<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
ALABAMA (2.4%)
$ 15,300 Columbia, (Industrial Development Board, PCR,
Refunding, Alabama Power Co. Project, Series
1995D, due 10/01/22) .......................... VRDN 09/03/96(a) 3.700% $ 15,300,000
2,250 Jefferson County, (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
Series 1988, due 05/01/08), LOC Amsouth
Bank .......................................... VRDN 10/01/96(a) 5.362 2,250,000
5,700 North Alabama, Environmental Improvement
Authority (PCR, Reynolds Metals Inc. Project,
Series 1985, due 12/01/00), LOC Bank of Nova
Scotia ........................................ VRDN 09/03/96(a) 3.700 5,700,000
5,300 Red Bay County, (Industrial Development Board,
IDR, Refunding, Gates Rubber Co. Project,
Series 1987, due 11/01/10) .................... VRDN 09/05/96(a) 3.547 5,300,000
900 Stevenson, (Industrial Development Board, Mead
Corp. Project, Series 1986, due 11/01/16), LOC
Credit Suisse ................................. VRDN 09/03/96(a) 3.700 900,000
--------------
29,450,000
--------------
ALASKA (0.9%)
4,745 Alaska, (Industrial Development & Export
Authority, IDR, American President Lines Ltd.,
Series 1991, due 11/01/09), LOC Industrial Bank
of Japan Ltd. ................................. VRDN 09/04/96(a) 4.000 4,745,000
1,420 Alaska, (Industrial Development Authority, IDR,
Providence Medical Office Building Associates
Project, Series 1985, due 06/01/10), LOC
Kredietbank N.V. .............................. VRDN 10/01/96(a) 3.700 1,420,000
5,100 Alaska, (State Housing Financial Corp., Series
1991C, due 06/01/26), LOC Swiss Bank .......... VRDN 09/04/96(a) 3.550 5,100,000
--------------
11,265,000
--------------
ARIZONA (3.5%)
1,000 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1983, due
12/01/03) ..................................... VRDN 10/01/96(a) 4.537 1,000,000
800 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1984, due
12/01/99) ..................................... VRDN 10/01/96(a) 4.537 800,000
6,600 Maricopa County, (Pollution Control Corporation,
PCR, Public Service Co. of New Mexico, Palo
Verde Project, Series 1992A, Refunding, due
11/01/22), LOC Canadian Imperial Bank ......... VRDN 09/04/96(a) 3.400 6,600,000
7,000 Mesa, (Municipal Development Corp.) ............. CP 10/10/96 3.650 7,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 24,300 Pima County, (Industrial Development Authority,
IDR, Tucson Electric Co. Project, Series 1982A,
due 06/15/22), LOC Societe Generale ........... VRDN 09/04/96(a) 3.500% $ 24,300,000
3,200 Tucson, (Industrial Development Authority,
Reliance Group Inc., Parking Garage Revenue,
due 06/01/15), LOC Societe Generale ........... VRDN 09/05/96(a) 3.625 3,200,000
--------------
42,900,000
--------------
ARKANSAS (0.5%)
750 North Little Rock, (IDR, Refunding, Noland Co.
Project, Series 1989, due 02/01/99), LOC
Wachovia Bank and Trust ....................... VRDN 09/05/96(a) 3.548 750,000
5,175 Texarkana, (Industrial Development Board, Cooper
Tire and Rubber Co. Project, Series 1991, due
03/01/21) ..................................... VRDN 09/05/96(a) 4.150 5,175,000
--------------
5,925,000
--------------
CALIFORNIA (2.6%)
5,300 California, (Health Facilities Financing
Authority, Series 1996, due 07/01/22) ......... VRDN 09/03/96(a) 3.650 5,300,000
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project, due 08/01/05), LOC Bank of Nova
Scotia ........................................ VRDN 10/01/96(a) 5.362 2,000,000
18,100 Los Angeles, (California Regional Airports
Improvement Corp., Los Angeles International
Airport, Series 1985, due 12/01/25), LOC
Societe Generale .............................. VRDN 09/03/96(a) 3.700 18,100,000
6,500 Los Angeles, (Unified School District, Series
A) ............................................ TRAN 06/30/97 4.500 6,536,240
--------------
31,936,240
--------------
COLORADO (1.1%)
13,800 Moffat County, (Pollution Control Revenue, Series
1984, due 07/01/10) ........................... VRDN 09/03/96(a) 3.550 13,800,000
--------------
CONNECTICUT (0.8%)
6,000 Connecticut State, (Refunding, Economic Recovery
Notes, Series 1995) ........................... GO 12/15/96 4.250 6,009,179
4,000 Connecticut State, (Special Assessment,
Unemployment Compensation Fund Revenue,
Connecticut Unemployment Services, Series
1993C, due 11/15/01), FGIC Insured ............ VRDN 07/01/97(a) 3.900 4,000,000
--------------
10,009,179
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (4.8%)
$ 2,800 District of Columbia, (Columbia Hospital for
