<PAGE>
LETTER TO THE SHAREHOLDERS OF THE PIERPONT TAX EXEMPT MONEY MARKET FUND
April 15, 1996
Dear Shareholder:
Talk of flat tax reform and economic uncertainty created an unusual environment
for municipals during the period. Given this backdrop, we're pleased to report
that The Pierpont Tax Exempt Money Market Fund produced an attractive relative
return for its semi-annual reporting period. The Fund returned 1.66% for the
semi-annual period ended February 29, 1996 compared with 1.58% for
IBC/Donoghue's Tax Free Money Fund Average. In addition, the Fund had an average
7-day yield of 3.00%, which is equivalent to a taxable yield of 4.97%, assuming
a 39.60% tax rate. We'd also like to draw your attention to the accompanying
table on page 2, which shows the Fund's outstanding historical returns versus
its IBC/Donoghue peer group.
We're also pleased to announce that we have made some revisions to the Fund's
financial report as part of our ongoing dedication to provide better service to
shareholders. In addition to adding more graphics and making Fund performance
easier to locate, we have added a portfolio manager Q&A. This interview with Dan
Mulvey, a member of the Fund's portfolio management team, covers the important
events that affected the short-term municipal market during the reporting period
and how we sought to add value in this environment. To help understand the Q&A,
we've also added a glossary of terms.
As always, we welcome your comments or questions. Please call J.P. Morgan Funds
Services toll free at (800) 521-5411.
Sincerely,
/s/ Evelyn E. Guernsey
Evelyn E. Guernsey
J.P. Morgan Funds Services
TABLE OF CONTENTS GLOSSARY OF TERMS . . . . . . . . 5
LETTER TO THE SHAREHOLDERS . . . . .1 FUND FACTS AND HIGHLIGHTS. . . . . 6
FUND PERFORMANCE . . . . . . . . . .2 SPECIAL FUND-BASED SERVICES. . . . 7
PORTFOLIO MANAGER Q&A. . . . . . . .3 FINANCIAL STATEMENTS . . . . . . . 8
1
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
One way to look at performance is to review a fund's average annual total
return. This figure takes a fund's actual (or cumulative) return and shows you
what would have happened if the fund had achieved that return by performing at a
constant rate each year. Average annual total returns represent the average
yearly change of a fund's value over various time periods, typically 1, 5, or 10
years (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 29, 1996 MONTHS MONTHS YEAR YEARS YEARS YEARS
- ------------------------------------------------------------- -----------------------------------
<S> <C> <C> <C> <C> <C> <C>
The Pierpont Tax Exempt
Money Market Fund 0.81% 1.66% 3.47% 2.74% 2.94% 3.98%
IBC/Donoghue's Tax Free
Money Fund Average 0.76% 1.58% 3.29% 2.59% 2.81% 3.85%
AS OF DECEMBER 31, 1995
- ------------------------------------------------------------- -----------------------------------
The Pierpont Tax Exempt
Money Market Fund 0.87% 1.72% 3.52% 2.68% 2.98% 4.01%
IBC/Donoghue's Tax Free
Money Fund Average 0.81% 1.62% 3.34% 2.53% 2.86% 3.89%
</TABLE>
PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. FUND RETURNS ASSUME THE
REINVESTMENT OF DISTRIBUTIONS AND REFLECT REIMBURSEMENT OF CERTAIN FUND AND
PORTFOLIO EXPENSES AS DESCRIBED IN THE PROSPECTUS. IBC/DONOGHUE'S TAX FREE MONEY
FUND AVERAGE IS AN AVERAGE OF ALL MAJOR TAX FREE MONEY MARKET RETURNS. THIS
COMPARATIVE INFORMATION IS AVAILABLE TO THE PUBLIC FROM THE IBC/DONOGHUE
ORGANIZATION, INC. NO REPRESENTATION IS MADE THAT INFORMATION GATHERED FROM THIS
SOURCE IS ACCURATE OR COMPLETE.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[Photograph]
Following is an interview with DAN MULVEY, part of the portfolio management team
of The Tax Exempt Money Market Portfolio in which the Fund invests. Dan joined
Morgan in September 1991 after spending six years with Equitable Life, trading
money market, government, and corporate securities. He earned a B.A. in
Economics from the University of Illinois and an M.B.A. from Fordham University.
DAN, WHAT WERE THE MAIN FACTORS AFFECTING SHORT-TERM MUNICIPALS DURING THE
PERIOD, AND HOW DID THE MARKET REACT?
DM: In the last six months of 1995, there was a dramatic decline in interest
rates, and we saw the short end of the yield curve become inverted as the market
anticipated further rate cuts by the Federal Reserve. This means near-term
interest rates were higher than longer-term rates, which is a reversal of the
typical pattern. Issuance of one-year notes was light at year end, which helped
to keep yields on these issues low and the curve inverted. The tax exempt money
market curve remained inverted but flattened considerably by the end of
February.
Another event that affected the market was the Japanese banking crisis. In the
third quarter of 1995, pressure on the Japanese banking system caused yields on
variable rate demand notes and other short-term paper from these institutions to
rise and prices to decline.
THERE WAS A LOT OF TALK ABOUT TAX REFORM DURING THE PERIOD. WHAT IMPACT DID
THESE DISCUSSIONS HAVE ON THE SHORT-TERM TAX EXEMPT MARKET?
DM: One of the proposals being discussed in the last half of 1995 included a
provision for a flat tax, which would treat all investment income as non
taxable. Obviously, this kind of tax would cancel out the main advantage of
investing in municipal securities over U.S. Treasuries. As a result, many
investors fled to short- municipal securities, selling their long-term issues to
wait out the uncertainty. Further rhetoric from Washington made it clear that
any radical tax reform was unlikely, at least in the foreseeable future. As this
fear subsided, the market corrected to more normal levels.
HOW DID CHANGES IN THE YIELD CURVE AFFECT YOUR STRATEGY?
DM: As the yield curve became inverted, we thought the amount of easing being
priced in by the market was overly aggressive. In other words, we didn't believe
the Federal Reserve was going to ease rates as much as the market anticipated.
Believing that one-year rates were too low, we shortened the average maturity of
the Portfolio, primarily by investing in daily and weekly variable rate demand
notes. In fact, in February, our allocation to these issues averaged around 65%,
which was higher than Donoghue's average of 59%.
The Portfolio's average maturity was 51 days at the end of the period, which
was more or less neutral to Donoghue's.
3
<PAGE>
HOW WAS THE FUND ABLE TO OUTPERFORM ITS COMPETITIVE AVERAGE IN THIS ENVIRONMENT?
DM: The Fund outperformed for the six months, primarily due to security
selection. We also took advantage of year-end conditions by purchasing variable
rate demand notes secured by letters of credit as the curve became inverted. We
also bought Japanese bank paper as it became cheaper. I should point out that we
used extensive credit research to evaluate these bank notes and only purchased
issues that met our high credit quality standards.
WHAT IS YOUR OUTLOOK FOR THE SHORT-TERM TAX EXEMPT MUNICIPAL MARKET?
DM: Supply is currently on the light side, but demand is still strong. In fact,
money fund assets have increased faster than issuance. This means there's still
a lot of money to be invested, which should keep municipal prices at expensive
levels. As I mentioned earlier, the tax exempt money market yield curve has
changed with the increase in yields in the taxable market. But, while longer-
term yields have risen somewhat and prices have declined, they still appear
expensive on a relative basis.
We're also waiting to see what happens with Rule 2a-7, which governs all money
market funds. Some new amendments that mainly apply to tax exempt money market
funds have been adopted, and we're waiting to see their effect on the market.
HOW DO YOU PLAN TO POSITION THE PORTFOLIO GOING FORWARD?
DM: If the Federal Reserve keeps short-term interest rates stable, or eases
again as we expect, we'll look for opportunities to lengthen the Portfolio's
average maturity. We'll also look for securities that offer yield advantages
over other short-term municipals. As always, we'll continue to invest in high
quality, liquid issues.
YIELDS CHANGE DIRECTION
The accompanying graph shows the short-term municipal yield curve at the end of
September 1995 and the end of the Fund's semi-annual reporting period. In
particular, it illustrates the change from an inverted yield curve to a flatter
curve by the end of the period.
