<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (100.1%)
ALABAMA (2.3%)
$ 6,000 Columbia, (Industrial Development Board, PCR, VRDN 03/03/97(a) 3.450% $ 6,000,000
Refunding, Alabama Power Co. Project, Series
1995D, due 10/01/22)...........................
9,100 Columbia, (Industrial Development Board, PCR, VRDN 03/03/97(a) 3.550 9,100,000
Refunding, Alabama Power Co. Project, Series
1995C, due 10/01/22)...........................
2,250 Jefferson County, (Public Improvement Revenue VRDN 03/03/97(a) 5.363 2,250,000
Warrant, Briarwood Presbyterian Church Project,
Series 1988, due 05/01/08), LOC Amsouth Bank...
5,700 North Alabama Environmental Improvement Authority VRDN 03/03/97(a) 3.500 5,700,000
(PCR, Refunding, Reynolds Metals Inc. Project,
Series 1985, due 12/01/00), LOC Bank of Nova
Scotia.........................................
5,300 Red Bay County, (Industrial Development Board, VRDN 03/06/97(a) 3.383 5,300,000
IDR, Refunding, Gates Rubber Co. Project,
Series 1987, due 11/01/97), LOC National Bank
of Detroit.....................................
900 Stevenson, (Industrial Development Board, VRDN 03/03/97(a) 3.500 900,000
Refunding, Mead Corp. Project, Series 1986, due
11/01/16), LOC Credit Suisse...................
---------------
29,250,000
---------------
ALASKA (0.4%)
5,100 Alaska State Housing Finance Corp., (Series VRDN 03/03/97(a) 3.400 5,100,000
1991C, due 06/01/26), LOC Swiss Bank...........
---------------
ARIZONA (4.0%)
1,800 Casa Grande, (Industrial Development Authority, VRDN 03/03/97(a) 4.538 1,800,000
IDR, Abbott Labs Project, Series 1983, due
12/01/03)......................................
6,200 Maricopa County, (PCR, Refunding, Series D, due VRDN 03/03/97(a) 3.450 6,200,000
05/01/29) LOC Bank of America..................
13,500 Pima County Industrial Development Authority, VRDN 03/03/97(a) 3.250 13,500,000
(Tucson Electric, due 10/01/22), LOC Societe
Generale.......................................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
ARIZONA (CONTINUED)
$ 3,705 Pima County Industrial Development Authority, VRDN 03/06/97(a) 3.350% $ 3,705,000
IDR, (Refunding, La Cholla Apartments Project,
due 12/01/25), LOC Texas Commerce..............
24,300 Pima County Industrial Development Authority, VRDN 03/05/97(a) 3.300 24,300,000
IDR, (Tucson Electric Co. Project, Series
1982A, due 06/15/22), LOC Societe Generale.....
---------------
49,505,000
---------------
ARKANSAS (0.5%)
750 North Little Rock, (IDR, Refunding, Noland Co. VRDN 03/06/97(a) 3.390 750,000
Project, Series 1989, due 02/01/99), LOC
Wachovia Bank and Trust........................
5,175 Texarkana, (Refunding, Cooper Tire and Rubber Co. VRDN 03/06/97(a) 4.050 5,175,000
Project, Series 1991, due 03/01/21)............
---------------
5,925,000
---------------
CALIFORNIA (4.0%)
33,000 California (Series A)............................ RAN 06/30/97 4.500 33,089,829
5,000 California Health Facilities Finance Authority, VRDN 03/03/97 (a) 3.350 5,000,000
(Refunding, Sutter Health, Series B, due
07/01/12), AMBAC Insured.......................
2,600 California Health Facilities Finance Authority, VRDN 03/03/97 (a) 3.350 2,600,000
(Refunding, Sutter Health, Series C,
due 07/01/22)..................................
2,400 California Pollution Control Financing Authority, VRDN 03/03/97 (a) 3.450 2,400,000
(Refunding, Southern California Edison Project,
Series A, due 02/28/08)........................
2,000 California, (GO, due 06/01/26)................... VRDN 03/06/97 (a) 3.350 2,000,000
2,000 Fresno, (IDR, Fresno MSA Limited Partnership VRDN 03/01/97 (a) 5.363 2,000,000
Project, due 08/01/05), LOC Bank of Nova
Scotia.........................................
400 Los Angeles Regional Airports Improvement Corp., VRDN 03/06/97 (a) 3.500 400,000
(Los Angeles International Airport, Series
1985, due 12/01/25), LOC Societe Generale......
2,500 San Francisco.................................... TRAN 10/08/97 4.500 2,510,929
---------------
50,000,758
---------------
COLORADO (3.7%)
12,800 Colorado State, (Series A)....................... TRAN 06/27/97 4.500 12,837,547
33,300 Moffat County, (PCR, Refunding, Series 1984, due VRDN 03/05/97 (a) 3.300 33,300,000
07/01/10), AMBAC Insured.......................