Women Issue, Series 1988A, due 07/01/20), LOC
Mitsubishi Bank Ltd. . VRDN 09/04/96(a) 3.650% $ 2,800,000
2,000 District of Columbia, (Refunding, Series 1992
A-2, due 10/01/07), LOC Bank of Nova Scotia ... VRDN 09/03/96(a) 3.950 2,000,000
6,600 District of Columbia, (Refunding, Series 1992
A-3, due 10/01/07), LOC Toronto Dominion
Bank .......................................... VRDN 10/01/07(a) 3.950 6,600,000
7,100 District of Columbia, (Refunding, Series 1992
A-4, due 10/01/07), LOC Toronto Dominion
Bank .......................................... VRDN 09/03/96(a) 3.950 7,100,000
7,000 District of Columbia, (Refunding, Series 1992
A-5, due 10/01/07), LOC Bank of Nova Scotia ... VRDN 09/30/96(a) 3.950 7,000,000
12,300 District of Columbia, (Refunding, Series 1992
A-6, due 10/01/07), LOC National Westminster
PLC ........................................... VRDN 09/03/96(a) 3.950 12,300,000
13,700 District of Columbia, (Refunding,Series 1992 A-1,
due 10/01/07), LOC National Westminster Bank
PLC ........................................... VRDN 09/03/96(a) 3.950 13,700,000
6,400 District of Columbia, (The American University
Issue, Series 1985, due 10/01/15), LOC National
Westminster Bank PLC .......................... VRDN 09/04/96(a) 3.550 6,400,000
--------------
57,900,000
--------------
FLORIDA (5.4%)
34,650 Dade County, (Water & Sewer System, Series 1994,
due 10/05/22), FGIC Insured ................... VRDN 09/04/96(a) 3.350 34,650,000
2,000 Florida, (Housing Finance Agency, Carlton Arms II
Project, Multi Family Housing Revenue, Series
1985-EEE, due 12/01/08), LOC Sumitomo Bank
Ltd. .......................................... VRDN 09/04/96(a) 3.550 2,000,000
5,750 Hernando County, (IDR, Refunding, Moore McCormack
Resources Inc. Project Series 1988, due
12/01/04), LOC Societe Generale ............... RB 09/05/96(b) 3.506 5,750,000
4,800 Hillsborough County, (Industrial Development
Authority, PCR, Refunding, Tampa Electric Co.,
Gannon Coal Conversion Project, Series 1990,
due 09/01/25) ................................. VRDN 09/03/96(a) 3.850 4,800,000
4,485 Indian Trace, (Community Development, Basin 1
Water Management, Series 1989, due 05/01/10),
LOC Tokai Bank Ltd. ........................... VRDN 09/04/96(a) 3.350 4,485,000
6,865 Indian Trace, (Community Development, Basin 1
Water Management, Series 1991A, due 05/01/11),
LOC Tokai Bank Ltd. ........................... VRDN 09/04/96(a) 3.350 6,865,000
2,200 Jacksonville, (PCR, Florida Power & Light Co.
Project, Series 1995, due 05/01/29) ........... VRDN 09/03/96(a) 3.750 2,200,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 575 Orange County, (Industrial Development Authority,
IDR, Refunding, Noland Co. Project, Series
1989, due 02/01/04), LOC Wachovia Bank and
Trust ......................................... VRDN 09/05/96(a) 3.548% $ 575,000
4,500 Orange County, (Florida Health Facilities
Authority, P-Floats-PA-95, due 10/01/14), LOC
Merrill Lynch Capital Services ................ TPP 09/05/96(a) 3.600 4,500,000
--------------
65,825,000
--------------
GEORGIA (9.3%)
3,545 Bartow County, (Georgia Development Authority,
PCR, Georgia Power Co., 1st Series, due
06/01/23) ..................................... VRDN 09/03/96(a) 3.800 3,545,000
27,700 Burke County, (Development Authority, PCR,
Georgia Power Co., Series 1994, Vogtle
Project-4th Series, due 09/01/25) ............. VRDN 09/03/96(a) 3.800 27,700,000
7,500 Burke County, (Development Authority, PCR,
Georgia Power Co., Series 1994, Vogtle
Project-5th Series, due 07/01/24) ............. VRDN 09/03/96(a) 3.700 7,500,000
6,600 Burke County, (Development Authority, PCR,
Oglethorpe Power Corp., Series 1993A, due
01/01/16), FGIC Insured ....................... VRDN 09/04/96(a) 3.350 6,600,000
17,500 Burke County, (Development Authority, PCR,
Oglethorpe Power Corp., Series 1994A, due
01/01/19), FGIC Insured ....................... VRDN 09/04/96(a) 3.350 17,500,000
690 Cobb County, (Development Authority, IDR,
Refunding, Noland Co. Project, Series 1989, due
08/01/99), LOC Wachovia Bank and Trust ........ VRDN 09/05/96(a) 3.547 690,000
1,500 DeKalb County, (Development Authority Revenue,
IDR, Refunding Noland Co. Project, Series 1989,
due 08/01/01), LOC Wachovia Bank and Trust .... VRDN 09/05/96(a) 3.548 1,500,000
4,000 DeKalb County, (Development Authority Revenue,
Metro Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank and Trust ........ VRDN 09/04/96(a) 3.350 4,000,000
30,000 Fulton County, (Series 1996) .................... TAN 12/31/96 4.000 30,043,499
