<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ALABAMA (1.1%)
$ 19,000 Birmingham-Carraway Special Care Facilities
Financing Authority, (Callable, Carraway
Methodist Health, Series A, due 08/15/28), LOC
Amsouth Bank................................... VRDN 03/03/99(b) 2.900% $ 19,000,000
2,750 Columbia, (Callable, Industrial Development
Board, PCR, Refunding, Alabama Power Co.
Project, Series D, due 10/01/22)............... VRDN 03/01/99(b) 3.300 2,750,000
2,250 Jefferson County, (Public Improvement Revenue
Warrant, Briarwood Presbyterian Church Project,
due 05/01/08), LOC Amsouth Bank................ VRDN 03/01/99(b) 4.573 2,250,000
590 West Jefferson Industrial Development Board,
(Callable, PCR, Refunding, Alabama Power Co.
Project, due 06/01/28)......................... VRDN 03/01/99(b) 3.150 590,000
---------------
24,590,000
---------------
ALASKA (0.7%)
5,100 Alaska Housing Finance Corp., (Callable, Series
C, due 06/01/26)............................... VRDN 03/03/99(b) 2.900 5,100,000
7,360 Valdez Marine Terminal, (Callable, Refunding,
Exxon Pipeline Co. Project, Series A, due
12/01/33)...................................... VRDN 03/01/99(b) 3.150 7,360,000
2,200 Valdez Marine Terminal, (Callable, Refunding,
Exxon Pipeline Co. Project, Series C, due
12/01/33)...................................... VRDN 03/01/99(b) 3.150 2,200,000
---------------
14,660,000
---------------
ARIZONA (1.1%)
7,700 Apache County Industrial Development Authority,
(Callable, IDR, Tuscon Power Co., Springerville
Project, due 12/01/20), LOC Toronto Dominion
Bank........................................... VRDN 03/03/99(b) 2.900 7,700,000
1,000 Casa Grande Industrial Development Authority,
(Callable, IDR, Frito-Lay Inc./Pepsico., due
12/01/03)...................................... VRDN 03/01/99(b) 4.625 1,000,000
800 Casa Grande Industrial Development Authority,
(Callable, IDR, Frito-Lay Inc./Pepsico., due
12/01/99)...................................... VRDN 03/01/99(b) 4.625 800,000
4,700 Maricopa County Pollution Control Corp.,
(Callable, PCR, El Paso Electric Co., due
12/01/14), LOC Barclays Bank................... VRDN 03/03/99(b) 3.050 4,700,000
11,000 Maricopa County Pollution Control Corp.,
(Callable, PCR, El Paso Electric Co., Project
A, due 07/01/14)............................... VRDN 03/03/99(b) 3.050 11,000,000
---------------
25,200,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ARKANSAS (0.2%)
$ 5,175 Texarkana, (Callable, IDR, Refunding, Cooper Tire
& Rubber Co. Project, Series 1991, due
03/01/21)...................................... VRDN 03/04/99(b) 3.650% $ 5,175,000
---------------
CALIFORNIA (2.3%)
24,000 California....................................... RAN 06/30/99 4.000 24,065,981
2,000 Fresno, (IDR, Fresno MSA Limited Partnership
Project, due 08/01/05), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 4.875 2,000,000
25,000 Los Angeles County, (Series A)................... TRAN 06/30/99 4.500 25,066,234
---------------
51,132,215
---------------
COLORADO (0.7%)
4,025 Denver City & County Airport, (Series 13, due
11/01/23)...................................... VRDN 03/03/99(b) 3.100 4,025,000
6,500 Douglas County, (School District RE-1)........... TAN 06/30/99 3.750 6,516,921
5,000 Smith Creek Metro District, (due 10/01/35), LOC
Nationsbank of Texas........................... VRDN 03/04/99(b) 2.950 5,000,000
---------------
15,541,921
---------------
DISTRICT OF COLUMBIA (0.4%)
1,900 District of Columbia, (Callable, Refunding,
Series A-1, due 10/01/07), LOC National
Westminster Bank PLC........................... VRDN 03/01/99(b) 3.350 1,900,000
1,400 District of Columbia, (Callable, Refunding,
Series A-2, due 10/01/07), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 3.350 1,400,000
1,600 District of Columbia, (Callable, Refunding,
Series A-5, due 10/01/07), LOC Bank of Nova
Scotia......................................... VRDN 03/01/99(b) 3.350 1,600,000
3,265 District of Columbia, (Callable, The American
University Issue, due 10/01/15), LOC National
Westminster Bank PLC........................... VRDN 03/03/99(b) 2.950 3,265,000
---------------
8,165,000
---------------
FLORIDA (2.7%)
5,000 Alachua County Health Facilities Authority,
(Callable, Shands Teaching Hospital, Series B,
due 12/01/26).................................. VRDN 03/03/99(b) 2.900 5,000,000
5,800 Citrus Park Community Development District,
(Callable, Florida Capital Improvement Project,
due 11/01/16), LOC Dresdner Bank AG............ VRDN 03/03/99(b) 2.900 5,800,000
17,800 Dade County, (Callable, Water & Sewer System, due
10/05/22), FGIC Insured........................ VRDN 03/03/99(b) 3.000 17,800,000
