<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ALABAMA (3.7%)
$24,000 Birmingham-Carraway Special Care Facilities
Financing Authority, (Carraway Methodist
Health, Series A, due 08/15/28), LOC
Amsouth Bank............................. VRDN 12/01/99(a) 3.850% $ 24,000,000
23,500 Birmingham Special Care Facilities
Financing Authority, (Ascension Health
Credit, Refunding, Series B, due
11/15/39)................................ VRDN 02/16/00(a) 3.800 23,500,000
5,200 Columbia Industrial Development Board,
(PCR, Alabama Power Co. Project,
Refunding, Series C, due 10/01/22)....... VRDN 12/01/99(a) 4.000 5,200,000
15,200 Columbia Industrial Development Board,
(PCR, Alabama Power Co. Project,
Refunding, Series D, due 10/01/22)....... VRDN 12/01/99(a) 4.000 15,200,000
9,500 West Jefferson Industrial Development
Board, (PCR, Refunding, Alabama Power Co.
Project, due 06/01/28)................... VRDN 12/01/99(a) 3.850 9,500,000
--------------
77,400,000
--------------
ALASKA (0.2%)
2,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series A, due
12/01/33)................................ VRDN 12/01/99(a) 3.600 2,200,000
1,200 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series B, due
12/01/33)................................ VRDN 12/01/99(a) 3.600 1,200,000
--------------
3,400,000
--------------
ARIZONA (1.1%)
7,700 Apache County, (Industrial Development
Authority, Tuscon Electric Power Co.,
Springerville Project, due 12/01/20), LOC
Toronto Dominion Bank.................... VRDN 12/01/99(a) 4.000 7,700,000
4,700 Maricopa County Pollution Control Corp.,
(PCR, El Paso Electric Co. Project, due
12/01/14), LOC Barclays Bank............. VRDN 12/01/99(a) 3.850 4,700,000
11,000 Maricopa County Pollution Control Corp.,
(PCR, El Paso Electric Co. Project,
Series A, due 07/01/14).................. VRDN 12/01/99(a) 3.850 11,000,000
--------------
23,400,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
CALIFORNIA (0.7%)
$ 2,200 California Pollution Control Financing
Authority, (PCR, Refunding, Southern
California Edison, Series A, due
02/28/08)................................ VRDN 12/01/99(a) 3.950% $ 2,200,000
450 California Pollution Control Financing
Authority, (PCR, Refunding, Southern
California Edison, Series C, due
02/28/08)................................ VRDN 12/01/99(a) 3.950 450,000
11,100 Los Angeles Regional Airports Improvement
Corp., (Lease Revenue, due 12/01/25), LOC
Societe Generale......................... VRDN 12/01/99(a) 3.700 11,100,000
--------------
13,750,000
--------------
COLORADO (1.1%)
4,025 Denver City & County Airport, (Series 13,
due 11/01/23)............................ VRDN 12/01/99(a) 3.950 4,025,000
18,140 Denver City & County Airport, (Series A16,
due 11/15/23)............................ VRDN 12/01/99(a) 4.000 18,140,000
--------------
22,165,000
--------------
DISTRICT OF COLUMBIA (0.9%)
19,500 District of Columbia, (The American
University Issue, due 10/01/15), LOC
Deutsche Bank............................ VRDN 12/01/99(a) 3.850 19,500,000
--------------
19,500,000
--------------
FLORIDA (3.0%)
5,800 Citrus Park Community Development District,
(Florida Capital Improvement Project, due
11/01/16), LOC Dresdner Bank............. VRDN 12/01/99(a) 3.750 5,800,000
22,900 Dade County Water & Sewer System Revenue,
(due 10/05/22), FGIC Insured............. VRDN 12/01/99(a) 3.600 22,900,000
10,765 Florida, (Dept. of Transportation, due
07/01/13)................................ VRDN 12/02/99(a) 3.960 10,765,000
5,700 Florida Municipal Power Agency, (Refunding,
Sub-Stanton II Project, due 10/01/27),
AMBAC Insured............................ VRDN 12/01/99(a) 3.850 5,700,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 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 Jacksonville, (PCR, Refunding, Florida
Power & Light Co. Project, due
05/01/29)................................ VRDN 12/01/99(a) 3.800% $ 1,100,000
7,900 St. Lucie County, (PCR, Refunding, Florida
Power & Light Co. Project, due
03/01/27)................................ VRDN 12/01/99(a) 3.800 7,900,000
4,700 Tampa Occupational License Tax, (Series A,
due 10/01/18), FGIC Insured.............. VRDN 12/01/99(a) 3.750 4,700,000
2,300 University Athletic Association Inc.,
(Refunding, University of Florida Stadium
Project, due 02/01/20), LOC Suntrust