2,000 Georgia, (Series 1988) .......................... GO 04/01/97 8.400 2,057,020
10,000 Georgia, (Series 1993 C, BT # 149, due
07/01/08) ..................................... TPP 09/05/96(a) 3.500 10,000,000
2,400 Putnam County, (Development Authority Revenue,
PCR, Georgia Power Co., Series 1, due
06/01/23) ..................................... VRDN 09/03/96(a) 3.800 2,400,000
--------------
113,535,519
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
HAWAII (0.6%)
$ 6,900 Hawaii, (Housing Finance and Development
Corporation, Rental Housing Program, Housing
Program Revenue, Series 1989-A, 07/01/24), LOC
Banque Nationale De Paris ..................... VRDN 09/04/96(a) 3.550% $ 6,900,000
--------------
IDAHO (1.4%)
17,000 Idaho State, (Series 1996) ...................... TAN 06/30/97 4.500 17,081,182
--------------
ILLINOIS (4.7%)
540 Charleston, (Servistar Corp. Project, Series
1988, due 10/01/97), LOC ABN Amro Bank NV ..... VRDN 09/05/96(a) 3.547 540,000
11,085 Chicago, (O'Hare International Airport, General
Airport Second Lien, Series 1984B, due
01/01/15), LOC Societe Generale ............... VRDN 09/04/96(a) 3.500 11,085,000
6,000 Chicago, (O'Hare International Airport, General
Airport Second Lien, Series 1994C, due
01/01/18), LOC Societe Generale ............... VRDN 09/04/96(a) 3.500 6,000,000
9,900 Counties of Jackson and Union, (Regional Port
Distributors, Enron Transportation Services,
Refunding, Series 1994, due 04/01/24), LOC
Mitsubishi Bank Ltd., Houston ................. VRDN 09/04/96(a) 3.500 9,900,000
1,300 Illinois, (Development Finance Authority ,
Limited Obligation Revenue Bond, Dart Container
Corp. of Illinois Project, Series 1984, due
12/01/09), LOC National Bank of Detroit ....... VRDN 09/05/96(a) 3.547 1,300,000
5,200 Illinois, (Development Finance Authority, PCR,
Illinois Power Co. Project, Series 1993B, due
11/01/28), LOC Canadian Imperial Bank of
Commerce ...................................... VRDN 09/04/96(a) 3.500 5,200,000
2,600 Illinois, (Health Facilities Authority, SSM
Health Care Project, Series 1990A, 06/01/06),
LOC Rabobank Nederland ........................ VRDN 09/03/96(a) 3.600 2,600,000
5,000 Illinois, (Health Facilities Authority, Swedish
Covenant Hospital Project, Series 1995, due
08/01/25), AMBAC Insured ...................... VRDN 09/04/96(a) 3.500 5,000,000
10,900 Joliet, (Regional Port District, Refunding, Exxon
Project, Series 1989, due 10/01/24) ........... VRDN 09/03/96(a) 3.750 10,900,000
1,000 North Chicago, (Lake County, IDR, Abbott Labs
Project, Series 1983, due 12/01/03) ........... VRDN 10/01/96(a) 4.537 1,000,000
3,000 Saint Charles, (Illinois Industrial Development
Revenue, Pier 1 Imports-Midwest Project, Series
1986, due 12/15/26), LOC National Westminster
PLC ........................................... VRDN 09/04/96(a) 3.550 3,000,000
--------------
56,525,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
INDIANA (0.6%)
$ 4,050 Rockport, (Indiana Pollution Control, PCR,
Indiana and Michigan Electric Co. Project,
Series 1985A, due 08/01/14), LOC Swiss Bank
Corp. ......................................... VRDN 09/04/96(a) 3.550% $ 4,050,000
3,000 Rockport, (Indiana Pollution Control, PCR,
Refunding, AEP Generating Co. Project, Series
1995B, due 07/01/25), AMBAC Insured ........... VRDN 09/03/96(a) 3.850 3,000,000
--------------
7,050,000
--------------
IOWA (0.5%)
6,255 Polk County, (Hospital Equipment & Improvement
Revenue, due 12/01/05), MBIA Insured .......... VRDN 09/03/96(a) 3.500 6,255,000
--------------
KANSAS (1.4%)
2,000 Garden City, (IDR Refunding, Inland Container
Corp. Project, Series 1983, due 01/01/08), LOC
Credit Suisse ................................. VRDN 10/01/96(a) 3.500 2,000,000
10,000 Kansas, (Department of Transportation & Highways,
Series 1994B, due 09/01/14) ................... VRDN 09/04/96(a) 3.350 10,000,000
1,650 Wichita, (Airport Authority Adjustable Mode
Facility Revenue, Refunding, Flight Safety
International Inc., Project, Series 1990, due
11/01/01), LOC Wachovia Bank and Trust ........ VRDN 09/05/96(a) 3.550 1,650,000
3,300 Wichita, (CSJ Health System of Wichita, Inc.
Revenue, Series 25 1985, due 10/01/11), LOC
Sumitomo Bank Ltd. ............................ VRDN 09/04/96(a) 3.700 3,300,000
--------------
16,950,000
--------------
LOUISIANA (3.9%)
4,500 Ascension Parish, (Borden Inc. Project,
Refunding, Series 1992, due 12/01/09), LOC
Credit Suisse ................................. VRDN 09/04/96(a) 3.500 4,500,000
6,000 Calcasieu Parish, (IDR, Refunding, Olin Corp.