10,700 Florida Municipal Power Agency, (Callable,
Refunding, Sub-Stanton II Project, due
10/01/27)...................................... VRDN 03/03/99(b) 2.900 10,700,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
FLORIDA (CONTINUED)
$ 6,900 Hillsborough County Industrial Development
Authority, (Callable, PCR, Refunding, due
05/15/18)...................................... VRDN 03/01/99(b) 3.150% $ 6,900,000
4,450 Jacksonville, (Callable, PCR, Refunding, Florida
Power & Light Co. Project, due 05/01/29)....... VRDN 03/01/99(b) 3.150 4,450,000
4,500 St. Lucie County, (Callable, PCR, Refunding,
Florida Power & Light Co. Project, due
03/01/27)...................................... VRDN 03/01/99(b) 3.150 4,500,000
4,800 Tampa Occupational License Tax, (Callable, Series
A, due 10/01/18), FGIC Insured................. VRDN 03/03/99(b) 2.900 4,800,000
---------------
59,950,000
---------------
GEORGIA (4.6%)
7,300 Appling County Development Authority, (Callable,
PCR, Georgia Power Co. - Hatch Project, due
09/01/29)...................................... VRDN 03/01/99(b) 3.150 7,300,000
5,900 Burke County Development Authority, (Callable,
PCR, Georgia Power Co., Vogtle Project -1st
Series, due 04/01/32).......................... VRDN 03/01/99(b) 3.150 5,900,000
4,700 Burke County Development Authority, (Callable,
PCR, Georgia Power Co., Vogtle Project-5th
Series, due 07/01/24).......................... VRDN 03/01/99(b) 3.300 4,700,000
19,700 Burke County Development Authority, (Callable,
PCR, Oglethorpe Power Corp., Series A, due
01/01/19), FGIC Insured........................ VRDN 03/03/99(b) 2.950 19,700,000
2,525 Coweta County Development Authority, (Callable,
PCR, Georgia Power Co., Yates Plant Project,
due 03/01/24).................................. VRDN 03/01/99(b) 3.150 2,525,000
4,000 DeKalb County Development Authority, (Callable,
Metro Atlanta YMCA Project, due 06/01/20), LOC
Wachovia Bank of Georgia....................... VRDN 03/03/99(b) 2.950 4,000,000
28,700 Georgia Municipal Association, (Callable, Pool
Bond Certificates, due 12/15/20), MBIA
Insured........................................ VRDN 03/04/99(b) 2.900 28,700,000
13,480 Georgia, (due 04/01/10).......................... VRDN 03/04/99(b) 2.970 13,480,000
4,100 Heard County Development Authority, (Callable,
PCR, Georgia Power Co., Wansley Project, due
09/01/29)...................................... VRDN 03/01/99(b) 3.150 4,100,000
8,925 Putnam County Development Authority, (Callable,
PCR, Georgia Power Co., due 03/01/24).......... VRDN 03/01/99(b) 3.150 8,925,000
3,500 Putnam County Development Authority, (Callable,
PCR, Georgia Power Co., Series 1, due
06/01/23)...................................... VRDN 03/01/99(b) 3.150 3,500,000
---------------
102,830,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (10.2%)
$ 10,000 Chicago, (Callable, MFHR, Waveland Association
Project-A, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900% $ 10,000,000
10,000 Chicago, (Callable, MFHR, Waveland Association
Project-B, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 10,000,000
3,000 Chicago, (Callable, MFHR, Waveland Association
Project-E, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 3,000,000
12,600 Chicago, (Callable, MFHR, Waveland Association
Project-F, due 11/01/10), LOC Swiss Bank....... VRDN 03/03/99(b) 2.900 12,600,000
5,800 Chicago, (Callable, O'Hare International Airport,
2nd Lien, Series A, due 01/01/15), LOC Societe
Generale....................................... VRDN 03/03/99(b) 2.900 5,800,000
4,359 Chicago, (Callable, O'Hare International Airport,
2nd Lien, Series B, due 01/01/15), LOC Societe
Generale....................................... VRDN 03/03/99(b) 2.900 4,359,000
19,110 Chicago, (due 01/01/28).......................... VRDN 03/04/99(b) 2.970 19,110,000
30,000 Chicago, (Putable, due 01/26/01), LOC
Westduetsche Landesbank........................ MP 01/27/00 2.950(v) 29,997,661
7,100 Chicago, (Wastewater Transmission Revenue, due
01/01/25)...................................... VRDN 03/04/99(b) 2.970 7,100,000
10,000 Illinois Development Finance Authority,
(Callable, Chicago Symphony Project, due
06/01/31), LOC Bank of America................. VRDN 03/03/99(b) 2.800 10,000,000
5,200 Illinois Development Finance Authority,
(Callable, PCR, Illinois Power Co. Project,
Series B, due 11/01/28), LOC ABN Amro Bank
NV............................................. VRDN 03/03/99(b) 2.900 5,200,000
1,600 Illinois Development Finance Authority,
(Callable, Refunding, Olin Corp. Project,
Series A, due 06/01/04), LOC Wachovia Bank of
South Carolina................................. VRDN 03/01/99(b) 3.200 1,600,000
