<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------------- ------------ ------------ ------- ---------------
<C> <S> <C> <C> <C> <C>
ALABAMA (2.7%)
$ 21,300 Birmingham-Carraway Special Care Facilities
Financing Authority, (Carraway Methodist
Health, Series A, due 08/15/28), LOC Amsouth
Bank........................................... VRDN 09/01/99(a) 3.300% $ 21,300,000
8,800 Columbia Industrial Development Board, (PCR,
Alabama Power Co. Project, Refunding, Series C,
due 10/01/22).................................. VRDN 09/01/99(a) 3.100 8,800,000
4,450 Columbia Industrial Development Board, (PCR,
Alabama Power Co. Project, Refunding, Series D,
due 10/01/22).................................. VRDN 09/01/99(a) 3.100 4,450,000
21,050 West Jefferson Industrial Development Board,
(PCR, Refunding, Alabama Power Co. Project, due
06/01/28)...................................... VRDN 09/01/99(a) 2.850 21,050,000
--------------
55,600,000
--------------
ALASKA (0.9%)
15,630 Alaska State Housing Finance Corp., (Series C,
due 06/01/26).................................. VRDN 09/01/99(a) 3.300 15,630,000
2,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series A, due
12/01/33)...................................... VRDN 09/01/99(a) 2.700 2,200,000
1,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series B, due
12/01/33)...................................... VRDN 09/01/99(a) 2.700 1,200,000
--------------
19,030,000
--------------
ARIZONA (1.5%)
7,700 Apache County, (Industrial Development Authority,
Tuscon Electric Power Co., Springerville
Project, due 12/01/20), LOC Toronto Dominion
Bank........................................... VRDN 09/01/99(a) 3.500 7,700,000
4,700 Maricopa County Pollution Control Corp., (PCR, El
Paso Electric Co., due 12/01/14), LOC Barclays
Bank........................................... VRDN 09/01/99(a) 3.300 4,700,000
11,000 Maricopa County Pollution Control Corp., (PCR, El
Paso Electric Co., Series A, due 07/01/14)..... VRDN 09/01/99(a) 3.300 11,000,000
8,850 Maricopa County Pollution Control Corp., (PCR,
Refunding, Series D, due 05/01/29), LOC Bank of
America........................................ VRDN 09/01/99(a) 2.750 8,850,000
--------------
32,250,000
--------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (3.6%)
$ 6,700 California State Economic Development Financing
Authority, (Independent System, Series C, due
04/01/08)...................................... VRDN 09/01/99(a) 2.550% $ 6,700,000
6,070 California Statewide Community Development
Authority...................................... RB 09/30/99 3.350 6,069,813
21,300 Contra Costa County.............................. RB 10/01/99 3.350 21,300,000
400 Irvine Ranch, (Refunding, Water District, Series
A, due 05/01/09), LOC Bank of America.......... VRDN 09/01/99(a) 2.550 400,000
14,190 Los Angeles County Schools Pooled Financing
Program........................................ GO 09/30/99 3.350 14,188,441
21,500 Los Angeles Regional Airports Improvement Corp.,
(Lease Revenue, due 12/01/25), LOC Societe
Generale....................................... VRDN 09/01/99(a) 3.100 21,500,000
3,880 San Diego, (Area Local Government)............... RB 09/30/99 3.350 3,879,667
--------------
74,037,921
--------------
COLORADO (1.3%)
4,025 Denver City & County Airport, (Series 13, due
11/01/23)...................................... VRDN 09/01/99(a) 3.400 4,025,000
18,140 Denver City & County Airport, (Series A16, due
11/15/23)...................................... VRDN 09/01/99(a) 3.450 18,140,000
5,000 Smith Creek Metro District, (due 10/01/35), LOC
Bank of America................................ VRDN 09/01/99(a) 3.350 5,000,000
--------------
27,165,000
--------------
DISTRICT OF COLUMBIA (1.4%)
20,000 District of Columbia, (The American University
Issue, due 10/01/15), LOC Deutsche Bank........ VRDN 09/01/99(a) 3.300 20,000,000
8,980 Metropolitan Washington D.C. Airports Authority,
(Airport System Revenue Series AII, due
10/01/29)...................................... VRDN 11/26/99(a) 3.550 8,980,000
--------------
28,980,000
--------------
FLORIDA (2.7%)
5,800 Citrus Park Community Development District,
(Florida Capital Improvement Project, due
11/01/16), LOC Dresdner Bank................... VRDN 09/01/99(a) 3.300 5,800,000
22,900 Dade County Water & Sewer System Revenue, (due
10/05/22), FGIC Insured........................ VRDN 09/01/99(a) 3.200 22,900,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 1,100 Dade County Industrial Development Authority,
