<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS (98.0%)
ALABAMA (1.0%)
$ 24,000 Birmingham-Carraway Special Care Facilities
Financing Authority, (Carraway Methodist
Health, Series A, due 08/15/28), LOC Amsouth
Bank........................................... VRDN 6/7/00(a) 3.950 $ 24,000,000
--------------
ALASKA (1.1%)
21,000 Anchorage Alaska................................. TRAN 2/2/01 4.750 21,088,608
4,050 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series B, due
12/01/33)...................................... VRDN 6/1/00(a) 4.300 4,050,000
2,000 Valdez Marine Terminal, (Refunding, Exxon
Pipeline Co. Project, Series C, due
12/01/33)...................................... VRDN 6/1/00(a) 4.300 2,000,000
--------------
27,138,608
--------------
ARIZONA (1.2%)
7,700 Apache County, (Industrial Development Revenue,
Tuscon Power Electric Co., Springerville
Project, due 12/01/20), LOC Toronto Dominion
Bank........................................... VRDN 6/7/00(a) 4.100 7,700,000
4,700 Maricopa County Pollution Control Corp., (PCR, El
Paso Electric Co., due 12/01/14), LOC Barclays
Bank........................................... VRDN 6/7/00(a) 4.150 4,700,000
6,000 Maricopa County Pollution Control Corp., (PCR,
Refunding, Arizona Public Service Co. Project,
Series D, due 05/01/29), LOC Bank of America... VRDN 6/1/00(a) 4.450 6,000,000
10,543 Salt River Project Arizona Agricultural
Improvement & Power Distribution Electrical
Systems, (Series 274, due 01/01/11), LIQ FAC
Morgan Stanley Dean Witter..................... VRDN 6/1/00(a) 4.420 10,542,500
--------------
28,942,500
--------------
CALIFORNIA (0.3%)
6,500 Los Angeles Regional Airports Improvement Corp.,
(Lease Revenue, LAX Two Corp., due 12/01/25),
LOC Societe Generale........................... VRDN 6/1/00(a) 4.400 6,500,000
--------------
COLORADO (1.0%)
8,400 Denver City & County Airport, (Series A16, due
11/15/23), MBIA Insured........................ VRDN 6/7/00(a) 4.500 8,400,000
5,880 Lower Colorado Eagle, (due 01/01/01)............. VRDN 6/1/00(a) 4.350 5,880,000
10,950 Smith Creek Metro District, (due 10/01/35), LOC
Bank of America................................ VRDN 6/1/00(a) 4.400 10,950,000
--------------
25,230,000
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
CONNECTICUT (0.2%)
$ 6,100 Connecticut State Health & Education............. CP 6/2/00 3.950 $ 6,100,000
--------------
DISTRICT OF COLUMBIA (2.0%)
22,000 District of Columbia (George Washington
University, Series C, due 09/15/29), MBIA
Insured........................................ VRDN 6/7/00(a) 4.300 22,000,000
2,350 District of Columbia, (General Funding Recovery,
Series B-1, due 06/01/03), LOC Societe
Generale....................................... VRDN 6/1/00(a) 4.500 2,350,000
2,000 District of Columbia, (General Funding Recovery,
Series B-2, due 06/01/03), LOC Bank of
America........................................ VRDN 6/1/00(a) 4.500 2,000,000
2,700 District of Columbia, (General Funding Recovery,
Series B-3, due 06/01/03), LOC Bank of
America........................................ VRDN 6/1/00(a) 4.500 2,700,000
20,500 District of Columbia, (The American University
Issue, due 10/1/15), AMBAC Insured............. VRDN 6/7/00(a) 4.300 20,500,000
--------------
49,550,000
--------------
FLORIDA (6.5%)
7,100 Dade County Industrial Development Authority
(PCR, Refunding, Florida Power & Light Co., due
04/1/20)....................................... VRDN 6/1/00(a) 4.450 7,100,000
22,180 Dade County Water & Sewer System Revenue, (due
10/05/22), FGIC Insured........................ VRDN 6/7/00(a) 4.051 22,180,000
7,000 Florida State Board of Education, (Series PT
1223, due 06/01/22), LIQ FAC Merrill Lynch..... VRDN 6/1/00(a) 4.380 7,000,000
17,495 IBM Tax Exempt Grantor, (Series PL-5, A-99, due
03/14/06)...................................... VRDN 6/1/00(a) 4.550 17,495,000
21,490 Jacksonville, (PCR, Refunding, Florida Power &
Light Co. Project, due 05/01/29)............... VRDN 6/1/00(a) 4.450 21,490,000
11,195 St. Lucie County, (PCR, Refunding, Florida Power
& Light Co. Project, due 03/01/27)............. VRDN 6/1/00(a) 4.450 11,195,000
8,130 Sunshine State................................... CP 6/5/00 5.500 8,130,000
2,465 Sunshine State................................... CP 6/7/00 3.950 2,465,000
15,000 Sunshine State................................... CP 6/20/00 4.100 15,000,000