---------------
46,137,547
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
CONNECTICUT (0.3%)
$ 4,000 Connecticut State, (Special Assessment, VRDN 07/01/97(b) 3.900% $ 4,000,000
Unemployment Compensation Fund Revenue, Series
1993C, due 11/15/01), FGIC Insured.............
---------------
DISTRICT OF COLUMBIA (2.4%)
2,500 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 2,500,000
A-1, due 10/01/07), LOC National Westminster
Bank PLC.......................................
1,800 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 1,800,000
A-2, due 10/01/07), LOC Bank of Nova Scotia....
6,000 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 6,000,000
A-3, due 10/01/07), LOC Toronto Dominion
Bank...........................................
2,000 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 2,000,000
A-5, due 10/01/07), LOC Bank of Nova Scotia....
11,200 District of Columbia, (Refunding, Series 1992 VRDN 03/03/97(a) 3.550 11,200,000
A-6, due 10/01/07), LOC National Westminster
Bank PLC.......................................
6,400 District of Columbia, (The American University VRDN 03/05/97(a) 3.350 6,400,000
Issue, Series 1985, due 10/01/15), LOC National
Westminster Bank PLC...........................
---------------
29,900,000
---------------
FLORIDA (3.8%)
26,450 Dade County, (Water & Sewer System, Series 1994, VRDN 03/05/97(a) 3.250 26,450,000
due 10/05/22), FGIC Insured....................
2,400 Florida State Board of Education, GO 06/01/97(b) 7.750 2,496,107
(Prerefunded,Capital Outlay, Series 1987B, due
06/01/16)......................................
5,750 Hernando County, (IDR, Refunding, Moore McCormack RB 03/01/97(b) 3.341 5,750,000
Resources Inc. Project, Series 1988, due
12/01/04), LOC Societe Generale................
6,870 Hillsborough County Industrial Development VRDN 03/03/97(a) 3.450 6,870,000
Authority, (PCR, Refunding, due 05/15/18)......
4,500 Orange County Health Facilities Authority, (due TPP 03/06/97(a) 3.650 4,500,000
10/01/14)......................................
575 Orange County Industrial Development Authority, VRDN 03/06/97(a) 3.390 575,000
(IDR, Refunding, Noland Co. Project, Series
1989, due 02/01/04), LOC Wachovia Bank and
Trust..........................................
1,500 Palm Beach County School District................ TAN 09/26/97 4.500 1,507,524
---------------
48,148,631
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
GEORGIA (6.0%)
$ 3,000 Burke County Development Authority, (PCR, Georgia VRDN 03/05/97(a) 3.450% $ 3,000,000
Power Co., Series 1994, Vogtle Project-4th
Series, due 09/01/25)..........................
12,250 Burke County Development Authority, (PCR, Georgia VRDN 03/03/97(a) 3.550 12,250,000
Power Co., Series 1994, Vogtle Project-4th.
Series, due 07/01/24)..........................
22,900 Burke County Development Authority, (PCR, Georgia VRDN 03/03/97(a) 3.450 22,900,000
Power Co., Series 1994, Vogtle Project-5th
Series, due 07/01/24)..........................
1,660 Clayton County Housing Authority, (Refunding, VRDN 03/05/97(a) 3.300 1,660,000
Series 1990A, due 01/01/21), LOC Barclays Bank
PLC............................................
690 Cobb County Development Authority, (IDR, VRDN 03/06/97(a) 3.383 690,000
Refunding, Noland Co. Project, Series 1989, due
08/01/99), LOC Wachovia Bank and Trust.........
4,000 DeKalb County, (Development Authority Revenue, VRDN 03/05/97(a) 3.350 4,000,000
Metro Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank and Trust.........
1,500 DeKalb County, (Development Authority Revenue, VRDN 03/06/97(a) 3.390 1,500,000
Refunding, Noland Co. Project, Series 1989, due
08/01/00), LOC Wachovia Bank and Trust.........
2,000 Georgia, (Series 1988B).......................... GO 04/01/97 8.400 2,008,338
10,000 Georgia, (Series 1993 C, BT # 149, due TPP 03/06/97(a) 3.400 10,000,000
07/01/08)......................................
7,900 Monroe County, (Development Authority, PCR, VRDN 03/03/97(a) 3.550 7,900,000
Georgia Power Co., Series 1995, Scherer
Project-2nd. Series, due 07/01/25).............
9,600 Putnam County Development Authority, (PCR, VRDN 03/03/97 3.450 9,600,000
Georgia Power Co., Series 1, due 06/01/23).....
---------------
75,508,338
---------------
IDAHO (3.5%)
43,900 Idaho State, (Series 1996)....................... TAN 06/30/97 4.500 44,013,889
---------------
ILLINOIS (4.4%)
140 Charleston, (Servistar Corp. Project, Series VRDN 03/06/97(a) 3.383 140,000
1988, due 10/01/97), LOC ABN Amro Bank NV......