(PCR, Florida Power & Light Co. Project,
Refunding, due 04/01/20)....................... VRDN 09/01/99(a) 2.800% $ 1,100,000
10,765 Florida, (Dept. of Transportation, due
07/01/13)...................................... VRDN 09/02/99(a) 3.320 10,765,000
5,700 Florida Municipal Power Agency, (Refunding, Sub-
Stanton II Project, due 10/01/27), AMBAC
Insured........................................ VRDN 09/02/99(a) 3.250 5,700,000
1,100 Jacksonville, (PCR, Refunding, Florida Power &
Light Co. Project, due 05/01/29)............... VRDN 09/01/99(a) 2.800 1,100,000
2,900 St. Lucie County, (PCR, Refunding, Florida Power
& Light Co. Project, due 03/01/27)............. VRDN 09/01/99(a) 2.800 2,900,000
4,800 Tampa Occupational License Tax, (Series A, due
10/01/18), FGIC Insured........................ VRDN 09/01/99(a) 3.300 4,800,000
--------------
55,065,000
--------------
GEORGIA (7.9%)
8,400 Bartow County Development Authority, (PCR,
Georgia Power Co., 1st Series, due 06/01/23)... VRDN 09/01/99(a) 2.850 8,400,000
20,400 Burke County Development Authority, (PCR, Georgia
Power Co., Vogtle Project -1st Series, due
04/01/32)...................................... VRDN 09/01/99(a) 2.850 20,400,000
8,050 Burke County Development Authority, (PCR, Georgia
Power Co., Vogtle Project-4th Series, due
09/01/25)...................................... VRDN 09/01/99(a) 2.850 8,050,000
12,650 Burke County Development Authority, (PCR, Georgia
Power Co., Vogtle Project-4th Series, due
07/01/24)...................................... VRDN 09/01/99(a) 3.100 12,650,000
8,250 Burke County Development Authority, (PCR, Georgia
Power Co., Vogtle Project-5th Series, due
07/01/24)...................................... VRDN 09/01/99(a) 3.100 8,250,000
27,500 Burke County Development Authority, (PCR,
Oglethorpe Power Corp., Series A, due
01/01/19), FGIC Insured........................ VRDN 09/01/99(a) 3.200 27,500,000
12,475 Coweta County Development Authority, (PCR,
Georgia Power Co., Yates Plant Project, due
03/01/24)...................................... VRDN 09/01/99(a) 2.850 12,475,000
4,000 DeKalb County Development Authority Revenue,
(Metro Atlanta YMCA Project, due 06/01/20), LOC
Wachovia Bank of Georgia....................... VRDN 09/01/99(a) 3.250 4,000,000
27,098 Georgia Municipal Association, (Pool Bond
Certificates, due 12/15/20), MBIA Insured...... VRDN 09/01/99(a) 3.300 27,098,190
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
GEORGIA (CONTINUED)
$ 800 Heard County Development Authority, (PCR, Georgia
Power Co., Wansley Project, due 09/01/29)...... VRDN 09/01/99(a) 2.850% $ 800,000
14,815 Metropolitan Atlanta Rapid Transit Authority,
(Sales Tax Revenue, due 07/01/20).............. VRDN 09/02/99(a) 3.320 14,815,000
4,900 Monroe County Development Authority, (PCR,
Georgia Power Co., Scherer Project, due
09/01/29)...................................... VRDN 09/01/99(a) 2.850 4,900,000
5,250 Monroe County Development Authority, (PCR,
Georgia Power Co., Scherer Project-2nd Series,
due 07/01/25).................................. VRDN 09/01/99(a) 3.100 5,250,000
1,200 Putnam County Development Authority, (PCR,
Georgia Power Co., Branch Project, due
03/01/24)...................................... VRDN 09/01/99(a) 2.850 1,200,000
4,100 Putnam County Development Authority, (PCR,
Georgia Power Co., Branch Project, due
04/01/32)...................................... VRDN 09/01/99(a) 3.100 4,100,000
3,500 Putnam County Development Authority, (PCR,
Georgia Power Co., 1st Series, due 06/01/23)... VRDN 09/01/99(a) 2.850 3,500,000
--------------
163,388,190
--------------
ILLINOIS (7.5%)
30,000 Chicago, (Putable, due 01/26/01), LOC
Westduetsche Landesbank........................ MP 01/27/00(a) 2.950 29,998,278
10,000 Chicago, (MFHR, Waveland Association Project A,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 10,000,000
10,000 Chicago, (MFHR, Waveland Association Project B,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 10,000,000
3,000 Chicago, (MFHR, Waveland Association Project C,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 3,000,000
3,300 Chicago, (MFHR, Waveland Association Project D,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 3,300,000
3,000 Chicago, (MFHR, Waveland Association Project E,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 3,000,000
12,600 Chicago, (MFHR, Waveland Association Project F,
due 11/01/10), LOC Swiss Bank.................. VRDN 09/01/99(a) 3.350 12,600,000
