<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
January 3, 2000
Dear Shareholder:
During the one-year period ended November 30, 1999, the J.P. Morgan Tax
Exempt Money Market Fund returned 2.78% versus the 2.62% return of the Lipper
Tax Exempt Money Market Funds Average. The fund's average 7-day current yield
of 3.29% translates to a tax equivalent yield of 5.45%, assuming a 39.6%
federal income tax rate.
The fund maintained a stable $1.00 net asset value over the period. On
November 30, 1999, the net assets of the fund were approximately $1.6
billion, while the net assets of the master portfolio, in which the fund
invests, were approximately $2.1 billion. Dividends of approximately $0.01
were paid from ordinary income, all of which is exempt from federal income
taxes.
This report includes a question and answer session with Dick Oswald, the
portfolio manager primarily responsible for the master portfolio. In this
interview, Dick talks about the events of the previous 12 months that had the
greatest effect on the portfolio and discusses how our investment strategy
was used to protect assets in a difficult environment.
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) 521-5411.
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 NOVEMBER 30, 1999 MONTHS MONTHS YEAR YEARS YEARS YEARS
- ----------------------------------------------------------------------- ---------------------------------------
<S> <C> <C> <C> <C> <C> <C>
J.P. Morgan Tax Exempt Money Market Fund 0.75% 1.43% 2.78% 3.04% 3.16% 3.29%
Lipper Tax Exempt
Money Market Fund Average 0.71% 1.36% 2.62% 2.90% 3.02% 2.84%
AS OF SEPTEMBER 30, 1999
- ----------------------------------------------------------------------- ---------------------------------------
J.P. Morgan Tax Exempt Money Market Fund 0.68% 1.39% 2.74% 3.05% 3.16% 3.34%
Lipper Tax Exempt
Money Market Fund Average 0.65% 1.32% 2.62% 2.91% 3.02% 2.88%
</TABLE>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. FUND RETURNS ARE NET OF
FEES AND ASSUME THE REINVESTMENT OF DISTRIBUTIONS. 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 DICK OSWALD, vice president and member of
the portfolio management team for the master 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. In this capacity, he managed a portfolio invested in a
broad range of fixed income securities including preferred stocks and
tax-exempt bonds. Prior to CBS Inc., he was at Primerica Corporation and
Price Waterhouse. Dick earned a BA from the University of Toronto and an MBA
from the Rochester Institute of Technology, and is a CPA. This interview was
conducted on December 15, 1999, and represents Dick's views on that date.
WHAT FACTORS HAVE HAD THE GREATEST IMPACT ON THE TAX-EXEMPT MONEY MARKET OVER
THE PAST YEAR?
DO: There have been three key factors that influenced the tax-exempt money
market over the past 12 months. Traditionally, the short-term tax-exempt
market is affected by seasonal factors such as year-end balance sheet-related
activity, tax-exempt coupon payment dates, and tax payment due dates. In the
periods around year-end and April 15 there tends to be an outflow of assets
from the market that causes rates to spike upwards. The opposite occurs on
January 1 and June 1 when many municipalities make coupon payments. Secondly,
three Fed rate increases in June, October, and November pushed short-term
tax-exempt yields higher in sympathy with their taxable counterparts. And
finally, concerns over Y2K-related effects on the availability of investments
over the year end have caused a great deal of speculation and positioning as
December 31 approaches.
HOW HAVE YOU HAD THE PORTFOLIO POSITIONED TO WEATHER THIS VOLATILITY?
DO: Staying liquid is the key to weathering the interest rate volatility. We
are fortunate to have a relatively stable investor base, thus we can minimize
liquidity - that is, reduce the amount of cash needed on hand - and can
invest a bit farther out on the yield curve. In addition, we entered into an
agreement to purchase a block of short-term tax-exempt notes over year-end to
ensure that the fund would have sufficient attractive investments at a time
when liquidity was expected to disappear.
I would like to note that, during the period, the fund received an AAA rating
from both Standard & Poor's and Moody's. All of our money market funds now
have this top rating.
TO WHAT DO YOU ATTRIBUTE THE FUND'S OUTPERFORMANCE IN THE PAST 12 MONTHS?
DO: Minimizing the lowest yielding securities in the portfolio, as well as
anticipating the traditional rate movements and increasing the average life
of the holdings, has been the main contributing factor to our outperformance.
3
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
DO: We see several things happening in the coming months. Despite earlier
fears of a lack of supply over year-end, year-end activity is progressing
rather normally. We expect the rising rate environment to continue, with a 25
basis point hike expected from the Fed at its February meeting. Eventually,
these incremental steps will bring about the desired slowdown and "soft
landing." We think that the current strength in oil prices will translate
into increasing headline inflation, noticeable as early as the first quarter
of 2000. Global growth will also continue its positive trend which will have
implications down the road for U.S. assets as other countries' assets become
more attractive on a relative value basis.
IN LIGHT OF THIS FORECAST, HOW ARE YOU POSITIONING THE PORTFOLIO?
DO: We will keep duration on the shorter side in anticipation of further Fed
hikes. We will continue to monitor our liquidity levels and selectively
invest in attractive opportunities as issuers push the maturities of their
short-term borrowings out past year-end.
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 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
J.P. Morgan 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. It is designed for investors who seek to
preserve capital and earn current income exempt from federal income tax.
- -------------------------------------------------------------------------------
INCEPTION DATE
09/12/83
- -------------------------------------------------------------------------------
FUND NET ASSETS AS OF 11/30/99
$1,603,435,201
- -------------------------------------------------------------------------------
PORTFOLIO NET ASSETS AS OF 11/30/99
$2,066,578,108
- -------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
MONTHLY
- -------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/13/99
- -------------------------------------------------------------------------------
EXPENSE RATIO
The fund's current annual expense ratio of 0.50% 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 NOVEMBER 30, 1999
PORTFOLIO ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
VARIABLE RATE DEMAND NOTES 69.4%
COMMERCIAL PAPER 13.5%
TAX REVENUE ANTICIPATION NOTES 7.7%
GENERAL OBLIGATIONS 4.1%
REVENUE BONDS 3.4%
REVENUE ANTICIPATION NOTES 1.9%
AVERAGE 7-DAY YIELD
3.29%
AVERAGE MATURITY
41 DAYS
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, IT IS
POSSIBLE TO LOSE MONEY BY INVESTING IN THIS FUND.
