<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
ALABAMA (1.2%)
$ 6,000 Columbia, (Industrial Development Board, PCR,
Refunding, Alabama Power Co. Project, Series
1995D, due 10/01/22)........................... VRDN 09/02/97(a) 3.500% $ 6,000,000
1,800 Columbia, (Industrial Development Board, PCR,
Refunding, Alabama Power Co. Project, Series
1995C, due 10/01/22)........................... VRDN 09/02/97(a) 3.850 1,800,000
2,250 Jefferson County, (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
Series 1988, due 05/01/08), LOC Amsouth Bank... VRDN 09/03/97(a) 5.310 2,250,000
5,300 Red Bay County, (Industrial Development Board,
IDR, Refunding, Gates Rubber Co. Project,
Series 1987, due 11/01/97), LOC National Bank
of Detroit..................................... VRDN 09/04/97(a) 3.700 5,300,000
900 Stevenson, (Industrial Development Board,
Refunding, Mead Corp. Project, Series 1986, due
11/01/16), LOC Credit Suisse................... VRDN 09/02/97(a) 4.050 900,000
---------------
16,250,000
---------------
ALASKA (0.9%)
5,100 Alaska, (State Housing Finance Corp., Series
1991C, due 06/01/26), LOC Swiss Bank........... VRDN 09/03/97(a) 3.300-4.150 5,100,000
4,000 Anchorage........................................ TAN 12/17/97 4.000 4,002,698
3,000 Valdez Marine Terminal (Exxon, Refunding, due
12/01/33)...................................... VRDN 09/02/97(a) 3.600 3,000,000
---------------
12,102,698
---------------
ARIZONA (4.5%)
10,000 Apache County, (Industrial Development Revenue,
Tuscon Power Co., Springerville Project, due
12/15/18), LOC Bank of New York................ VRDN 09/03/97(a) 3.350 10,000,000
7,700 Apache County, (due 12/01/20), LOC Barclays Bank
International.................................. VRDN 09/03/97(a) 3.150 7,700,000
1,000 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1983, due
12/01/03)...................................... VRDN 09/04/97(a) 4.675 1,000,000
800 Casa Grande, (Industrial Development Authority,
IDR, Abbott Labs Project, Series 1983, due
12/01/99)...................................... VRDN 09/04/97(a) 4.675 800,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 4,700 Maricopa County, (PCR, El Paso Electric Co., due
12/01/14), LOC Credit Suisse First Boston...... VRDN 09/03/97(a) 3.450% $ 4,700,000
11,000 Maricopa County, (Refunding, PCR, Series D, due
05/01/29) LOC Bank of America.................. VRDN 09/03/97(a) 3.600-4.000 11,000,000
3,705 Pima County, (Industrial Development Authority,
IDR, Refunding, La Cholla Apartments Project,
due 12/01/25), LOC Texas Commerce Bank......... VRDN 09/04/97(a) 3.500 3,705,000
24,300 Pima County, (Industrial Development Authority,
IDR, Tucson Electric Co. Project, Series 1982A,
due 06/15/22), LOC Societe Generale............ VRDN 09/04/97(a) 2.900-3.500 24,300,000
---------------
63,205,000
---------------
ARKANSAS (0.4%)
750 North Little Rock, (IDR, Refunding, Noland Co.
Project, Series 1989, due 02/01/99), LOC
Wachovia Bank and Trust........................ VRDN 09/04/97(a) 3.450 750,000
5,175 Texarkana, (Industrial Development Board, Cooper
Tire and Rubber Co. Project, Series 1991, due
03/01/21)...................................... VRDN 09/04/97(a) 4.100 5,175,000
---------------
5,925,000
---------------
CALIFORNIA (8.3%)
12,900 California, (Health Facilities Finance Authority,
Refunding, Sutter Health, Series B, due
07/01/12), AMBAC Insured....................... VRDN 09/02/97 (a) 3.300-3.850 12,900,000
5,700 California, (Pollution Control Financing
Authority, Refunding, PCR, Series C, Southern
California Edison Project, due 02/28/08)....... VRDN 09/02/97 (a) 2.500-3.050 5,700,000
12,000 California, (Statewide Community Development
Authority, Series A), FSA Insured.............. TRAN 06/30/98 4.500 12,066,905
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project, due 08/01/05), LOC Bank of Nova
Scotia......................................... VRDN 09/03/97 (a) 5.130 2,000,000
14,000 Los Angeles...................................... TRAN 06/30/98 4.500 14,070,261
35,500 Los Angeles (Series A)........................... TRAN 06/30/98 4.500 35,698,142
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (CONTINUED)
$ 1,500 Los Angeles, (Regional Airports Improvement
Corp., American Airlines, Series B, due
12/01/24), LOC Wachovia Bank of Georgia........ VRDN 09/02/97(a) 2.850% $ 1,500,000
1,500 Los Angeles, (Regional Airports Improvement
Corp., American Airlines, Series F, due
12/01/24), LOC Wachovia Bank of Georgia........ VRDN 09/02/97(a) 2.850 1,500,000