TAX EXEMPT MONEY MARKET YIELD CURVE
[LINE GRAPH]
0days 1mo 3mo 7mo 12mo
----- --- --- --- ----
September 30, 1995 4.48 3.75 3.65 3.68 3.75
February 29, 1996 3.35 3.25 3.20 3.15 3.20
THIS CHART IS FOR ILLUSTRATIVE PURPOSES ONLY AND DOES NOT REPRESENT THE
PERFORMANCES OF ANY SPECIFIC SECURITY IN THE PORTFOLIO.
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.
RULE 2a-7: Rule under the Investment Company Act of 1940 that governs portfolio
maturity, quality, and diversification, as well as the accounting method used by
a money market fund, to enable it to maintain a stable net asset value per
share.
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.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The Pierpont Tax Exempt Money Market Fund seeks to provide a high level of
current income exempt from federal income tax and maintain a high level of
liquidity. It is designed for investors who seek to preserve capital and earn
current income exempt from federal income tax.
- --------------------------------------------------------------------------------
INCEPTION DATE
09/12/83
- --------------------------------------------------------------------------------
NET ASSETS AS OF 2/29/96
$1,015,665,902
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATES (IF APPLICABLE)
12/20/96
EXPENSE RATIO
The Fund's annual expense ratio of 0.49% covers shareholders' expenses for
custody, tax reporting, investment advisory and shareholder services.
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 29, 1996
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[PIE CHART]
VARIABLE RATE DEMAND NOTES 63.0%
REVENUE BONDS 9.3%
COMMERCIAL PAPER 6.9%
TAX REVENUE ANTICIPATION NOTES 6.5%
TAX ANTICIPATION NOTES 5.7%
REVENUE ANTICIPATION NOTES 4.3%
THIRD PARTY PUT BONDS 2.4%
GENERAL OBLIGATIONS 1.9%
AVERAGE 7-DAY YIELD
3.00%
AVERAGE MATURITY
51 days
6
<PAGE>
SPECIAL FUND-BASED SERVICES
PIERPONT ASSET ALLOCATION SERVICE (PAAS)
For many investors, a diversified portfolio -- including short-term instruments,
bonds, and stocks -- can offer an excellent opportunity to achieve one's
investment objectives. PAAS provides investors with a comprehensive management
program for their portfolios. Through this service, investors can:
- Create and maintain an asset allocation that is specifically targeted at
meeting their most critical investment objectives;
- Make ongoing tactical adjustments in the actual asset mix of their
portfolios to capitalize on shifting market trends;
- Make investments through The Pierpont Funds, a family of diversified mutual
funds.
PAAS is available to clients who invest a minimum of $500,000 in The Pierpont
Funds.
IRA MANAGEMENT SERVICE
As one of the few remaining investments that can help your assets grow tax-
deferred until retirement, the IRA enables more of your dollars to work for you
longer. Morgan offers an IRA Rollover plan that helps you to build well-balanced
long-term investment portfolios, diversified across a wide array of mutual
funds. From money markets to emerging markets, The Pierpont Funds provide an
excellent way to help you accumulate long-term wealth for retirement.
KEOGH
Keoghs provide another excellent vehicle to help individuals who are self-
employed or are employees of unincorporated businesses to accumulate retirement
savings. A Keogh is a tax-deferred pension plan that can allow you to contribute
the lesser of $30,000 or 25% of your annual earned gross compensation. The
Pierpont Funds can help you build a comprehensive investment program designed to
maximize the retirement dollars in your Keogh account.
SIGNATURE BROKER-DEALER SERVICES, INC. IS THE DISTRIBUTOR FOR THE PIERPONT TAX
EXEMPT MONEY MARKET FUND (THE "FUND").
MORGAN GUARANTY TRUST COMPANY OF NEW YORK ("MORGAN") SERVES AS PORTFOLIO
INVESTMENT ADVISOR AND MAKES THE FUND AVAILABLE SOLELY IN ITS CAPACITY AS
SHAREHOLDER SERVICING AGENT FOR CUSTOMERS. INVESTMENTS IN THE FUND ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, MORGAN OR ANY OTHER
BANK. SHARES OF THE FUND ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT
INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENTAL
AGENCY. ALTHOUGH THE FUND SEEKS TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00
PER SHARE, THERE CAN BE NO ASSURANCE THAT IT WILL BE ABLE TO CONTINUE TO DO SO.
The performance data quoted herein represent past performance. Please remember
that past performance is not a guarantee of future performance. Fund returns are
net of fees and assume the reinvestment of Fund distributions. The Fund invests
all of its investable assets in The Tax Exempt Money Market Portfolio, a
separately registered investment company which is not available to the public
but only to other collective investment vehicles such as the Fund.
MORE COMPLETE INFORMATION ABOUT THE FUND, INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES, IS PROVIDED IN THE PROSPECTUS, WHICH SHOULD BE READ CAREFULLY BEFORE
INVESTING. YOU MAY OBTAIN AN ADDITIONAL COPY OF THE PROSPECTUS BY CALLING
(800) 521-5411.
7
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Tax Exempt Money Market Portfolio
("Portfolio"), at value $ 1,018,286,303
Prepaid Expenses 29,449
---------------
Total Assets 1,018,315,752
---------------
LIABILITIES
Dividends Payable to Shareholders 2,450,731
Shareholder Servicing Fee Payable 120,169
Administrative Services Fee Payable 42,954
Administration Fee Payable 11,613
Fund Services Fee Payable 2,573
Accrued Trustees' Fees and Expenses 121
Accrued Expenses 21,689
---------------
Total Liabilities 2,649,850
---------------
NET ASSETS
Applicable to 1,015,581,650 Shares of Beneficial Interest
Outstanding
(par value $0.001, unlimited authorized shares) $ 1,015,665,902
---------------
---------------
Net Asset Value, Offering and Redemption Price Per Share $1.00
---------------
---------------
ANALYSIS OF NET ASSETS
Paid-in Capital $ 1,015,926,530
Accumulated Net Realized Loss on Investment (233,087)
Distribution in Excess of Net Realized Gains (27,541)
---------------
Net Assets $ 1,015,665,902
---------------
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
8
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $ 18,424,880
Allocated Portfolio Expenses (1,189,727)
------------
Net Investment Income from Portfolio 17,235,153
FUND EXPENSES
Shareholder Servicing Fee $ 918,569
Administration Fee 103,722
Transfer Agent Fees 45,113
Administrative Services Fee 42,954
Fund Services Fee 28,419
Trustees' Fees and Expenses 11,156
Professional Fees 10,374
Miscellaneous 31,546
-----------
Total Fund Expenses (1,191,853)
------------
NET INVESTMENT INCOME 16,043,300
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM PORTFOLIO 25,583
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 16,068,883
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
9
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED
FEBRUARY 29, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
--------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,043,300 $ 35,554,136
Net Realized Gain (Loss) on Investment Allocated from Portfolio 25,583 (245,620)
--------------- ----------------
Net Increase in Net Assets Resulting from Operations 16,068,883 35,308,516
--------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (16,043,300) (35,568,732)
--------------- ----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT A CONSTANT
$1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 1,868,602,812 3,817,542,595
Reinvestment of Dividends 14,949,194 32,310,165
Cost of Shares of Beneficial Interest Redeemed (1,852,980,387) (3,838,123,338)
--------------- ----------------
Net Increase from Transactions in Shares of Beneficial Interest 30,571,619 11,729,422
--------------- ----------------
Total Increase in Net Assets 30,597,202 11,469,206
NET ASSETS
Beginning of Period 985,068,700 973,599,494
--------------- ----------------
End of Period $1,015,665,902 $ 985,068,700
--------------- ----------------
--------------- ----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
10
<PAGE>
THE PIERPONT 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 29, FOR THE FISCAL YEAR ENDED AUGUST 31,
1996 ------------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
-------------- --------- ---------- --------- --------- ---------
<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 0.0165 0.0336 0.0212 0.0214 0.0317 0.0460
Net Realized Gain (Loss) on
Investment 0.0000(a) (0.0002) (0.0000)(a) 0.0001 0.0002 (0.0000)(a)
-------------- --------- ---------- --------- --------- ---------
Total from Investment Operations 0.0165 0.0334 0.0212 0.0215 0.0319 0.0460
-------------- --------- ---------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS
FROM
Net Investment Income (0.0165) (0.0336) (0.0212) (0.0214) (0.0317) (0.0460)
Net Realized Gain - - (0.0000)(a) (0.0002) - -
-------------- --------- ---------- --------- --------- ---------
Total Distributions to Shareholders (0.0165) (0.0336) (0.0212) (0.0216) (0.0317) (0.0460)
-------------- --------- ---------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
-------------- --------- ---------- --------- --------- ---------
-------------- --------- ---------- --------- --------- ---------
Total Return 1.66%(b) 3.41% 2.14% 2.15% 3.19% 4.60%
-------------- --------- ---------- --------- --------- ---------
-------------- --------- ---------- --------- --------- ---------
RATIOS AND SUPPLEMENTAL DATA
Net Assets at end of Period (in
thousands) $1,015,666 $ 985,069 $ 973,599 $1,007,330 $ 922,358 $ 877,422
Ratios to Average Net Assets
Expenses 0.49%(c) 0.51% 0.52% 0.52% 0.53% 0.55%
Net Investment Income 3.30%(c) 3.35% 2.10% 2.14% 3.16% 4.60%
Decrease reflected in Expense
Ratio due to Expense
Reimbursement - 0.00%(d) 0.01% 0.01% 0.01% 0.01%
</TABLE>
- ------------------------
(a) Less than $0.0001
(b) Not Annualized
(c) Annualized
(d) Less than 0.01%
The Accompanying Notes are an Integral Part of the Financial Statements
11
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Pierpont Tax Exempt Money Market Fund (the "Fund") is a separate series of
The Pierpont Funds (the "Trust"), a Massachusetts business trust which was
organized on November 4, 1992. The Trust is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The Fund, prior to its tax-free reorganization on July 11,
1993, to a series of the Trust, operated as a stand - alone mutual fund. Costs
related to the reorganization were borne by Morgan Guaranty Trust Company of New
York ("Morgan"). This report includes periods which preceded the Fund's
reorganization and reflects the operations of the predecessor entity.