10,785 Chicago, (O'Hare International Airport, General VRDN 03/05/97(a) 3.300 10,785,000
Airport Second Lien, Series 1984B, due
01/01/15), LOC Societe Generale................
9,900 Counties of Jackson and Union, (Regional Port VRDN 03/05/97(a) 3.400 9,900,000
Distributors, Enron Transportation Services,
Refunding, Series 1994, due 04/01/24), LOC
Mitsubishi Bank Ltd., Houston..................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 5,200 Illinois Development Finance Authority, (PCR, VRDN 03/05/97(a) 3.300% $ 5,200,000
Illinois Power Co. Project, Series 1993B, due
11/01/28), LOC Canadian Imperial Bank..........
2,600 Illinois Health Facilities Authority, (SSM Health VRDN 03/14/97(a) 3.400 2,600,000
Care Project, Series 1990A, due 06/01/06), LOC
Rabobank Nederland.............................
5,000 Illinois Health Facilities Authority, (Swedish VRDN 03/05/97(a) 3.300 5,000,000
Covenant Hospital Project, Series 1995, due
08/01/25), AMBAC Insured.......................
13,200 Illinois, (Toll Highway Authority, Refunding, VRDN 03/05/97(a) 3.250 13,200,000
Series 1993B, due 01/01/10), LOC Societe
Generale.......................................
5,000 Joliet, (Regional Port District, Refunding, Exxon VRDN 03/03/97(a) 3.450 5,000,000
Project, Series 1989, due 10/01/24)............
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest VRDN 03/05/97(a) 3.400 3,000,000
Project, Series 1986, due 12/15/26), LOC
National Westminster PLC.......................
---------------
54,825,000
---------------
INDIANA (2.2%)
20,000 Indiana Health Facility Financing Authority, VRDN 03/05/97(a) 3.400 20,000,000
(Refunding, Clarian Health Partners, Series
1996B, due 02/15/26), LOC National Bank of
Detroit........................................
4,050 Rockport, (PCR, Indiana and Michigan Electric Co. VRDN 03/05/97(a) 3.350 4,050,000
Project, Series 1985A, due 08/01/14), LOC Swiss
Bank Corp......................................
3,000 Rockport, (PCR, Refunding, AEP Generating Co. VRDN 03/03/97(a) 3.500 3,000,000
Project, Series 1995B, due 07/01/25), AMBAC
Insured........................................
---------------
27,050,000
---------------
IOWA (0.8%)
10,370 Polk County, (Hospital Equipment & Improvement VRDN 03/05/97 (a) 3.300 10,370,000
Revenue, due 12/01/05), MBIA Insured...........
---------------
KANSAS (1.0%)
2,000 Garden City, (IDR, Inland Container Corp. VRDN 03/03/97 (a) 3.350 2,000,000
Project, Series 1983, due 01/01/08), LOC Credit
Suisse.........................................
10,000 Kansas Department of Transportation, (Series VRDN 03/04/97 (a) 3.250 10,000,000
1994B, due 09/01/14)...........................
---------------
12,000,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
KENTUCKY (2.7%)
$ 13,000 Kentucky Economic Development Finance Authority, VRDN 03/05/97(a) 3.300% $ 13,000,000
(Baptist Healthcare Systems, due 08/15/31), LOC
Canadian Imperial Bank.........................
6,000 Mayfield, (Multi-City Revenue, due 07/01/26), LOC VRDN 03/05/97(a) 3.500 6,000,000
PNC Bank.......................................
15,000 Pendleton County, (Kentucky Multi-County Lease VRDN 03/13/97(a) 3.400 15,000,000
Revenue, due 03/01/19), LOC Commonwealth Bank
of Australia...................................
---------------
34,000,000
---------------
LOUISIANA (3.3%)
4,500 Ascension Parish, (PCR, Borden Inc. Project, VRDN 03/05/97(a) 3.300 4,500,000
Refunding, Series 1992, due 12/01/09), LOC
Credit Suisse..................................
6,000 Calcasieu Parish, (IDR, Refunding, Olin Corp. VRDN 03/03/97 3.450 6,000,000
Project, Series 1993B, due 02/01/16), LOC
Wachovia Bank..................................
3,770 Calcasieu Parish, (Recovery District Sales Tax, VRDN 03/06/97(a) 3.350 3,770,000
Road Improvement, due 09/01/97), LOC National
Westminster Bank PLC...........................
7,000 Lake Charles, (Harbor and Terminal District VRDN 03/05/97(a) 3.300 7,000,000
Revenue, Reynolds Metal Co. Project, Series
1990, due 05/01/06), LOC Canadian Imperial
Bank...........................................
2,750 Louisiana Public Facilities Authority, (Colleges VRDN 03/05/97(a) 3.300 2,750,000
& University Equipment and Capital, Series A,
due 09/01/10), LOC Societe Generale............