33,700 Sunshine State Governmental Financing Community
Revenue, (due 07/01/16), AMBAC Insured......... VRDN 6/7/00(a) 4.300 33,700,000
6,000 Tampa Occupational License Tax, (Series A, due
10/01/18), FGIC Insured........................ VRDN 6/7/00(a) 3.850 6,000,000
4,400 University Athletic Association Inc., (Refunding,
University of Florida Stadium Project, due
02/01/20), LOC Suntrust Bank................... VRDN 6/1/00(a) 4.500 4,400,000
3,700 University Athletic Association Inc., (University
of Florida, due 02/01/20), LOC Sun Bank........ VRDN 6/1/00(a) 4.500 3,700,000
--------------
159,855,000
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
GEORGIA (3.4%)
$ 28,770 Burke County Development Authority, (PCR, Georgia
Power Company, due 7/01/24).................... VRDN 6/1/00(a) 4.300 $ 28,770,000
4,000 DeKalb County Development Authority, (Metro
Atlanta YMCA Project, Series 1995, due
06/01/20), LOC Wachovia Bank of Georgia........ VRDN 6/7/00(a) 4.100 4,000,000
35,963 Georgia Municipal Association, (Pool Bonds
Certificates, due 12/15/20), MBIA Insured...... VRDN 6/1/00(a) 4.350 35,963,205
8,015 Georgia, (Series 213, due 03/01/09), LIQ FAC
Morgan Stanley Dean Witter..................... VRDN 6/1/00(a) 4.400 8,015,000
2,500 Heard County Development Authority, (PCR, Georgia
Power Co., Wansley Project, due 09/01/29)...... VRDN 6/1/00(a) 4.500 2,500,000
3,500 Metropolitan Atlanta Rapid Transit Authority,
(Sales Tax Revenue, due 07/01/20).............. VRDN 6/1/00(a) 4.380 3,500,000
--------------
82,748,205
--------------
ILLINIOS (3.9%)
10,000 Chicago (MFHR, Waveland Association, Project B,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 10,000,000
10,000 Chicago, (MFHR, Waveland Association Project A,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 10,000,000
3,000 Chicago, (MFHR, Waveland Association Project E,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 3,000,000
12,600 Chicago, (MFHR, Waveland Association Project F,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 12,600,000
3,000 Chicago, (MFHR, Waveland Association, Project C,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 3,000,000
3,300 Chicago, (MFHR, Waveland Association, Project D,
due 11/01/10), LOC Swiss Bank.................. VRDN 6/7/00(a) 4.350 3,300,000
5,600 Chicago, (O'Hare International Airport, 2nd Lien,
Series A, due 01/01/15), LOC Societe
Generale....................................... VRDN 6/7/00(a) 3.950 5,600,000
4,160 Chicago, (O'Hare International Airport, General
Airport, 2nd Lien, Project B, due 01/01/15),
LOC Societe Generale........................... VRDN 6/7/00(a) 3.950 4,160,000
6,000 Chicago, (Tender Notes, due 01/26/01), LOC
Westdeustche Bank.............................. GO 1/26/01 2.950 6,000,000
3,740 Illinois Development Finance Authority, (Olin
Corp. Project, Series D, due 03/01/16), LOC
Wachovia Bank of South Carolina................ VRDN 6/1/00(a) 4.500 3,740,000
5,200 Illinois Development Finance Authority, (PCR,
Illinois Power Co. Project, Series B, due
11/01/28), LOC ABN Amro Bank................... VRDN 6/7/00(a) 3.950 5,200,000
5,905 Illinois Health Facilities Authority, (Loyola
University Health System, Series B, due
07/01/24), MBIA Insured........................ VRDN 6/7/00(a) 4.051 5,905,000
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
ILLINIOS (CONTINUED)
$ 3,000 Illinois State, (Series 257, due 06/01/07)....... VRDN 6/1/00(a) 4.420 $ 3,000,000
6,065 Metropolitan Pier & Exposition Authorities,
(Dedicated State Tax Revenue, Series PZ3, due
12/15/19)...................................... VRDN 6/1/00(a) 4.550 6,065,000
10,000 Regional Transportation Authority, (Series SG-82,
due 06/01/25).................................. VRDN 6/1/00(a) 4.380 10,000,000
3,000 Saint Charles, (IDR, Pier 1 Imports-Midwest
Project, Series 1986, due 12/15/26), LOC Bank
One Texas...................................... VRDN 6/7/00(a) 4.150 3,000,000
--------------
94,570,000
--------------
INDIANA (2.8%)
45,000 Indiana Office Building Commission............... CP 6/19/00 4.000 45,000,000
5,000 Indiana University Revenues (Series A67, due
08/01/17)...................................... VRDN 6/7/00(a) 4.450 5,000,000
9,800 Princeton, (PCR, Refunding, PSI Energy Inc.
Project, due 03/01/19), LOC Canadian Imperial
Bank........................................... VRDN 6/1/00(a) 4.350 9,800,000
3,000 Rockport, (PCR, Refunding, AEP Generating Co.