2,800 Los Angeles, (Regional Airports Improvement
Corp., Los Angeles International Airport,
Series 1985, due 12/01/25), LOC Societe
Generale....................................... VRDN 09/02/97(a) 3.050-3.450 2,800,000
8,000 Los Angeles, (Unified School District,
Series A)...................................... TRAN 07/01/98 4.500 8,044,761
17,000 San Bernardino, (Series A)....................... TRAN 06/30/98 4.500 17,088,011
2,500 San Francisco City & County...................... TRAN 10/08/97 4.500 2,501,830
300 Turlock Irrigation District Revenue (Series A,
due 01/01/14), LOC Societe Generale............ VRDN 09/03/97(a) 3.100 300,000
---------------
116,169,910
---------------
COLORADO (1.1%)
9,000 Colorado (Series A).............................. TRAN 06/26/98 4.500 9,049,921
1,400 Douglas County, (Multi-Family Housing Revenue,
Autumn Chase Project due 07/01/06)............. VRDN 09/02/97(a) 3.350 1,400,000
5,000 Smith Creek Metro District, (due 10/01/35), LOC
Nationsbank.................................... VRDN 09/04/97(a) 3.350 5,000,000
---------------
15,449,921
---------------
DISTRICT OF COLUMBIA (2.9%)
14,000 District of Columbia (Series A), LOC Societe
Generale....................................... TRAN 09/30/97 4.500 14,005,684
2,100 District of Columbia (Series B-2, due 06/01/03),
LOC West Deutsche Bank......................... VRDN 09/02/97 (a) 3.800 2,100,000
2,500 District of Columbia, (Refunding, Series 1992
A-1, due 10/01/07), LOC National Westminster
Bank PLC....................................... VRDN 09/02/97 (a) 3.650 2,500,000
1,800 District of Columbia, (Refunding, Series 1992
A-2, due 10/01/07), LOC Bank of Nova Scotia.... VRDN 09/02/97 (a) 4.900 1,800,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
DISTRICT OF COLUMBIA (CONTINUED)
$ 2,000 District of Columbia, (Refunding, Series 1992
A-5, due 10/01/07), LOC Bank of Nova Scotia.... VRDN 09/02/97(a) 4.050-4.900% $ 2,000,000
11,200 District of Columbia, (Refunding, Series 1992
A-6, due 10/01/07), LOC National Westminster
Bank PLC....................................... VRDN 09/02/97(a) 3.500-4.900 11,200,000
6,400 District of Columbia, (The American University
Issue, Series 1985, due 10/01/15), LOC National
Westminster Bank PLC........................... VRDN 09/02/97(a) 3.150 6,400,000
---------------
40,005,684
---------------
FLORIDA (9.4%)
5,800 Citrus Park, (Community Development Authority,
due 11/01/16), LOC Dresdner Bank............... VRDN 09/03/97(a) 4.150 5,800,000
4,635 Dade County, (Industrial Development Authority,
Florida Power & Light, due 04/01/20)........... VRDN 09/03/97(a) 3.650 4,635,000
26,450 Dade County, (Water & Sewer System, Series 1994,
due 10/05/22), FGIC Insured.................... VRDN 09/03/97(a) 3.050 26,450,000
5,750 Hernando County, (Refunding, IDR, Moore McCormack
Resources Inc. Project, Series 1988, due
12/01/04), LOC Societe
Generale....................................... VRDN 09/04/97(a) 3.421 5,750,000
9,870 Hillsborough County, (Industrial Development
Authority, PCR, Refunding,
due 05/15/18).................................. VRDN 09/02/97(a) 3.150-4.000 9,870,000
30,705 Jacksonville, (Refunding, Florida Power & Light
Co. Project, Series 1995, due 05/01/29)........ VRDN 09/02/97(a) 3.000-4.100 30,705,000
10,382 Orange County, (Series A)........................ CP 09/09/97(a) 3.900 10,382,000
4,500 Orange County Health Facilities Authority, due
10/01/14)...................................... TPP 09/04/97(a) 4.250 4,500,000
575 Orange County Industrial Development Authority,
(IDR, Refunding, Noland Co. Project, Series
1989, due 02/01/04), LOC Wachovia Bank and
Trust.......................................... VRDN 09/04/97(a) 3.450 575,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 1,500 Palm Beach County School District................ TAN 09/26/97 4.500% $ 1,500,900
30,795 St. Lucie County (Refunding, PCR, Florida Power &
Light Company Project, due 03/01/27)).......... VRDN 09/02/97(a) 2.300-4.000 30,795,000
---------------
130,962,900
---------------
GEORGIA (6.4%)
2,500 Bartow County, Georgia Development Authority,
PCR, (Georgia Power Co., 1st Series, due
06/01/23)...................................... VRDN 09/02/97(a) 3.500 2,500,000
6,100 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1994, Vogtle Project-4th
Series, due 09/01/25).......................... VRDN 09/02/97(a) 2.900 6,100,000
1,250 Burke County Development Authority, (PCR, Georgia
Power Co., Series 1994, Vogtle Project-4th.