2,740 Illinois Development Finance Authority,
(Callable, Refunding, Olin Corp. Project,
Series D, due 03/01/16), LOC Wachovia Bank of
South Carolina................................. VRDN 03/01/99(b) 3.200 2,740,000
16,900 Illinois Educational Facilities Authority,
(Callable, University Pooled Financing Program,
due 12/01/05), FGIC Insured.................... VRDN 03/03/99(b) 2.850 16,900,000
2,400 Illinois Health Facilities Authority, (Callable,
Loyola University Health System, Series B, due
07/01/24)...................................... VRDN 03/03/99(b) 2.950 2,400,000
24,400 Illinois Toll Highway Authority, (Callable,
Refunding, Series B, due 01/01/10), MBIA
Insured, LOC Societe Generale.................. VRDN 03/03/99(b) 2.950 24,400,000
26,785 Illinois, (due 04/01/23), FGIC Insured........... VRDN 03/04/99(b) 2.970 26,785,000
6,500 Illinois, (Series 40, due 08/05/12).............. VRDN 03/04/99(b) 3.070 6,500,000
14,930 Metropolitan Pier & Exposition Authority,
(Dedicated State Tax Revenue, due 06/15/28).... VRDN 03/04/99(b) 3.250 14,930,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 10,000 Metropolitan Pier & Exposition Authority,
(Dedicated State Tax Revenue, due 12/15/23).... VRDN 03/04/99(b) 2.970% $ 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, due 12/15/26), LOC Bank One Texas..... VRDN 03/03/99(b) 3.100 3,000,000
---------------
226,421,661
---------------
INDIANA (4.1%)
1,300 Indiana Development Finance Authority, (Callable,
Refunding, Bayer Corp. Project, due
03/01/09)...................................... VRDN 03/01/99(b) 3.250 1,300,000
80,000 Indiana Office Building Commission............... CP 03/05/99 3.000 80,000,000
4,050 Rockport, (Callable, PCR, Indiana and Michigan
Electric Co. Project, Series A, due
08/01/14)...................................... VRDN 03/03/99(b) 3.000 4,050,000
6,200 South Bend Redevelopment Authority, (Callable,
Rental-College Football, due 02/01/19), LOC
Landesbank Hessen.............................. VRDN 03/03/99(b) 3.100 6,200,000
---------------
91,550,000
---------------
KANSAS (0.1%)
2,000 Garden City, (Callable, IDR, Inland Container
Corp. Project, due 01/01/08), LOC CS First
Boston......................................... VRDN 03/01/99(b) 3.000 2,000,000
---------------
KENTUCKY (3.2%)
15,160 Kentucky Asset / Liability Commission............ CP 03/08/99 3.050 15,160,000
23,500 Kentucky Asset / Liability Commission, (General
Fund Revenue).................................. RAN 11/01/99 3.500 23,574,411
8,500 Kentucky Asset / Liability Commission, (General
Fund Revenue, Series B)........................ TRAN 06/25/99 4.000 8,517,685
18,090 Kentucky Turnpike Authority, (Resource Recovery,
Series 17, due 07/01/03), FSA Insured.......... VRDN 03/03/99(b) 3.100 18,090,000
6,000 Mayfield, (Callable, Multi-City Lease Revenue,
Kentucky League of Cities Funding Trust, due
07/01/26), LOC PNC Bank........................ VRDN 03/03/99(b) 3.050 6,000,000
---------------
71,342,096
---------------
LOUISIANA (2.2%)
4,500 Ascension Parish, (Callable, PCR, Refunding,
Borden Inc. Project, due 12/01/09), LOC CS
First Boston................................... VRDN 03/03/99(b) 2.900 4,500,000
16,400 East Baton Rouge Parish, (Callable, PCR, Exxon
Project, due 11/01/19)......................... VRDN 03/01/99(b) 3.100 16,400,000
7,000 Lake Charles Harbor & Terminal District,
(Callable, Reynolds Metals Co. Project, due
05/01/06), LOC Canadian Imperial Bank.......... VRDN 03/03/99(b) 2.900 7,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (CONTINUED)
$ 3,700 Louisiana Offshore Terminal Authority, (Deepwater
Port Revenue, due 09/01/08).................... VRDN 03/01/99(b) 3.200% $ 3,700,000
1,915 Louisiana Public Facilities Authority, (Callable,
Colleges & University Equipment and Capital,
Series A, due 09/01/10), FGIC Insured.......... VRDN 03/03/99(b) 2.950 1,915,000
7,230 Louisiana Public Facilities Authority, (Callable,
Refunding, Hospital Revenue, due 12/01/00),
MBIA Insured................................... VRDN 03/03/99(b) 2.950 7,230,000
7,300 Louisiana Public Facilities Authority, (Kenner
Hotel Limited Partnership Project, due
12/01/15), LOC Deutsche Bank................... VRDN 03/01/99(b) 3.150 7,300,000
---------------
48,045,000
---------------
MARYLAND (3.6%)
10,000 Anne Arundel County, (Callable, PCR, Baltimore
Gas & Electric Co. Project, due 07/01/14)...... TPP 07/01/99 3.730(v) 10,000,000
14,000 Baltimore County Metro District.................. CP 03/04/99 3.000 14,000,000
11,000 Montgomery County................................ CP 03/11/99 3.050 11,000,000
13,300 Montgomery County................................ CP 03/26/99 3.000 13,300,000