Project, Series 1993B, due 02/01/16), LOC
Wachovia Bank ................................. VRDN 09/03/96(a) 3.800 6,000,000
3,770 Calcasieu Parish, (Recovery District Sales Tax,
Road Improvement, due 09/01/97), LOC National
Westminster Bank PLC .......................... VRDN 09/05/96(a) 3.550 3,770,000
7,000 Lake Charles, (Harbor and Terminal District,
Reynolds Metal Co. Project, Series 1990, due
05/01/06), LOC Canadian Imperial Bank of
Commerce ...................................... VRDN 09/04/96(a) 3.500 7,000,000
7,200 Louisiana, (Public Facilities Authority,
Refunding, Hospital Equipment Financing, Series
1985A, due 12/01/05), LOC Sumitomo Bank
Ltd. .......................................... VRDN 09/04/96(a) 4.000 7,200,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (CONTINUED)
$ 11,255 Louisiana, (Public Facilities Authority,
Refunding, Hospital Revenue, Series 1985, due
12/01/00), LOC Banque National de Paris ....... VRDN 09/04/96(a) 3.500% $ 11,255,000
7,100 New Orleans, (Louisana Aviation Board, Series
1993B, due 08/01/16), MBIA Insured ............ VRDN 09/04/96(a) 3.350 7,100,000
--------------
46,825,000
--------------
MARYLAND (1.2%)
10,000 Anne Arundel County, (PCR, Baltimore Gas and
Electric Co. Project, Series 1989, due
07/01/14) ..................................... RB 07/01/97(b) 3.950 10,000,000
4,900 Montgomery County, (Series 1995) ................ CP 10/08/96 3.500 4,900,000
--------------
14,900,000
--------------
MASSACHUSETTS (2.7%)
9,700 Massachusetts State, (Health & Education
Facilities Authority, Brigham and Women's
Hospital, Series 1985A, due 07/01/17), LOC
Sanwa Bank Ltd. ............................... VRDN 09/04/96(a) 3.450 9,700,000
19,800 Massachusetts, (Series 1990B, due 12/01/97), LOC
National Wesminster Bank PLC .................. VRDN 09/03/96(a) 3.650 19,800,000
3,000 Massachusetts, (Series 1990E, due 12/01/97), LOC
ABN-AMRO Bank NV .............................. VRDN 09/03/96(a) 3.650 3,000,000
--------------
32,500,000
--------------
MICHIGAN (4.6%)
17,000 Michigan State, (Series 1996) ................... GO 09/30/96 4.000 17,007,462
3,300 Michigan State, (Strategic Fund Limited,
Obligation Revenue Refunding, Dow Chemical Co.
Project, due 02/01/09) ........................ VRDN 09/03/96(a) 3.850 3,300,000
10,600 Michigan State, (Strategic Fund Limited, Reserve
1, Series 1995, due 09/01/30), LOC Barclays
Bank PLC ...................................... VRDN 09/03/96(a) 3.750 10,600,000
1,000 Michigan, (Housing Development Authority, Series
1994C, due 04/01/19), LOC Credit Suisse,
N.Y. .......................................... VRDN 09/04/96(a) 3.500 1,000,000
23,425 Midland County (Economic Development Corp.,
Limited Obligation Revenue, Refunding, Dow
Chemical Co. Project, Series 1993B, due
12/01/15) ..................................... VRDN 09/03/96(a) 3.800 23,425,000
--------------
55,332,462
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
MINNESOTA (0.4%)
$ 1,325 St. Louis Park, (Tax Increment Revenue, Series
1987B, due 03/01/02), LOC Sumitomo Bank
Ltd. .......................................... VRDN 09/05/96(a) 3.550% $ 1,325,000
3,100 University of Minnesota, (University Revenues,
Series 1985G, due 10/01/07) ................... VRDN 02/01/97(a) 3.750 3,100,000
--------------
4,425,000
--------------
MISSISSIPPI (0.0%)*
535 Columbus, (IDR, Refunding Noland Co. Project,
Series 1989, due 05/01/99), LOC Wachovia Bank
and Trust ..................................... VRDN 09/05/96(a) 3.547 535,000
--------------
MISSOURI (1.5%)
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 06/01/97(b) 5.000 11,000,000
7,500 Missouri, (Health and Educational Facilities
Revenue, SSM Health Care Projects, Series
1995C, due 06/01/22), MBIA Insured ............ VRDN 09/03/96(a) 3.500 7,500,000
--------------
18,500,000
--------------
NEBRASKA (0.9%)
10,650 Lancaster County, (Hospital Authority No. 1,
Hospital Revenue, Refunding, Bryan Memorial
Hospital Project, due 06/01/12), MBIA
Insured ....................................... VRDN 09/04/96(a) 3.350 10,650,000
--------------
NEVADA (0.5%)
6,000 Clark County, (Nevada Industrial Development
Revenue, IDR, Refunding, Nevada Power Co.
Project, Series 1995C, due 10/01/30), LOC
Barclays Bank PLC ............................. VRDN 09/04/96(a) 3.550 6,000,000
--------------
NEW HAMPSHIRE (0.1%)
1,790 New Hampshire, (Higher Educational and Health
Facilities Authority, Dartmouth College Issue,
Student Loan Revenue, Series 1994, due
06/01/19) ..................................... VRDN 06/01/97(a) 3.800 1,790,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (8.9%)
$ 31,900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, Series 1995A, due
06/15/25), FGIC Insured ....................... VRDN 09/03/96(a) 4.000% $ 31,900,000
11,400 New York City, (Series 1993, Sub-Series A-10, due
08/01/16), LOC Morgan Guaranty Trust .......... VRDN 09/03/96(a) 4.000 11,400,000
9,100 New York City, (Series 1993, Sub-Series A-10, due
08/01/17), LOC Sumitomo Bank Ltd. ............. VRDN 09/03/96(a) 4.000 9,100,000