Series, due 07/01/24).......................... VRDN 09/02/97(a) 3.450 1,250,000
14,900 Burke County Development Authority, PCR, (Power
Company Plant, Vogtle Project, due 04/01/32)... VRDN 09/02/97(a) 3.100-4.150 14,900,000
1,660 Clayton County Housing Authority, (Refunding,
Series 1990A, due 01/01/21), LOC Barclays Bank
PLC............................................ VRDN 09/03/97(a) 3.550 1,660,000
690 Cobb County Development Authority, (IDR,
Refunding, Noland Co. Project, Series 1989, due
08/01/99), LOC Wachovia Bank and Trust......... VRDN 09/04/97(a) 3.700 690,000
4,000 DeKalb County, (Development Authority Revenue,
Metro Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank and Trust......... VRDN 09/03/97(a) 3.150 4,000,000
1,500 DeKalb County, (Development Authority Revenue,
Refunding, Noland Co. Project, Series 1989, due
08/01/00), LOC Wachovia Bank and Trust......... VRDN 09/03/97(a) 3.300 1,500,000
20,700 Georgia Municipal Association Pool (MBIA Insured,
due 12/15/20), LOC Credit
Suisse......................................... VRDN 09/04/97(a) 4.150 20,700,000
5,200 Monroe County (PCR, Georgia Power Co., 2nd
Series, due 09/01/24).......................... VRDN 09/02/97(a) 3.550-3.700 5,200,000
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 4,500 Monroe County, (Development Authority, PCR,
Georgia Power Co., Series 1995, Scherer
Project-2nd. Series, due 07/01/25)............. VRDN 09/02/97(a) 2.900-3.800% $ 4,500,000
26,300 Putnam County Development Authority, (PCR,
Georgia Power Co., Series 1, due 06/01/23)..... VRDN 09/02/97(a) 2.950-4.250 26,300,000
---------------
89,300,000
---------------
IDAHO (0.9%)
12,500 Idaho............................................ TAN 06/30/98 4.625 12,574,152
---------------
ILLINOIS (5.3%)
17,200 Chicago, (Multi-family Housing Revenue, Waveland
Association, due 11/01/10), LOC Swiss Bank..... VRDN 09/03/97 (a) 4.200 17,200,000
10,785 Chicago, (O'Hare International Airport, General
Airport Second Lien, Series 1984B, due
01/01/15), LOC Societe Generale................ VRDN 09/03/97 (a) 3.050 10,785,000
5,200 Illinois, (Development Finance Authority, PCR,
Illinois Power Co. Project, Series 1993B, due
11/01/28), LOC Canadian Imperial Bank.......... VRDN 09/03/97 (a) 3.400 5,200,000
17,900 Illinois, (Health Facilities Authority, Loyola
University Health System, Series B, MBIA
Insured, due 07/01/24)......................... VRDN 09/03/97 (a) 3.350-3.450 17,900,000
2,400 Illinois, (Health Facilities Authority, SSM
Health Care Project, Series 1990A, due
06/01/06), LOC Rabobank Nederland.............. VRDN 09/03/97 (a) 3.850 2,400,000
5,000 Illinois, (Health Facilities Authority, Swedish
Covenant Hospital Project, Series 1995, due
08/01/25), AMBAC Insured....................... VRDN 09/03/97 (a) 3.400 5,000,000
13,200 Illinois, (Toll Highway Authority, Refunding,
Series 1993B, due 01/01/10), LOC Societe
Generale....................................... VRDN 09/03/97 (a) 3.800 13,200,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, Series 1986, due 12/15/26), LOC
National Westminster PLC....................... VRDN 09/03/97 (a) 4.000 3,000,000
---------------
74,685,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
INDIANA (3.4%)
$ 20,000 Indiana, (Health Facility Financing Authority,
Refunding, Clarian Health Partners, Series
1996B, due 02/15/26), LOC National Bank of
Detroit........................................ VRDN 09/03/97(a) 3.600% $ 20,000,000
11,000 Indiana, (Finance Authority Revenue, Bayer Corp.
Project, due 03/01/09)......................... VRDN 09/02/97(a) 3.150-3.350 11,000,000
1,200 Jasper County, (PCR, Northern Indiana Public
Service, Series B, due 06/01/13)............... VRDN 09/02/97(a) 3.650 1,200,000
2,100 Princeton, PCR, LOC-Canadian Imperial Bank....... VRDN 09/02/97(a) 4.150 2,100,000
4,050 Rockport, (PCR, Indiana and Michigan Electric Co.
Project, Series 1985A, due 08/01/14), LOC Swiss
Bank Corp...................................... VRDN 09/02/97(a) 3.900 4,050,000
8,800 Rockport, (PCR, Refunding, AEP Generating Co.
Project, Series 1995B, due 07/01/25), AMBAC
Insured........................................ VRDN 09/02/97(a) 2.050-3.250 8,800,000
---------------
47,150,000
---------------
IOWA (1.0%)
5,000 Iowa, (School Cash Anticipation Program - School
Corps. Warrants, FSA, Series A), FSA Insured... RAW 06/26/98 4.500 5,027,514
9,620 Polk County, (Hospital Equipment & Improvement
Revenue, due 12/01/05), MBIA Insured........... VRDN 09/03/97(a) 3.400-3.600 9,620,000
---------------
14,647,514
---------------
KANSAS (0.9%)
2,000 Garden City, (IDR, Inland Container Corp.
Project, Series 1983, due 01/01/08), LOC Credit
Suisse......................................... VRDN 09/03/97(a) 3.700 2,000,000
10,000 Kansas Department of Transportation, (Series
1994B, due 09/01/14)........................... VRDN 09/03/97(a) 3.050 10,000,000
---------------
12,000,000
---------------
KENTUCKY (0.4%)
6,000 Mayfield, (Multi-City Revenue, due 07/01/26), LOC
PNC Bank....................................... VRDN 09/03/97(a) 3.500 6,000,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (4.8%)
$ 4,500 Ascension Parish, (PCR, Borden Inc. Project,
Refunding, Series 1992, due 12/01/09), LOC
Credit Suisse.................................. VRDN 09/03/97(a) 4.100% $ 4,500,000
7,500 Calcasieu Parish, (IDR, Refunding, Olin Corp.