The Fund invests all of its investable assets in The Tax Exempt Money Market
Portfolio (the "Portfolio"), a diversified open-end management company having
the same investment objective as the Fund. The value of such investment reflects
the Fund's proportionate interest in the net assets of the Portfolio (87% at
February 29, 1996). 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 prepared 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)All the Fund's net investment income is declared as dividends daily and
paid monthly. Distributions to shareholders of net realized capital gain,
if any, are declared and paid annually.
d)Each series of the Trust is treated as a separate entity for federal
income tax purposes. The Fund intends to comply with the provisions of the
Internal Revenue Code of 1986, as amended, applicable to regulated
investment companies and to distribute substantially all of its income,
including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for federal income or excise tax is
necessary. As of August 31, 1995, the Fund incurred and elected to defer
Post-October losses of $238,920 until the next taxable year. For federal
income tax purposes, the Fund had a capital loss carryforward at August
31, 1995, of $52,908, which, if not utilized will expire in the year 2003.
To the extent that this capital loss is used to offset future capital
gains, it is probable that the gains so offset will not be distributed to
shareholders.
e)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.
12
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Trust has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and Distributor. Signature
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 Signature. The agreement provided for a fee to be paid to Signature
at an annual rate determined by the following schedule: 0.04% of the first
$1 billion of the aggregate average daily net assets of the Trust, as well
as two other affiliated fund families for which Signature acts as
administrator, 0.032% of the next $2 billion of such net assets, 0.024% of
the next $2 billion of such net assets, and 0.016% of such net assets in
excess of $5 billion. The daily equivalent of the fee rate is applied each
day to the net assets of the Fund. For the period from September 1, 1995,
through December 28, 1995, Signature's fee for these services amounted to
$81,191.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Fund's proportionate share of a
complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios (the "Master Portfolios") in which
series of the Trust, The JPM Institutional Funds or The JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge payable by
the Fund is determined by the proportionate share its net assets bear to
the total net assets of the Trust, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period from December 29,
1995, through February 29, 1996, Signature's fee for these services
amounted to $22,531.
b)Until August 31, 1995, the Trust, on behalf of the Fund, had a Financial
and Fund Accounting Services Agreement ("Services Agreement") with Morgan
under which Morgan would receive a fee, based on the percentage described
below, for overseeing certain aspects of the administration and operation
of the Fund and was also designed to provide an expense limit for certain
expenses of the Fund. This fee was calculated exclusive of the shareholder
servicing fee and the fund services fee at 0.043% of the Fund's average
daily net assets. From September 1, 1995 until December 28, 1995, an
interim agreement between the Trust, on behalf of the Fund, and Morgan
provided for the continuation of the oversight functions that were
outlined under the prior agreement and that Morgan should bear all of its
expenses incurred in connection with these services.
Effective December 29, 1995, the Trust, on behalf of the Fund, entered
into an Administrative Services Agreement (the "Agreement") with Morgan
under which Morgan is responsible for certain aspects of the
administration and operation of the Fund. Under the Agreement, the Fund
has agreed to pay Morgan a fee equal to its proportionate share of an
annual complex-wide charge. This charge is calculated daily based on the
aggregate net assets of the Master Portfolios in accordance with the
following annual schedule: 0.06% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.03% of the aggregate
average daily net assets in excess of $7 billion. The portion of this
charge payable by the Fund is determined by the proportionate share that
the Fund's net assets bear to the net assets of the Trust, the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services. For the period from December 29, 1995, through
February 29, 1996, Morgan's fee for these services amounted to $42,954.
13
<PAGE>
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
c)The Trust, on behalf of the Fund, has a Shareholder Servicing Agreement
with Morgan. Until December 28, 1995, the Agreement provided for the Fund
to pay Morgan a fee for these services which was computed daily and paid
monthly at an annual rate of 0.21% of the average daily net assets of the
Fund up to and including $1.5 billion and 0.16% on any excess over $1.5
billion. For the period from September 1, 1995, through December 28, 1995,
the fee for these services amounted to $660,464.
Effective December 29, 1995, the Shareholder Servicing Agreement was
amended such that the annual rate for providing these services was changed
to 0.15% of the average daily net assets of the Fund up to and including
$2 billion and 0.10% on any excess over $2 billion. For the period from
December 29, 1995, through February 29, 1996, the fee for these services
amounted to $258,105.
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
$28,419 for the six months ended February 29, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represent the Fund's allocated portion of the total
fees and expenses. The Trustee who serves as Chairman and Chief Executive
Officer of these Funds and Portfolios also serves as Chairman of Group and
received compensation and employee benefits from Group in his role as
Group's Chairman. The allocated portion of such compensation and benefits
included in the Fund Services Fee shown in the financial statements was
$3,600.
14
<PAGE>
The Tax Exempt Money Market Portfolio
Semi-Annual Report February 29, 1996
(unaudited)
(The following pages should be read in conjunction
with The Pierpont Tax Exempt Money Market Fund
Semi-Annual Financial Statements)
15
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
ALABAMA (3.6%)
$ 9,100 Anniston, (Industrial Development Board, PCR,
Monsanto Co. Project, Series 1992)..............
VRDN (A) 3.300% $ 9,100,000
2,230 Anniston Solid Waste Disposal Authority (PCR,
Monsanto Co. Project, Series 1992)..............
VRDN (A) 3.300 2,230,000
1,925 Birmingham (Medical Clinic Board Baptist Medical
Center, Clinic Revenue Series 1990-A, Western
Medical Systems, Inc. Project), LOC Fuji Bank
Ltd.............................................
VRDN (A) 3.650 1,925,000
4,200 Birmingham, (Medical Clinic Board St.
Martins'-in-the-Pines Medical Clinic Revenue
Refunding, St. Martins' Project, Series 1989),
LOC Fuji Bank Ltd...............................
VRDN (A) 3.650 4,200,000
3,375 Birmingham, (Medical Clinic Board St. Martins'-in-
the-Pines Medical Clinic Revenue Refunding, St.
Martins' Project, Series 1989)..................
VRDN (A) 3.382 3,375,000
1,200 Columbia, (Industrial Development Board, PCR,
Refunding, Alabama Power Co. Project, Series
1995D)..........................................
VRDN (A) 3.450 1,200,000
5,925 Decatur County, (Industrial Development Board,
PCR, Refunding Monsanto Co. Project, Series
1990)...........................................
VRDN (A) 3.300 5,925,000
2,250 Jefferson County (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
Series 1988), LOC Amsouth Bank..................