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
or 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) 521-5411 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 TAX EXEMPT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Tax Exempt Money Market
Portfolio ("Portfolio"), at value $1,606,813,617
Prepaid Trustees' Fees 2,045
Prepaid Expenses and Other Assets 6,361
--------------
Total Assets 1,606,822,023
--------------
LIABILITIES
Dividends Payable to Shareholders 2,755,722
Shareholder Servicing Fee Payable 336,398
Administrative Services Fee Payable 34,116
Fund Services Fee Payable 1,937
Administration Fee Payable 1,708
Accrued Expenses 256,941
--------------
Total Liabilities 3,386,822
--------------
NET ASSETS
Applicable to 1,603,587,036 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $1,603,435,201
==============
Net Asset Value, Offering and Redemption Price
Per Share $1.00
----
----
ANALYSIS OF NET ASSETS
Paid-in Capital $1,603,931,911
Accumulated Net Realized Loss on Investment (496,710)
--------------
Net Assets $1,603,435,201
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL
MONTHS ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999
----------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Interest Income $ 14,010,365 $ 47,578,566
Allocated Portfolio Expenses (805,295) (2,984,213)
---------------- --------------
Net Investment Income Allocated from
Portfolio 13,205,070 44,594,353
---------------- --------------
FUND EXPENSES
Shareholder Servicing Fee 1,003,173 3,715,230
Administrative Services Fee 100,847 391,466
Registration Fees 55,600 130,308
Transfer Agent Fees 391 75,520
Fund Services Fee 6,927 32,377
Professional Fees 11,831 25,010
Administration Fee 5,493 23,415
Trustees' Fees and Expenses 2,529 14,871
Miscellaneous 11,955 57,776
---------------- --------------
Total Fund Expenses 1,198,746 4,465,973
---------------- --------------
NET INVESTMENT INCOME 12,006,324 40,128,380
NET REALIZED LOSS ON INVESTMENT ALLOCATED FROM
PORTFOLIO (189,734) (36,108)
---------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 11,816,590 $ 40,092,272
================ ==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL FOR THE FISCAL
MONTHS ENDED YEAR ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999 AUGUST 31, 1998
----------------- --------------- ---------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 12,006,324 $ 40,128,380 $ 38,195,908
Net Realized Gain (Loss) on Investment Allocated
from Portfolio (189,734) (36,108) 42,215
---------------- --------------- ---------------
Net Increase in Net Assets Resulting from
Operations 11,816,590 40,092,272 38,238,123
---------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (12,006,324) (40,128,380) (38,195,908)
---------------- --------------- ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT
A CONSTANT $1.00 PER SHARE)
Proceeds from Shares of Beneficial Interest Sold 1,505,053,933 7,072,485,305 5,229,719,103
Reinvestment of Dividends 4,369,487 19,775,598 29,223,437
Cost of Shares of Beneficial Interest Redeemed (1,542,332,292) (6,695,596,987) (5,123,033,760)
---------------- --------------- ---------------
Net Increase (Decrease) from Transactions in
Shares of Beneficial Interest (32,908,872) 396,663,916 135,908,780
---------------- --------------- ---------------
Total Increase (Decrease) in Net Assets (33,098,606) 396,627,808 135,950,995
NET ASSETS
Beginning of Period 1,636,533,807 1,239,905,999 1,103,955,004
---------------- --------------- ---------------
End of Period $ 1,603,435,201 $ 1,636,533,807 $ 1,239,905,999
================ =============== ===============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL YEAR ENDED AUGUST 31,
MONTHS ENDED ------------------------------------------------------------------------------
NOVEMBER 30, 1999 1999 1998 1997 1996 1995
----------------- ------------- ------------- ------------- ------------- ----------
<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 0.0075 0.0272 0.0318 0.0314 0.0318 0.0336
Net Realized Gain (Loss)
on Investment (0.0000)(a) (0.0000)(a) 0.0000(a) (0.0000)(a) (0.0000)(a) (0.0002)
---------- ---------- ---------- ---------- ---------- ---------
Total from Investment
Operations 0.0075 0.0272 0.0318 0.0314 0.0318 0.0334
---------- ---------- ---------- ---------- ---------- ---------
LESS DISTRIBUTIONS TO
SHAREHOLDERS FROM
Net Investment Income (0.0075) (0.0272) (0.0318) (0.0314) (0.0318) (0.0336)
---------- ---------- ---------- ---------- ---------- ---------
NET ASSET VALUE,
END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ========== =========
RATIOS AND SUPPLEMENTAL
DATA
Total Return 0.75%(b) 2.75% 3.23% 3.18% 3.23% 3.41%
Net Assets, End of Period
(in thousands) $1,603,435 $1,636,534 $1,239,906 $1,103,955 $1,050,371 $ 985,069
Ratios to Average Net
Assets
Net Expenses 0.50%(c) 0.50% 0.43% 0.46% 0.48% 0.51%
Net Investment Income 2.99%(c) 2.70% 3.18% 3.13% 3.17% 3.35%
</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 TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
J.P. Morgan Tax Exempt Money Market Fund (the "fund") is a separate series of
the J.P. Morgan 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, 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"), a wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P.
Morgan"). At a meeting on November 12, 1998, the trustees elected to change the
fund's fiscal year end from August 31 to November 30.
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 (78% at
November 30, 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 (the "Code"),
as amended 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.
12
<PAGE>
J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
f) For federal income tax purposes, the fund had a capital loss carryforward
at November 30, 1999 of $502,327, of which $8,529 expires in 2003,
$236,412 expires in 2004 and $257,386 expires in 2007. 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.
2. TRANSACTIONS WITH AFFILIATES
a) The trust, on behalf of the fund, has retained Funds Distributor, Inc.
("FDI"), a registered broker-dealer, to serve as co-administrator and
distributor for the fund. Under a Co-Administration Agreement between FDI
and the trust on behalf of the fund, FDI provides administrative services
necessary for the operations of the fund, furnishes office space and
facilities required for conducting the business of the fund and pays the
compensation of the fund's officers affiliated with FDI. The fund has
agreed to pay FDI fees equal to its allocable share of an annual
complex-wide charge of $425,000 plus FDI's out-of-pocket expenses. The
amount allocable to the fund is based on the ratio of the fund's net
assets to the aggregate net assets of the trust and certain other
investment companies subject to similar agreements with FDI. For the three
months ended November 30, 1999 and for the fiscal year ended August 31,
1999, the fee for these services amounted to $5,493 and $23,415,
respectively.
b) The trust, on behalf of the fund, has an Administrative Services Agreement
(the "Services Agreement") with Morgan, under which Morgan is responsible
for certain aspects of the administration and operation of the fund. Under
the Services Agreement, the fund has agreed to pay Morgan a fee equal to
its 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
Institutional 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 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 three months ended November 30, 1999 and for
the fiscal year ended August 31, 1999, the fee for these services amounted
to $100,847 and $391,466, respectively.
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 0.25% of the average daily net assets of
the fund. For the three months ended November 30, 1999 and for the fiscal
year ended August 31, 1999, the fee for these services amounted to
$1,003,173 and $3,715,230, respectively.