Project, Series 1993B, due 02/01/16), LOC
Wachovia Bank.................................. VRDN 09/02/97(a) 2.900-4.350 7,500,000
3,770 Calcasieu Parish, (Recovery District Sales Tax,
Road Improvement), LOC National Westminster
Bank PLC....................................... VRDN 09/01/97 3.350 3,770,000
7,000 Lake Charles, (Harbor and Terminal District
Revenue, Reynolds Metal Co. Project, Series
1990, due 05/01/06), LOC Canadian Imperial
Bank........................................... VRDN 09/03/97(a) 3.500 7,000,000
5,000 Louisiana, (Public Facilities Authority, Our Lady
of the Lake Hospital Revenue), FSA Insured, LOC
Commerzbank AG................................. CP 10/22/97 3.700 5,000,000
2,750 Louisiana, (Public Facilities Authority, Colleges
& University Equipment and Capital, Series A,
due 09/01/10), LOC Societe Generale............ VRDN 09/03/97(a) 3.250-3.300 2,750,000
7,200 Louisiana, (Public Facilities Authority,
Refunding, Hospital Equipment Financing, Series
1985A, due 12/01/05), LOC Sumitomo Bank Ltd.... VRDN 09/03/97(a) 4.750 7,200,000
8,055 Louisiana, (Public Facilities Authority,
Refunding, Hospital Revenue, Series 1985, due
12/01/00), LOC Banque National de Paris........ VRDN 09/03/97(a) 3.250 8,055,000
11,700 Louisiana, (Offshore Term Authority, Deepwater
Port Revenue, 1st Stage A-Loop Inc., due
09/01/08), LOC Union Bank of Switzerland....... VRDN 09/02/97(a) 1.950 11,700,000
9,700 South Louisiana Port Commn, (Port Revenue,
Refunding, due 07/01/18), LOC-Wachovia Bank.... VRDN 09/02/97(a) 3.650-3.800 9,700,000
---------------
67,175,000
---------------
MARYLAND (0.7%)
10,000 Anne Arundel County, (PCR, Baltimore Gas and
Electric Co. Project, Series 1984, due
07/01/14)...................................... OP 07/01/98(b) 3.800 10,000,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
MASSACHUSETTS (3.5%)
$ 7,860 Massachusetts (Series D), FGIC Insured........... GO 11/01/97 5.125% $ 7,878,061
19,700 Massachusetts, (Health & Educational Facilities
Authority, Capital Asset Program, Series E, due
01/01/35), LOC First National Bank of
Chicago........................................ VRDN 09/02/97(a) 3.650 19,700,000
16,500 Massachusetts, (Health & Educational Facilities
Authority, Newton Wellesley Hospital, Series F,
MBIA Insured, due 07/01/25).................... VRDN 09/03/97(a) 3.400 16,500,000
5,000 Massachusetts, (Series 1990B, due 12/01/97), LOC
National Westminster Bank PLC.................. VRDN 09/02/97(a) 3.250-3.300 5,000,000
---------------
49,078,061
---------------
MICHIGAN (2.1%)
9,000 Michigan......................................... GO 09/30/97 4.500 9,005,978
2,300 Michigan, (Hospital Finance Authority, Equipment
Loan Program, Series A, due 12/01/23).......... VRDN 09/03/97(a) 3.750-4.200 2,300,000
3,000 Michigan State, (Job Development Authority,
Gordon Food Service Project, due 08/01/15)..... VRDN 09/03/97(a) 4.125 3,000,000
9,000 Michigan State, (Strategic Fund Limited, Reserve
1, Series 1995, due 09/01/30), LOC Barclays
Bank PLC....................................... VRDN 09/02/97(a) 3.000-5.350 9,000,000
5,400 Midland County, (Economic Development Corp., Dow
Chemical Co. Project, Refunding, Series 1993B,
due 12/01/15).................................. VRDN 09/02/97(a) 2.900 5,400,000
---------------
28,705,978
---------------
MINNESOTA (0.0%)*
1,200 St. Louis Park, (Tax Increment Revenue, Series
1987B, due 03/01/02), LOC Sumitomo Bank Ltd.... VRDN 09/04/97(a) 3.400 1,200,000
---------------
MISSISSIPPI (0.0%)*
535 Columbus, (IDR, Refunding Noland Co. Project,
Series 1989, due 05/01/99), LOC Wachovia Bank
and Trust...................................... VRDN 09/04/97(a) 3.700 535,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
MISSOURI (1.3%)
$ 11,000 Missouri, (Environmental Improvement and Energy
Resources Authority, PCR, Union Electric Co.
Project, Series 1984B, due 06/01/14), LOC Union
Bank of Switzerland............................ RB 06/01/98(a) 3.950% $ 11,000,000
7,500 Missouri, (Health and Educational Facilities, SSM
Health Care Projects, Series 1995C, due
06/01/22), MBIA Insured........................ VRDN 09/03/97(a) 2.900 7,500,000
---------------
18,500,000
---------------
MONTANA (1.1%)
15,400 Forsyth, (Pollution Control Revenue, Pacificorp.