5,800 Chicago, (O'Hare International Airport, General
Airport, 2nd Lien, Series A, due 01/01/15), LOC
Societe Generale............................... VRDN 09/01/99(a) 3.300 5,800,000
4,360 Chicago, (O'Hare International Airport, General
Airport, 2nd Lien, Series B, due 01/01/15), LOC
Societe Generale............................... VRDN 09/01/99(a) 3.300 4,360,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 10,000 Illinois Development Finance Authority, (Chicago
Symphony Project, due 06/01/31), LOC Bank of
America........................................ VRDN 09/01/99(a) 3.200% $ 10,000,000
5,200 Illinois Development Finance Authority, (PCR,
Illinois Power Co. Project, Series B, due
11/01/28), LOC ABN AMRO Bank................... VRDN 09/02/99(a) 3.300 5,200,000
2,100 Illinois Development Finance Authority,
(Refunding, Olin Corp. Project, Series A, due
06/01/04), LOC Wachovia Bank of South
Carolina....................................... VRDN 09/01/99(a) 2.850 2,100,000
4,340 Illinois Development Finance Authority,
(Refunding, Olin Corp. Project, Series D, due
03/01/16), LOC Wachovia Bank of South
Carolina....................................... VRDN 09/01/99(a) 2.850 4,340,000
16,900 Illinois Educational Facilities Authority,
(University Pooled Financing Program, due
12/01/05), FGIC Insured........................ VRDN 09/01/99(a) 3.200 16,900,000
5,905 Illinois Health Facilities Authority, (Loyola
University Health System, Series B, due
07/01/24), MBIA Insured........................ VRDN 09/01/99(a) 3.200 5,905,000
3,000 Illinois Toll Highway Authority, (Refunding,
Series B, due 01/01/10), LOC Societe
Generale....................................... VRDN 09/01/99(a) 3.200 3,000,000
3,500 Joliet, (Regional Port District, Refunding, Exxon
Project, due 10/01/24)......................... VRDN 09/01/99(a) 2.700 3,500,000
9,745 Metropolitan Pier & Exposition Authority,
(Dedicated State Tax Revenue, due 12/15/19).... VRDN 09/02/99(a) 3.540 9,745,000
10,000 Regional Transportation Authority, (due
06/01/25)...................................... VRDN 09/02/99(a) 3.320 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, due 12/15/26), LOC Bank One Texas..... VRDN 09/01/99(a) 3.400 3,000,000
--------------
155,748,278
--------------
INDIANA (4.6%)
80,858 Indiana Office Building Commission............... CP 09/27/99 3.200 80,858,000
4,050 Rockport, (PCR, Indiana and Michigan Electric Co.
Project, Series A, due 08/01/14), LOC Swiss
Bank........................................... VRDN 09/01/99(a) 3.350 4,050,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
INDIANA (CONTINUED)
$ 3,000 Rockport, (PCR, Refunding, AEP Generating Co.
Project, Series B, due 07/01/25), AMBAC
Insured........................................ VRDN 09/01/99(a) 2.750% $ 3,000,000
6,200 South Bend Redevelopment Authority, (Rental-
College Football, due 02/01/19), LOC Landesbank
Hessen......................................... VRDN 09/01/99(a) 3.200 6,200,000
--------------
94,108,000
--------------
KANSAS (0.4%)
5,000 Burlington, (PCR, Series A7, due 06/01/31)....... VRDN 09/01/99(a) 3.400 5,000,000
4,300 Burlington, (PCR, Series A26, due 06/01/31)...... VRDN 09/01/99(a) 3.400 4,300,000
--------------
9,300,000
--------------
KENTUCKY (3.5%)
8,460 Kentucky Asset / Liability Commission............ CP 10/13/99 3.350 8,460,000
23,500 Kentucky Asset / Liability Commission, (General
Fund Revenue Project).......................... RAN 11/01/99 3.500 23,518,527
25,000 Kentucky Asset / Liability Commission, (General
Fund Revenue Project, Series A)................ TRAN 06/28/00 4.250 25,173,925
13,880 Kentucky Turnpike Authority, (Resource Recovery,
Series 17, due 07/01/03)....................... VRDN 09/01/99(a) 3.400 13,880,000
2,100 Mayfield, (Multi-City Lease Revenue, Kentucky
League of Cities Funding Trust, due 07/01/26),
LOC PNC Bank................................... VRDN 09/01/99(a) 3.400 2,100,000
--------------
73,132,452
--------------
LOUISIANA (0.8%)
1,700 Calcasieu Parish, (Industrial Development Board,
Refunding, Olin Corp. Project, Series B, due
02/01/16), LOC Wachovia Bank................... VRDN 09/01/99(a) 2.850 1,700,000
1,900 East Baton Rouge Parish, (PCR, Refunding, Exxon
Project, due 11/01/19)......................... VRDN 09/01/99(a) 2.800 1,900,000
7,000 Lake Charles Harbor & Terminal District,
(Reynolds Metals Co. Project, due 05/01/06),
LOC Canadian Imperial Bank..................... VRDN 09/02/99(a) 3.300 7,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (CONTINUED)