2,600 New York City, (Sub-Series 1993 B-4, due,
08/15/21), LOC Union Bank of Switzerland ...... VRDN 09/03/96(a) 4.000 2,600,000
3,500 New York City, (Sub-Series 1993 B-4, due
08/15/23), LOC Union Bank of Switzerland ...... VRDN 09/03/96(a) 4.000 3,500,000
3,400 New York State, (Energy Research and Development
Authority, PCR, New York Electric and Gas,
Series 1985D, due 12/01/15), LOC Union Bank of
Switzerland ................................... RB 12/01/96(b) 3.650 3,400,000
39,700 New York State, Energy Research & Development
Authority, (Niagara Mohawk Power Corp., Series
1985A, due 07/01/15), LOC Toronto Dominion
Bank .......................................... VRDN 09/03/96(a) 3.950 39,700,000
6,000 Port Authority of New York & New Jersey, (Special
Obligation Revenue, Versatile Structure
Obligation - 5, Series 1996, due 08/01/24) .... VRDN 09/03/96(a) 3.650 6,000,000
--------------
107,600,000
--------------
NORTH CAROLINA (1.7%)
2,100 Ashe County, (Industrial Facilities and Pollution
Control Finance Authority, IDR, Refunding,
Gates Rubber Co. Project, Series 1988, due
07/01/10), LOC National Bank of Detroit ....... VRDN 09/05/96(a) 3.547 2,100,000
2,140 Davidson County, (Industrial Facilities and
Pollution Control Financing Authority, IDR,
Lowes Co., Inc. Project, Series 1990, due
07/01/20), LOC National Westminster Bank
PLC ........................................... VRDN 09/05/96(a) 3.547 2,140,000
2,000 Mecklenburg County, (Industrial Facilities and
Pollution Control Financing Authority, IDR,
Allied Corp. Project, Series 1984, 09/01/14),
LOC ABN Amro Bank ............................. VRDN 09/03/96(a) 3.650 2,000,000
1,040 North Carolina, (Eastern Municipal Power Agency,
Floats PA-34 B, Series 1993, due 01/01/22) .... VRDN 09/05/96(a) 3.550 1,040,000
4,700 North Carolina, (Eastern Municipal Power Agency,
Floats PA-34A, Series 1993, due 01/01/24) ..... VRDN 09/05/96(a) 3.550 4,700,000
1,600 North Carolina, (Educational Facilities Finance
Agency, Guilford College Project, Series 1993,
due 09/01/23), LOC Wachovia Bank and Trust .... VRDN 09/03/96(a) 3.700 1,600,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$ 4,000 Wake County, (Industrial Facilities and Pollution
Control Financing Authority, PCR, Carolina
Power and Light Project, Series 1985A, due
05/01/15), LOC Credit Suisse .................. VRDN 09/04/96(a) 3.400% $ 4,000,000
2,600 Wake County, (Industrial Facilities and Pollution
Control Financing Authority, PCR, Carolina
Power Light Co. Project, Series 1985B,
09/01/15), LOC Sumitomo Bank Ltd. ............. VRDN 09/04/96(a) 3.600 2,600,000
--------------
20,180,000
--------------
OHIO (2.5%)
8,700 Hamilton County, (Health System Revenue,
Franciscan Sisters Poor Health, Series 1987A,
due 03/01/17), LOC Sumitomo Bank, Ltd. ........ VRDN 09/03/96(a) 3.750 8,700,000
6,220 Ohio, (Air Quality Development Authority,
Pollution Control Revenue, Cleveland Electric,
Series 1988B, due 03/01/18), FGIC Insured ..... RB 09/03/96(b) 3.600 6,220,000
7,500 Ohio, (Air Quality Development Authority,
Pollution Control Revenue, Cleveland Electric,
Series 1988B, due 03/01/18), FGIC Insured ..... VRDN 10/01/96(a) 3.600 7,500,000
4,000 Ohio, (Air Quality Development Authority, Series
1985A, due 12/01/15), LOC Union Bank of
Switzerland ................................... VRDN 09/03/96(a) 4.000 4,000,000
4,400 Wooster, (IDR, Allen Group Inc. Project, Series
1985, 12/01/10), LOC Dresdner Bank ............ VRDN 09/04/96(a) 3.950 4,400,000
--------------
30,820,000
--------------
OKLAHOMA (3.6%)
30,200 Oklahoma, (Water Resources Board, State Loan
Revenue Program, Series 1994A, due
09/01/23) ..................................... RB 09/01/96(b) 3.250 30,200,000
5,125 Tulsa, (Industrial Development Authority,
Hillcrest Medical Center Project, Series 1988,
due 03/01/18), LOC Sumitomo Bank .............. VRDN 09/04/96(a) 3.500 5,125,000
8,425 Washington County, (Medical Authority, Refunding,
Jane Phillips Hospital, Series 1989B, due
11/01/14), LOC Credit Local de France ......... VRDN 11/01/96(a) 5.550 8,425,000
--------------
43,750,000
--------------
OREGON (0.4%)
5,000 Port Portland, (PCR, Reynolds Metal Co. Project,
due 12/01/09), LOC Bank of Nova Scotia ........ VRDN 09/03/96(a) 3.700 5,000,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (6.3%)
$ 13,880 Allegheny County, (Hospital Development
Authority, Presbyterian University Hospital,
Series 1988B-1, due 03/01/18), LOC PNC
Financial ..................................... VRDN 09/05/96(a) 3.500% $ 13,880,000
5,475 Allegheny County, (Hospital Development
Authority, Presbyterian University Hospital,
Series 1988B-2, due 03/01/18), LOC PNC
Financial ..................................... VRDN 09/05/96(a) 3.500 5,475,000
2,500 Allegheny County, (Hospital Development
Authority, Presbyterian University Hospital,
Series 1988B-3, due 03/01/18), LOC PNC Bank ... VRDN 09/05/96(a) 3.500 2,500,000
4,100 Allegheny County, (Hospital Development
Authority, Presbyterian University Hospital,
Series 1990B, due 03/01/20), MBIA Insured ..... VRDN 09/05/96(a) 3.500 4,100,000