Project, due 01/01/18), LOC Rabobank
Nederland...................................... VRDN 09/02/97(a) 3.300-4.300 15,400,000
---------------
NEBRASKA (0.7%)
10,265 Lancaster County, (Hospital Authority No. 1,
Hospital Revenue, Refunding, Bryan Memorial
Hospital Project, due 06/01/12), MBIA
Insured........................................ VRDN 09/03/97(a) 3.500 10,265,000
---------------
NEW MEXICO (0.3%)
4,200 Farmington, (PCR, Refunding, due 04/01/22), LOC
Bank of America................................ VRDN 09/03/97(a) 3.350 4,200,000
---------------
NEW YORK (7.4%)
1,700 New York City, (Municipal Water Finance
Authority, Water and Sewer Systems Revenue,
Series 1995A, due 06/15/25), FGIC Insured...... VRDN 09/02/97(a) 3.150 1,700,000
7,200 New York City, (Municipal Water Finance
Authority, Water and Sewer Systems Revenue,
Series 1995C, due 06/15/23), FGIC Insured...... VRDN 09/02/97(a) 3.350 7,200,000
1,750 New York City, (Series 1992B, due 10/01/20), FGIC
Insured........................................ VRDN 09/02/97(a) 2.400-3.650 1,750,000
13,900 New York City, (Series 1992B, due 10/01/21), FGIC
Insured........................................ VRDN 09/02/97(a) 3.250-5.500 13,900,000
18,400 New York City, (Series 1992B, due 10/01/22), FGIC
Insured........................................ VRDN 09/02/97(a) 2.250-4.350 18,400,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 2,600 New York City, (Sub-Series 1993 B-4, due
08/15/21), LOC Union Bank of Switzerland....... VRDN 09/02/97(a) 3.300% $ 2,600,000
2,600 New York City, (Sub-Series 1994 B-6, MBIA
Insured, due 08/15/05)......................... VRDN 09/02/97(a) 3.600 2,600,000
2,600 New York City, (Sub-Series 1994 B-5, MBIA
Insured, due 08/15/22)......................... VRDN 09/02/97(a) 4.200 2,600,000
6,100 New York State, (Energy Research & Development
Authority, Niagara Mohawk Power Corp., Series
1985A, due 07/01/15), LOC Toronto Dominion
Bank........................................... VRDN 09/02/97(a) 3.600-4.000 6,100,000
12,000 New York State, (Energy Research and Development
Authority, PCR, Lilco Project, Series 1985B,
due 03/01/16), LOC Deutsche Bank AG............ MP 03/01/98 3.600 12,000,000
9,500 New York State, (Energy Research and Development
Authority, PCR, New York Electric and Gas,
Refunding, Series 1994D, due 10/01/29), LOC
Union Bank of Switzerland...................... VRDN 09/02/97(a) 3.200 9,500,000
9,735 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.................................... OP 12/01/97(b) 3.600 9,735,000
10,000 New York State General Obligation Promissory
Notes.......................................... CP 09/04/97(a) 3.400 10,000,000
700 New York, (Sub-Series B-4, due 08/15/22),
LOC-Union Bank of Switzerland.................. VRDN 09/02/97(a) 2.300-3.700 700,000
4,500 Suffolk County, (Series II)...................... TAN 09/11/97 4.500 4,500,688
---------------
103,285,688
---------------
NORTH CAROLINA (2.1%)
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 09/04/97(a) 3.500 2,100,000
2,300 Charlotte (Airport Revenue, Series A, MBIA
Insured, due 7/01/16).......................... VRDN 09/03/97(a) 3.350 2,300,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$ 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 09/04/97(a) 3.500% $ 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 09/08/97(a) 3.500 2,000,000
16,240 North Carolina, (Educational Facilities Finance
Agency, Guilford College, MBIA Insured, due
05/01/24)...................................... VRDN 09/02/97(a) 4.150 16,240,000
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 09/03/97(a) 2.400 4,000,000
---------------
28,780,000
---------------
OHIO (0.9%)
3,000 Ohio Air Quality Development Authority, (Series
1985A, due 12/01/15), LOC Union Bank of
Switzerland.................................... VRDN 09/02/97(a) 3.250 3,000,000
4,900 Ohio Air Quality Development Authority,
(Cincinnati Gas & Electric, Series A, due
09/01/30), LOC ABN Amro Bank................... VRDN 09/02/97(a) 4.500 4,900,000
4,000 Summit County (Bond Anticipation Notes, Series
C)............................................. GO 11/20/97 4.375 4,005,061
---------------
11,905,061
---------------
OREGON (0.8%)
10,500 Port of St. Helens, (PCR, Portland General
Electric Co., due 04/01/10), LOC Canadian
Imperial Bank.................................. VRDN 09/02/97 (a) 3.700-4.000 10,500,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (7.0%)
$ 2,475 Allegheny County, (Hospital Development
Authority, Presbyterian University Hospital,
Series 1988B-3, due 03/01/18), LOC PNC Bank.... VRDN 09/04/97(a) 2.875% $ 2,475,000
6,000 Allegheny County, (Industrial Development
Authority, IDR, Refunding, Dowty Corp. Project,
Series 1986, due 12/01/01), LOC Mellon Bank.... VRDN 09/03/97(a) 4.500 6,000,000
4,000 Allegheny County, Hospital Development Authority,
(Presbyterian University Hospital, Series
1990B, due 03/01/20), MBIA