18,150 Montgomery County................................ CP 05/05/99 2.850 18,150,000
13,200 Montgomery County Housing Opportunities
Commission, (Callable, MFHR, Grosvenor, Series
A, due 07/15/07), FNMA Insured................. VRDN 03/03/99(b) 2.900 13,200,000
---------------
79,650,000
---------------
MASSACHUSETTS (1.3%)
17,900 Massachusetts Bay Transportation Authority....... CP 03/18/99 3.000 17,900,000
11,166 Massachusetts Health & Education Facilities
Authority, (Callable, Harvard University, due
02/01/16)...................................... VRDN 03/04/99(b) 2.700 11,166,000
---------------
29,066,000
---------------
MICHIGAN (1.4%)
8,800 Michigan Building Authority...................... CP 03/10/99 2.650 8,800,000
3,000 Michigan Job Development Authority, (Callable,
Gordon Food Service Project, due 08/01/15), LOC
Rabobank Nederland............................. VRDN 03/04/99(b) 2.900 3,000,000
9,900 Michigan Strategic Fund Ltd., (Callable, Reserve
1, due 09/01/30), LOC Barclays Bank PLC........ VRDN 03/01/99(b) 3.150 9,900,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (CONTINUED)
$ 7,600 Michigan Strategic Fund Ltd., (Lutheran Homes of
Michigan Project, due 09/01/17), LOC National
Bank of Detroit................................ VRDN 03/03/99(b) 2.850% $ 7,600,000
1,900 Midland County Economic Development Corp.,
(Callable, Refunding, Dow Chemical Co. Project,
Series B, due 12/01/15)........................ VRDN 03/01/99(b) 3.200 1,900,000
---------------
31,200,000
---------------
MINNESOTA (0.5%)
2,700 Minnesota Public Facilities Authority, (Water
Pollution Control Revenue, due 03/01/15)....... VRDN 03/04/99(b) 3.070 2,700,000
7,690 Minnesota, (due 06/01/15)........................ VRDN 03/04/99(b) 2.970 7,690,000
---------------
10,390,000
---------------
MISSISSIPPI (0.1%)
1,400 Jackson County, (Callable, PCR, Chevron Project,
due 06/01/23).................................. VRDN 03/01/99(b) 3.200 1,400,000
---------------
MISSOURI (0.5%)
400 Missouri Development Finance Board, (Callable,
Sci City Union Station, Series B, due
12/01/03), LOC Canadian Imperial Bank.......... VRDN 03/01/99(b) 3.600 400,000
1,600 Missouri Environmental Improvement Authority &
Energy Resource Authority, (Callable,
Refunding, Bayer Corp. Project, due
03/01/09)...................................... VRDN 03/01/99(b) 3.250 1,600,000
8,310 Missouri, (due 08/01/20)......................... VRDN 03/04/99(b) 2.970 8,310,000
---------------
10,310,000
---------------
MONTANA (0.7%)
15,000 Montana.......................................... TRAN 06/30/99 3.500 15,036,176
---------------
NEBRASKA (0.5%)
12,000 Lancaster County Hospital Authority, (Callable,
Refunding, Bryan Memorial Hospital Project #1,
due 06/01/12), MBIA Insured.................... VRDN 03/03/99(b) 2.950 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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
NEVADA (1.4%)
$ 26,800 Clark County, (Callable, Refunding, Airport
Improvement Revenue, Series A, due 07/01/12),
MBIA Insured................................... VRDN 03/03/99(b) 2.950% $ 26,800,000
4,875 Nevada, (due 05/15/22)........................... VRDN 03/04/99(b) 3.010 4,875,000
---------------
31,675,000
---------------
NEW JERSEY (3.5%)
11,175 New Jersey....................................... GO 02/01/00 4.000 11,291,983
7,000 New Jersey Transportation........................ CP 03/15/99 3.050 7,000,000
24,000 New Jersey Transportation........................ CP 03/17/99 3.050 24,000,000
11,845 New Jersey Transportation Trust Fund, (due
06/15/14)...................................... VRDN 03/04/99(b) 2.940 11,845,000
17,730 New Jersey Transportation Trust Fund, (due
12/15/14)...................................... VRDN 03/04/99(b) 2.940 17,730,000
6,600 New Jersey Turnpike Authority, (Callable,
Turnpike Revenue, Series D, due 01/01/18), FGIC
Insured, LOC Societe Generale.................. VRDN 03/03/99(b) 2.600 6,600,000
---------------
78,466,983
---------------
NEW MEXICO (0.8%)
3,900 Farmington, (Callable, PCR, Arizona Public
Service Company, Series B, due 09/01/24), LOC
Barclays Bank PLC.............................. VRDN 03/01/99(b) 3.200 3,900,000
15,000 New Mexico, (Series A)........................... TRAN 06/30/99 3.750 15,037,737
---------------
18,937,737
---------------
NEW YORK (7.8%)
10,000 Long Island Power Authority...................... CP 04/08/99 3.000 10,000,000
20,945 Metropolitan Transportation Authority,
(Transportation Facilities Revenue, due
07/01/26)...................................... VRDN 03/04/99(b) 2.970 20,945,000
2,600 New York City Municipal Assistance Corp.,