6,000 Allegheny County, (Industrial Development
Authority, IDR Refunding, Dowty Corp. Project,
Series 1986, due 12/01/01), LOC Mellon Bank ... VRDN 09/04/96(a) 3.600 6,000,000
5,000 Allegheny County, (Industrial Development
Authority, U.S.-Steel Environmental Improvement
Project, due 10/01/12), LOC Commerzbank
Aktiengesel ................................... RB 12/06/96(b) 3.550 5,000,000
3,500 Clinton County, (Industrial Development
Authority, IDR, Mellon Bank Central National
Assistance Project, Series 1985, due 09/01/05),
LOC Mellon Bank ............................... VRDN 09/04/96(a) 3.600 3,500,000
1,100 Delaware County, (Pennsylvania Industrial
Development Authority, Airport Facilities
Revenue, United Parcel Service Project, due
12/01/15) ..................................... VRDN 09/03/96(a) 3.650 1,100,000
3,150 Lehigh County, (Industrial Development Authority,
PCR, P-Floats-PA-99, due 09/01/29), MBIA
Insured ....................................... VRDN 09/05/96(a) 3.500 3,150,000
2,000 Pennsylvania State, (Industrial Development
Authority, Series 1990, due 05/01/04) ......... VRDN 09/04/96(a) 3.600 2,000,000
14,800 Pennsylvania, (Higher Educational Facilities
Authority, Health Services Revenue, Allegheny
Delaware Valley, due 11/15/35), LOC PNC
Bank .......................................... VRDN 09/04/96(a) 3.400 14,800,000
15,000 Philadelphia, (School District, Series 1996) .... TRAN 06/30/97 4.500 15,059,749
--------------
76,564,749
--------------
SOUTH CAROLINA (2.8%)
9,250 Allendale County, (IDR, Refunding, King Seeley
Thermos Co. Project, Series 1988, due
08/01/01), LOC Bank of Nova Scotia ............ VRDN 09/05/96(a) 3.547 9,250,000
1,500 Laurens County, (IDR, Asten Press Fabrics, Inc.
Project, Series 1991, Refunding, due 09/01/00),
LOC Wachovia Bank and Trust ................... VRDN 09/05/96(a) 3.550 1,500,000
10,300 South Carolina, (Jobs, Economic Development
Authority, Saint Francis Hospital, due
07/01/22), LOC Chemical Bank .................. VRDN 09/03/96(a) 3.700 10,300,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
SOUTH CAROLINA (CONTINUED)
$ 10,090 South Carolina, (Public Service Authority,
Refunding, Series 1996B) ...................... RB 01/01/97(b) 4.000% $ 10,102,910
1,330 South Carolina, (State Highway, Series 1996A) ... GO 02/01/97 6.100 1,344,282
1,060 Spartanburg County, (IDR, Refunding, Holberg
Electronic Corp. Project, Series 1989A, due
11/01/05), LOC Wachovia Bank and Trust ........ VRDN 09/05/96(a) 3.550 1,060,000
--------------
33,557,192
--------------
TENNESSEE (3.6%)
3,100 Collierville, (Industrial Development Board, due
03/01/00), LOC National City Bank of
Cleveland ..................................... VRDN 10/01/96(a) 5.362 3,100,000
1,365 Franklin, (Industrial Development Board, IDR,
Refunding, Noland Co. Project, Series 1989, due
05/01/97), LOC Wachovia Bank and Trust ........ RB 09/05/96(b) 3.548 1,365,000
6,500 Knox County, (Industrial Development Board, IDR,
Moore McCormack Resources Inc. Project Series
1988, due 06/01/06), LOC Societe Generale ..... VRDN 10/01/96(a) 3.500 6,500,000
1,400 Metropolitan Nashville & Davidson County, (Health
& Education Facilities Board, Vanderbilt
University, Series 1985B, due 05/01/13) ....... RB 05/01/97(b) 3.700 1,400,000
3,400 Metropolitan Nashville Airport Authority (Special
Facilities Revenue, American Airlines Project,
Series 1995A, due 10/01/12), LOC Credit
Suisse ........................................ VRDN 09/03/96(a) 3.700 3,400,000
7,300 Nashville, (Metropolitan Airport Authority,
Special Facilities Revenue, American Airlines
Project, Series 1995B, due 10/01/12), LOC
Bayerische Landesbank ......................... VRDN 09/03/96(a) 3.700 7,300,000
800 Sullivan County, (Industrial Development Board,
PCR, Refunding, Mead Corp. Project, Series
1986, due 10/01/16), LOC Union Bank of
Switzerland ................................... VRDN 09/03/96(a) 3.700 800,000
20,000 Tennessee, (Local Development Authority Revenue,
Series 1996A) ................................. RAN 05/29/97 4.000 20,055,627
--------------
43,920,627
--------------
TEXAS (9.1%)
1,500 El Paso, (Industrial Development Authority,
Contel Cellular of El Paso Inc. Project, Series
1985, due 02/01/04), LOC Bank of Nova
Scotia ........................................ VRDN 10/01/96(a) 5.362 1,500,000
9,000 Grayson County, (Industrial Development Corp.,
Aluminum Co. of America, Refunding, Series
1992, due 12/01/02) ........................... VRDN 09/05/96(a) 3.550 9,000,000
1,400 Gulf Coast, (Waste Disposal Authority, PCR, Amoco
Oil Co. Project, Refunding, due 10/01/17) ..... VRDN 09/03/96(a) 3.750 1,400,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 10,400 Harris County, (Health Facilities Development
Corp., Texas Health Care System Sisters of
Charity Incarnate, Series 1985), LOC Toronto
Dominion Bank ................................. CP 10/16/96 3.500% $ 10,400,000
25,000 Harris County, (Series 1996) .................... TAN 02/28/97 4.500 25,089,182
900 Lone Star Airport Improvement Authority, (Series
1984 B-4, due 12/01/14), LOC Royal Bank of