Insured........................................ VRDN 09/04/97(a) 3.500-4.600 4,000,000
3,500 Clinton County, (Industrial Development
Authority, IDR, Mellon Bank Central National
Assistance Project, Series 1985, due 09/01/05),
LOC Mellon Bank................................ VRDN 09/03/97(a) 4.150 3,500,000
6,200 Delaware County, (Industrial Development
Authority, Airport Facilities Revenue, United
Parcel Service Project, due 12/01/15).......... VRDN 09/02/97(a) 2.400 6,200,000
5,000 Delaware County, Industrial Development
Authority...................................... CP 10/01/97 3.650 5,000,000
3,150 Lehigh County, (Industrial Development Authority,
PCR, P-Floats-PA-99, due 09/01/29), MBIA
Insured........................................ TPP 09/04/97(a) 4.200 3,150,000
14,800 Pennsylvania, (Higher Educational Facilities
Authority, Health Services Revenue, Allegheny
Delaware Valley, due 11/15/35), LOC PNC Bank... VRDN 09/03/97(a) 3.550-3.600 14,800,000
2,000 Pennsylvania State, (Industrial Development
Authority, Series 1990, due 05/01/04).......... VRDN 09/03/97(a) 3.500 2,000,000
23,600 Thomas Jefferson University Hospital (Series B,
due 5/15/12)................................... VRDN 09/08/97(a) 4.177 23,600,000
26,400 Thomas Jefferson University Hospital (Series A,
due 5/15/08)................................... VRDN 09/08/97(a) 4.177 26,400,000
---------------
97,125,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
SOUTH CAROLINA (1.3%)
$ 9,250 Allendale County, (IDR, Refunding, King Seeley
Thermos Co. Project, Series 1988, due
08/01/01), LOC Bank of Nova Scotia............. VRDN 09/04/97(a) 3.700% $ 9,250,000
2,700 Berkeley County, (Bayer Corporation Project, due
03/01/09)...................................... VRDN 09/02/97(a) 3.650 2,700,000
5,635 South Carolina, (Jobs, Economic Development
Authority, Saint Francis Hospital, due
07/01/22), LOC Chemical Bank................... VRDN 09/02/97(a) 2.350 5,635,000
---------------
17,585,000
---------------
TENNESSEE (1.4%)
500 Bradley County, (Industrial Development Board,
Olin Corp., Series C, due 11/01/17), LOC
Wachovia Bank.................................. VRDN 09/02/97(a) 3.600 500,000
3,100 Collierville, (Industrial Development Board, due
03/01/00), LOC National City Bank of
Cleveland...................................... VRDN 09/02/97(a) 5.525 3,100,000
6,500 Knox County, (Industrial Development Board, IDR,
Moore McCormack Resources Inc. Project Series
1988, due 06/01/06), LOC Societe Generale...... VRDN 09/02/97(a) 3.850 6,500,000
2,800 Metropolitan Nashville Airport Authority,
(Special Facilities Revenue, American Airlines
Project, Series 1995A, due 10/01/12), LOC
Credit Suisse.................................. VRDN 09/02/97(a) 3.750 2,800,000
400 Tennessee (Bond Anticipation Notes, Series A, due
07/02/01)...................................... VRDN 09/08/97(a) 3.650 400,000
6,300 Tennessee (Bond Anticipation Notes, Series E, due
07/01/01)...................................... VRDN 09/08/97(a) 3.400 6,300,000
---------------
19,600,000
---------------
TEXAS (12.8%)
7,000 Bexar County, (Health Facilities Development
Corporation, Warm Springs Healthcare Systems,
due 09/01/27), LOC Texas Commerce Bank......... VRDN 09/02/97(a) 4.200 7,000,000
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 09/02/97(a) 5.525 1,500,000
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 9,000 Grayson County, (Industrial Development Corp.,
Aluminum Co. of America, Refunding, Series
1992, due 12/01/02)............................ VRDN 09/04/97(a) 2.600% $ 9,000,000
3,700 Guadalupe-Blanco River Authority (PCR, Central
Power & Light Co. Project, due 11/01/15), LOC
ABN Amro Bank.................................. VRDN 09/02/97(a) 3.750 3,700,000
1,400 Gulf Coast, (Waste Disposal Authority, PCR, Amoco
Oil Co. Project, Refunding, due 10/01/17)...... VRDN 09/02/97(a) 3.650 1,400,000
5,000 Harris County, (Toll Road Multimode, Prerefunded,
Series C, FGIC Insured, due 8/15/17)........... RB 02/15/98(a) 8.125 5,169,634
14,700 Harris County, (Health Facilities Development
Corporation Prerefunded, Memorial Hospital
Systems Project, Series B, due 06/01/24) MBIA
Insured........................................ VRDN 09/04/97(a) 3.100 14,700,000
3,105 Harris County, (Industrial Development Corp.,
Johann Haltermann Project, Series 1996A, due
04/01/08), LOC Texas Commerce Bank............. VRDN 09/04/97(a) 3.500 3,105,000
2,255 Harris County, (Industrial Development Corp.,
Johann Haltermann Project, Series 1996B, due
04/01/08), LOC Texas Commerce Bank............. VRDN 09/04/97(a) 3.500 2,255,000
15,000 Houston Water & Sewer, LOC West Deutsche
Landesbank..................................... CP 09/02/97 3.500 15,000,000
15,000 Houston Water & Sewer, LOC West Deutsche
Landesbank..................................... CP 10/20/97 3.600 15,000,000
900 Lone Star Airport Improvement Authority, (Series