Bank..................................... VRDN 12/01/99(a) 4.000 2,300,000
--------------
61,165,000
--------------
GEORGIA (7.8%)
35,000 Burke County Development Authority......... CP 02/04/00-02/15/00 3.673-3.674(y) 35,000,000
27,500 Burke County Development Authority, (PCR,
Oglethorpe Power Corp., Series A, due
01/01/19), FGIC Insured.................. VRDN 12/01/99(a) 3.900 27,500,000
4,000 DeKalb County Development Authority
Revenue, (Metro Atlanta YMCA Project, due
06/01/20), LOC Wachovia Bank of
Georgia.................................. VRDN 12/01/99(a) 3.800 4,000,000
38,668 Georgia Municipal Association, (Pool Bonds
Certificates, due 12/15/20), MBIA
Insured.................................. VRDN 12/03/99(a) 3.850 38,667,514
14,815 Metropolitan Atlanta Rapid Transit
Authority, (Sales Tax Revenue, due
07/01/20)................................ VRDN 12/02/99(a) 3.960 14,815,000
20,000 Monroe County, (PCR, Refunding, Gulf Power
Co. Plant, Series 2, due 09/01/24)....... VRDN 01/25/00(a) 3.700 20,000,000
20,800 Putnam Development Authorities............. CP 1/26/00-02/23/00 3.645-3.674(y) 20,800,000
--------------
160,782,514
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (7.7%)
$30,000 Chicago, (Limited Notes, due 01/26/01), LOC
Westdeutche Landesbank................... GO 01/27/00(a) 2.950% $ 29,998,584
10,000 Chicago, (MFHR, Waveland Association
Project A, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 10,000,000
10,000 Chicago, (MFHR, Waveland Association
Project B, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 10,000,000
3,000 Chicago, (MFHR, Waveland Association
Project C, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,000,000
3,300 Chicago, (MFHR, Waveland Association
Project D, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,300,000
3,000 Chicago, (MFHR, Waveland Association
Project E, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 3,000,000
12,600 Chicago, (MFHR, Waveland Association
Project F, due 11/01/10), LOC Swiss
Bank..................................... VRDN 12/01/99(a) 3.900 12,600,000
5,800 Chicago, (O'Hare International Airport,
General Airport, 2nd Lien, Series A, due
01/01/15), LOC Societe Generale.......... VRDN 12/01/99(a) 3.850 5,800,000
4,360 Chicago, (O'Hare International Airport,
General Airport, 2nd Lien, Series B, due
01/01/15), LOC Societe Generale.......... VRDN 12/01/99(a) 3.850 4,360,000
10,000 Illinois Development Finance Authority,
(Chicago Symphony Project, due 06/01/31),
LOC Bank of America...................... VRDN 12/01/99(a) 3.900 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 12/01/99(a) 3.850 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 12/01/99(a) 3.850 2,100,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
ILLINOIS (CONTINUED)
$ 540 Illinois Development Finance Authority,
(Refunding, Olin Corp. Project,
Series D, due 03/01/16), LOC Wachovia
Bank of South Carolina................... VRDN 12/01/99(a) 3.850% $ 540,000
16,900 Illinois Educational Facilities Authority,
(University Pooled Financing Program, due
12/01/05), FGIC Insured.................. VRDN 12/01/99(a) 3.900 16,900,000
5,905 Illinois Health Facilities Authority,
(Loyola University Health System, Series
B, due 07/01/24), MBIA Insured........... VRDN 12/01/99(a) 3.750 5,905,000
13,500 Illinois Toll Highway Authority,
(Refunding, Series B, due 01/01/10), LOC
Societe Generale......................... VRDN 12/01/99(a) 3.800 13,500,000
3,500 Joliet, (Regional Port District, Refunding,
Exxon Project, due 10/01/24)............. VRDN 12/01/99(a) 3.600 3,500,000
6,065 Metropolitan Pier & Exposition Authorities,
(Series PZ3, due 12/15/19)............... VRDN 12/02/99(a) 4.280 6,065,000
10,000 Regional Transportation Authority, (due
06/01/25)................................ VRDN 12/02/99(a) 3.960 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, due 12/15/26), LOC Bank One
Texas.................................... VRDN 12/01/99(a) 4.020 3,000,000
--------------
158,768,584
--------------
INDIANA (5.5%)
20,000 Indiana Health Facility Financing
Authority, (Ascesion Health Credit,
Refunding, Series B, due 11/15/39)....... VRDN 02/09/00(a) 3.800 20,000,000
70,527 Indiana Office Building Commission......... CP 02/23/00 3.596(y) 70,527,000
9,800 Princeton, (PCR, Refunding, PSI Energy Inc.
