDN 03/04/99(b) 2.970 21,815,000
---------------
87,880,000
---------------
VERMONT (0.3%)
6,200 Vermont Student Loan Assistance Corp., (Callable,
due 01/01/04), LOC National Westminster Bank
PLC............................................ VRDN 03/01/99(b) 2.900 6,200,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
VIRGINIA (1.7%)
$ 36,900 Loudoun County Industrial Development Authority,
(Callable, Refunding, Falcons Landing Project,
due 11/01/28), LOC Bank of Scotland............ VRDN 03/03/99(b) 2.950% $ 36,900,000
1,000 Virginia Beach Industrial Development Authority,
(Callable, IDR, Norfolk Virginia Beach,
Portsmouth MSA Limited Partnership Project, due
12/01/04), LOC Bank of Nova Scotia............. VRDN 03/01/99(b) 4.875 1,000,000
---------------
37,900,000
---------------
WASHINGTON (3.6%)
6,400 Seattle, (Callable, Water System Revenue, due
09/01/25), LOC Bayerische Landesbank........... VRDN 03/03/99(b) 2.900 6,400,000
17,235 Washington Public Power Supply System, (Callable,
Refunding, Project No. 2, Series 2A-1, due
07/01/12), MBIA Insured........................ VRDN 03/03/99(b) 2.850 17,235,000
11,695 Washington Public Power Supply Systems, (Nuclear
Project No. 1, due 07/01/17)................... VRDN 03/04/99(b) 3.010 11,695,000
3,245 Washington, (Series 12, due 09/01/07)............ VRDN 03/03/99(b) 3.070 3,245,000
7,000 Washington, (Series SG-37, due 07/01/17)......... VRDN 03/04/99(b) 2.970 7,000,000
33,500 Washington, (Series VR-96A, due 06/01/20)........ VRDN 03/03/99(b) 2.850 33,500,000
---------------
79,075,000
---------------
WISCONSIN (1.6%)
15,000 Wisconsin........................................ RAN 06/15/99 4.500 15,059,385
8,955 Wisconsin Health & Educational Facilities
Authority, (Callable, St. Luke's Medical
Center, Remarketed 03/10/97, due 12/01/17), LOC
First National Bank of Chicago................. VRDN 03/03/99(b) 2.850 8,955,000
10,552 Wisconsin Transportation Authority............... CP 03/24/99 3.050 10,552,000
---------------
34,566,385
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
WYOMING (0.6%)
$ 2,300 Lincoln County, (Callable, PCR, Exxon Project,
Series B, due 11/01/14)........................ VRDN 03/01/99(b) 3.100% $ 2,300,000
8,700 Sweetwater County, (Callable, PCR, Refunding,
Pacificorp Project, Series A, due 07/01/15),
LOC CS First Boston............................ VRDN 03/03/99(b) 2.900 8,700,000
1,300 Uinta County , (Callable, PCR, Chevron Project,
due 08/15/20).................................. VRDN 03/01/99(b) 3.200 1,300,000
---------------
12,300,000
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.8%).............................. 2,212,200,872
ASSETS IN EXCESS OF OTHER LIABILITIES (0.2%)....................................... 5,511,157
---------------
NET ASSETS (100.0%)................................................................ $ 2,217,712,029
---------------
---------------
</TABLE>
- ------------------------------
(b) 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.
(v) Rate shown reflects current rate on variable or floating rate instrument
with step coupon rate. The due date in the security description reflects the
final maturity date.
Abbreviations used in the Schedule of Investments are as follows:
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
FSA - Financial Securities Assistance.
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.