1984 B-4, due 12/01/14), LOC Royal Bank of
Canada......................................... VRDN 09/02/97(a) 3.400 900,000
1,400 Lone Star Texas Airport Improvement Authority,
(Series 1984 B-3, due 12/01/14), LOC Royal Bank
of Canada...................................... VRDN 09/02/97(a) 3.500 1,400,000
15,000 Lower Colorado River Authority, (Refunding,
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured........................ VRDN 09/03/97(a) 3.250 15,000,000
4,500 Mansfield Industrial Development Corp., (Pier 1
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC National Westminster Bank PLC... VRDN 09/03/97(a) 3.350 4,500,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 3,000 North Central Health Facilities Development
Corp., (Hospital Revenue, Presbyterian Medical
Center, Series 1985D, due 12/01/15), MBIA
Insured........................................ VRDN 09/02/97(a) 2.750% $ 3,000,000
15,000 Port Corpus Christi Industrial Development
Corporation (Refunding, Valero Refining, Series
A, due 04/01/27), LOC Bank of Montreal......... VRDN 09/02/97(a) 4.200 15,000,000
3,900 Port Development Corp., (Marine Terminal, Stolt
Terminals Project, Refunding, due 01/15/14),
LOC Canadian Imperial Bank..................... VRDN 09/03/97(a) 3.350 3,900,000
5,050 Sabine River Authority, (PCR, Series 1995B, due
06/01/30), LOC Union Bank of Switzerland....... VRDN 09/02/97(a) 3.700 5,050,000
1,065 Texas Higher Education Authority Inc., (Series
1985B, due 02/01/25),FGIC Insured.............. VRDN 09/03/97(a) 1.750 1,065,000
50,000 Texas (Series A)................................. TRAN 08/31/98 4.750 50,438,980
---------------
178,083,614
---------------
UTAH (0.8%)
2,565 Carbon County, (PCR, Refunding, Pacificorp
Project, Series 1994, due 11/01/24), LOC Bank
of New York.................................... VRDN 09/02/97(a) 2.750 2,565,000
9,000 Intermountain Power Agency, (Utah Power Supply
Revenue, Series 1985F, due 07/01/15), LOC Swiss
Bank........................................... VRDN 09/15/97 3.500 9,000,000
---------------
11,565,000
---------------
VERMONT (0.5%)
7,000 Vermont, (Student Assistance Corp., Series 1985,
due 01/01/04), LOC National Westminster Bank
PLC............................................ VRDN 09/02/97 (a) 3.150 7,000,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
VIRGINIA (0.2%)
$ 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 09/02/97(a) 5.525% $ 1,000,000
2,300 Virginia State, (Housing Development Authority,
AHC Service Corp., Series 1987A, due 09/01/17),
LOC
Mitsubishi Ltd................................. VRDN 09/03/97(a) 4.250 2,300,000
---------------
3,300,000
---------------
WASHINGTON (2.3%)
6,400 Seattle, (Water System Revenue, Series 1995, due
09/01/25), LOC Bayerische
Landesbank..................................... VRDN 09/02/97(a) 3.900 6,400,000
11,700 Washington, (Public Power Supply System, Nuclear
Project #3, Series 3A-1, due 07/01/18), LOC
Bank of America................................ VRDN 09/02/97(a) 3.050 11,700,000
13,800 Washington, (Healthcare Facilities Authority,
Refunding, Virginia Mason Medical Center,
Series B, due 02/15/27) MBIA Insured........... VRDN 09/02/97(a) 2.850-3.450 13,800,000
---------------
31,900,000
---------------
WEST VIRGINIA (0.4%)
3,900 Marshall County, (Refunding, Bayer Corporation
Project, due 03/01/09)......................... VRDN 09/02/97(a) 3.450-3.900 3,900,000
1,000 Mercer County, (IDR, Refunding, Noland Co.
Project, Series 1989, due 05/01/01), LOC
Wachovia Bank and Trust........................ VRDN 09/04/97(a) 3.700 1,000,000
---------------
4,900,000
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ----------- ------------- ---------------
<C> <S> <C> <C> <C> <C>
WISCONSIN (3.7%)
$ 2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project,
Series 1984, due 12/01/14), LOC Wachovia Bank
and Trust...................................... VRDN 09/04/97(a) 3.500% $ 2,500,000
18,000 Milwaukee, (Series A)............................ RAN 02/19/98 4.250 18,052,043
4,490 Wisconsin Student Loan........................... VRDN 10/09/97 3.750 4,490,000
27,000 Wisconsin Operating Notes........................ TAN 06/15/98 4.500 27,179,550
---------------
52,221,593
---------------
TOTAL INVESTMENTS (COST $1,439,237,774) (103.1%)........................................ 1,439,237,774
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.1%)........................................... (43,174,934)
---------------
NET ASSETS (100.0%)..................................................................... $ 1,396,062,840
---------------
---------------
</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 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., MP -
Mandatory Put, OP - Optional Put, PCR - Pollution Control Revenue, RAN - Revenue
Anticipation Note, RAW - Revenue Anticipation Warrant, 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 canceled the old
issue.