Project, Series B, due 07/01/25), AMBAC
Insured........................................ VRDN 6/1/00(a) 4.350 3,000,000
6,200 South Bend Redevelopment Authority,
(Rental-College Football, due 02/01/19), LOC
Landesbank Hessen.............................. VRDN 6/7/00(a) 4.250 6,200,000
--------------
69,000,000
--------------
KANSAS (0.6%)
14,000 Burlington, (PCR, Series A15, due 06/01/31)...... VRDN 6/7/00(a) 4.400 14,000,000
--------------
KENTUCKY (4.8%)
15,000 Kentucky Asset/ Liability Commission............. CP 6/9/00 3.950 15,000,000
30,000 Kentucky Asset/ Liability Commission, (General
Fund Revenue Project, Series A)................ TRAN 6/28/00 4.250 30,017,099
29,715 Kentucky Turnpike Authority, (Resource Recovery,
Series 17, due 07/01/03), FSA Insured.......... VRDN 6/7/00(a) 4.400 29,715,000
37,500 Louisville & Jefferson County, (Metropolitan
Sewer District, Sewer & Drain System, Series
A80, due 05/15/31), FGIC Insured............... VRDN 6/7/00(a) 4.400 37,500,000
4,500 Louisville & Jefferson County, (Metropolitan
Sewer District, Sewer & Drain System, Series
A63, due 05/15/30), FGIC Insured............... VRDN 6/7/00(a) 4.400 4,500,000
790 Mayfield, (Multi-City Lease Revenue, Kentucky
League of Cities Funding Trust, due 07/01/26),
LOC PNC Bank................................... VRDN 6/7/00(a) 4.400 790,000
--------------
117,522,099
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
LOUISIANA (0.9%)
$ 2,400 East Baton Rouge Parish, (PCR, Refunding, Exxon
Project, due 11/1/19).......................... VRDN 6/1/00(a) 4.400 $ 2,400,000
14,750 Louisiana Offshore Terminal Authority, (Deepwater
Port Revenue, Refunding, First Stage A-Loop
Inc., due 09/01/08), LOC Suntrust Bank
Nashville...................................... VRDN 6/1/00(a) 4.350 14,750,000
4,700 Louisiana Offshore Terminal Authority, (Deepwater
Port Revenue, Refunding, First Stage Loop Inc.,
due 09/01/06), LOC Suntrust Bank Nashville..... VRDN 6/1/00(a) 4.350 4,700,000
--------------
21,850,000
--------------
MARYLAND (5.0%)
10,000 Baltimore County................................. CP 6/9/00 3.900 10,000,000
4,100 Baltimore County................................. CP 6/15/00 3.900 4,100,000
22,000 Baltimore County................................. CP 6/6/00 4.050 22,000,000
4,200 Baltimore County................................. CP 6/21/00 4.150 4,200,000
11,000 Baltimore County................................. CP 6/6/00 4.100 11,000,000
5,500 Maryland Water Quality Financing Administration
Revolving Loan Fund Revenue, (Series B, due
09/01/12)...................................... RB 9/1/00(a) 7.250 5,652,165
20,000 Montgomery County................................ CP 6/15/00 3.900 20,000,000
11,000 Montgomery County................................ CP 8/9/00 4.300 11,000,000
15,000 Montgomery County Housing Opportunities
Commision, (MFHR, Grosvenor, Series A, due
07/15/07), FNMA Insured........................ VRDN 6/7/00(a) 3.800 15,000,000
6,500 Montgomery County, (Consolidated Public
Improvement Bonds, Series A, due 01/01/01)..... GO 1/1/01 5.000 6,535,846
12,120 Montgomery County, (Series PT 1153, due
05/01/18)...................................... VRDN 6/1/00(a) 5.130 12,120,000
--------------
121,608,011
--------------
MASSACHUSETTS (2.2%)
30,000 Massachusetts Bay Transportation Authority,
(General Transportation Systems, due
03/01/30)...................................... VRDN 6/7/00(a) 3.750 30,000,000
23,800 Massachusetts Bay Transportation Authority,
(Series A-36, due 09/01/00).................... VRDN 6/7/00(a) 4.250 23,800,000
--------------
53,800,000
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
MICHIGAN (1.3%)
$ 20,000 Michigan Builder................................. CP 7/13/00 4.750 $ 20,000,000
7,200 Michigan Strategic Fund Ltd., (Lutheran Homes of
Michigan Project, due 09/01/17), LOC Bank One
Michigan....................................... VRDN 6/7/00(a) 4.300 7,200,000
4,000 Michigan Strategic Fund Ltd., (Reserve 1, Series
1995, due 09/01/30), LOC Barclays Bank PLC..... VRDN 6/1/00(a) 4.450 4,000,000
--------------
31,200,000
--------------
MINNESOTA (0.4%)
7,750 Minneapolis & St. Paul, (Metro Airports Community
Airport Revenue, Series A56, due 01/01/30),
AMBAC Insured.................................. VRDN 6/7/00(a) 4.400 7,750,000
2,700 Minnesota Public Facilities Authority, (Water
Pollution Control Revenue, due 03/01/15), LIQ
FAC Commerzbank A.G............................ VRDN 6/1/00(a) 4.400 2,700,000
--------------