7,200 Louisiana Public Facilities Authority, VRDN 03/05/97(a) 3.650 7,200,000
(Refunding, Hospital Equipment Financing,
Series 1985A, due 12/01/05), LOC Sumitomo Bank
Ltd............................................
8,855 Louisiana Public Facilities Authority, VRDN 03/03/97(a) 3.300 8,855,000
(Refunding, Hospital Revenue, Series 1985, due
12/01/00), LOC Banque National de Paris........
1,200 Saint Charles Parish, (PCR, Refunding, Shell Oil VRDN 03/03/97(a) 3.400 1,200,000
Project, Series B, due 10/1/22)................
---------------
41,275,000
---------------
MARYLAND (0.8%)
10,000 Anne Arundel County, (PCR, Baltimore Gas and RB 07/01/97(b) 3.950 10,000,000
Electric Co. Project, Series 1984, due
07/01/14)......................................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
MASSACHUSETTS (0.2%)
$ 2,720 Massachusetts State, (Water Resource Authority, VRDN 03/05/97(a) 3.350% $ 2,720,000
Floats PA-137, due 11/01/26)...................
---------------
MICHIGAN (1.2%)
6,300 Michigan State, (Strategic Fund Limited, Reserve VRDN 03/03/97(a) 3.450 6,300,000
1, Series 1995, due 09/01/30), LOC Barclays
Bank PLC.......................................
9,000 Midland County Economic Development Corp., (Dow VRDN 03/03/97(a) 3.450 9,000,000
Chemical Co. Project, Refunding, Series 1993B,
due 12/01/15)..................................
---------------
15,300,000
---------------
MINNESOTA (0.1%)
1,325 St. Louis Park, (Tax Increment Revenue, Series VRDN 03/06/97(a) 3.250 1,325,000
1987B, due 03/01/02), LOC Sumitomo Bank Ltd....
---------------
MISSISSIPPI (0.0%)*
535 Columbus, (IDR, Refunding Noland Co. Project, VRDN 03/06/97(a) 3.383 535,000
Series 1989, due 05/01/99), LOC Wachovia Bank
and Trust......................................
---------------
MISSOURI (1.5%)
11,000 Missouri Environmental Improvement and Energy RB 06/01/97(b) 3.650 11,000,000
Resources Authority, (PCR, Union Electric Co.
Project, Series 1984B, due 06/01/14), LOC Union
Bank of Switzerland............................
7,500 Missouri Health and Educational Facilities, (SSM VRDN 03/05/97(a) 3.300 7,500,000
Health Care Projects, Series 1995C, due
06/01/22), MBIA Insured........................
---------------
18,500,000
---------------
MONTANA (4.9%)
26,400 Forsyth, (PCR, Pacificorp. Project, due VRDN 03/03/97(a) 3.500 26,400,000
01/01/18), LOC Rabobank Nederland..............
34,500 Montana State.................................... TRAN 06/27/97 4.500 34,623,077
---------------
61,023,077
---------------
NEBRASKA (0.9%)
10,650 Lancaster County, (Hospital Authority No. 1, VRDN 03/05/97(a) 3.250 10,650,000
Hospital Revenue, Refunding, Bryan Memorial
Hospital Project, due 06/01/12), MBIA
Insured........................................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
NEW HAMPSHIRE (0.4%)
$ 1,790 New Hampshire Higher Educational and Health VRDN 06/01/97(a) 3.800% $ 1,790,000
Facilities Authority, (Dartmouth College Issue,
Student Loan Revenue, Series 1994, due
06/01/19)......................................
3,000 New Hampshire, (Series 1990B).................... CP 03/03/97 3.400 3,000,000
---------------
4,790,000
---------------
NEW JERSEY (0.2%)
2,500 New Jersey Economic Development Authority, (Utd VRDN 03/03/97(a) 3.050 2,500,000
Water, Refunding, due 11/01/25), AMBAC
Insured........................................
---------------
NEW MEXICO (0.3%)
4,200 Farmington, (PCR, Refunding, due 04/01/22), LOC VRDN 03/03/97(a) 3.350 4,200,000
Bank of America................................
---------------
NEW YORK (11.9%)
11,100 New York City Municipal Water Finance Authority, VRDN 03/03/97(a) 3.550 11,100,000
(Water and Sewer Systems Revenue, Series 1995A,
due 06/15/25), FGIC Insured....................
1,550 New York City, (Series 1992B, due 10/01/20), FGIC VRDN 03/03/97(a) 3.550 1,550,000
Insured........................................
14,350 New York City, (Series 1992B, due 10/01/21), FGIC VRDN 03/03/97(a) 3.550 14,350,000
Insured........................................
3,700 New York City, (Series 1992B, due 10/01/22), FGIC VRDN 03/03/97(a) 3.550 3,700,000
Insured........................................