VRDN (A) 5.362 2,250,000
5,700 North Alabama, Environmental Improvement
Authority, (PCR, Reynolds Metals Inc., Project,
Series 1985), LOC Bank of Nova Scotia...........
VRDN (A) 3.500 5,700,000
5,300 Red Bay County, (Industrial Development Board, IDR
Refunding, Gates Rubber Co. Project, Series
1987), LOC National Bank of Detroit.............
VRDN (A) 3.382 5,300,000
900 Stevenson, (Industrial Development Board, Mead
Corp. Project, Series 1986), LOC Credit
Suisse..........................................
VRDN (A) 3.500 900,000
-------------
Total Alabama..................................... 42,105,000
-------------
ALASKA (1.4%)
4,745 Alaska (Industrial Development and Export
Authority, IDR, American President Lines Ltd.,
Series 1991), LOC Industrial Bank of Japan
Ltd.............................................
VRDN (A) 3.750 4,745,000
1,460 Alaska (Industrial Development Authority, IDR,
Providence Medical Office Building Associates
Project, Series 1985), LOC Kredietbank N.V......
VRDN (A) 3.300 1,460,000
5,100 Alaska (State Housing Finance Corp., Series 1991
C)..............................................
VRDN (A) 3.400 5,100,000
4,400 Valdez, (Alaska Marine Terminal Revenue Refunding,
Exxon Co. Project, Series 1993A)................
VRDN (A) 3.350 4,400,000
-------------
Total Alaska...................................... 15,705,000
-------------
ARIZONA (2.6%)
1,000 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1983)..........
VRDN (A) 4.537 1,000,000
800 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1984)..........
VRDN (A) 4.537 800,000
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 6,600 Maricopa County, (Pollution Control Corporation,
PCR, Public Service Co. of New Mexico, Palo
Verde Project, Series 1992A), LOC Canadian
Imperial Bank...................................
VRDN (A) 3.250% $ 6,600,000
18,500 Pima County, (Industrial Development Authority,
IDR, Tucson Electric Co. Project, Series 1982A),
LOC Societe Generale............................
VRDN (A) 3.350 18,500,000
3,200 Tucson, (Industrial Development Authority,
Reliance Group Inc., Parking Garage Revenue),
LOC Societe Generale............................
VRDN (A) 3.375 3,200,000
-------------
Total Arizona..................................... 30,100,000
-------------
ARKANSAS (0.5%)
750 North Little Rock, (IDR, Refunding, Noland Co.
Project, Series 1989), LOC Wachovia Bank and
Trust...........................................
VRDN (A) 3.382 750,000
5,175 Texarkana, (Industrial Development Board, Cooper
Tire and Rubber Co. Project, Series 1991).......
VRDN (A) 3.900 5,175,000
-------------
Total Arkansas.................................... 5,925,000
-------------
CALIFORNIA (2.4%)
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project), LOC Bank of Nova Scotia...............
VRDN (A) 5.362 2,000,000
9,200 Los Angeles, (California Regional Airports, Import
Corp. Leasing, Los Angeles International, Series
1985), LOC Societe Generale.....................
VRDN (A) 3.500 9,200,000
17,000 San Francisco, (City and County Redevelopment
Agency, Multi-Family Housing Revenue, Bayside
Village Project, Series 1985B), LOC Industrial
Bank of Japan Ltd...............................
VRDN (A) 3.300 17,000,000
-------------
Total California.................................. 28,200,000
-------------
COLORADO (2.4%)
25,000 Colorado State (Series 1995A).....................
TRAN 06/27/96 4.500 25,065,908
2,450 Colorado, (Student Obligation Bond Authority,
Student Loan Revenue, Series 1990C), LOC Fuji
Bank Ltd........................................
VRDN (A) 3.750 2,450,000
-------------
Total Colorado.................................... 27,515,908
-------------
CONNECTICUT (1.8%)
6,000 Connecticut State, (Refunding, Economic Recovery
Notes, Series 1995).............................
GO 12/15/96 4.250 6,025,263
15,000 Connecticut State, (Special Assessment,
Unemployment Compensation Fund Revenue,
Connecticut Unemployment Services, Series
1993B), LOC Mitsubishi Bank Ltd.................
VRDN (A) 3.500 15,000,000
-------------
Total Connecticut................................. 21,025,263
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (4.5%)
$ 2,800 District of Columbia, (Columbia Hospital for Women
Issue, Series 1988A), LOC Mitsubishi Bank Ltd...
VRDN (A) 3.550% $ 2,800,000
13,700 District of Columbia, (Series 1992 A-1), LOC
National Westminster Bank PLC
VRDN (A) 3.500 13,700,000
2,000 District of Columbia, (Series 1992 A-2), LOC Bank
of Nova Scotia..................................
VRDN (A) 3.500 2,000,000
4,600 District of Columbia, (Series 1992 A-3), LOC
Toronto Dominion Bank...........................
VRDN (A) 3.500 4,600,000
6,100 District of Columbia, (Series 1992 A-4), LOC
Toronto Dominion Bank...........................
VRDN (A) 3.500 6,100,000
5,000 District of Columbia, (Series 1992 A-5), LOC Bank
of Nova Scotia..................................
VRDN (A) 3.500 5,000,000
12,300 District of Columbia, (Series 1992 A-6), LOC
Toronto Dominion Bank...........................
VRDN (A) 3.500 12,300,000
6,400 District of Columbia, (The American University
Issue, Series 1985), LOC National Westminster
Bank PLC........................................
VRDN (A) 3.300 6,400,000
-------------
Total District of Columbia........................ 52,900,000
-------------
FLORIDA (7.5%)
575 County of Orange, (Industrial Development
Authority, IDR Refunding Noland Co. Project,
Series 1989), LOC Wachovia Bank and Trust.......
VRDN (A) 3.382 575,000
4,500 County of Orange, (Florida Health Facilities
Authority, P-Floats-PA-95)......................
TPP (A) 3.300 4,500,000
54,650 Dade County, (Water & Sewer System, Series 1994),
FGIC Insured....................................
VRDN (A) 3.050 54,650,000
2,000 Florida, (Housing Finance Agency, Carlton Arms II
Project, Multi Family Housing Revenue Series
1985 - EEE), LOC Sumitomo Bank Ltd..............
VRDN (A) 3.450 2,000,000
5,750 Hernando County, (IDR, Refunding, Moore McCormack
Resource Inc. Project Series 1988), LOC Fuji
Bank Ltd........................................
VRDN (A) 3.217 5,750,000
4,800 Hillsborough County, (Industrial Development
Authority, PCR, Refunding, Tampa Electric Co.,
Gannon Coal Conversion Project, Series 1990)....
VRDN (A) 3.450 4,800,000
3,200 Hillsborough County, (Industrial Development
Authority, PCR, Refunding, Tampa Electric Co.
Project, Series 1992)...........................
VRDN (A) 3.350 3,200,000
4,685 Indian Trace, (Community Development, Basin 1
Water Management, Series 1989), LOC Tokai Bank
Ltd.............................................
VRDN (A) 3.050 4,685,000
7,200 Indian Trace, (Community Development, Basin 1
Water Management, Series 1991A), LOC Tokai Bank
Ltd.............................................
VRDN (A) 3.050 7,200,000
-------------
Total Florida..................................... 87,360,000
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
GEORGIA (6.4%)
$ 6,600 Burke County, (Development Authority, PCR,
Oglethorpe Power Corp., Series 1993A), FGIC
Insured.........................................
VRDN (A) 3.050% $ 6,600,000
7,100 Burke County, (Development Authority, PCR, Georgia
Power Co., Series 1994, Vogtle Project-4th
Series).........................................
VRDN (A) 3.500 7,100,000
10,400 Burke County, (Development Authority, PCR, Georgia
Power Co., Series 1994, Vogtle Project-5th
Series).........................................
VRDN (A) 3.450 10,400,000
17,500 Burke County, (Development Authority, PCR,
Oglethorpe Power Corp., Series 1994A), FGIC
Insured.........................................
VRDN (A) 3.050 17,500,000
690 Cobb County, (Development Authority, IDR
Refunding, Noland Co. Project, Series 1989), LOC
Wachovia Bank and Trust.........................
VRDN (A) 3.382 690,000
4,000 County of DeKalb, (Development Authority Revenue,
Metro Atlanta YMCA Project, Series 1995), LOC
Wachovia Bawlnk and Trust.......................