Canada ........................................ VRDN 09/03/96(a) 3.700 900,000
1,400 Lone Star Texas Airport Improvement Authority,
(Series 1984 B-3, due 12/01/14), LOC Royal Bank
of Canada ..................................... VRDN 09/03/96(a) 3.700 1,400,000
37,640 Lower Colorado River Authority, (Refunding,
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured ....................... RB 09/04/96(b) 3.350 37,640,000
4,500 Mansfield, (Industrial Development Corp., Pier 1
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC National Wesminster PLC ........ VRDN 09/04/96(a) 3.550 4,500,000
3,000 North Central, (Health Facilities Development
Corp., Hospital Revenue, Presbyterian Medical
Center, Series 1985D, due 12/01/15), MBIA
Insured ....................................... VRDN 09/03/96(a) 3.700 3,000,000
5,050 Sabine River Authority, (PCR, Utilities Electric
Co., Refunding, Series 1995B, due 06/01/30),
LOC Union Bank of Switzerland ................. VRDN 09/03/96(a) 4.000 5,050,000
9,000 Texas State, (Series 1997) ...................... TRAN 08/29/97 4.750 9,066,950
1,615 Texas, (Higher Education Authority, Series 1985B,
due 02/01/25), FGIC Insured ................... VRDN 09/04/96(a) 3.500 1,615,000
--------------
110,561,132
--------------
UTAH (1.0%)
2,565 Carbon County, (PCR, Refunding, Pacificorp
Project, Series 1994, due 11/01/24), LOC Bank
of New York ................................... VRDN 09/03/96(a) 3.850 2,565,000
9,000 Intermountain Power Agency, (Utah Power Supply
Revenue, Series 1985F, due 07/01/15), LOC Swiss
Bank .......................................... RB 09/15/96(b) 3.350 9,000,000
--------------
11,565,000
--------------
VERMONT (0.6%)
7,400 Vermont, (Student Assistance Corp., Student Loan
Revenue Bond, Series 1985, due 01/01/04), LOC
National Wesminster Bank PLC .................. VRDN 10/01/96(a) 3.750 7,400,000
--------------
VIRGINIA (0.9%)
4,900 Arlington County, (Ballston Public Parking
Project, Series 1984, due 08/01/17), LOC
Citibank ...................................... VRDN 09/03/96(a) 3.500 4,900,000
2,945 Chesterfield County, (Improvement and Refunding
Bond, Series 1991, due 07/15/03) .............. VRDN 09/04/96(a) 3.450 2,945,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN SECURITY MATURITY
THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- ------------- ------------------------------------------------- ------- ---------- ------ --------------
<C> <S> <C> <C> <C> <C>
VIRGINIA (CONTINUED)
$ 1,000 Virginia Beach, (Industrial Development
Authority, IDR, Norfolk Virginia Beach,
Portsmouth MSA Limited Partnership Project, due
12/01/04), LOC Bank of Nova Scotia ............ VRDN 10/01/96(a) 5.362% $ 1,000,000
2,400 Virginia, (State Housing Development Authority,
AHC Service Corp., Series 1987A, due 09/01/17),
LOC Mitsubishi Ltd. ........................... VRDN 09/04/96(a) 3.550 2,400,000
--------------
11,245,000
--------------
WASHINGTON (0.5%)
6,400 Seattle, (Washingon Water Systems Revenue, Series
1995, due 09/01/25), LOC Bayerische
Landesbank .................................... VRDN 09/04/96(a) 3.500 6,400,000
--------------
WEST VIRGINIA (0.1%)
1,000 Mercer County, (IDR, Refunding, Noland Co.
Project, Series 1989, due 05/01/01), LOC
Wachovia Bank and Trust ....................... VRDN 09/05/96(a) 3.547 1,000,000
--------------
WISCONSIN (1.0%)
2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project,
Series 1984, due 12/01/14), LOC Wachovia Bank
and Trust ..................................... VRDN 09/05/96(a) 3.547 2,500,000
1,300 Seymour, (IDR, Beatrice Cheese Inc., Project,
Series 1984, due 12/01/98), LOC Wachovia Bank
and Trust ..................................... VRDN 09/05/96(a) 3.548 1,300,000
8,500 Wisconsin, (Custodial Receipt Certificates, due
05/01/04) ..................................... TPP 09/05/96(a) 3.500 8,500,000
--------------
12,300,000
--------------
TOTAL INVESTMENTS (COST $1,206,628,282) (99.3%) .............................. 1,206,628,282
OTHER ASSETS IN EXCESS OF LIABILITIES (0.7%) ................................. 7,948,504
--------------
NET ASSETS (100.0%) .......................................................... $1,214,576,786
--------------
--------------
</TABLE>
- ------------------------------
(a)
Variable Rate Demand Note tender dates and/or interest rates are reset at
specified intervals which coincide with their tender feature. The actual
maturity date is indicated in the security description.
(b)
The date listed under the heading maturity date represents an optional tender
date. The actual maturity date is indicated in the security description.
* Less than 0.1%
Abbreviations used in the Schedule of Investments are as follows: AMBAC -
Ambac Indemnity Corp., CP - Commercial Paper, FGIC - Financial Guaranty
Insurance Company, GO - General Obligation, IDR - Industrial Development
Revenue, LOC - Letter of Credit, MBIA - Municipal Bond Investors Assurance
Corp., 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.
Refunding - Bonds for which the issuer has issued new bonds and cancelled the
old issue.