2,600 New York City, (Sub-Series 1993 B-4, due VRDN 03/03/97(a) 3.550 2,600,000
08/15/21), LOC Union Bank of Switzerland.......
6,600 New York City, (Sub-Series 1993 B-4, due VRDN 03/03/97(a) 3.550 6,600,000
08/15/23), LOC Union Bank of Switzerland.......
8,900 New York State Energy Research & Development VRDN 03/03/97(a) 3.550 8,900,000
Authority, (Niagara Mohawk Power Corp., Series
1985A, due 07/01/15), LOC Toronto Dominion
Bank...........................................
12,000 New York State Energy Research and Development RB 03/01/98(b) 3.600 12,000,000
Authority, (PCR, Lilco Project, Series 1985B,
due 03/01/16), LOC Deutsche Bank AG............
31,600 New York State Energy Research and Development VRDN 03/03/97(a) 3.450 31,600,000
Authority, (PCR, New York Electric and Gas,
Refunding, Series 1994D, due 10/01/29), LOC
Union Bank of Switzerland......................
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 9,735 New York State Energy Research and Development RB 12/01/97(b) 3.600% $ 9,735,000
Authority, (PCR, New York Electric and Gas,
Series 1985D, due 12/01/15), LOC Union Bank of
Switzerland....................................
32,000 New York, (Series B)............................. RAN 06/30/97 4.500 32,094,514
15,000 Suffolk County, (Series II)...................... TAN 09/11/97 4.500 15,042,150
---------------
149,271,664
---------------
NORTH CAROLINA (0.9%)
2,100 Ashe County Industrial Facilities and Pollution VRDN 03/06/97(a) 3.383 2,100,000
Control Finance Authority, (IDR, Refunding,
Gates Rubber Co. Project, Series 1988, due
07/01/10), LOC National Bank of Detroit........
2,140 Davidson County Industrial Facilities and VRDN 03/06/97(a) 3.383 2,140,000
Pollution Control Financing Authority, (IDR,
Lowes Co., Inc. Project, Series 1990, due
07/01/20), LOC National Westminster Bank PLC...
2,000 Mecklenburg County Industrial Facilities and VRDN 03/04/97(a) 3.450 2,000,000
Pollution Control Financing Authority, (IDR,
Allied Corp. Project, Series 1984, 09/01/14),
LOC ABN Amro Bank..............................
1,600 North Carolina Educational Facilities Finance VRDN 03/03/97(a) 3.450 1,600,000
Agency, (Guilford College Project, Series 1993,
due 09/01/23), LOC Wachovia Bank and Trust.....
4,000 Wake County Industrial Facilities and Pollution VRDN 03/05/97(a) 3.300 4,000,000
Control Financing Authority, (PCR, Carolina
Power and Light Project, Series 1985A, due
05/01/15), LOC Credit Suisse...................
---------------
11,840,000
---------------
OHIO (1.7%)
8,700 Hamilton County, (Health System Revenue, VRDN 03/03/97 (a) 3.550 8,700,000
Franciscan Sisters Poor Health, Series 1987A,
due 03/01/17), LOC Sumitomo Bank, Ltd..........
9,200 Ohio Air Quality Development Authority, (PCR, RB 05/08/97 3.400 9,200,000
Cleveland Electric, Series 1988B, due
03/01/18), FGIC Insured........................
3,500 Ohio Air Quality Development Authority, (Series VRDN 03/03/97 (a) 3.550 3,500,000
1985A, due 12/01/15), LOC Union Bank of
Switzerland....................................
---------------
21,400,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
OREGON (1.2%)
$ 5,000 Port of Portland, (PCR, Reynolds Metal Co. VRDN 03/03/97(a) 3.500% $ 5,000,000
Project, due 12/01/09), LOC Bank of Nova
Scotia.........................................
9,800 Port of St. Helens, (PCR, Portland General VRDN 03/03/97(a) 3.450 9,800,000
Electric Co, due 04/01/10), LOC Canadian
Imperial Bank..................................
---------------
14,800,000
---------------
PENNSYLVANIA (9.4%)
14,600 Allegheny County Industrial Development RB 05/09/97 3.400 14,600,000
Authority, (U.S.-Steel Environmental
Improvement Project, due 10/01/12), LOC
Commerzbank Aktiengesel........................
13,880 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 13,880,000
(Presbyterian University Hospital, Series
1988B-1, due 03/01/18), LOC PNC Bank...........
5,475 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 5,475,000
(Presbyterian University Hospital, Series
1988B-2, due 03/01/18), LOC PNC Bank...........
2,500 Allegheny County Hospital Development Authority, VRDN 03/06/97(a) 3.350 2,500,000
(Presbyterian University Hospital, Series
1988B-3, due 03/01/18), LOC PNC Bank...........
6,000 Allegheny County Industrial Development VRDN 03/03/97(a) 3.400 6,000,000
Authority, (IDR, Refunding, Dowty Corp.