Project, due 03/01/19), LOC Canadian
Imperial Bank............................ VRDN 12/01/99(a) 3.650 9,800,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
INDIANA (CONTINUED)
$ 4,050 Rockport, (PCR, Indiana and Michigan
Electric Co. Project, Series A, due
08/01/14), LOC Swiss Bank................ VRDN 12/01/99(a) 3.900% $ 4,050,000
3,000 Rockport, (PCR, Refunding, AEP Generating
Co. Project, Series B, due 07/01/25),
AMBAC Insured............................ VRDN 12/01/99(a) 3.650 3,000,000
6,200 South Bend Redevelopment Authority,
(Rental-College Football, due 02/01/19),
LOC Landesbank Hessen.................... VRDN 12/01/99(a) 3.900 6,200,000
--------------
113,577,000
--------------
KANSAS (0.3%)
3,100 Burlington, (PCR, Series A7, due
06/01/31)................................ VRDN 12/01/99(a) 3.950 3,100,000
3,700 Burlington, (PCR, Series A26, due
06/01/31)................................ VRDN 12/01/99(a) 3.950 3,700,000
--------------
6,800,000
--------------
KENTUCKY (2.4%)
30,000 Kentucky Asset/Liability Commission,
(General Fund Revenue Project,
Series A)................................ TRAN 06/28/00 4.250 30,132,263
13,880 Kentucky Turnpike Authority, (Resource
Recovery, Series 17, due 07/01/03)....... VRDN 12/01/99(a) 3.950 13,880,000
4,500 Louisville & Jefferson County,
(Metropolitan Sewer District, Sewer &
Drain Recovery Road, Series A63, due
05/15/30)................................ VRDN 12/08/99(a) 3.950 4,500,000
790 Mayfield, (Multi-City Lease Revenue,
Kentucky League of Cities Funding Trust,
due 07/01/26), LOC PNC Bank.............. VRDN 12/01/99(a) 3.950 790,000
--------------
49,302,263
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (1.7%)
$ 1,700 Calcasieu Parish, (Industrial Development
Board, Refunding, Olin Corp. Project,
Series B, due 02/01/16), LOC Wachovia
Bank..................................... VRDN 12/01/99(a) 3.850% $ 1,700,000
2,100 East Baton Rouge Parish, (PCR, Refunding,
Exxon Project, due 11/01/19)............. VRDN 12/01/99(a) 3.800 2,100,000
7,000 Lake Charles Harbor & Terminal District,
(Reynolds Metals Co. Project, due
05/01/06), LOC Canadian Imperial Bank.... VRDN 12/01/99(a) 3.850 7,000,000
1,700 Louisiana Offshore Terminal Authority,
(Deepwater Port Revenue, Refunding, First
Stage Loop Inc., due 09/01/06), LOC
Suntrust Bank Nashville.................. VRDN 12/01/99(a) 3.600 1,700,000
17,950 Louisiana Offshore Terminal Authority,
(Deepwater Port Revenue, Refunding, First
Stage A-Loop Inc., due 09/01/08), LOC
Suntrust Bank Nashville.................. VRDN 12/01/99(a) 3.600 17,950,000
3,710 Louisiana Public Facilities Authority,
(Kenner Hotel Ltd., due 12/01/15), LOC
Deutsche Bank............................ VRDN 12/01/99(a) 3.800 3,710,000
--------------
34,160,000
--------------
MARYLAND (1.0%)
12,120 Montgomery County, (Consolidated Public
Improvement Bonds, due 05/01/18)......... VRDN 12/02/99(a) 3.960 12,120,000
8,200 Montgomery County Housing Opportunities
Commision, (MFHR, Grosvenor, Series A,
due 07/15/07), FNMA Insured.............. VRDN 12/01/99(a) 3.850 8,200,000
--------------
20,320,000
--------------
MASSACHUSETTS (1.2%)
23,800 Massachusetts Bay Transportation Authority,
(Series A36, Registered D Shares, due
09/01/00)................................ VRDN 12/08/99(a) 3.950 23,800,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (0.4%)
$ 7,200 Michigan Strategic Fund Ltd., (Lutheran
Homes of Michigan Project, due 09/01/17),
LOC NBD Bank............................. VRDN 12/01/99(a) 3.900% $ 7,200,000
1,500 Michigan Strategic Fund Ltd., (Reserve 1,
due 09/01/30), LOC Barclays Bank PLC..... VRDN 12/01/99(a) 3.800 1,500,000
--------------
8,700,000
--------------
MINNESOTA (0.5%)
7,750 Minneapolis & St. Paul, (Metro Airports
Community Airport Revenue, Series A56,
due 01/01/30), AMBAC Insured............. VRDN 12/08/99(a) 3.950 7,750,000
2,700 Minnesota Public Facilities Authority,
(Water Pollution Control Revenue, due
03/01/15), LOC Commerzbank............... VRDN 12/02/99(a) 3.970 2,700,000
--------------
10,450,000
--------------
MISSISSIPPI (0.1%)
1,700 Jackson County, (PCR, Refunding, Chevron
Project, due 12/01/16)................... VRDN 12/01/99(a) 3.600 1,700,000