VRDN (A) 3.050 4,000,000
1,500 County of DeKalb, (Development Authority Revenue,
IDR, Refunding, Noland Co. Project, Series
1989), LOC Wachovia Bank and Trust..............
VRDN (A) 3.382 1,500,000
4,800 Georgia, (Atlanta Water & Sewer System, Floats PA-
22).............................................
VRDN (A) 3.300 4,800,000
10,000 Georgia, (Series 1993 C, BT #149).................
TPP (A) 3.250 10,000,000
7,720 Georgia, (Series 1995 C)..........................
GO 07/01/96 7.250 7,807,525
4,000 Monroe County, (Development Authority, PCR,
Georgia Power Co., 1995 Series 2)...............
VRDN (A) 3.500 4,000,000
-------------
Total Georgia..................................... 74,397,525
-------------
HAWAII (1.0%)
4,800 Hawaii, (Housing Finance and Development
Corporation, Affordable Rental Housing Program,
Housing Program Revenue, Kauhole Kakoaka Project
Series 1993 -A), LOC Banque Nationale De
Paris...........................................
VRDN (A) 3.400 4,800,000
7,000 Hawaii, (Housing Finance and Development
Corporation, Rental Housing Program, Housing
Program Revenue, Series 1989 -A) LOC Banque
Nationale De Paris..............................
VRDN (A) 3.400 7,000,000
-------------
Total Hawaii...................................... 11,800,000
-------------
IDAHO (1.3%)
15,000 Idaho State (Series 1995).........................
TAN 06/27/96 4.500 15,032,624
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (4.7%)
$ 540 Charleston Illinois, (Servistar Corp. Project,
Series 1988), LOC ABN Amro Bank NV..............
VRDN (A) 3.382% $ 540,000
6,000 Chicago, (O'Hare International Airport, General
Airport Second Lien, Series 1994 C), LOC Societe
Generale........................................
VRDN (A) 3.250 6,000,000
9,900 Counties of Jackson and Union, (Regional Port
Distributors, Enron Transportation Services,
Refunding, Series 1994), LOC Mitsubishi Bank
Ltd., Houston...................................
VRDN (A) 3.500 9,900,000
5,200 Illinois, (Development Finance Authority, PCR,
Illinois Power Co. Project, Series 1993B), LOC
Canadian Imperial Bank of Commerce..............
VRDN (A) 3.300 5,200,000
1,300 Illinois, (Development Finance Authority, Limited
Obligation Revenue Bond, Dart Container Corp. of
Illinois Project, Series 1984), LOC National
Bank of Detroit.................................
VRDN (A) 3.382 1,300,000
2,800 Illinois, (Health Facilities Authority, Aces-SSM
Health Care Project, Series 1990A), LOC Rabobank
Nederland.......................................
VRDN (A) 3.350 2,800,000
5,000 Illinois, (Health Facilities Authority, Swedish
Covenant Hospital Project, Series 1995), AMBAC
Insured.........................................
VRDN (A) 3.300 5,000,000
5,000 Illinois State, (Series 1995).....................
RAN 04/12/96 4.500 5,005,874
18,500 Illinois State, (Series 1995).....................
RAN 05/10/96 4.500 18,539,152
1,000 North Chicago, (Lake County, IDR, Abbott Labs
Project, Series 1983)...........................
VRDN (A) 4.537 1,000,000
-------------
Total Illinois.................................... 55,285,026
-------------
INDIANA (0.7%)
4,050 City of Rockport, (Indiana Pollution Control, PCR,
Indiana and Michigan Electric Co. Project,
Series 1985A), LOC Swiss Bank Corp..............
VRDN (A) 3.300 4,050,000
3,000 City of Rockport, (Indiana Pollution Control, PCR,
Refunding, AEP Generating Co. Project, Series
1995B), AMBAC Insured...........................
VRDN (A) 3.450 3,000,000
1,500 Jasper County, (Indiana Pollution Control, PCR,
Refunding, Northern Indiana Public Service,
Series 1994C), LOC Union Bank of Switzerland....
VRDN (A) 3.450 1,500,000
-------------
Total Indiana..................................... 8,550,000
-------------
KANSAS (1.5%)
2,000 Garden City, (IDR Refunding, Inland Container
Corp. Project, Series 1983), LOC Credit
Suisse..........................................
VRDN (A) 3.750 2,000,000
10,000 Kansas, (Department of Transportation & Highways,
Series 1994B)...................................
VRDN (A) 3.050 10,000,000
1,650 Wichita, (Airport Authority Adjustable Mode
Facility Revenue Refunding, Flight Safety
International Inc., Project, Series 1990), LOC
Wachovia Bank and Trust.........................
VRDN (A) 3.300 1,650,000
3,300 Wichita, (CSJ Health System of Wichita, Inc.
Revenue, Series 25 1985), LOC Sumitomo Bank
Ltd.............................................
VRDN (A) 3.550 3,300,000
-------------
Total Kansas...................................... 16,950,000
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
KENTUCKY (0.7%)
$ 8,335 Pendleton County, (County Leasing Program, Series
1989), LOC Commonwealth Bank of Australia.......
CP 04/15/96 3.150% $ 8,335,000
-------------
LOUISIANA (3.4%)
4,500 Ascension Parish, (Borden Inc. Project, Refunding,
Series 1992), LOC Credit Suisse.................
VRDN (A) 3.300 4,500,000
3,770 Calcasieu Parish, (Recovery District Sales Tax,
Road Improvement), LOC National Westminster Bank
PLC.............................................
VRDN (A) 3.150 3,770,000
11,255 Louisiana, (Public Facilities Authority,
Refunding, Hospital Revenue, Series 1985), AMBAC
Insured.........................................
VRDN (A) 3.250 11,255,000
7,200 Louisiana, (Public Facilities Authority,
Refunding, Hospital Equipment Financing, Series
1985A), LOC Sumitomo Bank Ltd...................
VRDN (A) 3.750 7,200,000
5,200 Louisiana, (Offshore Terminal Authority Deepwater
Port, First Stage A - LOOP Inc. Project, Series
1992), LOC Union Bank Of Switzerland............
VRDN (A) 3.450 5,200,000
7,100 New Orleans, (Louisiana Aviation Board, Series
1993B), MBIA Insured............................
VRDN (A) 3.200 7,100,000
-------------
Total Louisiana................................... 39,025,000
-------------
MARYLAND (1.2%)
10,000 Anne Arundel, (PCR, Baltimore Gas and Electric Co.
Project, Series 1989, Maturity 07/01/14)........
RB 07/01/96(B) 3.850 10,000,000
1,655 Frederick County (IDR Refunding, Noland Co.
Project, Series 1989), LOC Wachovia Bank and
Trust...........................................
VRDN (A) 3.382 1,655,000
2,040 Harford County, (Consolidated Public Improvement,
Refinancing, Series PA 48)......................
TPP (A) 3.300 2,040,000
-------------
Total Maryland.................................... 13,695,000
-------------
MASSACHUSETTS (1.7%)
9,600 Massachusetts State, (Series 1990B), LOC National
Westminster Bank PLC............................
VRDN (A) 3.350 9,600,000
9,900 Massachusetts State, (Health and Educational
Facilities Authority, Brigham and Women's
Hospital, Series 1985A), LOC Sanwa Bank Ltd.....
VRDN (A) 3.500 9,900,000
-------------
Total Massachusetts............................... 19,500,000
-------------
MICHIGAN (0.8%)
1,000 Michigan, (State Housing Development Authority,
Series 1994 C), LOC Credit Suisse, N.Y..........
VRDN (A) 3.250 1,000,000
8,615 Michigan State, (Underground Storage Tank
Financial Assurance Authority, Series 1995I),
LOC Canadian Imperial Bank of Commerce..........
VRDN (A) 3.200 8,615,000
-------------
Total Michigan.................................... 9,615,000
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
MINNESOTA (0.4%)
$ 1,525 St. Louis Park, (Tax Increment Revenue, Series
1987B), LOC Sumitomo Bank Ltd...................
VRDN (A) 3.250% $ 1,525,000
3,100 University of Minnesota, (University Revenues,
Maturity 10/01/07, Series 1985G)................