Morgan, Charles Schwab & Co. ("Schwab") and the trust are parties to
separate services and operating agreements (the "Schwab Agreements")
whereby Schwab makes fund shares available to customers of investment
advisors and other financial intermediaries who are Schwab's clients. The
fund is not responsible for payments to Schwab under the Schwab
Agreements; however, in the event the Services
13
<PAGE>
J.P. MORGAN TAX EXEMPT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
Agreement with Schwab is terminated for reasons other than a breach by
Schwab and the relationship between the trust and Morgan is terminated,
the fund would be responsible for the ongoing payments to Schwab with
respect to pre-termination shares.
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
$6,927 and $32,377 for the three months ended November 30, 1999 and for
the fiscal year ended August 31, 1999, respectively.
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 Institutional 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 $1,300 and $6,200 for
the three months ended November 30, 1999 and for the fiscal year ended
August 31, 1999, respectively.
14
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
J.P. Morgan Tax Exempt Money Market Fund
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
J.P. Morgan Tax Exempt Money Market Fund (one of the series constituting part of
J.P. Morgan Funds, hereafter referred to as the "fund") at November 30, 1999,
and the results of its operations for the three months ended November 30, 1999
and for the year ended August 31, 1999, the changes in its net assets for the
three months ended November 30, 1999 and for each of the two years in the period
ended August 31, 1999 and the financial highlights for the three months ended
November 30, 1999 and for each of the five years in the period ended August 31,
1999, in conformity with accounting principles generally accepted in the United
States. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the fund's management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
January 14, 2000
15
<PAGE>
The Tax Exempt Money Market Portfolio
Annual Report November 30, 1999
(The following pages should be read in conjunction
with J.P. Morgan Tax Exempt Money Market Fund
Annual Financial Statements)
16
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ALABAMA (3.7%)
$24,000 Birmingham-Carraway Special Care Facilities
Financing Authority, (Carraway Methodist
Health, Series A, due 08/15/28), LOC
Amsouth Bank............................. VRDN 12/01/99(a) 3.850% $ 24,000,000
23,500 Birmingham Special Care Facilities
Financing Authority, (Ascension Health
Credit, Refunding, Series B, due
11/15/39)................................ VRDN 02/16/00(a) 3.800 23,500,000
5,200 Columbia Industrial Development Board,
(PCR, Alabama Power Co. Project,
Refunding, Series C, due 10/01/22)....... VRDN 12/01/99(a) 4.000 5,200,000
15,200 Columbia Industrial Development Board,
(PCR, Alabama Power Co. Project,
Refunding, Series D, due 10/01/22)....... VRDN 12/01/99(a) 4.000 15,200,000
9,500 West Jefferson Industrial Development
Board, (PCR, Refunding, Alabama Power Co.
Project, due 06/01/28)................... VRDN 12/01/99(a) 3.850 9,500,000
--------------
77,400,000
--------------
ALASKA (0.2%)
2,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series A, due
12/01/33)................................ VRDN 12/01/99(a) 3.600 2,200,000
1,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series B, due
12/01/33)................................ VRDN 12/01/99(a) 3.600 1,200,000
--------------
3,400,000
--------------
ARIZONA (1.1%)
7,700 Apache County, (Industrial Development
Authority, Tuscon Electric Power Co.,
Springerville Project, due 12/01/20), LOC
Toronto Dominion Bank.................... VRDN 12/01/99(a) 4.000 7,700,000
4,700 Maricopa County Pollution Control Corp.,
(PCR, El Paso Electric Co. Project, due
12/01/14), LOC Barclays Bank............. VRDN 12/01/99(a) 3.850 4,700,000
11,000 Maricopa County Pollution Control Corp.,
(PCR, El Paso Electric Co. Project,
Series A, due 07/01/14).................. VRDN 12/01/99(a) 3.850 11,000,000
--------------
23,400,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (0.7%)
$ 2,200 California Pollution Control Financing
Authority, (PCR, Refunding, Southern
California Edison, Series A, due
02/28/08)................................ VRDN 12/01/99(a) 3.950% $ 2,200,000
450 California Pollution Control Financing
Authority, (PCR, Refunding, Southern
California Edison, Series C, due
02/28/08)................................ VRDN 12/01/99(a) 3.950 450,000
11,100 Los Angeles Regional Airports Improvement
Corp., (Lease Revenue, due 12/01/25), LOC
Societe Generale......................... VRDN 12/01/99(a) 3.700 11,100,000
--------------
13,750,000
--------------
COLORADO (1.1%)
4,025 Denver City & County Airport, (Series 13,
due 11/01/23)............................ VRDN 12/01/99(a) 3.950 4,025,000
18,140 Denver City & County Airport, (Series A16,
due 11/15/23)............................ VRDN 12/01/99(a) 4.000 18,140,000
--------------
22,165,000
--------------
DISTRICT OF COLUMBIA (0.9%)
19,500 District of Columbia, (The American
University Issue, due 10/01/15), LOC
Deutsche Bank............................ VRDN 12/01/99(a) 3.850 19,500,000
--------------
19,500,000
--------------
FLORIDA (3.0%)
5,800 Citrus Park Community Development District,
(Florida Capital Improvement Project, due
11/01/16), LOC Dresdner Bank............. VRDN 12/01/99(a) 3.750 5,800,000
22,900 Dade County Water & Sewer System Revenue,
(due 10/05/22), FGIC Insured............. VRDN 12/01/99(a) 3.600 22,900,000
10,765 Florida, (Dept. of Transportation, due
07/01/13)................................ VRDN 12/02/99(a) 3.960 10,765,000
5,700 Florida Municipal Power Agency, (Refunding,
Sub-Stanton II Project, due 10/01/27),
AMBAC Insured............................ VRDN 12/01/99(a) 3.850 5,700,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 1,100 Jacksonville, (PCR, Refunding, Florida