$ 1,700 Louisiana Offshore Terminal Authority, (Deepwater
Port Revenue, Refunding due 09/01/06), LOC
Suntrust Bank Nashville........................ VRDN 09/01/99(a) 2.700% $ 1,700,000
3,960 Louisiana Public Facilities Authority, (Kenner
Hotel Ltd., due 12/01/15), LOC Deutsche Bank... VRDN 09/01/99(a) 2.800 3,960,000
--------------
16,260,000
--------------
MARYLAND (1.2%)
4,995 Maryland, (due 03/01/13)......................... VRDN 09/02/99(a) 3.320 4,995,000
12,120 Montgomery County, (Consolidated Public
Improvement Bonds, due 05/01/18)............... VRDN 09/02/99(a) 3.320 12,120,000
8,200 Montgomery County Housing Opportunities
Commission, (MFHR, Grosvenor, Series A, due
07/15/07), FNMA Insured........................ VRDN 09/01/99(a) 3.300 8,200,000
--------------
25,315,000
--------------
MASSACHUSETTS (0.2%)
4,400 Massachusetts Health & Education Facilities
Authority, (Harvard University, due
02/01/16)...................................... VRDN 09/01/99(a) 2.950 4,400,000
--------------
MICHIGAN (0.4%)
7,600 Michigan Strategic Fund Ltd., (Lutheran Homes of
Michigan Project, due 09/01/17), LOC NBD
Bank........................................... VRDN 09/01/99(a) 3.200 7,600,000
--------------
MINNESOTA (0.1%)
2,700 Minnesota Public Facilities Authority, (Water
Pollution Control Revenue, due 03/01/15), LOC
Commerzbank.................................... VRDN 09/02/99(a) 3.340 2,700,000
--------------
MISSISSIPPI (0.7%)
11,155 Jackson County, (PCR, Refunding, Chevron Project,
due 12/01/16).................................. VRDN 09/01/99(a) 2.700 11,155,000
3,400 Jackson County, (PCR, Refunding, Chevron Project,
due 06/01/23).................................. VRDN 09/01/99(a) 2.700 3,400,000
100 Perry County, (PCR, Refunding, Leaf River Forest
Project, due 03/01/02), LOC Wachovia Bank...... VRDN 09/01/99(a) 2.700 100,000
--------------
14,655,000
--------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
MISSOURI (0.5%)
$ 8,310 Missouri, (due 08/01/20)......................... VRDN 09/02/99(a) 3.320% $ 8,310,000
1,600 Missouri Environmental Improvement Authority &
Energy Resource Authority, (Refunding, Bayer
Corp. Project, due 03/01/09)................... VRDN 09/01/99(a) 2.900 1,600,000
--------------
9,910,000
--------------
NEVADA (2.2%)
19,900 Clark County, (Refunding, Airport Improvement
Revenue, Series A, due 07/01/12), MBIA
Insured........................................ VRDN 09/01/99(a) 3.200 19,900,000
7,000 Las Vegas, Series A.............................. CP 09/09/99 3.100 7,000,000
9,000 Las Vegas, Series A.............................. CP 10/07/99 3.350 9,000,000
9,000 Nevada, (due 11/01/20)........................... VRDN 09/02/99(a) 3.320 9,000,000
--------------
44,900,000
--------------
NEW JERSEY (1.5%)
11,175 New Jersey....................................... GO 02/01/00 4.000 11,228,111
19,225 New Jersey Transportation Trust Fund, (due
12/15/14)...................................... VRDN 09/02/99(a) 3.240 19,225,000
--------------
30,453,111
--------------
NEW MEXICO (3.4%)
9,620 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series B, due 09/01/24), LOC
Barclays Bank PLC.............................. VRDN 09/01/99(a) 2.700 9,620,000
60,000 New Mexico....................................... TRAN 06/30/00 4.000 60,370,075
--------------
69,990,075
--------------
NEW YORK (10.2%)
8,370 Metropolitan Transportation Authority, (Transit
Facilities Revenue Bonds, due 07/01/26)........ VRDN 09/02/99(a) 3.320 8,370,000
11,120 New York City, (due 05/15/28).................... VRDN 09/02/99(a) 3.320 11,120,000
3,950 New York City, (Series B, due 10/01/22), FGIC
Insured........................................ VRDN 09/01/99(a) 3.500 3,950,000
3,500 New York City, (Series B, Subseries B4, due
08/15/23), MBIA Insured........................ VRDN 09/01/99(a) 2.800 3,500,000
5,000 New York City Municipal Water Finance Authority,
(Prerefunded, Water & Sewer Systems Revenue,
Series A), MBIA Insured........................ RB 06/15/00 7.250 5,227,876
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 15,900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, due 06/15/24), FSA
Insured........................................ VRDN 09/02/99(a) 3.290% $ 15,900,000
24,290 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, due 06/15/26), MBIA
Insured........................................ VRDN 09/01/99(a) 3.350 24,290,000
16,350 New York City Municipal Water Finance Authority,