RB 08/01/96(B) 3.750 3,100,000
-------------
Total Minnesota................................... 4,625,000
-------------
MISSISSIPPI (1.1%)
535 Columbus, (IDR, Refunding Noland Co. Project,
Series 1989), LOC Wachovia Bank and Trust.......
VRDN (A) 3.382 535,000
11,710 Jackson County, (Mississippi Port Facility, PCR,
Chevron USA Inc. Project, Refunding, Series
1993)...........................................
VRDN (A) 3.350 11,710,000
-------------
Total Mississippi................................. 12,245,000
-------------
MISSOURI (0.9%)
11,000 Missouri, (Environmental Improvement and Energy
Resources Authority, PCR, Union Electric Co.
Project, Series 1984B, Maturity 06/01/14), LOC
Union Bank of Switzerland.......................
RB 06/01/96(B) 4.000 11,000,000
-------------
MONTANA (0.6%)
6,400 Montana State, (Series 1995)......................
TRAN 06/30/96 4.500 6,424,666
-------------
NEVADA (0.5%)
6,000 Clark County, (Nevada Industrial Development
Revenue, IDR, Refunding, Nevada Power Co.
Project, Series 1995C), LOC Barclays Bank PLC...
VRDN (A) 3.300 6,000,000
-------------
NEW HAMPSHIRE (0.4%)
1,790 New Hampshire Higher Educational and Health
Facilities Authority, Dartmouth College Issue,
Student Loan Revenue, Maturity 06/01/19, Series
1994)...........................................
RB 06/01/96(B) 4.100 1,790,000
2,280 New Hampshire Higher Educational and Health
Facilities Authority, Dartmouth Educational Loan
Corp., Student Loan Revenue, Maturity 06/01/11,
Series 1982)....................................
RB 06/01/96(B) 4.100 2,280,000
-------------
Total New Hampshire............................... 4,070,000
-------------
NEW YORK (8.7%)
14,100 New York City, (Series 1993 Sub-Series B-2), LOC
Dai-Ichi Kangyo.................................
VRDN (A) 3.400 14,100,000
5,300 New York City, (Series 1993 Sub-Series B-3), LOC
Sanwa Bank......................................
VRDN (A) 3.400 5,300,000
6,200 New York City, (Series 1993 Sub-Series B-4), LOC
Union Bank of Switzerland.......................
VRDN (A) 3.350 6,200,000
15,950 New York City, (Series 1992 B), FGIC Insured......
VRDN (A) 3.350 15,950,000
7,500 New York City, (Series 1995 A)....................
RAN 04/11/96 4.500 7,505,638
12,300 New York State (Energy Research & Development
Authority, Niagara Mohawk Power Corp., Series
1985A), LOC Toronto Dominion Bank...............
VRDN (A) 3.500 12,300,000
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 3,400 New York State, (Energy Research & Development
Authority, PCR, New York Electric & Gas, Series
1985D), LOC Union Bank of Switzerland...........
VRDN (A) 3.650% $ 3,400,000
6,500 New York, (New York City Municipal Water Finance
Authority, Water and Sewer Systems), LOC
Canadian Imperial Bank of Commerce..............
CP 03/26/96 3.300 6,500,000
20,000 Rockland County, (Series 1995)....................
RAN 05/17/96 5.000 20,033,500
10,000 New York, (United Nations Development Corp.,
Refunding, Phase 2 and 3 Senior Lien, Series
1986, Maturity 07/01/26), Prerefunded...........
RB 07/01/96(B) 7.875 10,346,639
-------------
Total New York.................................... 101,635,777
-------------
NORTH CAROLINA (1.3%)
2,100 Ashe County, (Industrial Facilities and Pollution
Control Finance Authority, IDR Refunding, Gates
Rubber Co. Project, Series 1988), LOC National
Bank of Detroit.................................
VRDN (A) 3.382 2,100,000
2,140 County of Davidson, (Industrial Facilities and
Pollution Control Financing Authority, IDR
Refunding, Lowes Co., Inc. Project, Series
1990), LOC National Westminster Bank PLC........
VRDN (A) 3.382 2,140,000
2,000 Mecklenburg County, (Industrial Facilities and
Pollution Control Financing Authority, IDR,
Allied Corp. Project, Series 1984), LOC Algemene
Bank Nederlande N. V............................
VRDN (A) 3.350 2,000,000
1,040 North Carolina, (Eastern Municipal Power Agency,
Floats PA - 34 B, Series 1993)..................
TPP (A) 3.300 1,040,000
1,600 North Carolina, (Educational Facilities Finance
Agency, Guilford College Project, Series 1993),
LOC Wachovia Bank and Trust.....................
VRDN (A) 3.400 1,600,000
4,000 Wake County, (Industrial Facilities and Pollution
Control Financing Authority, PCR, Carolina Power
& Light Project, Series 1985A), LOC Credit
Suisse..........................................
VRDN (A) 3.300 4,000,000
2,600 Wake County, (Industrial Facilities and Pollution
Control Financing Authority, PCR, Carolina Power
& Light Co. Project, Series 1985B), LOC Sumitomo
Bank Ltd........................................
VRDN (A) 3.600 2,600,000
-------------
Total North Carolina.............................. 15,480,000
-------------
OHIO (1.7%)
13,800 Ohio State, (Air Quality Development Authority,
Series 1985A), LOC Union Bank of Switzerland....
VRDN (A) 3.500 13,800,000
1,400 Warren County, (IDR, Leggett & Platt Inc. Project,
Series 1984), LOC National Westminster Bank
PLC.............................................
VRDN (A) 3.750 1,400,000
4,400 Wooster, (IDR, Allen Group Inc. Project, Series
1985), LOC Dresdner Bank........................
VRDN (A) 3.250 4,400,000
-------------
Total Ohio........................................ 19,600,000
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
OKLAHOMA (6.4%)
$ 30,200 Oklahoma, (Water Resources Board, State Loan
Revenue Program Series 1994 A, Maturity
09/01/23).......................................
RB 09/01/96(B) 3.950% $ 30,200,000
30,200 Oklahoma, (Water Resources Board, State Loan
Revenue Program Series 1994 A, Maturity
09/01/23).......................................
RB 09/01/96(B) 3.250 30,200,000
5,240 Tulsa, (Industrial Development Authority,
Hillcrest Medical Center Project, Series 1988),
LOC Sumitomo Bank...............................
VRDN (A) 3.500 5,240,000
8,425 Washington County, (Medical Authority, Hospital
Revenue, Jane Phillips Hospital, Series 1989B,
Maturity 11/01/14), LOC Credit Local de
France..........................................
RB 05/01/96(B) 5.550 8,425,000
-------------
Total Oklahoma.................................... 74,065,000
-------------
OREGON (0.4%)
4,795 Oregon State, (Series 73F), LOC Morgan Guaranty
Trust...........................................
VRDN (A) 3.350 4,795,000
-------------
PENNSYLVANIA (10.3%)
14,010 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital, Series
1988B-1), LOC PNC Financial.....................
VRDN (A) 3.350 14,010,000
6,700 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital, Series 1990D),
MBIA Insured....................................
VRDN (A) 3.350 6,700,000
5,530 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital, Series
1988B-2) LOC PNC Financial......................
VRDN (A) 3.350 5,530,000
4,200 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital, Series 1990B),
MBIA Insured....................................
VRDN (A) 3.350 4,200,000
2,525 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital, Series
1988B-3), LOC PNC Financial.....................
VRDN (A) 3.350 2,525,000
1,000 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital Series 1990A),
LOC Credit Suisse...............................
VRDN (A) 3.350 1,000,000
500 Allegheny County, (Hospital Development Authority,
Presbyterian University Hospital Series 1990C),
MBIA Insured....................................
VRDN (A) 3.350 500,000
6,000 Allegheny County, (Industrial Development
Authority, IDR Refunding, Dowty Corp., Project,
Series 1986), LOC Mellon Bank...................
VRDN (A) 3.350 6,000,000
3,500 Clinton County, (Industrial Development Authority,
IDR, Mellon Bank Central National Assistance
Project, Series 1985) LOC Mellon Bank...........
VRDN (A) 3.400 3,500,000
3,150 Lehigh County, (Industrial Development Authority,
PCR, P-Floats-PA-99), MBIA Insured..............
VRDN (A) 3.250 3,150,000
35,500 Pennsylvania State, (Series 1995).................
TAN 06/28/96 4.500 35,605,130
2,000 Pennsylvania State, (Industrial Development
Authority, Series 1990).........................