(Callable, Subseries K-1, due 07/01/08)........ VRDN 03/03/99(b) 2.650 2,600,000
6,500 New York City Municipal Assistance Corp.,
(Callable, Subseries K-2, due 07/01/08)........ VRDN 03/03/99(b) 2.650 6,500,000
300 New York City Municipal Water Finance Authority,
(Callable, Water and Sewer Systems, Series G,
due 06/15/24), FGIC Insured.................... VRDN 03/01/99(b) 3.200 300,000
15,900 New York City Municipal Water Finance Authority,
(Water and Sewer Systems, due 06/15/24)........ VRDN 03/04/99(b) 3.070 15,900,000
15,450 New York Dormitory Authority, (due 07/01/25)..... VRDN 03/03/99(b) 3.050 15,450,000
8,140 New York Medical Care Facilities Finance Agency,
(due 02/15/29)................................. VRDN 03/04/99(b) 3.010 8,140,000
9,400 New York State and Local Government Assistance
Corp., (Callable, Series G, due 04/01/25), LOC
Bank of Nova Scotia............................ VRDN 03/03/99(b) 2.600 9,400,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 12,000 New York State Energy Research and Development
Authority, (Callable, PCR, Lilco Project,
Series B, due 03/01/16)........................ RB 03/01/99 3.580% $ 12,000,000
5,000 New York Urban Development Corp., (Series SG-33,
due 01/01/25).................................. VRDN 03/04/99(b) 2.970 5,000,000
1,710 New York, (Callable, Series B, Subseries B5, due
08/15/22), MBIA Insured........................ VRDN 03/01/99(b) 3.200 1,710,000
12,000 New York, (due 08/01/17)......................... VRDN 03/04/99(b) 3.010 12,000,000
25,000 New York, (Series A79, due 04/13/99)............. VRDN 03/03/99(b) 2.900 24,998,017
13,090 Port Authority of New York & New Jersey, (due
12/01/14)...................................... VRDN 03/02/99(b) 3.208 13,090,000
14,000 Suffolk County, (Series 1)....................... TAN 08/12/99 3.500 14,030,829
---------------
172,063,846
---------------
NORTH CAROLINA (3.5%)
4,000 Greensboro Enterprise Systems, (Callable, Series
B, due 06/01/22), LOC Credit Local De France... VRDN 03/03/99(b) 2.950 4,000,000
9,100 North Carolina Educational Facilities Finance
Agency, (Callable, Bowman Grey School Medical
Project, due 09/01/20), LOC Wachovia Bank...... VRDN 03/04/99(b) 2.900 9,100,000
6,000 North Carolina Educational Facilities Finance
Agency, (Callable, Bowman Grey School Medical
Project, due 09/01/26), LOC Wachovia Bank...... VRDN 03/03/99(b) 2.900 6,000,000
10,310 North Carolina Educational Facilities Finance
Agency, (Callable, Elon College, due 01/01/21),
LOC Nationsbank N.A............................ VRDN 03/03/99(b) 2.950 10,310,000
9,500 North Carolina Educational Facilities Finance
Agency, (Callable, Greensboro College, due
09/01/27)...................................... VRDN 03/03/99(b) 2.950 9,500,000
4,955 North Carolina Educational Facilities Finance
Agency, (Callable, Guilford College, due
05/01/24), MBIA Insured........................ VRDN 03/03/99(b) 2.950 4,955,000
17,500 North Carolina Medical Care Community Health
System, (Callable, Catholic Health East, Series
D, due 11/15/28), AMBAC Insured................ VRDN 03/03/99(b) 2.950 17,500,000
10,175 North Carolina, (due 03/01/11)................... VRDN 03/04/99(b) 2.970 10,175,000
2,345 North Carolina, (due 03/01/16)................... VRDN 03/04/99(b) 3.010 2,345,000
4,000 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Callable, PCR,
Carolina Power & Light Project, Series A, due
05/01/15), LOC Wachovia Bank................... VRDN 03/03/99(b) 2.900 4,000,000
---------------
77,885,000
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
OHIO (0.4%)
$ 8,225 Warren County Health Care Facilities, (Callable,
Refunding & Improvement - Otterbein, Series A,
due 07/01/21), LOC Fifth Third Bank............ VRDN 03/03/99(b) 2.950% $ 8,225,000
---------------
OTHER (8.0%)
48,015 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 01/01/28)....................... VRDN 03/04/99(b) 3.450 48,015,000
10,000 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 06/15/30)....................... VRDN 03/04/99(b) 3.380 10,000,000
61,560 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 07/02/27)....................... VRDN 03/04/99(b) 3.450 61,560,000
58,115 Puttable Floating Option / Tax Exempt Receipt,
(Callable, due 10/01/30)....................... VRDN 03/04/99(b) 3.070 58,115,000
---------------
177,690,000
---------------
PENNSYLVANIA (3.3%)
31,075 Delaware Valley Regional Finance Authority,
(Callable, Mode 1, due 08/01/16), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 31,075,000
15,800 Delaware Valley Regional Finance Authority,
(Callable, Series C, due 12/01/20), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Callable, Series D, due 12/01/20), LOC Credit