(Water & Sewer Systems Revenue, Series A, due
06/15/25), FGIC Insured........................ VRDN 09/01/99(a) 3.100 16,350,000
15,000 New York City Municipal Water Finance Authority,
(Water & Sewer Systems Revenue, Series A65, due
06/15/29)...................................... VRDN 09/01/99(a) 3.400 15,000,000
800 New York City Municipal Water Finance Authority,
(Water & Sewer Systems Revenue, Series C, due
06/15/22), FGIC Insured........................ VRDN 09/01/99(a) 2.800 800,000
21,910 New York City Municipal Water Finance Authority,
(Water & Sewer Systems Revenue, Series C, due
06/15/23), FGIC Insured........................ VRDN 09/01/99(a) 2.800 21,910,000
13,100 New York City Municipal Water Finance Authority,
(Water & Sewer Systems Revenue, Refunding,
Series G, due 06/15/24), FGIC Insured.......... VRDN 09/01/99(a) 2.700 13,100,000
7,000 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series 10, due
06/15/26), FSA Insured......................... VRDN 09/01/99(a) 3.400 7,000,000
6,960 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series 11, due
06/15/26), FSA Insured......................... VRDN 09/01/99(a) 3.350 6,960,000
3,500 New York State Energy, (Reseach & Development
Authority, Facilities, Series 19, due
08/15/20), AMBAC Insured....................... VRDN 09/01/99(a) 3.350 3,500,000
23,200 New York State Local Government Assistance
Corporation, (due 04/01/20).................... VRDN 09/02/99(a) 3.320 23,200,000
8,140 New York State Medical Care Facilities Finance
Agency, (due 02/15/29)......................... VRDN 09/02/99(a) 3.330 8,140,000
5,000 New York State Urban Development Corp.,
(Correctional Facilities Service, Contract
Revenue Bonds, due 01/01/28)................... VRDN 09/02/99(a) 3.320 5,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 5,000 New York State Urban Development Corp.,
(Series SG-33, due 01/01/25)................... VRDN 09/02/99(a) 3.320% $ 5,000,000
13,090 Port Authority of New York & New Jersey, (due
12/01/14)...................................... VRDN 09/08/99(a) 3.677 13,090,000
--------------
211,407,876
--------------
NORTH CAROLINA (4.9%)
1,200 Charlotte, Airport Revenue, (Refunding, Series A,
due 07/01/16), MBIA Insured.................... VRDN 09/01/99(a) 3.200 1,200,000
5,000 Greensboro Enterprise Systems, (Series B, due
06/01/22), LOC Credit Local De France.......... VRDN 09/01/99(a) 3.200 5,000,000
9,100 North Carolina Educational Facilities Finance
Agency, (Bowman Grey School Medical Project,
due 09/01/20), LOC Wachovia Bank & Trust....... VRDN 09/01/99(a) 3.250 9,100,000
6,000 North Carolina Educational Facilities Finance
Agency, (Bowman Grey School Medical Project,
due 09/01/26), LOC Wachovia Bank............... VRDN 09/01/99(a) 3.300 6,000,000
10,310 North Carolina Educational Facilities Finance
Agency, (Elon College, due 01/01/21), LOC Bank
of America..................................... VRDN 09/01/99(a) 3.200 10,310,000
9,500 North Carolina Educational Facilities Finance
Agency, (Greensboro College, due 09/01/27), LOC
Bank of America................................ VRDN 09/01/99(a) 3.200 9,500,000
1,170 North Carolina, (due 03/01/16)................... VRDN 09/02/99(a) 3.360 1,170,000
1,250 North Carolina, (due 04/01/17)................... VRDN 09/02/99(a) 3.320 1,250,000
27,075 North Carolina, (Public School Building Bonds,
Series A, due 03/01/11)........................ VRDN 09/02/99(a) 3.320 27,075,000
11,605 North Carolina, (Public School Building Bonds,
due 04/01/11).................................. VRDN 09/02/99(a) 3.320 11,605,000
14,700 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Refunding, Series
B, due 06/15/14), LOC Bank of New York......... VRDN 09/01/99(a) 3.050 14,700,000
4,000 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Carolina Power &
Light Project, Series A, due 05/01/15), LOC
Wachovia Bank.................................. VRDN 09/02/99(a) 3.300 4,000,000
--------------
100,910,000
--------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
OHIO (0.9%)
$ 4,900 Cleveland, (Income Tax Revenue, Refunding, due
05/15/24), AMBAC Insured....................... VRDN 09/01/99(a) 3.300% $ 4,900,000
5,300 Hamilton County, (Hospital Facilities Revenue,
Health Alliance, Series A, due 01/01/18), MBIA
Insured........................................ VRDN 09/02/99(a) 3.300 5,300,000
8,000 Warren County (Health Care Facilities Revenue,
Refunding & Improvement, Otterbein, Series A,
due 07/01/21), LOC Fifth Third Bank............ VRDN 09/01/99(a) 3.250 8,000,000