Power & Light Co. Project, due
05/01/29)................................ VRDN 12/01/99(a) 3.800% $ 1,100,000
7,900 St. Lucie County, (PCR, Refunding, Florida
Power & Light Co. Project, due
03/01/27)................................ VRDN 12/01/99(a) 3.800 7,900,000
4,700 Tampa Occupational License Tax, (Series A,
due 10/01/18), FGIC Insured.............. VRDN 12/01/99(a) 3.750 4,700,000
2,300 University Athletic Association Inc.,
(Refunding, University of Florida Stadium
Project, due 02/01/20), LOC Suntrust
Bank..................................... VRDN 12/01/99(a) 4.000 2,300,000
--------------
61,165,000
--------------
GEORGIA (7.8%)
35,000 Burke County Development Authority......... CP 02/04/00-02/15/00 3.673-3.674(y) 35,000,000
27,500 Burke County Development Authority, (PCR,
Oglethorpe Power Corp., Series A, due
01/01/19), FGIC Insured.................. VRDN 12/01/99(a) 3.900 27,500,000
4,000 DeKalb County Development Authority
Revenue, (Metro Atlanta YMCA Project, due
06/01/20), LOC Wachovia Bank of
Georgia.................................. VRDN 12/01/99(a) 3.800 4,000,000
38,668 Georgia Municipal Association, (Pool Bonds
Certificates, due 12/15/20), MBIA
Insured.................................. VRDN 12/03/99(a) 3.850 38,667,514
14,815 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue, due
07/01/20)................................ VRDN 12/02/99(a) 3.960 14,815,000
20,000 Monroe County, (PCR, Refunding, Gulf Power
Co. Plant, Series 2, due 09/01/24)....... VRDN 01/25/00(a) 3.700 20,000,000
20,800 Putnam Development Authorities............. CP 1/26/00-02/23/00 3.645-3.674(y) 20,800,000
--------------
160,782,514
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (7.7%)
$30,000 Chicago, (Limited Notes, due 01/26/01), LOC
Westdeutche Landesbank................... GO 01/27/00(a) 2.950% $ 29,998,584
10,000 Chicago, (MFHR, Waveland Association
Project A, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 10,000,000
10,000 Chicago, (MFHR, Waveland Association
Project B, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 10,000,000
3,000 Chicago, (MFHR, Waveland Association
Project C, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,000,000
3,300 Chicago, (MFHR, Waveland Association
Project D, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,300,000
3,000 Chicago, (MFHR, Waveland Association
Project E, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,000,000
12,600 Chicago, (MFHR, Waveland Association
Project F, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 12,600,000
5,800 Chicago, (O'Hare International Airport,
General Airport, 2nd Lien, Series A, due
01/01/15), LOC Societe Generale.......... VRDN 12/01/99(a) 3.850 5,800,000
4,360 Chicago, (O'Hare International Airport,
General Airport, 2nd Lien, Series B, due
01/01/15), LOC Societe Generale.......... VRDN 12/01/99(a) 3.850 4,360,000
10,000 Illinois Development Finance Authority,
(Chicago Symphony Project, due 06/01/31),
LOC Bank of America...................... VRDN 12/01/99(a) 3.900 10,000,000
5,200 Illinois Development Finance Authority,
(PCR, Illinois Power Co. Project,
Series B, due 11/01/28), LOC ABN AMRO
Bank..................................... VRDN 12/01/99(a) 3.850 5,200,000
2,100 Illinois Development Finance Authority,
(Refunding, Olin Corp. Project,
Series A, due 06/01/04), LOC Wachovia
Bank of South Carolina................... VRDN 12/01/99(a) 3.850 2,100,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 540 Illinois Development Finance Authority,
(Refunding, Olin Corp. Project,
Series D, due 03/01/16), LOC Wachovia
Bank of South Carolina................... VRDN 12/01/99(a) 3.850% $ 540,000
16,900 Illinois Educational Facilities Authority,
(University Pooled Financing Program, due
12/01/05), FGIC Insured.................. VRDN 12/01/99(a) 3.900 16,900,000
5,905 Illinois Health Facilities Authority,
(Loyola University Health System, Series
B, due 07/01/24), MBIA Insured........... VRDN 12/01/99(a) 3.750 5,905,000
13,500 Illinois Toll Highway Authority,
(Refunding, Series B, due 01/01/10), LOC
Societe Generale......................... VRDN 12/01/99(a) 3.800 13,500,000
3,500 Joliet, (Regional Port District, Refunding,
Exxon Project, due 10/01/24)............. VRDN 12/01/99(a) 3.600 3,500,000
6,065 Metropolitan Pier & Exposition Authorities,
(Series PZ3, due 12/15/19)............... VRDN 12/02/99(a) 4.280 6,065,000
10,000 Regional Transportation Authority, (due
06/01/25)................................ VRDN 12/02/99(a) 3.960 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, due 12/15/26), LOC Bank One
Texas.................................... VRDN 12/01/99(a) 4.020 3,000,000
--------------
158,768,584
--------------
INDIANA (5.5%)
20,000 Indiana Health Facility Financing
Authority, (Ascesion Health Credit,
Refunding, Series B, due 11/15/39)....... VRDN 02/09/00(a) 3.800 20,000,000
70,527 Indiana Office Building Commission......... CP 02/23/00 3.596(y) 70,527,000
9,800 Princeton, (PCR, Refunding, PSI Energy Inc.
Project, due 03/01/19), LOC Canadian
Imperial Bank............................ VRDN 12/01/99(a) 3.650 9,800,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
INDIANA (CONTINUED)
$ 4,050 Rockport, (PCR, Indiana and Michigan
Electric Co. Project, Series A, due
08/01/14), LOC Swiss Bank................ VRDN 12/01/99(a) 3.900% $ 4,050,000
3,000 Rockport, (PCR, Refunding, AEP Generating
Co. Project, Series B, due 07/01/25),
AMBAC Insured............................ VRDN 12/01/99(a) 3.650 3,000,000
6,200 South Bend Redevelopment Authority,
(Rental-College Football, due 02/01/19),
LOC Landesbank Hessen.................... VRDN 12/01/99(a) 3.900 6,200,000
--------------
113,577,000
--------------
KANSAS (0.3%)
3,100 Burlington, (PCR, Series A7, due
06/01/31)................................ VRDN 12/01/99(a) 3.950 3,100,000
3,700 Burlington, (PCR, Series A26, due
06/01/31)................................ VRDN 12/01/99(a) 3.950 3,700,000
--------------
6,800,000
--------------
KENTUCKY (2.4%)
30,000 Kentucky Asset/Liability Commission,
(General Fund Revenue Project,