10,450,000
--------------
MISSISSIPPI (0.3%)
4,000 Jackson County, (PCR, Refunding, Chevron Project,
due 06/01/23).................................. VRDN 6/1/00(a) 4.300 4,000,000
3,100 Perry County, (PCR, Refunding, Leaf River Forest
Project, due 03/01/02), LOC Wachovia Bank...... VRDN 6/1/00(a) 4.350 3,100,000
--------------
7,100,000
--------------
MISSOURI (0.3%)
2,800 Missouri Development Finance Board,
(Infrastructure Facilities Revenue, Sci CIty
Union Station Corp. Project, Series B, due
12/01/03), LOC Canadian Imperial Bank.......... VRDN 6/1/00(a) 4.500 2,800,000
2,400 Missouri Development Finance Board, (Sci City
Union Station, Series B, due 12/01/03), LOC
Canadian Imperial Bank......................... VRDN 6/1/00(a) 4.500 2,400,000
1,600 Missouri Environmental Improvement Authority &
Energy Resource Authority, (Refunding, Bayer
Corp. Project, due 03/01/09)................... VRDN 6/1/00(a) 4.550 1,600,000
--------------
6,800,000
--------------
MULTI-SECTOR (3.2%)
16,610 ABN AMRO Munitops Certificates Trust, ( Series
2000-4, 144A, due 01/02/08).................... VRDN 6/7/00(a) 4.250 16,610,000
21,845 ABN AMRO Munitops Certificates Trust, (Series
1998-2, due 10/05/05).......................... VRDN 6/7/00(a) 4.250 21,845,000
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
MULTI-SECTOR (CONTINUED)
$ 25,000 ABN AMRO Munitops Certificates Trust, (Series
1999-6, 144A, due 03/07/07).................... VRDN 6/7/00(a) 4.250 $ 25,000,000
10,000 ABN AMRO Munitops Certificates Trust, (Series
1999-9, 144A, due 08/08/07).................... VRDN 6/7/00(a) 4.250 10,000,000
6,000 Puttable Floating Optional Tax-Exempt Receipts,
(Series P-9, due 01/01/30)..................... VRDN 6/1/00(a) 5.130 6,000,000
--------------
79,455,000
--------------
NEBRASKA (0.5%)
11,500 Lancaster County Hospital Authority, (Refunding,
Bryan Memorial Hospital Project, due 06/01/12),
MBIA Insured................................... VRDN 6/7/00(a) 4.051 11,500,000
--------------
NEVADA (1.6%)
2,025 Clark County, (Refunding, Airport Improvement
Revenue, Series A, due 07/01/12), MBIA
Insured........................................ VRDN 6/7/00(a) 4.051 2,025,000
14,000 Las Vegas........................................ CP 6/8/00 4.050 14,000,000
14,000 Las Vegas........................................ CP 6/2/00 3.900 14,000,000
9,000 Nevada State, (Series SG-39, due 11/01/20)....... VRDN 6/1/00(a) 4.380 9,000,000
--------------
39,025,000
--------------
NEW JERSEY (3.0%)
11,800 New Jersey Economic Development Authority,
(Series N3, due 10/01/22)...................... VRDN 6/7/00(a) 4.450 11,800,000
16,200 New Jersey State................................. CP 6/15/00 3.900 16,200,000
5,000 New Jersey State................................. CP 6/15/00 3.950 5,000,000
25,000 New Jersey Transportation Authority.............. CP 6/15/00 4.100 25,000,000
10,500 New Jersey Transportation Authority.............. CP 6/15/00 4.050 10,500,000
5,000 New Jersey Transportation Authority.............. CP 6/7/00 3.950 5,000,000
--------------
73,500,000
--------------
NEW MEXICO (0.3%)
3,800 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series A, due 5/01/24), LOC Bank
of America..................................... VRDN 6/1/00(a) 4.350 3,800,000
4,100 Farmington, (PCR, Refunding, Arizona Public
Service Co., Series B, due 09/01/24), LOC
Barclays Bank PLC.............................. VRDN 6/1/00(a) 4.350 4,100,000
--------------
7,900,000
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (20.8%)
$ 20,000 Long Island Power Authority, (New York Electric
Systems, Sub-Series 2, due 05/01/33), LOC
Westdeutsche Landesbank & Bayerische
Landesbank..................................... VRDN 6/7/00(a) 3.850 $ 20,000,000
21,400 Long Island Power Authority, (New York Electric
Systems, Sub-Series 7B, due 04/01/25), MBIA
Insured........................................ VRDN 6/7/00(a) 3.850 21,400,000
5,500 Metropolitan Transportation Authority New York
Service Contract, (Series 3, due 07/01/16)..... RB 7/1/00(a) 7.500 5,622,368
6,960 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series 11, due
06/15/26)...................................... VRDN 6/7/00(a) 4.400 6,960,000
5,000 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series A, due
06/15/15), MBIA Insured........................ RB 6/15/00(a) 7.250 5,082,531
6,000 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series A, due
06/15/25), FGIC Insured........................ VRDN 6/1/00(a) 4.450 6,000,000