Prerefunded-Bonds for which the issuer of the bond invests the proceeds from a
subsequent 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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,439,237,774
Cash 195,396
Interest Receivable 7,401,362
Prepaid Trustees' Fees 1,756
Prepaid Expenses and Other Assets 305
--------------
Total Assets 1,446,836,593
--------------
LIABILITIES
Payable for Investments Purchased 50,438,980
Advisory Fee Payable 203,327
Custody Fee Payable 44,413
Administrative Services Fee Payable 35,810
Administration Fee Payable 3,492
Fund Services Fee Payable 740
Accrued Expenses 46,991
--------------
Total Liabilities 50,773,753
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,396,062,840
--------------
--------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $45,469,113
EXPENSES
Advisory Fee $2,267,159
Administrative Services Fee 397,340
Custodian Fees and Expenses 248,788
Professional Fees and Expenses 47,532
Fund Services Fee 43,285
Administration Fee 25,082
Trustees' Fees and Expenses 24,816
Miscellaneous 23,072
----------
Total Expenses 3,077,074
-----------
NET INVESTMENT INCOME 42,392,039
NET REALIZED LOSS ON INVESTMENTS (28,778)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $42,363,261
-----------
-----------
</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, 1997 AUGUST 31, 1996
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 42,392,039 $ 39,194,474
Net Realized Loss on Investments (28,778) (1,789)
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 42,363,261 39,192,685
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 4,757,986,948 4,223,774,582
Withdrawals (4,618,864,155) (4,136,830,334)
--------------- ---------------
Net Increase from Investors' Transactions 139,122,793 86,944,248
--------------- ---------------
Total Increase in Net Assets 181,486,054 126,136,933
NET ASSETS
Beginning of Fiscal Year 1,214,576,786 1,088,439,853
--------------- ---------------
End of Fiscal Year $ 1,396,062,840 $ 1,214,576,786
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR ENDED JULY 12, 1993
AUGUST 31, (COMMENCEMENT OF
----------------------------- OPERATIONS) TO
1997 1996 1995 1994 AUGUST 31, 1993
----- ----- ----- ----- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.24% 0.25% 0.25% 0.25% 0.25%(a)
Net Investment Income 3.34% 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, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Tax Exempt Money Market Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 29, 1993. The Portfolio commenced operations on
July 12, 1993 and received a contribution of certain assets and liabilities,
including securities, with a value of $955,814,753 on that date from The
Pierpont Tax Exempt Money Market Fund in exchange for a beneficial interest in
the Portfolio. The Portfolio's investment objective is to provide a high level
of current income exempt from federal income tax and maintain a high level of
liquidity. The Declaration of Trust permits the Trustees to issue an unlimited
number of beneficial interests in the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Portfolio:
a)Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b)Securities transactions are recorded on a trade date basis. Investment
income consists of interest income, which includes the amortization of
premiums and discounts, and is recorded on an accrual basis. For financial
and tax reporting purposes, realized gains and losses are determined on
the basis of specific lot identification.
c)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxed on its
share of the Portfolio's ordinary income and capital gains. It is intended
that the Portfolio's assets will be managed in such a way that an investor
in the Portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the 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, 1997, such fees amounted to
$2,267,159.
b)The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the Portfolio,
FDI provides administrative services necessary for the operations of the
Portfolio, furnishes office space and facilities required for conducting
the business of the Portfolio and pays the compensation of the officers
affiliated with FDI. The Portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The
38
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THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1997
- --------------------------------------------------------------------------------
amount allocable to the Portfolio is based on the ratio of the Portfolio's
net assets to the aggregate net assets of The JPM Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds, the Portfolio and the other
portfolios in which The JPM Pierpont Funds and The JPM Institutional Funds
invest (the "Master Portfolios"), JPM Series Trust, JPM Series Trust II
and certain other investment companies subject to similar agreements with
FDI. For the fiscal year ended August 31, 1997, the fee for these services
amounted to $25,082.
On November 15, 1996, The JPM Advisor Funds terminated operations and were
liquidated. Subsequent to that date, the net assets of The JPM Advisor
Funds are no longer included in the calculation of the allocation of FDI's
fees.
c)The Portfolio has 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 has agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated based on the aggregate average daily net assets of the
Master Portfolios and JPM Series Trust in accordance with the following
annual schedule: 0.09% on the first $7 billion of their aggregate average
daily net assets and 0.04% of their aggregate average daily net assets in
excess of $7 billion less the complex-wide fees payable to FDI. The
portion of this charge payable by the Portfolio is determined by the
proportionate share that its net assets bear to the net assets of the
Master Portfolios, other investors in the Master Portfolios for which
Morgan provides similar services, and JPM Series Trust. For the fiscal
year ended August 31, 1997, the fee for these services amounted to
$397,340.
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 $43,285 for the fiscal year ended August 31, 1997.
e)An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the Portfolio's allocated
portion of the total fees and expenses. Prior to April 1, 1997, the
aggregate annual Trustee Fee was $65,000. The Portfolio's Chairman and
Chief Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $8,700.
39
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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, 1997, 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 the supplementary data for each of the four 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, 1997 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
October 23, 1997
40