--------------
18,200,000
--------------
PENNSYLVANIA (2.3%)
21,075 Delaware Valley Regional Finance Authority, (Mode
1, due 08/01/16), LOC Credit Suisse First
Boston......................................... VRDN 09/01/99(a) 3.250 21,075,000
15,800 Delaware Valley Regional Finance Authority,
(Series C, due 12/01/20), LOC Credit Suisse
First Boston................................... VRDN 09/01/99(a) 3.250 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Series D, due 12/01/20), LOC Credit Suisse
First Boston................................... VRDN 09/01/99(a) 3.250 4,500,000
4,975 Pennsylvania Intergovernmental Authority,
(Special Tax Revenue, due 12/15/11)............ VRDN 09/02/99(a) 3.340 4,975,000
--------------
46,350,000
--------------
SOUTH CAROLINA (1.7%)
21,500 Greenville County School District................ GO 03/01/00 3.500 21,559,478
11,100 South Carolina Public Service Authority, (due
01/01/25)...................................... VRDN 09/01/99(a) 3.400 11,100,000
1,750 South Carolina, (State Highway Bonds, due
05/01/16)...................................... VRDN 09/02/99(a) 3.320 1,750,000
--------------
34,409,478
--------------
TENNESSEE (0.3%)
3,600 Bradley County Industrial Development Board,
(Olin Corp. Project, Series C, due 11/01/17),
LOC Wachovia Bank.............................. VRDN 09/01/99(a) 2.850 3,600,000
2,300 Tennessee, (Series C, due 07/02/01).............. VRDN 09/01/99(a) 3.200 2,300,000
--------------
5,900,000
--------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
TEXAS (13.8%)
$ 17,000 ABN AMRO Munitops Certificates Trust, (Series 6,
144A, due 03/07/07)............................ VRDN 09/01/99(a) 3.450% $ 17,000,000
19,340 Austin Utilities Systems Revenue, (Municipal
Trust Receipts, due 05/15/20).................. VRDN 09/02/99(a) 3.320 19,340,000
12,918 Dallas Waterworks & Sewer System................. CP 10/12/99 3.350 12,918,000
11,738 Dallas Waterworks & Sewer System................. CP 10/04/99 3.500 11,738,000
10,000 El Paso Waterworks & Sewer System................ CP 02/15/00 3.550 10,000,000
2,540 Gulf Coast Waste Disposal Authority, (PCR,
Refunding, Amoco Oil Co. Project, due
10/01/17)...................................... VRDN 09/01/99(a) 2.700 2,540,000
2,560 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project, Series
A, due 04/01/08), LOC Chase Bank of Texas...... VRDN 09/02/99(a) 3.350 2,560,000
1,915 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project, Series
B, due 04/01/08), LOC Chase Bank of Texas...... VRDN 09/02/99(a) 3.350 1,915,000
3,400 Houston Water & Sewer Systems, (Series A29, due
12/01/15)...................................... VRDN 09/02/99(a) 3.400 3,400,000
19,600 Houston Water & Sewer Systems, (Series SG-120,
due 12/01/23).................................. VRDN 09/02/99(a) 3.320 19,600,000
15,000 Houston Water & Sewer Systems.................... CP 10/04/99 3.400 15,000,000
11,730 Houston Water & Sewer Systems.................... CP 10/06/99 3.100 11,730,000
30,000 Houston Water & Sewer Systems.................... CP 10/19/99 3.450 30,000,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series A-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 09/01/99(a) 3.100 400,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 09/01/99(a) 3.100 400,000
1,400 Lone Star Airport Improvement Authority, (Series
B-3, due 12/01/14), LOC Royal Bank of Canada... VRDN 09/01/99(a) 3.100 1,400,000
30,000 Lower Colorado River Authority, (Refunding,
Junior Lien, 3rd Supplement Series, due
01/01/13), MBIA Insured........................ VRDN 09/01/99(a) 3.200 30,000,000
4,500 Mansfield Industrial Development Corp., (Pier 1
Import-Texas Inc. Project, due 11/01/26), LOC
Bank One Texas................................. VRDN 09/01/99(a) 3.400 4,500,000
3,900 Port Development Corp., (Refunding, Stolt Marine
Terminal Project, due 01/15/14), LOC Canadian
Imperial Bank.................................. VRDN 09/01/99(a) 3.250 3,900,000
940 Texas Higher Education Authority Inc, (Series B,
due 02/01/25), FGIC Insured.................... VRDN 09/01/99(a) 3.300 940,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 14,800 Texas Public Financial Authority................. CP 10/05/99 3.350% $ 14,800,000
50,000 Texas, (Series A)................................ TRAN 08/31/00 4.500 50,385,500
19,070 Texas, (Veterans Housing Assistance - Fund I, due
12/01/16), Veterans Administration Guaranteed.. VRDN 09/01/99(a) 3.200 19,070,000