14,470 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series C, due
06/15/22), FGIC Insured........................ VRDN 6/1/00(a) 4.400 14,470,000
1,000 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series C, due
06/15/23), FGIC Insured........................ VRDN 6/1/00(a) 4.400 1,000,000
53,790 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series FR-6, due
06/15/26), MBIA Insured........................ VRDN 6/7/00(a) 4.400 53,790,000
6,900 New York City Municipal Water Finance Authority,
(Water & Sewer Systems, Series G, due
06/15/24), FGIC Insured........................ VRDN 6/1/00(a) 4.300 6,900,000
21,095 New York City Transitional Finance Authority,
(Future Tax Secured, Series A1, due
11/15/26)...................................... VRDN 6/7/00(a) 4.150 21,095,000
17,255 New York City Transitional Finance Authority,
(Future Tax Secured, Series A1, due
11/15/28)...................................... VRDN 6/7/00(a) 4.150 17,255,000
9,570 New York City Transitional Finance Authority,
(Future Tax Secured, Series C, due 05/01/28)... VRDN 6/1/00(a) 4.350 9,570,000
9,000 New York City Transitional Finance Authority,
(Future Tax Secured, SubSeries B2, due
11/01/26)...................................... VRDN 6/1/00(a) 4.350 9,000,000
89,950 New York City Transitional Finance Authority,
(Series A16, due 11/01/00)..................... VRDN 6/1/00(a) 4.550 89,950,000
14,400 New York City Transitional Finance Authority,
(Series A46, due 06/30/00)..................... VRDN 6/7/00(a) 4.400 14,400,000
30,000 New York City Transitional Finance Authority,
(Series A47, due 6/30/00)...................... VRDN 6/7/00(a) 4.400 30,000,000
7,700 New York City Transitional Finance Authority,
(Series A48, due 06/30/00)..................... VRDN 6/7/00(a) 4.400 7,700,000
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 8,140 New York Medical Care Facilities Finance Agency,
(due 02/15/29)................................. VRDN 6/1/00(a) 4.400 $ 8,140,000
5,000 New York State Dorm Authority, (Series A74, due
05/15/24), FGIC Insured........................ VRDN 6/7/00(a) 4.400 5,000,000
11,400 New York State Energy Research & Development
Authority, (PCR, New York Electricity & Gas
Co., Series D, due 10/01/29), LOC Bank One
Chicago........................................ VRDN 6/1/00(a) 4.250 11,400,000
3,500 New York State Energy Research & Development
Authority, (Series 19, due 08/15/20), AMBAC
Insured........................................ VRDN 6/7/00(a) 4.400 3,500,000
13,785 New York State Local Assistance Corp., (Series A,
due 04/01/16).................................. RB 4/1/01(a) 7.000 14,367,487
6,750 New York State Local Government Assistance Corp.,
(Series B, due 04/01/25), LOC Bank of Nova
Scotia......................................... VRDN 6/7/00(a) 3.800 6,750,000
22,700 New York State Local Government Assistance Corp.,
(Series C, 04/01/25), LOC Landesbank Hessen.... VRDN 6/7/00(a) 3.750 22,700,000
5,000 New York State Urban Development Corp., (Series
PA 429, due 01/01/28).......................... VRDN 6/1/00(a) 4.350 5,000,000
5,000 New York Urban Development Corp., (Series SG-33,
due 01/01/25).................................. VRDN 6/1/00(a) 4.350 5,000,000
5,000 New York, (Series B, due 10/01/20), FGIC
Insured........................................ VRDN 6/1/00(a) 4.450 5,000,000
2,700 New York, (Series B, due 10/01/22), FGIC
Insured........................................ VRDN 6/1/00(a) 4.450 2,700,000
4,600 New York, (Series B, SubSeries B5, due 08/15/22),
MBIA Insured................................... VRDN 6/1/00(a) 4.300 4,600,000
11,120 New York, (Series PA 442, due 05/15/28).......... VRDN 6/1/00(a) 4.400 11,120,000
13,090 Port Authority of New York & New Jersey, (Private
Placement, due 12/01/14)....................... VRDN 6/6/00(a) 4.710 13,090,000
24,500 Rochester Mayo Clinic............................ CP 8/2/00 4.350 24,500,000
26,200 Triborough Bridge & Tunnel Authorities, (General
Purpose, Series C, due 01/01/13), AMBAC
Inured......................................... VRDN 6/1/00(a) 4.100 26,200,000
--------------
509,262,386
--------------
NORTH CAROLINA (3.8%)
3,900 Charlotte, Airport Revenue, (Refunding, Series A,
due 07/01/16), MBIA Insured.................... VRDN 6/7/00(a) 4.051 3,900,000
5,000 Greensboro Enterprise Systems, (Series B, due
06/01/22), LOC Credit Local De France.......... VRDN 6/7/00(a) 4.051 5,000,000
9,100 North Carolina Dexia Educational Facilities