VRDN (A) 3.400 2,000,000
15,000 Pennsylvania, (Higher Education Facilities
Authority, Series A)............................
VRDN (A) 3.592 15,000,000
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 16,700 Pennsylvania, (Higher Education Facilities
Authority, Series B)............................
VRDN (A) 3.592% $ 16,700,000
4,000 Temple University, (Commonwealth System of Higher
Education, Series 1994).........................
RB 05/22/96 5.000 4,006,012
-------------
Total Pennsylvania................................ 120,426,142
-------------
RHODE ISLAND (1.5%)
18,000 Rhode Island, (Series 1995), LOC Union Bank of
Switzerland.....................................
TAN 06/28/96 4.500 18,050,973
-------------
SOUTH CAROLINA (1.0%)
9,250 Allendale County, (IDR, Refunding, King Seeley
Thermos Co. Project, Series 1988), LOC Bank of
Nova Scotia.....................................
VRDN (A) 3.382 9,250,000
1,060 County of Spartanburg, (IDR, Refunding, Holmberg
Electronic Corp. Project, Series 1989 A), LOC
Wachovia Bank and Trust.........................
VRDN (A) 3.300 1,060,000
1,500 Lauren County, (IDR, Asten Press Fabrics, Inc.
Project, Series 1991), LOC Wachovia Bank and
Trust...........................................
VRDN (A) 3.300 1,500,000
-------------
Total South Carolina.............................. 11,810,000
-------------
TENNESSEE (1.2%)
3,100 Collierville, (Industrial Development Board, IDR,
Imperial Clevite Inc., Series 1985), LOC
National City Bank of Cleveland.................
VRDN (A) 5.362 3,100,000
6,500 County of Knox, (Industrial Development Board,
IDR, Moore McCormack Resources Inc. Project
Series 1988), LOC Credit Suisse.................
VRDN (A) 3.400 6,500,000
1,365 Franklin, (Industrial Development Board, IDR
Refunding Noland Co. Project, Series 1989), LOC
Wachovia Bank and Trust.........................
VRDN (A) 3.382 1,365,000
300 Nashville, (Metropolitan Airport Authority,
Special Facilities Revenue, American Airlines
Project, Series 1995B), LOC Bayerische
Landesbank......................................
VRDN (A) 3.500 300,000
3,300 Sullivan County, (Industrial Development Board,
PCR, Refunding, Mead Corp. Project, Series
1986), LOC Union Bank of Switzerland............
VRDN (A) 3.500 3,300,000
-------------
Total Tennessee................................... 14,565,000
-------------
TEXAS (12.2%)
16,000 City of Fort Worth, (Water & Sewage Authority),
LOC Swiss Bank Corp.............................
CP 05/15/96 3.450 16,000,000
6,930 City of Fort Worth, (Water & Sewage Authority),
LOC Swiss Bank Corp.............................
CP 04/12/96 3.600 6,930,000
1,500 El Paso, (Industrial Development Authority, IDR
(Contel Cellular of El Paso Inc. Project, Series
1985), LOC Bank of Nova Scotia..................
VRDN (A) 5.362 1,500,000
9,000 Grayson County, (Industrial Development Corp.,
Aluminum Co. of America, Refunding, Series
1992)...........................................
VRDN (A) 3.300 9,000,000
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 4,650 Harris County, (Health Facilities Development
Corp., Texas Health Care System Sisters of
Charity Incarnate, Series 1985), LOC Toronto
Dominion........................................
CP 04/08/96 3.150% $ 4,650,000
10,400 Harris County, (Health Facilities Development
Corp., Texas Health Care System Sisters of
Charity Incarnate, Series 1985), LOC Toronto
Dominion........................................
CP 04/08/96 3.300 10,400,000
10,000 Houston, (Texas Water and Sewage).................
CP 04/10/96 3.300 10,000,000
4,500 Mansfield, (Industrial Development Corp., Pier 1
Imports-Texas Inc. Project, Series 1986), LOC
National Westminster PLC........................
VRDN (A) 3.400 4,500,000
3,000 North Central, (Health Facilities Development
Corp., Hospital Revenue, Presbyterian Medical
Center, Series 1985D), MBIA Insured.............
VRDN (A) 3.500 3,000,000
900 Texas, (Lone Star Airport Improvement Authority,
Series 1984 B-4), LOC Royal Bank of Canada......
VRDN (A) 3.500 900,000
20,000 Texas ( Public Finance Authority, Series P - 3)...
CP 04/02/96 3.300 20,000,000
1,615 Texas, (Higher Education Authority, Education &
Equipment Revenue, Series 1985A), FGIC
Insured.........................................
VRDN (A) 3.250 1,615,000
4,450 Texas, (Sabine River Authority, PCR, Utilities
Electric Co., Refunding, Series 1995B), LOC
Union Bank of Switzerland.......................
VRDN (A) 3.500 4,450,000
5,000 Texas, (Series 1995 A)............................
TRAN 08/30/96 4.500 5,027,265
34,145 Texas, (Series 1995 A)............................
TRAN 08/30/96 4.750 34,387,461
7,700 Texas, (Series 1995 A)............................
TRAN 08/30/96 4.100 7,724,013
2,000 Tyler, (Health Facilities Development Corp., East
Texas Medical Center, Series 1993C), LOC Banque
Paribas.........................................
VRDN (A) 3.400 2,000,000
-------------
Total Texas....................................... 142,083,739
-------------
UTAH (0.2%)
2,565 Carbon County, (PCR, Refunding, Pacificorp
Project, Series 1994), AMBAC Insured............
VRDN (A) 3.450 2,565,000
-------------
VERMONT (0.6%)
7,400 Vermont, (Student Assistance Corp., Student Loan
Revenue Bond, Series 1985), LOC National
Westminster Bank................................
VRDN (A) 3.450 7,400,000
-------------
VIRGINIA (0.9%)
2,945 Chesterfield County, ( Improvement and Refunding
Bond, Series 1991)..............................
TPP (A) 3.450 2,945,000
4,000 Fairfax County, (Virginia Public Improvement,
Series 1995A)...................................
GO 06/01/96 7.000 4,030,248
1,000 Virginia Beach, (Development Authority, IDR,
Norfolk Virginia Beach, Portsmouth MSA Limited
Partnership Project), LOC Bank of Nova Scotia...
VRDN (A) 5.362 1,000,000
2,400 Virginia, (State Housing Development Authority,
AHC Service Corp., Series 1987A), LOC Mitsubishi
Ltd.............................................
VRDN (A) 3.350 2,400,000
-------------
Total Virginia.................................... 10,375,248
-------------
</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 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE MATURITY DATE RATE VALUE
- -------------- -------------------------------------------------- --------- ------------- ------ -------------
<C> <S> <C> <C> <C> <C>
WASHINGTON (0.5%)
$ 6,400 Seattle, (Washington Water Systems Revenue, Series
1995), LOC Bayerische Landesbank................
VRDN (A) 3.300% $ 6,400,000
-------------
WEST VIRGINIA (0.1%)
1,000 County of Mercer, (IDR, Refunding, Noland Co.
Project, Series 1989), LOC Wachovia Bank and
Trust...........................................
VRDN (A) 3.382 1,000,000
-------------
WISCONSIN (1.5%)
2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project,
Series 1984), LOC Wachovia Bank and Trust.......
VRDN (A) 3.382 2,500,000
1,300 Seymour, (IDR, Beatrice Cheese Inc., Project,
Series 1984), LOC Wachovia Bank and Trust.......
VRDN (A) 3.382 1,300,000
8,500 Wisconsin, (Custodial Receipt Certificates).......
TPP (A) 3.250 8,500,000
5,500 Milwaukee, (Series 1995B).........................
GO 08/22/96 4.750 5,532,590
-------------
Total Wisconsin................................... 17,832,590
-------------
WYOMING (0.6%)
7,500 Sweetwater County, (Pollution Control Revenue,
PCR, Refunding, Pacificorp Project, Series
1988A), LOC Union Bank of Switzerland...........
VRDN (A) 3.200 7,500,000
-------------
TOTAL INVESTMENTS (103.1%)...........................................................
1,202,970,481
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.1%)................
(36,265,025)
-------------
NET ASSETS (100.0%)..........................................
$1,166,705,456
-------------
-------------
</TABLE>
(A) Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature.