--------------
1,700,000
--------------
MISSOURI (0.6%)
8,310 Missouri (due 08/01/20).................... VRDN 12/02/99(a) 3.960 8,310,000
1,600 Missouri Environmental Improvement
Authority & Energy Resource Authority,
(Refunding, Bayer Corp. Project, due
03/01/09)................................ VRDN 12/01/99(a) 3.900 1,600,000
2,400 State Development Financial Board
Infrastructure Facilities, (City Union
Station, Series B, due 12/01/03), LOC
Canadian Imperial Bank................... VRDN 12/01/99(a) 4.000 2,400,000
--------------
12,310,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
MULTI-STATE (1.3%)
$ 5,000 ABN AMRO Munitops Certificates Trust,
(Series 1999-9, 144A, due 08/08/07), LOC
ABN Amro Bank............................ VRDN 12/01/99(a) 4.100% $ 5,000,000
22,000 ABN AMRO Munitops Certificates Trust,
(Series 1999-6, 144A, due 03/07/07)...... VRDN 12/01/99(a) 4.100 22,000,000
--------------
27,000,000
--------------
NEVADA (1.8%)
19,900 Clark County, (Refunding, Airport
Improvement Revenue, Series A, due
07/01/12), MBIA Insured.................. VRDN 12/01/99(a) 3.750 19,900,000
9,000 Las Vegas, Series A........................ CP 02/10/00 3.597(y) 9,000,000
9,000 Nevada (due 11/01/20)...................... VRDN 12/02/99(a) 3.960 9,000,000
--------------
37,900,000
--------------
NEW JERSEY (3.2%)
15,000 New Jersey................................. CP 02/04/00 3.521(y) 15,000,000
11,175 New Jersey................................. GO 02/01/00 4.000 11,196,522
14,500 New Jersey, (Series A58, due 02/01/09), LOC
Bayer Hypo-Vereinsbank................... GO 12/01/99(a) 3.950 14,500,000
6,000 New Jersey, (Series A59, due 02/01/10)..... GO 12/01/99(a) 3.950 6,000,000
19,225 New Jersey Transportation Trust Fund, (due
12/15/14)................................ VRDN 12/02/99(a) 3.840 19,225,000
--------------
65,921,522
--------------
NEW MEXICO (0.2%)
1,900 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series A, due 05/01/24),
LOC Bank of America...................... VRDN 12/01/99(a) 3.600 1,900,000
2,700 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series B, due 09/01/24),
LOC Barclays Bank PLC.................... VRDN 12/01/99(a) 3.600 2,700,000
--------------
4,600,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NEW YORK (13.8%)
$10,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 2, due
05/01/33), LOC Westduetsche Landesbank &
Bayerische Landesbank.................... VRDN 12/01/99(a) 3.850% $ 10,000,000
37,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 7A, due
04/01/25), MBIA Insured.................. VRDN 12/01/99(a) 3.850 37,000,000
8,000 Long Island Power Authority, (New York
Electric Systems, Sub-Series 7B, due
04/01/25), MBIA Insured.................. VRDN 12/01/99(a) 3.850 8,000,000
900 New York, (Series B, due 10/01/20), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 900,000
3,300 New York, (Series B, due 10/01/21), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 3,300,000
5,050 New York, (Series B, due 10/01/22), FGIC
Insured.................................. VRDN 12/01/99(a) 4.000 5,050,000
5,600 New York, (Series B, SubSeries B6, due
08/15/05), LOC MBIA...................... VRDN 12/01/99(a) 3.650 5,600,000
11,120 New York, (Series PA 442, due 05/15/28).... VRDN 12/02/99(a) 4.010 11,120,000
5,000 New York City Municipal Water Finance
Authority, (Prerefunded, Water & Sewer
Systems, Series A, due 06/15/15), MBIA
Insured.................................. RB 06/15/00(a) 7.250 5,179,572
15,900 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series SGB 27, due 06/15/24), FSA
Insured.................................. VRDN 12/02/99(a) 3.940 15,900,000
24,290 New York City Municipal Water Finance
Authority, (Water & Sewer Systems, due
06/15/26), MBIA Insured.................. VRDN 12/08/99(a) 3.950 24,290,000
15,000 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series A65, due 06/15/29)................ VRDN 12/01/99(a) 3.950 15,000,000
1,450 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series C, due 06/15/22), FGIC Insured.... VRDN 12/01/99(a) 3.800 1,450,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 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)