Prerefunded - Bonds for which the issuer of the bond invests the proceeds from
a susequent bond issuance in treasury securities, whose maturity coincides
with the first call date of the first bond.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,206,628,282
Cash 1,538,586
Interest Receivable 6,745,136
Prepaid Trustees' Fees 4,277
Prepaid Expenses and Other Assets 6,390
--------------
Total Assets 1,214,922,671
--------------
LIABILITIES
Advisory Fee Payable 187,631
Custody Fee Payable 55,770
Administrative Services Fee Payable 33,711
Administration Fee Payable 15,433
Fund Services Fee Payable 2,358
Accrued Expenses 50,982
--------------
Total Liabilities 345,885
--------------
NET ASSETS
Applicable to Investors' Beneficial
Interests $1,214,576,786
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $42,041,824
EXPENSES
Advisory Fee $2,154,248
Custodian Fees and Expenses 235,187
Administrative Services Fee 205,419
Administration Fee 113,132
Fund Services Fee 62,310
Professional Fees and Expenses 42,980
Trustees' Fees and Expenses 21,259
Miscellaneous 12,815
----------
Total Expenses 2,847,350
-----------
NET INVESTMENT INCOME 39,194,474
NET REALIZED LOSS ON INVESTMENTS (1,789)
-----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $39,192,685
-----------
-----------
</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 FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31,
1996 1995
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 39,194,474 $ 41,496,228
Net Realized Loss on Investments (1,789) (266,979)
-------------- --------------
Net Increase in Net Assets
Resulting from Operations 39,192,685 41,229,249
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 4,223,774,582 4,119,755,028
Withdrawals (4,136,830,334) (4,094,390,648)
-------------- --------------
Net Increase from Investors'
Transactions 86,944,248 25,364,380
-------------- --------------
Total Increase in Net Assets 126,136,933 66,593,629
NET ASSETS
Beginning of Fiscal Year 1,088,439,853 1,021,846,224
-------------- --------------
End of Fiscal Year $1,214,576,786 $1,088,439,853
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JULY 12, 1993
FOR THE FISCAL YEAR (COMMENCEMENT
ENDED AUGUST 31, OF
--------------------- OPERATIONS) TO
1996 1995 1994 AUGUST 31, 1993
--- --- --- ---------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.25% 0.25% 0.25% 0.25%(a)
Net Investment Income 3.40% 3.61% 2.37% 2.28%(a)
</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
AUGUST 31, 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 JPM Pierpont Tax Exempt Money Market Fund, (formerly 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 interest in the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Portfolio:
a)Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b)Securities transactions are recorded on a trade date basis. 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 purposes.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the 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 fiscal year ended August 31, 1996,
this fee amounted to $2,154,248.
b)The Portfolio had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Under an Administration Agreement, Signature provided administrative
services necessary for the operations of the Portfolio, furnished office
space and facilities required for conducting the business of the Portfolio
and paid the compensation of the Portfolio's officers affiliated with
Signature. Until December 28, 1995, the agreement provided for a fee to be
paid to Signature at an annual fee rate determined by the following
schedule: 0.01% of the first $1
38
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
billion of the aggregate average daily net assets of the Portfolio and the
other portfolios subject to the 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 was 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 was 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 (the "Master Portfolios") in which The
JPM Pierpont Funds,The JPM Institutional Funds or The JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the total net assets of The JPM Pierpont Funds, The JPM Institutional
Funds, The JPM Advisor Funds and the Master Portfolios. For the period
from December 29, 1995 through July 31, 1996, such fees amounted to
$91,843. The Administration Agreement with Signature was terminated July
31, 1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ("FDI"), a
registered broker-dealer, and by Morgan. FDI also serves as the
Portfolio's exclusive placement agent. Under a Co-Administration Agreement
between FDI and the Portfolio, FDI's fees are to be paid by the Portfolio
(see Note 2c). For the period from August 1, 1996 through August 31, 1996,
the fee for these services amounted to $2,284.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan which provided that Morgan would receive a
fee, based on the percentage described below, for overseeing certain
aspects of the administration and operation of the Portfolio and that 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 "Services Agreement") with Morgan under which
Morgan is responsible for overseeing certain aspects of the administration
and operation of the Portfolio. Under the Services Agreement, the
Portfolio had agreed to pay Morgan a fee equal to its proportionate share
of an annual complex-wide charge. Until July 31, 1996, this charge was
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 Master Portfolios' aggregate average daily net
assets in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the net assets of the Master Portfolios and other investors in the Master
Portfolios for which Morgan provided similar services. For the period from
December 29, 1995 through July 31, 1996, the fee for these services
amounted to $171,708.
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THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1996
- --------------------------------------------------------------------------------
Effective August 1, 1996, the Services Agreement was amended such that the
aggregate complex-wide fees to be paid by the Portfolio under both the
amended Services Agreement and the Co-Administration Agreement (see Note
2b) is calculated daily based on the aggregate net assets of the Master
Portfolios in accordance with the following annual schedule: 0.09% on the
first $7 billion of the Master Portfolios' aggregate average daily net
assets and 0.04% of the Master Portfolios' aggregate average daily net
assets in excess of $7 billion. For the period from August 1, 1996 through
August 31, 1996, the fee for these services amounted to $33,711.
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 $62,310 for the fiscal year ended August 31, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. 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 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 $8,000.
40
<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 August 31, 1996, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended, and its supplementary data for each of the three years in the period
then ended and for the period July 12, 1993 (commencement of operations) through
August 31, 1993, in conformity with generally accepted accounting principles.
These financial statements and supplementary data (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 generally accepted auditing standards 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 August
31, 1996 by correspondence with the custodian, provide a reasonable basis for
the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
October 16, 1996
41