(B) The date listed under the heading maturity date represents an optional
tender date. The actual maturity date is indicated in the security
description.
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 29, 1996
- --------------------------------------------------------------------------------
Note: Abbreviations used in the schedule of investments are as
follows:
AMBAC - AMBAC Indemnity Corp.
BAN - Bond Anticipation Note
CP - Commercial Paper
FGIC - Financial Guaranty Insurance Company
GO - General Obligation
IDR - Industrial Development Revenue
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance Corp.
PCR - Pollution Control Revenue
RAN - Revenue Anticipation Note
RB - Revenue Bond
TAN - Tax Anticipation Note
TPP - Third Party Put
TRAN - Tax Revenue Anticipation Note
VRDN - Variable Rate Demand Note
The Accompanying Notes are an Integral Part of the Financial Statements
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $ 1,202,970,481
Interest Receivable 10,541,378
Prepaid Trustees' Fees 187
Prepaid Expenses and Other Assets 2,233
---------------
Total Assets 1,213,514,279
---------------
LIABILITIES
Payable for Investments Purchased 41,455,000
Payable to Custodian 5,030,666
Advisory Fee Payable 174,276
Administrative Services Fee Payable 49,300
Custody Fee Payable 42,185
Administration Fee Payable 12,633
Fund Services Fee Payable 2,963
Accrued Expenses 41,800
---------------
Total Liabilities 46,808,823
---------------
NET ASSETS
Applicable to Investors' Beneficial Interests $ 1,166,705,456
---------------
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 20,894,444
Interest
EXPENSES
Advisory Fee $1,049,357
Custodian Fees and Expenses 121,286
Administrative Services Fee 49,300
Administration Fee 46,823
Fund Services Fee 32,099
Professional Fees 23,922
Trustees' Fees and Expenses 12,287
Miscellaneous 14,855
----------
(1,349,929)
Total Expenses
------------
19,544,515
NET INVESTMENT INCOME
28,733
NET REALIZED GAIN ON INVESTMENTS
------------
$ 19,573,248
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
30
<PAGE>
TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED
FEBRUARY 29, FOR THE FISCAL
1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
--------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 19,544,515 $ 41,496,228
Net Realized Gain (Loss) on Investments 28,733 (266,979)
--------------- ---------------
Net Increase in Net Assets Resulting from Operations 19,573,248 41,229,249
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,048,788,944 4,119,755,028
Withdrawals (1,990,096,589) (4,094,390,648)
--------------- ---------------
Net Increase from Investors' Transactions 58,692,355 25,364,380
--------------- ---------------
Total Increase in Net Assets 78,265,603 66,593,629
NET ASSETS
Beginning of Period 1,088,439,853 1,021,846,224
--------------- ---------------
End of Period $1,166,705,456 $ 1,088,439,853
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE JULY 12, 1993
SIX MONTHS ENDED FOR THE FISCAL FOR THE FISCAL (COMMENCEMENT
FEBRUARY 29, 1996 YEAR ENDED YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) AUGUST 31, 1995 AUGUST 31, 1994 AUGUST 31, 1993
--------------------- ----------------- ----------------- -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.24%(a) 0.25% 0.25% 0.25%(a)
Net Investment Income 3.54%(a) 3.61% 2.37% 2.28%(a)
- ---------
(a) Annualized
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
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, (the "Act") as a no-load,
diversified, open-end management investment company which was organized as a
trust under the laws of the State of New York. The Portfolio's investment
objective is to provide a high level of current income exempt from federal
income tax and maintain a high level of liquidity. The Portfolio commenced
operations on July 12, 1993 and received a contribution of certain assets and
liabilities, including securities, with a value of $955,814,753 on that date
from The Pierpont Tax Exempt Money Market Fund in exchange for a beneficial
interest in the Portfolio. The Declaration of Trust permits the Trustees to
issue an unlimited number of beneficial interests in the Portfolio.
The preparation of financial statements prepared in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures. Actual amounts
could differ from those estimates. The following is a summary of the significant
accounting policies of the Portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b) Securities transactions are recorded on a trade date basis. Investment
income consists of interest income, which includes the amortization of
premiums and discounts. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be subject to
taxation on its share of the Portfolio's ordinary income and capital
gains. It is intended that the Portfolio's assets will be managed in such
a way that an investor in the Portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code. The cost of
securities is substantially the same for book and tax.
2. TRANSACTIONS WITH AFFILIATES
a) The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory 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 29, 1996,
this fee amounted to $1,049,357.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
b) The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Signature provides administrative services necessary for the operations
of the Portfolio, furnishes office space and facilities required for
conducting the business of the Portfolio and pays the compensation of the
Portfolio's officers affiliated with Signature. The agreement provides
for a fee to be paid to Signature at an annual fee rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate
average daily net assets of the Portfolio and the other portfolios
subject to the Administration Agreement, 0.008% of the next $2 billion of
such net assets, 0.006% of the next $2 billion of such net assets, and
0.004% of such net assets in excess of $5 billion. The daily equivalent
of the fee rate is applied each day to the net assets of the Portfolio.
For the period from September 1, 1995, through December 28, 1995,
Signature's fee for these services amounted to $19,005.
Effective December 29, 1995, the Administration Agreement was amended
such that the fee charged would be equal to the Portfolio's proportionate
share of a complex-wide fee based on the following annual schedule: 0.03%
on the first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period from December 29, 1995, through February 29, 1996, Signature's
fee for these services amounted to $27,818.
c) Until August 31, 1995, the Portfolio, had a Financial and Fund Accounting
Services Agreement ("Services Agreement") with Morgan under which Morgan
would receive a fee, based on the percentage described below, for
overseeing certain aspects of the administration and operation of the
Portfolio and was also designed to provide an expense limit for certain
expenses of the Portfolio. This fee was calculated exclusive of the
advisory fee, custody expenses, fund services fee and brokerage costs at
0.03% of the Portfolio's average daily net assets. From September 1, 1995
until December 28, 1995, an interim agreement between the Portfolio and
Morgan provided for the continuation of the oversight functions that were
outlined under the prior agreement and that Morgan should bear all of its
expenses incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Agreement") with Morgan under which Morgan is
responsible for overseeing certain aspects of the administration and
operation of the Portfolio. Under the Agreement, the Portfolio has agreed
to pay Morgan a fee equal to its proportionate share of an annual
complex-wide charge. This charge is calculated daily based on the
aggregate net assets of the Master Portfolios in accordance with the
following annual schedule: 0.06% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.03% of the aggregate
average daliy net assets in excess of $7 billion. The portion of this
charge payable by the Portfolio is determined by the proportionate share
that the Portfolio's net assets
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 29, 1996
- --------------------------------------------------------------------------------
bear to the net assets of the Master Portfolios and other investors in the
Master Portfolios for which Morgan provides similar services. For the
period from December 29, 1995, through February 29, 1996, the fee for
these services amounted to $49,300.
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 $32,099 for the six months ended February 29, 1996.
e) An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represent the Portfolio's allocated portion of the
total fees and expenses. The Trustee who serves as Chairman and Chief
Executive Officer of these Funds and Portfolios also serves as Chairman
of Group and received compensation and employee benefits from Group in
his role as Group's Chairman. The allocated portion of such compensation
and benefits included in the Fund Services Fee shown in the financial
statements was $4,100.
34
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THE PIERPONT MONEY MARKET FUND
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
THE PIERPONT TREASURY MONEY MARKET FUND
THE PIERPONT SHORT TERM BOND FUND
THE PIERPONT BOND FUND
THE PIERPONT TAX EXEMPT BOND FUND
THE PIERPONT NEW YORK TOTAL RETURN BOND FUND
THE PIERPONT DIVERSIFIED FUND
THE PIERPONT EQUITY FUND
THE PIERPONT CAPITAL APPRECIATION FUND
THE PIERPONT INTERNATIONAL EQUITY FUND
THE PIERPONT EMERGING MARKETS EQUITY FUND
FOR MORE INFORMATION ON HOW THE PIERPONT FAMILY OF FUNDS CAN HELP YOU PLAN FOR
YOUR FUTURE, CALL J.P. MORGAN FUNDS SERVICES AT (800) 521-5411.
THE PIERPONT TAX EXEMPT MONEY MARKET FUND
SEMI-ANNUAL REPORT
FEBRUARY 29, 1996