Finance Agency, (Bowman Grey School Medical
Project, due 09/01/20), LOC Wachovia Bank &
Trust.......................................... VRDN 6/1/00(a) 4.250 9,100,000
6,000 North Carolina Educational Facilities Finance
Agency, (Bowman Grey School Medical Project,
due 09/01/26), LOC Wachovia Bank............... VRDN 6/7/00(a) 3.900 6,000,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
NORTH CAROLINA (CONTINUED)
$ 11,600 North Carolina Educational Facilities Finance
Agency, (Duke University Project, Series A, due
06/01/27)...................................... VRDN 6/1/00(a) 4.200 $ 11,600,000
10,310 North Carolina Educational Facilities Finance
Agency, (Elon College, due 01/01/21), LOC Bank
of America..................................... VRDN 6/7/00(a) 4.100 10,310,000
9,350 North Carolina Educational Facilities Finance
Agency, (Greensboro College, due 09/01/27), LOC
Bank of America................................ VRDN 6/7/00(a) 4.100 9,350,000
7,500 North Carolina, (Series A)....................... GO 3/1/01(a) 5.100 7,557,579
1,250 North Carolina, (Series PA 491, due 04/01/17),
LOC Merrill Lynch Capital Servcies............. VRDN 6/1/00(a) 4.380 1,250,000
21,605 North Carolina, (Series PA-342, due 04/01/11).... VRDN 6/1/00(a) 4.380 21,605,000
1,200 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Carolina Power &
Light Co. Project, due 03/01/17), LOC First
Union National Bank............................ VRDN 6/1/00(a) 4.400 1,200,000
3,200 Wake County Industrial Facilities & Pollution
Control Financing Authority, (Series B, due
06/15/14), LOC-Bank of New York................ VRDN 6/1/00(a) 4.500 3,200,000
4,000 Wake County Industrial Facilities and Pollution
Control Financing Authority, (Carolina Power &
Light Project, Series A, due 05/01/15), LOC
Wachovia Bank.................................. VRDN 6/7/00(a) 3.900 4,000,000
--------------
94,072,579
--------------
OHIO (2.7%)
4,800 Cleveland, (Income Tax Revenue, Refunding, due
05/15/24), AMBAC Insured....................... VRDN 6/7/00(a) 3.850 4,800,000
32,445 Hamilton County, (Hospital Facilities Revenue,
Health Alliance, Series A, due 01/01/18), MBIA
Insured........................................ VRDN 6/7/00(a) 3.900 32,445,000
1,000 Ohio State Air Quality Development Authority,
(Series A, due 12/1/15), LOC Union Bank of
Switzerland.................................... VRDN 6/1/00(a) 4.450 1,000,000
20,000 Ohio State, (Highway Capital Improvement, Series
C)............................................. GO 5/1/01 4.500 20,045,675
8,000 Warren County Health Care Facilities, (Refunding
& Improvement - Otterbein, Series A, due
07/01/21), LOC Fifth Third Bank................ VRDN 6/1/00(a) 4.350 8,000,000
--------------
66,290,675
--------------
OTHER (0.8%)
18,640 Bank of New York Cash Reserves................... 5/31/00 5.200 18,640,099
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
PENNSYLVANIA (1.1%)
$ 15,800 Delaware Valley Regional Finance Authority,
(Series C, due 12/01/20), LOC Credit Suisse
First Boston................................... VRDN 6/7/00(a) 4.100 $ 15,800,000
4,500 Delaware Valley Regional Finance Authority,
(Series D, due 12/01/20), LOC Credit Suisse
First Boston................................... VRDN 6/7/00(a) 4.100 4,500,000
6,800 Pennsylvania State............................... CP 6/21/00 4.250 6,800,000
--------------
27,100,000
--------------
PUERTO RICO (0.9%)
22,000 Puerto Rico Commonwealth, (Series A-1, due
07/30/00)...................................... VRDN 6/1/00(a) 4.550 22,000,000
--------------
SOUTH CAROLINA (0.8%)
1,500 Berkeley County, (Refunding, Bayer Corp. Project,
due 03/01/09).................................. VRDN 6/1/00(a) 4.550 1,500,000
15,600 South Carolina Public Service Authority, (due
01/01/25), FGIC Insured........................ VRDN 6/7/00(a) 4.400 15,600,000
1,750 South Carolina, (Series PA 493, due 05/01/16).... VRDN 6/1/00(a) 4.380 1,750,000
--------------
18,850,000
--------------
SOUTH DAKOTA (0.2%)
4,400 Lawrence County, (PCR, Refunding, Homestake
Mining Co., Series B, due 07/01/32), LOC Chase
Manhattan Bank................................. VRDN 6/1/00(a) 4.500 4,400,000
--------------
TENNESSEE (0.1%)
1,900 Bradley County Industrial Development Board,
(Olin Corp. Project, Series C, due 11/01/17),
LOC Wachovia Bank.............................. VRDN 6/1/00(a) 4.500 1,900,000
--------------
TEXAS (7.6%)
8,250 Dallas Waterworks & Sewer System (Series A78, due
10/01/19)...................................... VRDN 6/7/00(a) 4.450 8,250,000