Project, Series 1986, due 12/01/01), LOC Mellon
Bank...........................................
4,100 Allegheny County, Hospital Development Authority, VRDN 03/06/97(a) 3.350 4,100,000
(Presbyterian University Hospital, Series
1990B, due 03/01/20), MBIA Insured.............
3,500 Clinton County Industrial Development Authority, VRDN 03/05/97(a) 3.400 3,500,000
(IDR, Mellon Bank Central National Assistance
Project, Series 1985, due 09/01/05), LOC Mellon
Bank...........................................
1,600 Delaware County Industrial Development Authority, VRDN 03/03/97(a) 3.400 1,600,000
(Airport Facilities Revenue, United Parcel
Service Project, due 12/01/15).................
3,150 Lehigh County Industrial Development Authority, VRDN 03/06/97(a) 3.350 3,150,000
(PCR, P-Floats-PA-99, due 09/01/29), MBIA
Insured........................................
8,000 Montgomery County Industrial Development RB 05/13/97(b) 3.450 8,000,000
Authority, (Pico Energy Project, due
06/01/29)......................................
14,800 Pennsylvania Higher Educational Facilities VRDN 03/05/97(a) 3.350 14,800,000
Authority, (Health Services Revenue, Allegheny
Delaware Valley, due 11/15/35), LOC PNC Bank...
23,000 Pennsylvania State............................... TAN 06/30/97 4.500 23,061,714
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (CONTINUED)
$ 2,000 Pennsylvania State, (Industrial Development VRDN 03/06/97(a) 3.400% $ 2,000,000
Authority, Series 1990, due 05/01/04)..........
15,000 Philadelphia School District, (Series 1996)...... TRAN 06/30/97 4.500 15,023,939
---------------
117,690,653
---------------
SOUTH CAROLINA (1.0%)
9,250 Allendale County, (IDR, Refunding, King Seeley VRDN 03/06/97(a) 3.383 9,250,000
Thermos Co. Project, Series 1988, due
08/01/01), LOC Bank of Nova Scotia.............
3,000 York County, (PCR, North Carolina Electric VRDN 03/15/97(a) 3.800 3,000,000
Project NRU-84N-4, due 09/15/14)...............
---------------
12,250,000
---------------
TENNESSEE (3.5%)
3,100 Collierville Industrial Development Board, (due VRDN 03/01/97 (a) 5.363 3,100,000
03/01/00), LOC National City Bank of
Cleveland......................................
1,365 Franklin Industrial Development Board, (IDR, VRDN 03/06/97 (a) 3.390 1,365,000
Refunding, Noland Co. Project, Series 1989, due
05/01/97), LOC Wachovia Bank and Trust.........
6,500 Knox County Industrial Development Board, (IDR, VRDN 03/14/97 (a) 3.400 6,500,000
Moore McCormack Resources Inc. Project Series
1988, due 06/01/06), LOC Societe Generale......
1,400 Metropolitan Nashville & Davidson County, (Health RB 05/01/97 (b) 3.700 1,400,000
& Education Facilities Board, Vanderbilt
University, Series 1985B, due 05/01/13)........
1,700 Metropolitan Nashville Airport Authority, VRDN 03/03/97 (a) 3.500 1,700,000
(Special Facilities Revenue, American Airlines
Project, Series 1995A, due 10/01/12), LOC
Credit Suisse..................................
8,300 Metropolitan Nashville Airport Authority, VRDN 03/03/97 (a) 3.500 8,300,000
(Special Facilities Revenue, American Airlines
Project, Series 1995B, due 10/01/12), LOC
Bayerische Landesbank..........................
800 Sullivan County Industrial Development Board, VRDN 03/03/97 (a) 3.500 800,000
(PCR, Refunding, Mead Corp. Project, Series
1986, due 10/01/16), LOC Union Bank of
Switzerland....................................
20,000 Tennessee Local Development Authority, (Series RAN 05/29/97 4.000 20,018,336
1996A).........................................
---------------
43,183,336
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (9.0%)
$ 1,500 El Paso Industrial Development Authority, (Contel VRDN 03/06/97(a) 5.363% $ 1,500,000
Cellular of El Paso Inc. Project, Series 1985,
due 02/01/04), LOC Bank of Nova Scotia.........
9,000 Grayson County Industrial Development Corp., VRDN 03/06/97(a) 3.350 9,000,000
(Aluminum Co. of America, Refunding, Series
1992, due 12/01/02)............................
1,400 Gulf Coast Waste Disposal Authority, (PCR, Amoco VRDN 03/03/97(a) 3.450 1,400,000
Oil Co. Project, Refunding, due 10/01/17)......
3,400 Harris County Industrial Development Corp., VRDN 03/06/97(a) 3.350 3,400,000
(Johann Haltermann Project, Series 1996A, due
04/01/08), LOC Texas Commerce Bank.............