Series A)................................ TRAN 06/28/00 4.250 30,132,263
13,880 Kentucky Turnpike Authority, (Resource
Recovery, Series 17, due 07/01/03)....... VRDN 12/01/99(a) 3.950 13,880,000
4,500 Louisville & Jefferson County,
(Metropolitan Sewer District, Sewer &
Drain Recovery Road, Series A63, due
05/15/30)................................ VRDN 12/08/99(a) 3.950 4,500,000
790 Mayfield, (Multi-City Lease Revenue,
Kentucky League of Cities Funding Trust,
due 07/01/26), LOC PNC Bank.............. VRDN 12/01/99(a) 3.950 790,000
--------------
49,302,263
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (1.7%)
$ 1,700 Calcasieu Parish, (Industrial Development
Board, Refunding, Olin Corp. Project,
Series B, due 02/01/16), LOC Wachovia
Bank..................................... VRDN 12/01/99(a) 3.850% $ 1,700,000
2,100 East Baton Rouge Parish, (PCR, Refunding,
Exxon Project, due 11/01/19)............. VRDN 12/01/99(a) 3.800 2,100,000
7,000 Lake Charles Harbor & Terminal District,
(Reynolds Metals Co. Project, due
05/01/06), LOC Canadian Imperial Bank.... VRDN 12/01/99(a) 3.850 7,000,000
1,700 Louisiana Offshore Terminal Authority,
(Deepwater Port Revenue, Refunding, First
Stage Loop Inc., due 09/01/06), LOC
Suntrust Bank Nashville.................. VRDN 12/01/99(a) 3.600 1,700,000
17,950 Louisiana Offshore Terminal Authority,
(Deepwater Port Revenue, Refunding, First
Stage A-Loop Inc., due 09/01/08), LOC
Suntrust Bank Nashville.................. VRDN 12/01/99(a) 3.600 17,950,000
3,710 Louisiana Public Facilities Authority,
(Kenner Hotel Ltd., due 12/01/15), LOC
Deutsche Bank............................ VRDN 12/01/99(a) 3.800 3,710,000
--------------
34,160,000
--------------
MARYLAND (1.0%)
12,120 Montgomery County, (Consolidated Public
Improvement Bonds, due 05/01/18)......... VRDN 12/02/99(a) 3.960 12,120,000
8,200 Montgomery County Housing Opportunities
Commision, (MFHR, Grosvenor, Series A,
due 07/15/07), FNMA Insured.............. VRDN 12/01/99(a) 3.850 8,200,000
--------------
20,320,000
--------------
MASSACHUSETTS (1.2%)
23,800 Massachusetts Bay Transportation Authority,
(Series A36, Registered D Shares, due
09/01/00)................................ VRDN 12/08/99(a) 3.950 23,800,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (0.4%)
$ 7,200 Michigan Strategic Fund Ltd., (Lutheran
Homes of Michigan Project, due 09/01/17),
LOC NBD Bank............................. VRDN 12/01/99(a) 3.900% $ 7,200,000
1,500 Michigan Strategic Fund Ltd., (Reserve 1,
due 09/01/30), LOC Barclays Bank PLC..... VRDN 12/01/99(a) 3.800 1,500,000
--------------
8,700,000
--------------
MINNESOTA (0.5%)
7,750 Minneapolis & St. Paul, (Metro Airports
Community Airport Revenue, Series A56,
due 01/01/30), AMBAC Insured............. VRDN 12/08/99(a) 3.950 7,750,000
2,700 Minnesota Public Facilities Authority,
(Water Pollution Control Revenue, due
03/01/15), LOC Commerzbank............... VRDN 12/02/99(a) 3.970 2,700,000
--------------
10,450,000
--------------
MISSISSIPPI (0.1%)
1,700 Jackson County, (PCR, Refunding, Chevron
Project, due 12/01/16)................... VRDN 12/01/99(a) 3.600 1,700,000
--------------
1,700,000
--------------
MISSOURI (0.6%)
8,310 Missouri (due 08/01/20).................... VRDN 12/02/99(a) 3.960 8,310,000
1,600 Missouri Environmental Improvement
Authority & Energy Resource Authority,
(Refunding, Bayer Corp. Project, due
03/01/09)................................ VRDN 12/01/99(a) 3.900 1,600,000
2,400 State Development Financial Board
Infrastructure Facilities, (City Union
Station, Series B, due 12/01/03), LOC
Canadian Imperial Bank................... VRDN 12/01/99(a) 4.000 2,400,000
--------------
12,310,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
MULTI-STATE (1.3%)
$ 5,000 ABN AMRO Munitops Certificates Trust,
(Series 1999-9, 144A, due 08/08/07), LOC
ABN Amro Bank............................ VRDN 12/01/99(a) 4.100% $ 5,000,000
22,000 ABN AMRO Munitops Certificates Trust,
(Series 1999-6, 144A, due 03/07/07)...... VRDN 12/01/99(a) 4.100 22,000,000
--------------
27,000,000
--------------
NEVADA (1.8%)
19,900 Clark County, (Refunding, Airport
Improvement Revenue, Series A, due
07/01/12), MBIA Insured.................. VRDN 12/01/99(a) 3.750 19,900,000
9,000 Las Vegas, Series A........................ CP 02/10/00 3.597(y) 9,000,000
9,000 Nevada (due 11/01/20)...................... VRDN 12/02/99(a) 3.960 9,000,000
--------------
37,900,000
--------------
NEW JERSEY (3.2%)
15,000 New Jersey................................. CP 02/04/00 3.521(y) 15,000,000
11,175 New Jersey................................. GO 02/01/00 4.000 11,196,522
14,500 New Jersey, (Series A58, due 02/01/09), LOC
Bayer Hypo-Vereinsbank................... GO 12/01/99(a) 3.950 14,500,000
6,000 New Jersey, (Series A59, due 02/01/10)..... GO 12/01/99(a) 3.950 6,000,000
19,225 New Jersey Transportation Trust Fund, (due
12/15/14)................................ VRDN 12/02/99(a) 3.840 19,225,000
--------------
65,921,522
--------------
NEW MEXICO (0.2%)
1,900 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series A, due 05/01/24),
LOC Bank of America...................... VRDN 12/01/99(a) 3.600 1,900,000
2,700 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series B, due 09/01/24),
LOC Barclays Bank PLC.................... VRDN 12/01/99(a) 3.600 2,700,000
--------------
4,600,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (13.8%)
$10,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 2, due
05/01/33), LOC Westduetsche Landesbank &
Bayerische Landesbank.................... VRDN 12/01/99(a) 3.850% $ 10,000,000
37,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 7A, due
04/01/25), MBIA Insured.................. VRDN 12/01/99(a) 3.850 37,000,000
8,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 7B, due
04/01/25), MBIA Insured.................. VRDN 12/01/99(a) 3.850 8,000,000
900 New York, (Series B, due 10/01/20), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 900,000
3,300 New York, (Series B, due 10/01/21), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 3,300,000