Suisse First Boston............................ VRDN 03/03/99(b) 3.000 4,500,000
22,000 Philadelphia, (Series A)......................... TRAN 06/30/99 4.250 22,043,221
---------------
73,418,221
---------------
SOUTH CAROLINA (1.2%)
4,500 Berkeley County, (Callable, Refunding, Bayer
Corp. Project, due 03/01/09)................... VRDN 03/01/99(b) 3.250 4,500,000
21,500 Greenville County School District................ GO 03/01/00 3.500 21,614,380
1,100 South Carolina Public Service Authority, (due
01/01/25)...................................... VRDN 03/03/99(b) 3.100 1,100,000
---------------
27,214,380
---------------
TENNESSEE (1.3%)
5,900 Bradley County Industrial Development Board,
(Callable, Olin Corp. Project, Series C, due
11/01/17), LOC Wachovia Bank................... VRDN 03/01/99(b) 3.200 5,900,000
6,500 Knox County Industrial Development Board,
(Callable, IDR, Professional Plaza Project, due
12/01/14)...................................... VRDN 03/12/99(b) 3.000 6,500,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
TENNESSEE (CONTINUED)
$ 5,700 Metropolitan Nashville Airport Authority,
(Callable, Special Facilities Revenue, American
Airlines Project, Series A, due 10/01/12)...... VRDN 03/01/99(b) 3.350% $ 5,700,000
10,100 Tennessee, (Series C, due 07/02/01).............. VRDN 03/03/99(b) 2.950 10,100,000
---------------
28,200,000
---------------
TEXAS (14.6%)
9,238 Dallas, (Waterworks & Sewer Authority, Series
B)............................................. CP 03/18/99 3.000 9,238,000
8,707 Dallas, (Waterworks & Sewer Authority, Series
B)............................................. CP 03/25/99 3.000 8,707,000
1,500 El Paso Industrial Development Authority, (Contel
Cellular of El Paso Inc. Project, due
02/01/04), LOC Bank of Nova Scotia............. VRDN 03/01/99(b) 4.875 1,500,000
9,000 Grayson County Industrial Development Corp.,
(Callable, Aluminum Co. of America, Refunding,
due 12/01/02).................................. VRDN 03/04/99(b) 3.150 9,000,000
16,500 Guadalupe-Blanco River Authority, (Callable, PCR,
Refunding, Central Power & Light Co. Project,
due 11/01/15), LOC ABN Amro Bank N.V........... VRDN 03/01/99(b) 3.200 16,500,000
12,565 Gulf Coast Waste Disposal Authority, (Callable,
PCR, Refunding, Amoco Oil Co. Project, due
10/01/17)...................................... VRDN 03/01/99(b) 3.150 12,565,000
21,600 Harris County Health Facilities Development
Corp........................................... CP 03/09/99 2.950 21,600,000
12,600 Harris County Health Facilities Development
Corp........................................... CP 04/07/99 3.050 12,600,000
16,600 Harris County Health Facilities Development
Corp........................................... CP 06/09/99 3.000 16,600,000
10,100 Harris County Health Facilities Development
Corp., (Hospital Revenue, Series 23, due
06/01/27), FSA Insured......................... VRDN 03/03/99(b) 3.100 10,100,000
2,790 Harris County Industrial Development Corp.,
(Callable, Johann Haltermann Project, Series A,
due 04/01/08), LOC Chase Bank of Texas......... VRDN 03/04/99(b) 3.000 2,790,000
2,090 Harris County Industrial Development Corp.,
(Callable, Johann Haltermann Project, Series B,
due 04/01/08), LOC Chase Bank of Texas......... VRDN 03/04/99(b) 3.000 2,090,000
10,000 Houston Water & Sewer Systems.................... CP 04/12/99 2.850 10,000,000
10,330 Houston Water & Sewer Systems, (Series PZ-11, due
12/01/28)...................................... VRDN 03/04/99(b) 3.250 10,330,000
19,600 Houston Water & Sewer Systems, (Series SG-120,
due 12/01/23).................................. VRDN 03/01/99(b) 2.970 19,600,000
400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series A-1, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350 400,000
400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series B-1, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350 400,000
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 1,400 Lone Star Airport Improvement Authority,
(Callable, Multiple Mode, Series B-3, due
12/01/14), LOC Royal Bank of Canada............ VRDN 03/01/99(b) 3.350% $ 1,400,000
23,100 Lower Colorado River Authority, (Callable,
Refunding, Junior Lien, 3rd Supplement Series,
due 01/01/13), MBIA Insured.................... VRDN 03/03/99(b) 2.950 23,100,000
4,500 Mansfield Industrial Development Corp.,
(Callable, Pier 1 Imports-Texas Inc. Project,
due 11/01/26), LOC Bank of Texas............... VRDN 03/03/99(b) 3.100 4,500,000
3,900 Port Development Corp., (Callable, Refunding,
Stolt Marine Terminal Project, due 01/15/14),
LOC Canadian Imperial Bank..................... VRDN 03/03/99(b) 3.000 3,900,000