2,415 Harris County Industrial Development Corp., VRDN 03/06/97(a) 3.350 2,415,000
(Johann Haltermann Project, Series 1996B, due
04/01/08), LOC Texas Commerce Bank.............
900 Lone Star Airport Improvement Authority, (Series VRDN 03/06/97(a) 3.500 900,000
1984 B-4, due 12/01/14), LOC Royal Bank of
Canada.........................................
1,400 Lone Star Texas Airport Improvement Authority, VRDN 03/06/97(a) 3.500 1,400,000
(Series 1984 B-3, due 12/01/14), LOC Royal Bank
of Canada......................................
15,000 Lower Colorado River Authority, (Refunding, VRDN 03/05/97(a) 3.250 15,000,000
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured........................
4,500 Mansfield Industrial Development Corp., (Pier 1 VRDN 03/05/97(a) 3.400 4,500,000
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC National Wesminster Bank PLC....
3,000 North Central Health Facilities Development VRDN 03/03/97(a) 3.500 3,000,000
Corp., (Hospital Revenue, Presbyterian Medical
Center, Series 1985D, due 12/01/15), MBIA
Insured........................................
3,900 Port Development Corp., (Marine Terminal, Stolt VRDN 03/05/97(a) 3.400 3,900,000
Terminals Project, Refunding, due 01/15/14),
LOC Credit Suisse..............................
5,050 Sabine River Authority, (PCR, Series 1995B, due VRDN 03/03/97(a) 3.550 5,050,000
06/01/30), LOC Union Bank of Switzerland.......
1,265 Texas Higher Education Authority Inc, (Series VRDN 03/05/97(a) 3.300 1,265,000
1985B, due 02/01/25), FGIC Insured.............
60,200 Texas State...................................... TRAN 08/29/97 4.750 60,482,711
---------------
113,212,711
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
UTAH (0.9%)
$ 2,565 Carbon County, (PCR, Refunding, Pacificorp VRDN 03/03/97(a) 3.500% $ 2,565,000
Project, Series 1994, due 11/01/24), LOC Bank
of New York....................................
9,000 Intermountain Power Agency, (Utah Power Supply VRDN 03/03/97(a) 3.350 9,000,000
Revenue, Series 1985F, due 07/01/15), LOC Swiss
Bank...........................................
---------------
11,565,000
---------------
VERMONT (0.6%)
7,000 Vermont, (Student Assistance Corp., Series 1985, VRDN 03/03/97(a) 3.650 7,000,000
due 01/01/04), LOC National Wesminster Bank
PLC............................................
---------------
VIRGINIA (0.9%)
4,900 Arlington County, (Ballston Public Parking VRDN 03/04/96(a) 3.350 4,900,000
Project, Series 1984, due 08/01/17), LOC
Citibank.......................................
2,945 Chesterfield County, (Refunding, Series 1991, due TPP 03/06/97(a) 3.400 2,945,000
07/15/03)......................................
100 Peninsula Ports, (Dominion Terminal Project, RB 03/03/97(a) 3.400 100,000
Refunding, due 07/01/16), LOC National
Westminister Bank PLC..........................
1,000 Virginia Beach Industrial Development Authority, VRDN 03/03/97(a) 5.363 1,000,000
(IDR, Norfolk Virginia Beach, Portsmouth MSA
Limited Partnership Project, due 12/01/04), LOC
Bank of Nova Scotia............................
2,300 Virginia State Housing Development Authority, VRDN 03/05/97(a) 3.400 2,300,000
(AHC Service Corp., Series 1987A, due
09/01/17), LOC Mitsubishi Ltd..................
---------------
11,245,000
---------------
WASHINGTON (0.5%)
6,400 Seattle, (Water System Revenue, Series 1995, due VRDN 03/05/97(a) 3.300 6,400,000
09/01/25), LOC Bayerische Landesbank...........
---------------
WEST VIRGINIA (0.1%)
1,000 Mercer County, (IDR, Refunding, Noland Co. VRDN 03/06/97(a) 3.383 1,000,000
Project, Series 1989, due 05/01/01), LOC
Wachovia Bank and Trust........................
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
WISCONSIN (2.4%)
$ 2,500 Marshfield, (IDR, Beatrice Cheese Inc., Project, VRDN 03/06/97(a) 3.383% $ 2,500,000
Series 1984, due 12/01/14), LOC Wachovia Bank
and Trust......................................
18,000 Milwaukee, (Series A)............................ RAN 02/19/98 4.250 18,108,043
1,300 Seymour, (IDR, Beatrice Cheese Inc., Project, VRDN 03/06/97(a) 3.390 1,300,000
Series 1984, due 12/01/98), LOC Wachovia Bank
and Trust......................................
8,500 Wisconsin, (Custodial Receipt Certificates, due TPP 03/06/97(a) 3.400 8,500,000
05/01/04)......................................