5,050 New York, (Series B, due 10/01/22), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 5,050,000
5,600 New York, (Series B, SubSeries B6, due
08/15/05), LOC MBIA...................... VRDN 12/01/99(a) 3.650 5,600,000
11,120 New York, (Series PA 442, due 05/15/28).... VRDN 12/02/99(a) 4.010 11,120,000
5,000 New York City Municipal Water Finance
Authority, (Prerefunded, Water & Sewer
Systems, Series A, due 06/15/15), MBIA
Insured.................................. RB 06/15/00(a) 7.250 5,179,572
15,900 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series SGB 27, due 06/15/24), FSA
Insured.................................. VRDN 12/02/99(a) 3.940 15,900,000
24,290 New York City Municipal Water Finance
Authority, (Water & Sewer Systems, due
06/15/26), MBIA Insured.................. VRDN 12/08/99(a) 3.950 24,290,000
15,000 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series A65, due 06/15/29)................ VRDN 12/01/99(a) 3.950 15,000,000
1,450 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series C, due 06/15/22), FGIC Insured.... VRDN 12/01/99(a) 3.800 1,450,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 1,500 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Refunding, Series G, due 06/15/24), FGIC
Insured.................................. VRDN 12/01/99(a) 3.600% $ 1,500,000
7,000 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series 10, due 06/15/26), FSA Insured.... VRDN 12/01/99(a) 3.950 7,000,000
6,960 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series 11, due 06/15/26), FSA Insured.... VRDN 12/01/99(a) 3.950 6,960,000
10,170 New York City Transitional Finance
Authority, (Future Tax Secured,
Series C, due 05/01/28), LOC Bayerische
Landesbank............................... VRDN 12/01/99(a) 3.600 10,170,000
25,000 New York City Transitional Finance
Authority, (Series A47), LOC Bank of New
York..................................... RB 06/30/00 3.850 25,000,000
9,000 New York City Transitional Finance
Authority, (Future Tax Secured,
SubSeries B2, due 11/01/26), LOC First
National Bank............................ VRDN 12/01/99(a) 3.600 9,000,000
5,500 New York City Water........................ CP 12/10/99 3.530(y) 5,500,000
8,950 New York State Energy Research &
Development Authority, (PCR, Niagara
Mohawk Power, Series A, due 07/01/15),
LOC Toronto Dominion Bank................ VRDN 12/01/99(a) 4.000 8,950,000
3,500 New York State Energy Research &
Development Authority, (Series 19, due
08/15/20), AMBAC Insured................. VRDN 12/01/99(a) 3.950 3,500,000
23,200 New York State Local Government Assistance
Corp., (due 04/01/20).................... VRDN 12/02/99(a) 3.980 23,200,000
8,140 New York State Medical Care Facilities
Finance Agency, (due 02/15/29)........... VRDN 12/02/99(a) 4.000 8,140,000
5,000 New York State Urban Development Corp.,
(Series PA 429, due 01/01/28)............ VRDN 12/02/99(a) 3.980 5,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 5,000 New York State Urban Development Corp.,
(Series SG-33, due 01/01/25)............. VRDN 12/02/99(a) 3.960% $ 5,000,000
13,090 Port Authority of New York & New Jersey,
(Master Note, Series 1998-1, due
12/01/14)................................ VRDN 12/07/99(a) 4.136 13,090,000
10,000 Triborough Bridge & Tunnel Authorities,
(General Purpose, Series C, due
01/01/13), AMBAC Insured................. VRDN 12/01/99(a) 4.000 10,000,000
--------------
284,799,572
--------------
NORTH CAROLINA (4.8%)
1,200 Charlotte, Airport Revenue, (Refunding,
Series A, due 07/01/16), MBIA Insured.... VRDN 12/01/99(a) 3.750 1,200,000
5,000 Greensboro Enterprise Systems, (Series B,
due 06/01/22), LOC Credit Local De
France................................... VRDN 12/01/99(a) 3.750 5,000,000
9,100 North Carolina Educational Facilities
Finance Agency, (Bowman Grey School
Medical Project, due 09/01/20), LOC
Wachovia Bank & Trust.................... VRDN 12/02/99(a) 3.850 9,100,000
6,000 North Carolina Educational Facilities
Finance Agency, (Bowman Grey School
Medical Project, due 09/01/26), LOC
Wachovia Bank & Trust.................... VRDN 12/01/99(a) 3.850 6,000,000
10,310 North Carolina Educational Facilities
Finance Agency, (Elon College, due
01/01/21), LOC Bank of America........... VRDN 12/01/99(a) 3.750 10,310,000
9,350 North Carolina Educational Facilities
Finance Agency, (Greensboro College, due
09/01/27), LOC Bank of America........... VRDN 12/01/99(a) 3.750 9,350,000
1,250 North Carolina, (due 04/01/17)............. VRDN 12/02/99(a) 3.960 1,250,000
27,075 North Carolina, (Public School Building
Bonds, Series A, due 03/01/11)........... VRDN 12/02/99(a) 3.960 27,075,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$11,605 North Carolina, (Public School Building
Bonds, due 04/01/11)..................... VRDN 12/02/99(a) 3.960% $ 11,605,000
4,000 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Carolina Power & Light Co. Project,
Series A, due 05/01/15), LOC Wachovia
Bank..................................... VRDN 12/01/99(a) 3.850 4,000,000
2,300 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Refunding, Carolina Power & Light
Project, Series A, due 06/15/14), LOC
First National Bank...................... VRDN 12/08/99(a) 3.800 2,300,000
12,200 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Refunding, Series B, due 06/15/14), LOC
Bank of New York......................... VRDN 12/01/99(a) 4.000 12,200,000
--------------
99,390,000
--------------
OHIO (1.0%)
4,900 Cleveland, (Income Tax Revenue, Refunding,
due 05/15/24), AMBAC Insured............. VRDN 12/01/99(a) 3.850 4,900,000
5,300 Hamilton County, (Hospital Facilities
Revenue, Health Alliance, Series A, due
01/01/18), MBIA Insured.................. VRDN 12/01/99(a) 3.850 5,300,000
2,600 Ohio State Air Quality Development
Authorities, (Series A, due 12/01/15).... VRDN 12/01/99(a) 3.950 2,600,000
8,000 Warren County, (Health Care Facilities
Revenue, Refunding & Improvement,
Otterbein, Series A, due 07/01/21), LOC