93,755 Texas............................................ TRAN 08/31/99 4.500 94,428,251
990 Texas Higher Education Authority Inc, (Callable,
Series B, due 02/01/25), FGIC Insured.......... VRDN 03/03/99(b) 2.950 990,000
20,070 Texas, (Callable, Refunding, Veterans Housing
Assistance - Fund I, due 12/01/16), Veterans
Administration Guaranteed...................... VRDN 03/03/99(b) 2.950 20,070,000
10,240 Texas, (due 10/01/14)............................ VRDN 03/04/99(b) 3.250 10,240,000
2,200 Waller County Industrial Development Corp.,
(Callable, IDR, Refunding, Tubular Steel
Project, due 09/01/99), LOC Wachovia Bank of
Georgia........................................ VRDN 03/03/99(b) 2.850 2,200,000
---------------
324,848,251
---------------
UTAH (4.0%)
5,865 Carbon County, (Callable, PCR, Refunding,
Pacificorp Project, due 11/01/24), AMBAC
Insured........................................ VRDN 03/01/99(b) 3.200 5,865,000
8,000 Intermountain Power Agency....................... CP 03/10/99 3.050 8,000,000
6,400 Intermountain Power Agency....................... CP 03/18/99 3.050 6,400,000
11,800 Intermountain Power Agency....................... CP 03/29/99 2.850 11,800,000
25,000 Intermountain Power Agency....................... CP 04/07/99 3.000 25,000,000
9,000 Intermountain Power Agency, (Callable, Utah Power
Supply Revenue, Series F, due 07/01/15), AMBAC
Insured, LOC Swiss Bank........................ VRDN 03/15/99(b) 3.300 9,000,000
21,815 Utah, (due 07/01/11)............................. VRDN 03/04/99(b) 2.970 21,815,000
---------------
87,880,000
---------------
VERMONT (0.3%)
6,200 Vermont Student Loan Assistance Corp., (Callable,
due 01/01/04), LOC National Westminster Bank
PLC............................................ VRDN 03/01/99(b) 2.900 6,200,000
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
VIRGINIA (1.7%)
$ 36,900 Loudoun County Industrial Development Authority,
(Callable, Refunding, Falcons Landing Project,
due 11/01/28), LOC Bank of Scotland............ VRDN 03/03/99(b) 2.950% $ 36,900,000
1,000 Virginia Beach Industrial Development Authority,
(Callable, IDR, Norfolk Virginia Beach,
Portsmouth MSA Limited Partnership Project, due
12/01/04), LOC Bank of Nova Scotia............. VRDN 03/01/99(b) 4.875 1,000,000
---------------
37,900,000
---------------
WASHINGTON (3.6%)
6,400 Seattle, (Callable, Water System Revenue, due
09/01/25), LOC Bayerische Landesbank........... VRDN 03/03/99(b) 2.900 6,400,000
17,235 Washington Public Power Supply System, (Callable,
Refunding, Project No. 2, Series 2A-1, due
07/01/12), MBIA Insured........................ VRDN 03/03/99(b) 2.850 17,235,000
11,695 Washington Public Power Supply Systems, (Nuclear
Project No. 1, due 07/01/17)................... VRDN 03/04/99(b) 3.010 11,695,000
3,245 Washington, (Series 12, due 09/01/07)............ VRDN 03/03/99(b) 3.070 3,245,000
7,000 Washington, (Series SG-37, due 07/01/17)......... VRDN 03/04/99(b) 2.970 7,000,000
33,500 Washington, (Series VR-96A, due 06/01/20)........ VRDN 03/03/99(b) 2.850 33,500,000
---------------
79,075,000
---------------
WISCONSIN (1.6%)
15,000 Wisconsin........................................ RAN 06/15/99 4.500 15,059,385
8,955 Wisconsin Health & Educational Facilities
Authority, (Callable, St. Luke's Medical
Center, Remarketed 03/10/97, due 12/01/17), LOC
First National Bank of Chicago................. VRDN 03/03/99(b) 2.850 8,955,000
10,552 Wisconsin Transportation Authority............... CP 03/24/99 3.050 10,552,000
---------------
34,566,385
---------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
- -------------- ------------------------------------------------- -------- ------------ ------ ---------------
<C> <S> <C> <C> <C> <C>
WYOMING (0.6%)
$ 2,300 Lincoln County, (Callable, PCR, Exxon Project,
Series B, due 11/01/14)........................ VRDN 03/01/99(b) 3.100% $ 2,300,000
8,700 Sweetwater County, (Callable, PCR, Refunding,
Pacificorp Project, Series A, due 07/01/15),
LOC CS First Boston............................ VRDN 03/03/99(b) 2.900 8,700,000
1,300 Uinta County , (Callable, PCR, Chevron Project,
due 08/15/20).................................. VRDN 03/01/99(b) 3.200 1,300,000
---------------
12,300,000
---------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (99.8%).............................. 2,212,200,872
ASSETS IN EXCESS OF OTHER LIABILITIES (0.2%)....................................... 5,511,157
---------------
NET ASSETS (100.0%)................................................................ $ 2,217,712,029
---------------
---------------
</TABLE>
- ------------------------------
(b) 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.