5,350 Guadalupe-Blanco River Authority, (PCR,
Refunding, Central Power & Light Co. Project,
due 11/01/15), LOC ABN Amro Bank N.V........... VRDN 6/1/00(a) 4.350 5,350,000
6,165 Gulf Coast Waste Disposal Authority, (PCR,
Refunding, Amoco Oil Co. Project, due
10/01/17)...................................... VRDN 6/1/00(a) 4.300 6,165,000
2,310 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project, Series
A, due 04/01/08), LOC Chase Bank of Texas...... VRDN 6/1/00(a) 4.500 2,310,000
1,735 Harris County Industrial Development Corp.,
(Refunding, Johann Haltermann Project, Series
B, due 04/01/08), LOC Chase Bank of Texas...... VRDN 6/1/00(a) 4.500 1,735,000
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 3,400 Houston Water & Sewer Systems Revenue, (Series
A29, Registered D Shares, due 12/01/15)........ VRDN 6/7/00(a) 4.400 $ 3,400,000
28,600 Houston Water & Sewer Systems, (due 12/01/23).... VRDN 6/1/00(a) 4.380 28,600,000
2,100 Lone Star Airport Improvement Authority,
(Multiple Mode, Series A-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 6/1/00(a) 4.400 2,100,000
2,500 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-1, due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 6/1/00(a) 4.400 2,500,000
2,800 Lone Star Airport Improvement Authority,
(Multiple Mode, Series B-4 due 12/01/14), LOC
Royal Bank of Canada........................... VRDN 6/1/00(a) 4.400 2,800,000
4,500 Mansfield Industrial Development Corp., (Pier 1
Import-Texas Inc. Project, Series 1986, due
11/01/26), LOC Bank One Texas.................. VRDN 6/7/00(a) 4.150 4,500,000
3,900 Port Development Corp., (Refunding, Stolt Marine
Terminal Project, due 01/15/14), LOC Canadian
Imperial Bank.................................. VRDN 6/7/00(a) 4.100 3,900,000
900 Texas Higher Education Authority Inc., (Series B,
due 12/01/25), FGIC Insured.................... VRDN 6/7/00(a) 4.300 900,000
5,000 Texas State Public Finance....................... CP 6/20/00 4.050 5,000,000
4,200 Texas State, (Series 290, due 10/01/11), LIQ FAC
Morgan Stanley Dean Witter..................... VRDN 6/1/00(a) 4.420 4,200,000
63,900 Texas State, (Series A).......................... TRAN 8/31/00(a) 4.500 64,021,272
10,575 Texas Turnpike Authority, (Series N2, due
01/01/20)...................................... VRDN 6/7/00(a) 4.400 10,575,000
8,000 Texas Water Development Board, (Series A69, due
07/15/15)...................................... VRDN 6/7/00(a) 4.400 8,000,000
22,485 Texas, (Veterans Housing Assistance - Fund I, due
12/01/16), VA Gauranteed....................... VRDN 6/7/00(a) 4.051 22,485,000
--------------
186,791,272
--------------
UTAH (0.6%)
7,365 Carbon County, (PCR, Refunding, Pacificorp
Project, due 11/1/24), AMBAC Insured........... VRDN 6/1/00(a) 4.350 7,365,000
6,550 Salt Lake City Airport, (Series A10, Registered D
Shares, due 06/01/08), FGIC Insured............ VRDN 6/7/00(a) 4.400 6,550,000
--------------
13,915,000
--------------
VERMONT (0.2%)
5,700 Vermont Student Loan Assistance Corp., (Series
1985, due 01/01/04), LOC State Street Bank &
Trust.......................................... VRDN 6/1/00(a) 4.300 5,700,000
--------------
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
VIRGINIA (0.4%)
$ 8,980 Metropolitan Washington D. C., (Airports
Authority, Series A11, due 10/01/14)........... VRDN 6/7/00(a) 4.550 $ 8,980,000
--------------
WASHINGTON (6.7%)
36,140 Port Seattle, (Series A, due 09/01/24), LOC
Commerzbank A. G............................... VRDN 6/7/00(a) 4.350 36,140,000
10,100 Seattle, (Water System Revenue, due 09/01/25),
LOC Bayerische Landesbank...................... VRDN 6/7/00(a) 3.950 10,100,000
8,000 Tacoma Electric System Revenue, (due 01/02/15),
AMBAC Insured.................................. RB 1/1/01(a) 6.514 8,254,553
17,235 Washington Public Power Supply System,
(Refunding, Project No. 2, Series 2A-1, due
07/01/12), MBIA Insured........................ VRDN 6/7/00(a) 4.051 17,235,000
15,000 Washington Public Power Supply Systems,
(Refunding, Nuclear Project No. 1, Series A,
due 07/01/17).................................. RB 7/1/00(a) 6.000 15,021,434
9,705 Washington Public Power Supply Systems,
(Refunding, Nuclear Project No.1, Series C, due
07/01/08), FGIC Insured........................ RB 7/1/00(a) 7.750 9,930,644
27,010 Washington Public Power Supply Systems,
(Refunding, Nuclear Project No.2, Series A, due
07/01/12)...................................... RB 7/1/00(a) 7.375 27,635,301