2,200 Waller County Industrial Development Corp., (IDR,
Refunding, Tubular Steel Project,),............ VRDN 09/01/99 3.200 2,200,000
--------------
285,736,500
--------------
UTAH (3.6%)
4,965 Carbon County, (PCR, Refunding, Pacificorp
Project, due 11/01/24), AMBAC Insured.......... VRDN 09/01/99(a) 2.750 4,965,000
15,000 Intermountain Power Agency....................... CP 09/15/99 3.200 15,000,000
16,000 Intermountain Power Agency....................... CP 10/08/99 3.400 16,000,000
14,000 Intermountain Power Agency....................... CP 11/03/99 3.250 14,000,000
23,400 Intermountain Power Agency....................... CP 11/10/99 3.300 23,400,000
--------------
73,365,000
--------------
VERMONT (0.3%)
6,200 Vermont Student Loan Assistance Corp., (due
01/01/04), LOC National Westminster Bank....... VRDN 09/01/99(a) 3.400 6,200,000
--------------
VIRGINIA (1.4%)
28,725 Fairfax County, (Economic Development Authority,
Series A-15, due 02/01/11)..................... VRDN 11/26/99(a) 3.300 28,725,000
--------------
WASHINGTON (5.7%)
1,100 King County, (due 12/01/13), LIQ FAC - Merrill
Lynch.......................................... VRDN 09/02/99(a) 3.320 1,100,000
10,100 Seattle, (Water System Revenue, due 09/01/25),
LOC Bayerische Landesbank...................... VRDN 09/01/99(a) 3.300 10,100,000
13,595 Washington Public Power Supply Systems, (Nuclear
Project No. 1, due 07/01/17)................... VRDN 09/02/99(a) 3.360 13,595,000
5,600 Washington Public Power Supply Systems,
(Prerefunded, Nuclear Project No. 1, Series C,
due 07/01/08), FGIC Insured.................... RB 07/01/00(a) 7.750 5,905,150
27,010 Washington Public Power Supply Systems,
(Prerefunded, Nuclear Project No. 2, Series A,
due 07/01/12).................................. RB 07/01/00(a) 7.375 28,396,496
17,235 Washington Public Power Supply Systems,
(Refunding, Project No. 2, Series 2A-1, due
07/01/12), MBIA Insured........................ VRDN 09/01/99(a) 3.200 17,235,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
WASHINGTON (CONTINUED)
$ 7,000 Washington, (Series SG-37, due 07/01/17)......... VRDN 09/02/99(a) 3.320% $ 7,000,000
34,600 Washington, (Series VR-96A, due 06/01/20)........ VRDN 09/01/99(a) 3.250 34,600,000
--------------
117,931,646
--------------
WEST VIRGINIA (0.0%)
900 Marshall County, (Refunding, Bayer Corp. Project,
due 03/01/09).................................. VRDN 09/01/99(a) 2.900 900,000
--------------
WISCONSIN (1.0%)
8,955 Wisconsin Health & Educational Facilities
Authority, (St. Luke's Medical Center,
Remarketed 03/10/97, due 12/01/17), LOC First
National Bank of Chicago....................... VRDN 09/01/99(a) 3.200 8,955,000
10,742 Wisconsin Student Loan........................... CP 09/07/99 3.300 10,742,000
--------------
19,697,000
--------------
WYOMING (4.1%)
4,400 Lincoln County, (PCR, Exxon Project, Series B,
due 11/01/14).................................. VRDN 09/01/99(a) 3.050 4,400,000
8,000 Lincoln County, (PCR, Exxon Project, Series C,
due 11/01/14).................................. VRDN 09/01/99(a) 3.050 8,000,000
8,700 Sweetwater County, (PCR, Refunding, Pacificorp
Project, Series A, due 07/01/15), LOC Credit
Suisse First Boston............................ VRDN 09/01/99(a) 3.200 8,700,000
7,150 Sweetwater County, (PCR, Refunding, Pacificorp.
Project, Series B, due 01/01/14), LOC Canadian
Imperial Bank.................................. VRDN 09/01/99(a) 3.000 7,150,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- ------------- ------------------------------------------------- ----------- ----------- ------ --------------
<C> <S> <C> <C> <C> <C>
WYOMING (CONTINUED)
$ 900 Uinta County, (PCR, Refunding, Chevron Project,
due 08/15/20).................................. VRDN 09/01/99(a) 2.700% $ 900,000
55,000 Wyoming General Fund............................. TRAN 06/27/00 4.000 55,287,493
--------------
84,437,493
--------------
TOTAL INVESTMENTS (COST $2,048,158,020) (99.2%)......................................... 2,048,158,020
OTHER ASSETS IN EXCESS OF LIABILITIES (0.8%)............................................ 16,331,669
--------------
NET ASSETS (100.0%)..................................................................... $2,064,489,689
==============
</TABLE>
- ------------------------------
(a) The date listed under the heading maturity date represents an optional
tender date or the next interest reset date. The final maturity date is
indicated in the security description.