(v) Rate shown reflects current rate on variable or floating rate instrument
with step coupon rate. The due date in the security description reflects the
final maturity date.
Abbreviations used in the Schedule of Investments are as follows:
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
FSA - Financial Securities Assistance.
GO - General Obligation.
IDR - Industrial Development Revenue.
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.
TPP - Third Party Put.
TRAN - Tax Revenue Anticipation Note.
VRDN - Variable Rate Demand Note.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,212,200,872
Receivable for Investments Sold 15,022,562
Interest Receivable 14,195,764
Prepaid Trustees' Fees 3,862
Prepaid Expenses and Other Assets 11,252
--------------
Total Assets 2,241,434,312
--------------
LIABILITIES
Payable for Investments Purchased 21,647,825
Payable to Custodian 1,621,500
Advisory Fee Payable 253,327
Administrative Services Fee Payable 45,936
Administration Fee Payable 2,880
Fund Services Fee Payable 1,570
Accrued Expenses 149,245
--------------
Total Liabilities 23,722,283
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,217,712,029
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $32,609,000
EXPENSES
Advisory Fee $1,507,492
Administrative Services Fee 275,274
Custodian Fees and Expenses 173,458
Professional Fees and Expenses 26,998
Fund Services Fee 24,745
Trustees' Fees and Expenses 11,244
Administration Fee 11,028
Miscellaneous 8,263
----------
Total Expenses 2,038,502
-----------
NET INVESTMENT INCOME 30,570,498
NET REALIZED GAIN ON INVESTMENTS 87,616
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $30,658,114
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<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, 1999 YEAR ENDED
(UNAUDITED) AUGUST 31, 1998
----------------- ---------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 30,570,498 $ 57,780,944
Net Realized Gain on Investments 87,616 58,974
----------------- ---------------
Net Increase in Net Assets Resulting from
Operations 30,658,114 57,839,918
----------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 5,116,096,753 8,287,690,613
Withdrawals (4,773,178,765) (7,897,457,444)
----------------- ---------------
Net Increase from Investors' Transactions 342,917,988 390,233,169
----------------- ---------------
Total Increase in Net Assets 373,576,102 448,073,087
NET ASSETS
Beginning of Period 1,844,135,927 1,396,062,840
----------------- ---------------
End of Period $ 2,217,712,029 $ 1,844,135,927
----------------- ---------------
----------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED AUGUST
FEBRUARY 28, 31,
1999 --------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
---------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.20%(a) 0.22% 0.24% 0.25% 0.25% 0.25%
Net Investment Income 3.02%(a) 3.38% 3.34% 3.40% 3.61% 2.37%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEBRUARY 28, 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 and received a contribution of certain assets and liabilities,
including securities, with a value of $955,814,753 on that date from The
Pierpont Tax Exempt Money Market Fund in exchange for a beneficial interest in
the portfolio. The portfolio's investment objective is to provide a high level
of current income exempt from federal income tax 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 amount 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 six
months ended February 28, 1999, the fee for these services amounted to
$1,507,492.
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,
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
FEBRUARY 28, 1999
- --------------------------------------------------------------------------------
furnishes office space and facilities required for conducting the business
of the portfolio and pays the compensation of the officers affiliated with
FDI. The portfolio has agreed to pay FDI fees equal to its allocable share
of an annual complex-wide charge of $425,000 plus FDI's out-of-pocket
expenses. The 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 six months ended February 28, 1999, the fee for these
services amounted to $11,028.
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 six months ended February 28, 1999, the fee
for these services amounted to $275,274.
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 $24,745 for the six months ended February 28, 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 $5,200.
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