$ 1,500 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Refunding, Series G, due 06/15/24), FGIC
Insured.................................. VRDN 12/01/99(a) 3.600% $ 1,500,000
7,000 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series 10, due 06/15/26), FSA Insured.... VRDN 12/01/99(a) 3.950 7,000,000
6,960 New York City Municipal Water Finance
Authority, (Water & Sewer Systems,
Series 11, due 06/15/26), FSA Insured.... VRDN 12/01/99(a) 3.950 6,960,000
10,170 New York City Transitional Finance
Authority, (Future Tax Secured,
Series C, due 05/01/28), LOC Bayerische
Landesbank............................... VRDN 12/01/99(a) 3.600 10,170,000
25,000 New York City Transitional Finance
Authority, (Series A47), LOC Bank of New
York..................................... RB 06/30/00 3.850 25,000,000
9,000 New York City Transitional Finance
Authority, (Future Tax Secured,
SubSeries B2, due 11/01/26), LOC First
National Bank............................ VRDN 12/01/99(a) 3.600 9,000,000
5,500 New York City Water........................ CP 12/10/99 3.530(y) 5,500,000
8,950 New York State Energy Research &
Development Authority, (PCR, Niagara
Mohawk Power, Series A, due 07/01/15),
LOC Toronto Dominion Bank................ VRDN 12/01/99(a) 4.000 8,950,000
3,500 New York State Energy Research &
Development Authority, (Series 19, due
08/15/20), AMBAC Insured................. VRDN 12/01/99(a) 3.950 3,500,000
23,200 New York State Local Government Assistance
Corp., (due 04/01/20).................... VRDN 12/02/99(a) 3.980 23,200,000
8,140 New York State Medical Care Facilities
Finance Agency, (due 02/15/29)........... VRDN 12/02/99(a) 4.000 8,140,000
5,000 New York State Urban Development Corp.,
(Series PA 429, due 01/01/28)............ VRDN 12/02/99(a) 3.980 5,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 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 12/02/99(a) 3.960% $ 5,000,000
13,090 Port Authority of New York & New Jersey,
(Master Note, Series 1998-1, due
12/01/14)................................ VRDN 12/07/99(a) 4.136 13,090,000
10,000 Triborough Bridge & Tunnel Authorities,
(General Purpose, Series C, due
01/01/13), AMBAC Insured................. VRDN 12/01/99(a) 4.000 10,000,000
--------------
284,799,572
--------------
NORTH CAROLINA (4.8%)
1,200 Charlotte, Airport Revenue, (Refunding,
Series A, due 07/01/16), MBIA Insured.... VRDN 12/01/99(a) 3.750 1,200,000
5,000 Greensboro Enterprise Systems, (Series B,
due 06/01/22), LOC Credit Local De
France................................... VRDN 12/01/99(a) 3.750 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 12/02/99(a) 3.850 9,100,000
6,000 North Carolina Educational Facilities
Finance Agency, (Bowman Grey School
Medical Project, due 09/01/26), LOC
Wachovia Bank & Trust.................... VRDN 12/01/99(a) 3.850 6,000,000
10,310 North Carolina Educational Facilities
Finance Agency, (Elon College, due
01/01/21), LOC Bank of America........... VRDN 12/01/99(a) 3.750 10,310,000
9,350 North Carolina Educational Facilities
Finance Agency, (Greensboro College, due
09/01/27), LOC Bank of America........... VRDN 12/01/99(a) 3.750 9,350,000
1,250 North Carolina, (due 04/01/17)............. VRDN 12/02/99(a) 3.960 1,250,000
27,075 North Carolina, (Public School Building
Bonds, Series A, due 03/01/11)........... VRDN 12/02/99(a) 3.960 27,075,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$11,605 North Carolina, (Public School Building
Bonds, due 04/01/11)..................... VRDN 12/02/99(a) 3.960% $ 11,605,000
4,000 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Carolina Power & Light Co. Project,
Series A, due 05/01/15), LOC Wachovia
Bank..................................... VRDN 12/01/99(a) 3.850 4,000,000
2,300 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Refunding, Carolina Power & Light
Project, Series A, due 06/15/14), LOC
First National Bank...................... VRDN 12/08/99(a) 3.800 2,300,000
12,200 Wake County Industrial Facilities &
Pollution Control Financing Authority,
(Refunding, Series B, due 06/15/14), LOC
Bank of New York......................... VRDN 12/01/99(a) 4.000 12,200,000
--------------
99,390,000
--------------
OHIO (1.0%)
4,900 Cleveland, (Income Tax Revenue, Refunding,
