<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