---------------
30,408,043
---------------
WYOMING (0.3%)
4,000 Gillette, (PCR, Refunding, Pacificorp Project, VRDN 04/08/97(a) 3.350 4,000,000
due 01/01/18) LOC Deutsche Bank AG.............
---------------
1,253,818,647
TOTAL INVESTMENTS (COST $1,253,818,647) (100.1%)....................................
(1,394,436)
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.1%).......................................
---------------
$ 1,252,424,211
NET ASSETS (100.0%).................................................................
---------------
---------------
</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
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.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $1,253,818,647
Cash 84,362
Interest Receivable 10,794,420
Prepaid Trustees' Fees 7,054
Prepaid Expenses and Other Assets 23,265
--------------
Total Assets 1,264,727,748
--------------
LIABILITIES
Payable for Investments Purchased 12,000,000
Advisory Fee Payable 174,087
Custody Fee Payable 41,184
Administrative Services Fee Payable 30,742
Administration Fee Payable 17,247
Fund Services Fee Payable 2,418
Accrued Expenses 37,859
--------------
Total Liabilities 12,303,537
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,252,424,211
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $22,196,242
EXPENSES
Advisory Fee $1,120,826
Administrative Services Fee 198,842
Custodian Fees and Expenses 126,189
Fund Services Fee 23,594
Professional Fees and Expenses 17,503
Administration Fee 13,261
Trustees' Fees and Expenses 8,457
Miscellaneous 300
----------
Total Expenses 1,508,972
-----------
NET INVESTMENT INCOME 20,687,270
NET REALIZED GAIN ON INVESTMENTS 31,330
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $20,718,600
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
FEBRUARY 28, 1997 YEAR ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 20,687,270 $ 39,194,474
Net Realized Gain (Loss) on Investments 31,330 (1,789)
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 20,718,600 39,192,685
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,442,714,312 4,223,774,582
Withdrawals (2,425,585,487) (4,136,830,334)
----------------- ---------------
Net Increase from Investors' Transactions 17,128,825 86,944,248
----------------- ---------------
Total Increase in Net Assets 37,847,425 126,136,933
NET ASSETS
Beginning of Period 1,214,576,786 1,088,439,853
----------------- ---------------
End of Period $ 1,252,424,211 $ 1,214,576,786
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED FOR THE FISCAL YEAR JULY 12, 1993
FEBRUARY 28, ENDED AUGUST 31, (COMMENCEMENT OF
1997 --------------------- OPERATIONS) TO
(UNAUDITED) 1996 1995 1994 AUGUST 31, 1993
---------------- ----- ----- ----- ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.24%(a) 0.25% 0.25% 0.25% 0.25%(a)
Net Investment Income 3.30%(a) 3.40% 3.61% 2.37% 2.28%(a)
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 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 no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio's investment objective is to provide a high
level of current income exempt from federal income tax and maintain a high level
of liquidity. The Portfolio commenced operations on July 12, 1993 and received a
contribution of certain assets and liabilities, including securities, with a
value of $955,814,753 on that date from The Pierpont Tax Exempt Money Market
Fund in exchange for a beneficial interest in the Portfolio. The Declaration of
Trust permits the Trustees to issue an unlimited number of beneficial 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, 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 subject to
taxation on its share of the Portfolio's ordinary income and capital
gains. It is intended that the Portfolio's assets will be managed in such
a way that an investor in the Portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code. The cost of
securities is substantially the same for book and tax.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the agreement,
the Portfolio pays Morgan at an annual rate of 0.20% of the Portfolio's
average daily net assets up to $1 billion and 0.10% on any excess over $1
billion. For the six months ended February 28, 1997, this fee amounted to
$1,120,826.
b)The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and exclusive placement agent.
Under a Co-Administration Agreement, 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 Portfolio's officers affiliated with FDI. Under
the Co-Administration Agreement, 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-
35
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1997
- --------------------------------------------------------------------------------
pocket expenses. The amount allocable to the Portfolio is based on the
ratio of the Portfolio's net assets to the aggregate net assets of The JPM
Pierpont Funds, The JPM Institutional Funds, The JPM Advisor Funds, the
Portfolio and other portfolios (the "Master Portfolios") in which The JPM
Pierpont Funds, The JPM Institutional Funds and The JPM Advisor Funds
invest, JPM Series Trust and JPM Series Trust II. For the six months ended
February 28, 1997, the fee for those services amounted to $13,261.
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 were 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 had agreed to pay Morgan a fee
equal to its proportionate share of an annual complex-wide charge. This
charge is calculated daily based on the aggregate net assets of the Master
Portfolios 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 paid by the Portfolio is determined by the proportionate share
that its net assets bear to the net assets of the Master Portfolios,
investors in the Master Portfolios for which Morgan provide similar
services and JPM Series Trust. For the six months ended February 28, 1997,
the fee for these services amounted to $198,842.
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 $23,594 for the six months ended February 28, 1997.
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, 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. 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 $3,000.
36