due 05/15/24), AMBAC Insured............. VRDN 12/01/99(a) 3.850 4,900,000
5,300 Hamilton County, (Hospital Facilities
Revenue, Health Alliance, Series A, due
01/01/18), MBIA Insured.................. VRDN 12/01/99(a) 3.850 5,300,000
2,600 Ohio State Air Quality Development
Authorities, (Series A, due 12/01/15).... VRDN 12/01/99(a) 3.950 2,600,000
8,000 Warren County, (Health Care Facilities
Revenue, Refunding & Improvement,
Otterbein, Series A, due 07/01/21), LOC
Fifth Third Bank......................... VRDN 12/02/99(a) 3.850 8,000,000
--------------
20,800,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (2.2%)
$21,075 Delaware Valley Regional Finance Authority,
(Mode 1, due 08/01/16), LOC Credit Suisse
First Boston............................. VRDN 12/01/99(a) 3.800% $ 21,075,000
15,800 Delaware Valley Regional Finance Authority,
(Series C, due 12/01/20), LOC Credit
Suisse First Boston...................... VRDN 12/01/99(a) 3.800 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Series D, due 12/01/20), LOC Credit
Suisse First Boston...................... VRDN 12/01/99(a) 3.800 4,500,000
4,975 Pennsylvania Intergovernmental Authority,
(Special Tax Revenue, due 12/15/11)...... VRDN 12/02/99(a) 3.970 4,975,000
--------------
46,350,000
--------------
SOUTH CAROLINA (1.9%)
21,500 Greenville County School District.......... GO 03/01/00 3.500 21,529,739
15,600 South Carolina Public Service Authority,
(due 01/01/25)........................... VRDN 12/01/99(a) 3.950 15,600,000
1,750 South Carolina, (State Highway Bonds, due
05/01/26)................................ VRDN 12/02/99(a) 3.960 1,750,000
--------------
38,879,739
--------------
SOUTH DAKOTA (0.3%)
6,620 Lawrence County, (PCR, Refunding, Homestake
Mining, Series B, due 07/01/32), LOC
Chase Manhattan Bank..................... VRDN 12/01/99(a) 3.850 6,620,000
--------------
TENNESSEE (0.2%)
1,100 Bradley County Industrial Development
Board, (Olin Corp. Project, Series C, due
11/01/17), LOC Wachovia Bank............. VRDN 12/01/99(a) 3.850 1,100,000
2,300 Tennessee, (Series C, due 07/02/01)........ VRDN 12/01/99(a) 3.750 2,300,000
--------------
3,400,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
TEXAS (12.5%)
$24,656 Dallas Waterworks & Sewer System........... CP 12/15/99 3.481-3.483(y)% $ 24,656,000
10,000 El Paso Waterworks & Sewer System.......... CP 02/15/00 3.485(y) 10,000,000
2,540 Gulf Coast Waste Disposal Authority, (PCR,
Refunding, Amoco Oil Co. Project, due
10/01/17)................................ VRDN 12/01/99(a) 3.600 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 12/02/99(a) 4.000 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 12/02/99(a) 4.000 1,915,000
25,000 Houston Higher Education Financial Corp.,
(Higher Education Revenue Trust,
Series A54, due 11/15/29), LIQ FAC--Bayer
Hypo Vereinsbank......................... VRDN 12/01/99(a) 3.950 25,000,000
3,400 Houston Water & Sewer Systems,
(Series A29, due 12/01/15)............... VRDN 12/01/99(a) 3.950 3,400,000
28,600 Houston Water & Sewer Systems,
(Series SG-120, due 12/01/23)............ VRDN 12/02/99(a) 3.960 28,600,000
51,980 Houston Water & Sewer Systems.............. CP 02/14/00-03/03/00 3.597-3.890(y) 51,980,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series A-1, due
12/01/14), LOC Royal Bank of Canada...... VRDN 12/01/99(a) 3.700 400,000
400 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-1, due
12/01/14), LOC Royal Bank of Canada...... VRDN 12/01/99(a) 3.700 400,000
1,400 Lone Star Airport Improvement Authority,
(Series B-3, due 12/01/14), LOC Royal
Bank of Canada........................... VRDN 12/01/99(a) 3.700 1,400,000
4,500 Mansfield Industrial Development Corp.,
(Pier 1 Import-Texas Inc. Project, due
11/01/26), LOC Bank One Texas............ VRDN 12/08/99(a) 4.020 4,500,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 3,900 Port Development Corp., (Refunding, Stolt
Marine Terminal Project, due 01/15/14),
LOC Canadian Imperial Bank............... VRDN 12/01/99(a) 3.800% $ 3,900,000
940 Texas Higher Education Authority Inc.,
(Series B, due 12/01/25), FGIC Insured... VRDN 12/01/99(a) 3.850 940,000
22,970 Texas, (Refunding, Veterans Housing