Fifth Third Bank......................... VRDN 12/02/99(a) 3.850 8,000,000
--------------
20,800,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (2.2%)
$21,075 Delaware Valley Regional Finance Authority,
(Mode 1, due 08/01/16), LOC Credit Suisse
First Boston............................. VRDN 12/01/99(a) 3.800% $ 21,075,000
15,800 Delaware Valley Regional Finance Authority,
(Series C, due 12/01/20), LOC Credit
Suisse First Boston...................... VRDN 12/01/99(a) 3.800 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Series D, due 12/01/20), LOC Credit
Suisse First Boston...................... VRDN 12/01/99(a) 3.800 4,500,000
4,975 Pennsylvania Intergovernmental Authority,
(Special Tax Revenue, due 12/15/11)...... VRDN 12/02/99(a) 3.970 4,975,000
--------------
46,350,000
--------------
SOUTH CAROLINA (1.9%)
21,500 Greenville County School District.......... GO 03/01/00 3.500 21,529,739
15,600 South Carolina Public Service Authority,
(due 01/01/25)........................... VRDN 12/01/99(a) 3.950 15,600,000
1,750 South Carolina, (State Highway Bonds, due
05/01/26)................................ VRDN 12/02/99(a) 3.960 1,750,000
--------------
38,879,739
--------------
SOUTH DAKOTA (0.3%)
6,620 Lawrence County, (PCR, Refunding, Homestake
Mining, Series B, due 07/01/32), LOC
Chase Manhattan Bank..................... VRDN 12/01/99(a) 3.850 6,620,000
--------------
TENNESSEE (0.2%)
1,100 Bradley County Industrial Development
Board, (Olin Corp. Project, Series C, due
11/01/17), LOC Wachovia Bank............. VRDN 12/01/99(a) 3.850 1,100,000
2,300 Tennessee, (Series C, due 07/02/01)........ VRDN 12/01/99(a) 3.750 2,300,000
--------------
3,400,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
TEXAS (12.5%)
$24,656 Dallas Waterworks & Sewer System........... CP 12/15/99 3.481-3.483(y)% $ 24,656,000
10,000 El Paso Waterworks & Sewer System.......... CP 02/15/00 3.485(y) 10,000,000
2,540 Gulf Coast Waste Disposal Authority, (PCR,
Refunding, Amoco Oil Co. Project, due
10/01/17)................................ VRDN 12/01/99(a) 3.600 2,540,000
2,560 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project,
Series A, due 04/01/08), LOC Chase Bank
of Texas................................. VRDN 12/02/99(a) 4.000 2,560,000
1,915 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project,
Series B, due 04/01/08), LOC Chase Bank
of Texas................................. VRDN 12/02/99(a) 4.000 1,915,000
25,000 Houston Higher Education Financial Corp.,
(Higher Education Revenue Trust,
Series A54, due 11/15/29), LIQ FAC--Bayer
Hypo Vereinsbank......................... VRDN 12/01/99(a) 3.950 25,000,000
3,400 Houston Water & Sewer Systems,
(Series A29, due 12/01/15)............... VRDN 12/01/99(a) 3.950 3,400,000
28,600 Houston Water & Sewer Systems,
(Series SG-120, due 12/01/23)............ VRDN 12/02/99(a) 3.960 28,600,000
51,980 Houston Water & Sewer Systems.............. CP 02/14/00-03/03/00 3.597-3.890(y) 51,980,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series A-1, due
12/01/14), LOC Royal Bank of Canada...... VRDN 12/01/99(a) 3.700 400,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-1, due
12/01/14), LOC Royal Bank of Canada...... VRDN 12/01/99(a) 3.700 400,000
1,400 Lone Star Airport Improvement Authority,
(Series B-3, due 12/01/14), LOC Royal
Bank of Canada........................... VRDN 12/01/99(a) 3.700 1,400,000
4,500 Mansfield Industrial Development Corp.,
(Pier 1 Import-Texas Inc. Project, due
11/01/26), LOC Bank One Texas............ VRDN 12/08/99(a) 4.020 4,500,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 3,900 Port Development Corp., (Refunding, Stolt
Marine Terminal Project, due 01/15/14),
LOC Canadian Imperial Bank............... VRDN 12/01/99(a) 3.800% $ 3,900,000
940 Texas Higher Education Authority Inc.,
(Series B, due 12/01/25), FGIC Insured... VRDN 12/01/99(a) 3.850 940,000
22,970 Texas, (Refunding, Veterans Housing
Assistance--Fund I, due 12/01/16),
Veterans Administration Guaranteed....... VRDN 12/01/99(a) 3.750 22,970,000
71,900 Texas, (Series A).......................... TRAN 08/31/00 4.500 72,311,976
--------------
257,472,976
--------------
UTAH (1.0%)
4,955 Carbon County, (PCR, Refunding, Pacificorp
Project, due 11/01/24), AMBAC Insured.... VRDN 12/01/99(a) 3.650 4,955,000
16,000 Intermountain Power Agency................. CP 02/10/00 3.598(y) 16,000,000
--------------
20,955,000
--------------
VERMONT (0.3%)
6,200 Vermont Student Loan Assistance Corp., (due
01/01/04), LOC National Westminster
Bank..................................... VRDN 12/01/99(a) 3.500 6,200,000
--------------
VIRGINIA (1.8%)
28,725 Fairfax County, (Economic Development
Authority, Series A-15, due 02/01/11).... VRDN 02/01/00(a) 3.950 28,725,000
8,980 Metropolitan Washington D.C., (Airports
Authority, Series A11, Registered D
Shares, due 10/01/14).................... VRDN 02/01/00(a) 3.950 8,980,000
--------------
37,705,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
WASHINGTON (6.0%)
$ 1,100 King County, (due 12/01/13), LIQ
FAC--Merrill Lynch....................... VRDN 12/02/99(a) 3.960% $ 1,100,000
16,140 Port Seattle............................... CP 12/07/99 3.641(y) 16,140,000
10,100 Seattle, (Water System Revenue, due
09/01/25), LOC Bayerische Landesbank..... VRDN 12/01/99(a) 3.850 10,100,000
9,705 Washington Public Power Supply Systems,
(Prerefunded, Nuclear Project No. 1,
Series C, due 07/01/08), FGIC Insured.... RB 07/01/00(a) 7.750 10,121,509
27,010 Washington Public Power Supply Systems,
(Prerefunded, Nuclear Project No. 2,
Series A, due 07/01/12).................. RB 07/01/00(a) 7.375 28,143,164
17,235 Washington Public Power Supply Systems,
(Refunding, Project No. 2, Series 2A-1,
due 07/01/12), MBIA Insured.............. VRDN 12/01/99(a) 3.700 17,235,000
7,000 Washington, (Series SG-37, due 07/01/17)... VRDN 12/02/99(a) 3.960 7,000,000
34,600 Washington, (Series VR-96A, due
06/01/20)................................ VRDN 12/01/99(a) 3.850 34,600,000
--------------
124,439,673
--------------
WEST VIRGINIA (0.0%)