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
FSA - Financial Securities Assistance.
GO - General Obligation.
IDR - Industrial Development Revenue.
LIQ FAC - Liquid Facility.
LOC - Letter of Credit.
MBIA - Municipal Bond Investors Assurance Corp.
MFHR - Multi-family Housing Revenue.
MP - Mandatory Put.
PCR - Pollution Control Revenue.
RAN - Revenue Anticipation Note.
RB - Revenue Bond.
TAN - Tax Anticipation Note.
TRAN - Tax Revenue Anticipation Note.
VRDN - Variable Rate Demand Note.
144 A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,048,158,020
Cash 451,033
Receivable for Investments Sold 55,359,304
Interest Receivable 11,339,954
Prepaid Trustees' Fees 2,765
Prepaid Fund Services Fee 667
Prepaid Expenses and Other Assets 8,592
--------------
Total Assets 2,115,320,335
--------------
LIABILITIES
Payable for Investments Purchased 50,385,500
Advisory Fee Payable 260,810
Custody Fee Payable 82,872
Administrative Services Fee Payable 44,595
Administration Fee Payable 1,473
Accrued Expenses 55,396
--------------
Total Liabilities 50,830,646
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,064,489,689
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $65,736,635
EXPENSES
Advisory Fee $3,052,997
Administrative Services Fee 542,467
Custodian Fees and Expenses 366,669
Professional Fees and Expenses 54,080
Fund Services Fee 46,121
Trustees' Fees and Expenses 22,086
Administration Fee 20,175
Insurance Expense 6,448
Miscellaneous 8,166
----------
Total Expenses 4,119,209
-----------
NET INVESTMENT INCOME 61,617,426
NET REALIZED LOSS ON INVESTMENTS (34,717)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $61,582,709
===========
</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 FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
AUGUST 31, 1999 AUGUST 31, 1998
--------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 61,617,426 $ 57,780,944
Net Realized Gain (Loss) on Investments (34,717) 58,974
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 61,582,709 57,839,918
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 9,900,983,737 8,287,690,613
Withdrawals (9,742,212,684) (7,897,457,444)
-------------- --------------
Net Increase from Investors' Transactions 158,771,053 390,233,169
-------------- --------------
Total Increase in Net Assets 220,353,762 448,073,087
NET ASSETS
Beginning of Fiscal Year 1,844,135,927 1,396,062,840
-------------- --------------
End of Fiscal Year $2,064,489,689 $1,844,135,927
============== ==============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED
AUGUST 31,
--------------------------------
1999 1998 1997 1996 1995
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20% 0.22% 0.24% 0.25% 0.25%
Net Investment Income 3.00% 3.38% 3.34% 3.40% 3.61%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Tax Exempt Money Market Portfolio (the "portfolio") is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York on January 29, 1993. The portfolio commenced operations on
July 12, 1993. The portfolio's investment objective is to maximize current
income that is exempt from federal income tax consistent with the preservation
of capital and same-day liquidity. The Declaration of Trust permits the trustees
to issue an unlimited number of beneficial interests in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b) Securities transactions are recorded on a trade date basis. Interest
income, which includes the amortization of premiums and discounts, if any,
is recorded on an accrual basis. For financial and tax reporting purposes,
realized gains and losses are determined on the basis of specific lot
identification.
c) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The cost of securities is substantially the
same for book and tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan Guaranty Trust Company of New York ("Morgan"), a
wholly owned subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan").
Under the terms of the agreement, the portfolio paid 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. Effective October 1, 1998, the
portfolio's investment advisor is J.P. Morgan Investment Management Inc.,
("JPMIM"), an affiliate of Morgan and a wholly owned subsidiary of J.P.
Morgan, and the terms of the agreement have remained the same. For the
fiscal year ended August 31, 1999, such fees amounted to $3,052,997.
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
35
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 1999
- --------------------------------------------------------------------------------
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the fiscal year ended August 31, 1999, the fee
for these services amounted to $20,175.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which JPMIM acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion, less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the fiscal year ended August 31, 1999, the fee
for these services amounted to $542,467.
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 $46,121 for the fiscal year ended August 31, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios and J.P. Morgan Series Trust.
The Trustees' Fees and Expenses shown in the financial statements
represents the portfolio's allocated portion of the total fees and
expenses. The portfolio's Chairman and Chief Executive Officer also serves
as Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $8,800.
36
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Tax Exempt Money Market Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Tax Exempt Money Market Portfolio (the
"portfolio") at August 31, 1999, 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 five years in the period
then ended, 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, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
October 19, 1999
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