Assistance--Fund I, due 12/01/16),
Veterans Administration Guaranteed....... VRDN 12/01/99(a) 3.750 22,970,000
71,900 Texas, (Series A).......................... TRAN 08/31/00 4.500 72,311,976
--------------
257,472,976
--------------
UTAH (1.0%)
4,955 Carbon County, (PCR, Refunding, Pacificorp
Project, due 11/01/24), AMBAC Insured.... VRDN 12/01/99(a) 3.650 4,955,000
16,000 Intermountain Power Agency................. CP 02/10/00 3.598(y) 16,000,000
--------------
20,955,000
--------------
VERMONT (0.3%)
6,200 Vermont Student Loan Assistance Corp., (due
01/01/04), LOC National Westminster
Bank..................................... VRDN 12/01/99(a) 3.500 6,200,000
--------------
VIRGINIA (1.8%)
28,725 Fairfax County, (Economic Development
Authority, Series A-15, due 02/01/11).... VRDN 02/01/00(a) 3.950 28,725,000
8,980 Metropolitan Washington D.C., (Airports
Authority, Series A11, Registered D
Shares, due 10/01/14).................... VRDN 02/01/00(a) 3.950 8,980,000
--------------
37,705,000
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
WASHINGTON (6.0%)
$ 1,100 King County, (due 12/01/13), LIQ
FAC--Merrill Lynch....................... VRDN 12/02/99(a) 3.960% $ 1,100,000
16,140 Port Seattle............................... CP 12/07/99 3.641(y) 16,140,000
10,100 Seattle, (Water System Revenue, due
09/01/25), LOC Bayerische Landesbank..... VRDN 12/01/99(a) 3.850 10,100,000
9,705 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 10,121,509
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 28,143,164
17,235 Washington Public Power Supply Systems,
(Refunding, Project No. 2, Series 2A-1,
due 07/01/12), MBIA Insured.............. VRDN 12/01/99(a) 3.700 17,235,000
7,000 Washington, (Series SG-37, due 07/01/17)... VRDN 12/02/99(a) 3.960 7,000,000
34,600 Washington, (Series VR-96A, due
06/01/20)................................ VRDN 12/01/99(a) 3.850 34,600,000
--------------
124,439,673
--------------
WEST VIRGINIA (0.0%)
900 Marshall County, (Refunding, Bayer Corp.
Project, due 03/01/09)................... VRDN 12/01/99(a) 3.900 900,000
--------------
WISCONSIN (2.4%)
40,000 Milwaukee, (Series A)...................... RAN 2/24/00 3.500 39,965,541
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 12/01/99(a) 3.900 8,955,000
--------------
48,920,541
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL SECURITY
AMOUNT TYPE MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION (UNAUDITED) DATE RATE VALUE
- -------------- ------------------------------------------- ----------- ------------------- --------------- --------------
<C> <S> <C> <C> <C> <C>
WYOMING (4.2%)
$ 4,400 Lincoln County, (PCR, Exxon Project,
Series B, due 11/01/14).................. VRDN 12/01/99(a) 3.600% $ 4,400,000
6,700 Lincoln County, (PCR, Exxon Project,
Series D, due 11/01/14).................. VRDN 12/01/99(a) 3.600 6,700,000
8,700 Sweetwater County, (PCR, Refunding,
Pacificorp Project, Series A, due
07/01/15), LOC Credit Suisse First
Boston................................... VRDN 12/01/99(a) 3.750 8,700,000
1,550 Sweetwater County, (PCR, Refunding,
Pacificorp Project, Series B, due
01/01/14), LOC Canadian Imperial Bank.... VRDN 12/01/99(a) 3.900 1,550,000
10,000 Uinta County, (PCR, Refunding, Chevron
Project, due 08/15/20)................... VRDN 05/01/00(a) 3.850 10,000,000
1,000 Uinta County, (PCR, Refunding, Chevron
Project, due 12/01/22)................... VRDN 12/01/99(a) 3.600 1,000,000
55,000 Wyoming General Fund....................... TRAN 06/27/00 4.000 55,200,286
--------------
87,550,286
--------------
TOTAL INVESTMENTS AT AMORTIZED COST AND VALUE (98.8%)......................................... 2,041,254,670
OTHER ASSETS IN EXCESS OF LIABILITIES (1.2%).................................................. 25,323,438
--------------
NET ASSETS (100.0%)........................................................................... $2,066,578,108
==============
</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.
(y) Yield to maturity.
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
FNMA - Federal National Mortgage Association.
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.
PCR - Pollution Control Revenue.
RAN - Revenue Anticipation Note.