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.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,212,200,872
Receivable for Investments Sold 15,022,562
Interest Receivable 14,195,764
Prepaid Trustees' Fees 3,862
Prepaid Expenses and Other Assets 11,252
--------------
Total Assets 2,241,434,312
--------------
LIABILITIES
Payable for Investments Purchased 21,647,825
Payable to Custodian 1,621,500
Advisory Fee Payable 253,327
Administrative Services Fee Payable 45,936
Administration Fee Payable 2,880
Fund Services Fee Payable 1,570
Accrued Expenses 149,245
--------------
Total Liabilities 23,722,283
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,217,712,029
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $32,609,000
EXPENSES
Advisory Fee $1,507,492
Administrative Services Fee 275,274
Custodian Fees and Expenses 173,458
Professional Fees and Expenses 26,998
Fund Services Fee 24,745
Trustees' Fees and Expenses 11,244
Administration Fee 11,028
Miscellaneous 8,263
----------
Total Expenses 2,038,502
-----------
NET INVESTMENT INCOME 30,570,498
NET REALIZED GAIN ON INVESTMENTS 87,616
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $30,658,114
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<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, 1999 YEAR ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 30,570,498 $ 57,780,944
Net Realized Gain on Investments 87,616 58,974
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 30,658,114 57,839,918
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 5,116,096,753 8,287,690,613
Withdrawals (4,773,178,765) (7,897,457,444)
----------------- ---------------
Net Increase from Investors' Transactions 342,917,988 390,233,169
----------------- ---------------
Total Increase in Net Assets 373,576,102 448,073,087
NET ASSETS
Beginning of Period 1,844,135,927 1,396,062,840
----------------- ---------------
End of Period $ 2,217,712,029 $ 1,844,135,927
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED AUGUST
FEBRUARY 28, 31,
1999 --------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
---------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20%(a) 0.22% 0.24% 0.25% 0.25% 0.25%
Net Investment Income 3.02%(a) 3.38% 3.34% 3.40% 3.61% 2.37%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
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 consistent with the
preservation of capital and same-day 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) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan Guaranty Trust Company of New York ("Morgan"), a
wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan").
Under the terms of the agreement, the portfolio paid 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 amount over $1 billion. Effective October 1, 1998 the
portfolio's investment advisor is J.P. Morgan Investment Management Inc.,
("JPMIM"), an affiliate of Morgan and a wholly owned subsidiary of J.P.
Morgan, and the terms of the agreement have remained the same. For the six
months ended February 28, 1999, the fee for these services amounted to
$1,507,492.
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,
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
furnishes office space and facilities required for conducting the business
of the portfolio and pays the compensation of the officers affiliated with
FDI. The portfolio has agreed to pay FDI fees equal to its allocable share
of an annual complex-wide charge of $425,000 plus FDI's out-of-pocket
expenses. The amount allocable to the portfolio is based on the ratio of
the portfolio's net assets to the aggregate net assets of the portfolio
and certain other investment companies subject to similar agreements with
FDI. For the six months ended February 28, 1999, the fee for these
services amounted to $11,028.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which JPMIM acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion, less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the six months ended February 28, 1999, the fee
for these services amounted to $275,274.
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 $24,745 for the six months ended February 28, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios and J.P. Morgan Series Trust.
The Trustees' Fees and Expenses shown in the financial statements
represents the portfolio's allocated portion of the total fees and
expenses. The portfolio's Chairman and Chief Executive Officer also serves
as Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $5,200.
34
<PAGE>
J.P. MORGAN INSTITUTIONAL FUNDS
PRIME MONEY MARKET FUND
TREASURY MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
TAX EXEMPT BOND FUND
NEW YORK TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: INSTITUTIONAL SHARES
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
TAX AWARE DISCIPLINED EQUITY FUND:
INSTITUTIONAL SHARES
INTERNATIONAL EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
EMERGING MARKETS EQUITY FUND
SMARTINDEX-TM-FUND: INSTITUTIONAL SHARES
FOR MORE INFORMATION ON THE J.P. MORGAN INSTITUTIONAL FUNDS, CALL J.P. MORGAN
FUNDS SERVICES AT
(800)766-7722.
J.P. MORGAN INSTITUTIONAL
TAX EXEMPT
MONEY MARKET
FUND
ITEMMFR-992
SEMIANNUAL REPORT
FEBRUARY 28, 1999