900 Marshall County, (Refunding, Bayer Corp.
Project, due 03/01/09)................... VRDN 12/01/99(a) 3.900 900,000
--------------
WISCONSIN (2.4%)
40,000 Milwaukee, (Series A)...................... RAN 2/24/00 3.500 39,965,541
8,955 Wisconsin Health & Educational Facilities
Authority, (St. Luke's Medical Center,
Remarketed 03/10/97, due 12/01/17), LOC
First National Bank of Chicago........... VRDN 12/01/99(a) 3.900 8,955,000
--------------
48,920,541
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
WYOMING (4.2%)
$ 4,400 Lincoln County, (PCR, Exxon Project,
Series B, due 11/01/14).................. VRDN 12/01/99(a) 3.600% $ 4,400,000
6,700 Lincoln County, (PCR, Exxon Project,
Series D, due 11/01/14).................. VRDN 12/01/99(a) 3.600 6,700,000
8,700 Sweetwater County, (PCR, Refunding,
Pacificorp Project, Series A, due
07/01/15), LOC Credit Suisse First
Boston................................... VRDN 12/01/99(a) 3.750 8,700,000
1,550 Sweetwater County, (PCR, Refunding,
Pacificorp Project, Series B, due
01/01/14), LOC Canadian Imperial Bank.... VRDN 12/01/99(a) 3.900 1,550,000
10,000 Uinta County, (PCR, Refunding, Chevron
Project, due 08/15/20)................... VRDN 05/01/00(a) 3.850 10,000,000
1,000 Uinta County, (PCR, Refunding, Chevron
Project, due 12/01/22)................... VRDN 12/01/99(a) 3.600 1,000,000
55,000 Wyoming General Fund....................... TRAN 06/27/00 4.000 55,200,286
--------------
87,550,286
--------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (98.8%)......................................... 2,041,254,670
OTHER ASSETS IN EXCESS OF LIABILITIES (1.2%).................................................. 25,323,438
--------------
NET ASSETS (100.0%)........................................................................... $2,066,578,108
==============
</TABLE>
- ------------------------------
(a)The date listed under the heading maturity date represents an optional tender
date or the next interest reset date. The final maturity date is indicated in
the security description.
(y) Yield to maturity.
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
FNMA - Federal National Mortgage Association.
FSA - Financial Securities Assistance.
GO - General Obligation.
IDR - Industrial Development Revenue.
LIQ FAC - Liquid Facility.
LOC - Letter of Credit.
MBIA - Municipal Bond Investors Assurance Corp.
MFHR - Multi-family Housing Revenue.
PCR - Pollution Control Revenue.
RAN - Revenue Anticipation Note.
RB - Revenue Bond.
TRAN - Tax Revenue Anticipation Note.
VRDN - Variable Rate Demand Note.
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,041,254,670
Interest Receivable 16,187,951
Receivable for Investments Sold 9,650,000
Prepaid Trustees' Fees 3,534
Prepaid Expenses and Other Assets 9,254
--------------
Total Assets 2,067,105,409
--------------
LIABILITIES
Payable to Custodian 71,662
Advisory Fee Payable 255,560
Administrative Services Fee Payable 43,255
Administration Fee Payable 1,317
Fund Services Fee Payable 1,152
Accrued Expenses 154,355
--------------
Total Liabilities 527,301
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,066,578,108
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL
MONTHS ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999
----------------- ---------------
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ $17,813,606 $ $65,736,635
---------------- --------------
EXPENSES
Advisory Fee 760,119 3,052,997
Administrative Services Fee 128,236 542,467
Custodian Fees and Expenses 78,367 366,669
Professional Fees and Expenses 33,179 54,080
Fund Services Fee 8,727 46,121
Administration Fee 4,090 20,175
Trustees' Fees and Expenses 3,260 22,086
Insurance Expense 1,776 6,448
Miscellaneous 5,672 8,166
---------------- --------------
Total Expenses 1,023,426 4,119,209
---------------- --------------
NET INVESTMENT INCOME 16,790,180 61,617,426
NET REALIZED LOSS ON INVESTMENTS (242,070) (34,717)
---------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 16,548,110 $ $61,582,709
================ ==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL FOR THE FISCAL
MONTHS ENDED YEAR ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999 AUGUST 31, 1998
----------------- --------------- ---------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,790,180 $ 61,617,426 $ 57,780,944
Net Realized Gain (Loss) on Investments (242,070) (34,717) 58,974
---------------- --------------- ---------------
Net Increase in Net Assets Resulting from
Operations 16,548,110 61,582,709 57,839,918
---------------- --------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,001,929,620 9,900,983,737 8,287,690,613
Withdrawals (2,016,389,311) (9,742,212,684) (7,897,457,444)
---------------- --------------- ---------------
Net Increase (Decrease) from Investors'
Transactions (14,459,691) 158,771,053 390,233,169
---------------- --------------- ---------------
Total Increase in Net Assets 2,088,419 220,353,762 448,073,087
NET ASSETS
Beginning of Period 2,064,489,689 1,844,135,927 1,396,062,840
---------------- --------------- ---------------
End of Period $ 2,066,578,108 $ 2,064,489,689 $ 1,844,135,927
================ =============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL YEAR ENDED AUGUST 31,
MONTHS ENDED --------------------------------------
NOVEMBER 30, 1999 1999 1998 1997 1996 1995
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20%(a) 0.20% 0.22% 0.24% 0.25% 0.25%
Net Investment Income 3.29%(a) 3.00% 3.38% 3.34% 3.40% 3.61%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 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 no-load 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. The portfolio's investment objective is to maximize current
income that is 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. At a
meeting on November 12, 1998, the trustees elected to change the portfolios
fiscal year end from August 31 to November 30.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), and a wholly owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM 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 three months ended November 30, 1999 and
for the fiscal year ended August 31, 1999, such fees amounted to $760,119
and $3,052,997, respectively.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
38
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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 three months ended November 30, 1999 and for
the fiscal year ended August 31, 1999, the fee for these services amounted
to $4,090 and $20,175, respectively.
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 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 three months ended November 30, 1999 and for the fiscal year ended
August 31, 1999, the fee for these services amounted to $128,236 and
$542,467, respectively.
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 $8,727 and $46,121 for the three months ended November 30,
1999 and for the fiscal year ended August 31, 1999, respectively.
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 $1,700 and $8,800 for the three months ended
November 30, 1999 and for the fiscal year ended August 31, 1999,
respectively.
39
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Tax Exempt Money Market Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Tax Exempt Money Market Portfolio (the
"portfolio") at November 30, 1999, and the results of its operations for the
three months ended November 30, 1999 and for the year ended August 31, 1999, the
changes in its net assets for the three months ended November 30, 1999 and for
each of the two years in the period ended August 31, 1999 and the supplementary
data for the three months ended November 30, 1999 and for each of the five years
in the period ended August 31, 1999, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at
November 30, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
January 14, 2000
40
<PAGE>
J.P. MORGAN FUNDS
PRIME MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
TAX AWARE ENHANCED INCOME FUND: SELECT SHARES
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
EMERGING MARKETS DEBT FUND
TAX EXEMPT BOND FUND
NEW YORK TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: SELECT SHARES
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
TAX AWARE U.S. EQUITY FUND: SELECT SHARES
INTERNATIONAL EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
EMERGING MARKETS EQUITY FUND
GLOBAL 50 FUND: SELECT SHARES
FOR MORE INFORMATION ON THE J.P. MORGAN
FUNDS, CALL J.P. MORGAN FUNDS SERVICES AT
(800) 521-5411.
IM0873-M
J.P. MORGAN
TAX EXEMPT
MONEY MARKET
FUND
ANNUAL REPORT
NOVEMBER 30, 1999