RB - Revenue Bond.
TRAN - Tax Revenue Anticipation Note.
VRDN - Variable Rate Demand Note.
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,041,254,670
Interest Receivable 16,187,951
Receivable for Investments Sold 9,650,000
Prepaid Trustees' Fees 3,534
Prepaid Expenses and Other Assets 9,254
--------------
Total Assets 2,067,105,409
--------------
LIABILITIES
Payable to Custodian 71,662
Advisory Fee Payable 255,560
Administrative Services Fee Payable 43,255
Administration Fee Payable 1,317
Fund Services Fee Payable 1,152
Accrued Expenses 154,355
--------------
Total Liabilities 527,301
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,066,578,108
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL
MONTHS ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999
----------------- ---------------
<S> <C> <C>
INVESTMENT INCOME
Interest Income $ $17,813,606 $ $65,736,635
---------------- --------------
EXPENSES
Advisory Fee 760,119 3,052,997
Administrative Services Fee 128,236 542,467
Custodian Fees and Expenses 78,367 366,669
Professional Fees and Expenses 33,179 54,080
Fund Services Fee 8,727 46,121
Administration Fee 4,090 20,175
Trustees' Fees and Expenses 3,260 22,086
Insurance Expense 1,776 6,448
Miscellaneous 5,672 8,166
---------------- --------------
Total Expenses 1,023,426 4,119,209
---------------- --------------
NET INVESTMENT INCOME 16,790,180 61,617,426
NET REALIZED LOSS ON INVESTMENTS (242,070) (34,717)
---------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 16,548,110 $ $61,582,709
================ ==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL FOR THE FISCAL
MONTHS ENDED YEAR ENDED YEAR ENDED
NOVEMBER 30, 1999 AUGUST 31, 1999 AUGUST 31, 1998
----------------- --------------- ---------------
<S> <C> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,790,180 $ 61,617,426 $ 57,780,944
Net Realized Gain (Loss) on Investments (242,070) (34,717) 58,974
---------------- --------------- ---------------
Net Increase in Net Assets Resulting from
Operations 16,548,110 61,582,709 57,839,918
---------------- --------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 2,001,929,620 9,900,983,737 8,287,690,613
Withdrawals (2,016,389,311) (9,742,212,684) (7,897,457,444)
---------------- --------------- ---------------
Net Increase (Decrease) from Investors'
Transactions (14,459,691) 158,771,053 390,233,169
---------------- --------------- ---------------
Total Increase in Net Assets 2,088,419 220,353,762 448,073,087
NET ASSETS
Beginning of Period 2,064,489,689 1,844,135,927 1,396,062,840
---------------- --------------- ---------------
End of Period $ 2,066,578,108 $ 2,064,489,689 $ 1,844,135,927
================ =============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE THREE FOR THE FISCAL YEAR ENDED AUGUST 31,
MONTHS ENDED --------------------------------------
NOVEMBER 30, 1999 1999 1998 1997 1996 1995
----------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.20%(a) 0.20% 0.22% 0.24% 0.25% 0.25%
Net Investment Income 3.29%(a) 3.00% 3.38% 3.34% 3.40% 3.61%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 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 no-load 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. At a
meeting on November 12, 1998, the trustees elected to change the portfolios
fiscal year end from August 31 to November 30.
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) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), and a wholly owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM at an annual rate of 0.20% of the
portfolio's average daily net assets up to $1 billion and 0.10% on any
excess over $1 billion. For the three months ended November 30, 1999 and
for the fiscal year ended August 31, 1999, such fees amounted to $760,119
and $3,052,997, respectively.
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
38
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THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 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 three months ended November 30, 1999 and for
the fiscal year ended August 31, 1999, the fee for these services amounted
to $4,090 and $20,175, respectively.
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 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 three months ended November 30, 1999 and for the fiscal year ended
August 31, 1999, the fee for these services amounted to $128,236 and
$542,467, respectively.
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 $8,727 and $46,121 for the three months ended November 30,
1999 and for the fiscal year ended August 31, 1999, respectively.
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 $1,700 and $8,800 for the three months ended
November 30, 1999 and for the fiscal year ended August 31, 1999,
respectively.
39
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REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Tax Exempt Money Market Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Tax Exempt Money Market Portfolio (the
"portfolio") at November 30, 1999, and the results of its operations for the
three months ended November 30, 1999 and for the year ended August 31, 1999, the
changes in its net assets for the three months ended November 30, 1999 and for
each of the two years in the period ended August 31, 1999 and the supplementary
data for the three months ended November 30, 1999 and for each of the five years
in the period ended August 31, 1999, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (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 auditing standards
generally accepted in the United States, 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
November 30, 1999 by correspondence with the custodian, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
January 14, 2000
40