7,000 Washington State, (Series SG-37, due 07/01/17)... VRDN 6/1/00(a) 4.380 7,000,000
32,400 Washington, (Series VR-96 A, due 06/01/20)....... VRDN 6/7/00(a) 3.800 32,400,000
--------------
163,716,932
--------------
WEST VIRGINIA (0.2%)
4,100 Marshall County, (Refunding, Bayer Corp. Project,
due 03/01/09).................................. VRDN 6/1/00(a) 4.550 4,100,000
--------------
WISCONSIN (1.0%)
16,984 Wisconsin........................................ CP 6/8/00 5.500 16,984,000
8,630 Wisconsin Health & Educational Facilities
Authority, (St. Luke's Medical Center,
Remarketed 03/10/97, due 12/01/17), LOC Bank
One Chicago.................................... VRDN 6/7/00(a) 4.300 8,630,000
--------------
25,614,000
--------------
WYOMING (3.1%)
8,700 Sweetwater County, (PCR, Refunding, Pacificorp
Project, Series A, due 07/01/15), LOC Credit
Suisse First Boston............................ VRDN 6/7/00(a) 4.051 8,700,000
9,900 Uinta County, (PCR, Refunding, Chevron Project,
due 08/15/20).................................. VRDN 6/1/00(a) 4.300 9,900,000
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY MATURITY
(IN THOUSANDS) SECURITY DESCRIPTION TYPE DATE RATE VALUE
-------------- ------------------------------------------------- -------- --------- ------ ---------------
<C> <S> <C> <C> <C> <C>
WYOMING (CONTINUED)
$ 1,300 Uinta County, (PCR, Refunding, Chevron Project,
due 12/01/22).................................. VRDN 6/1/00(a) 4.300 $ 1,300,000
55,000 Wyoming General Fund............................. TRAN 6/27/00 4.000 55,025,051
--------------
74,925,051
--------------
TOTAL INVESTMENTS (COST $2,415,602,417) (98.8%)........................... 2,415,602,417
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES (1.2%).................................. 29,952,010
--------------
NET ASSETS (100.0%)........................................................... $2,445,414,357
==============
</TABLE>
------------------------------
(a) The date listed represents an optional tender date or the next interest
reset date. The actual maturity date is indicated in the security description.
AMBAC - Ambac Indemnity Corp.
CP - Commercial Paper.
FGIC - Financial Guaranty Insurance Co.
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.
RB - Revenue Bond.
TRAN - Tax Revenue Anticipation Note.
VRDN - Variable Rate Demand Note.
144 A - Securities for resale to Qualified Institutional Buyers.
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)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Amortized Cost and Value $2,415,602,417
Interest Receivable 24,181,986
Receivable for Investments Sold 6,200,000
Prepaid Trustees' Fees 6,864
Prepaid Expenses and Other Assets 7,923
--------------
Total Assets 2,445,999,190
--------------
LIABILITIES
Due to Custodian 140,070
Advisory Fee Payable 284,005
Administrative Services Fee Payable 47,826
Fund Services Fee Payable 1,813
Administration Fee Payable 1,275
Accrued Expenses 109,844
--------------
Total Liabilities 584,833
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $2,445,414,357
==============
</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 MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest Income $44,782,079
EXPENSES
Advisory Fee $1,658,354
Administrative Services Fee 280,543
Custodian Fees and Expenses 188,420
Professional Fees and Expenses 21,600
Fund Services Fee 18,926
Trustees' Fees and Expenses 10,319
Administration Fee 7,797
Miscellaneous 6,388
----------
Total Expenses 2,192,347
-----------
NET INVESTMENT INCOME 42,589,732
NET REALIZED LOSS ON INVESTMENTS (13,346)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $42,576,386
===========
</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 THREE
MAY 31, 2000 MONTHS ENDED
(UNAUDITED) NOVEMBER 30, 1999
-------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 42,589,732 $ 16,790,180
Net Realized Loss on Investments (13,346) (242,070)
-------------- ----------------
Net Increase in Net Assets Resulting from
Operations 42,576,386 16,548,110
-------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 6,015,760,276 2,001,929,620
Withdrawals (5,679,500,413) (2,016,389,311)
-------------- ----------------
Net Increase (Decrease) from Investors'
Transactions 336,259,863 (14,459,691)
-------------- ----------------
Total Increase in Net Assets 378,836,249 2,088,419
NET ASSETS
Beginning of Period 2,066,578,108 2,064,489,689
-------------- ----------------
End of Period $2,445,414,357 $ 2,066,578,108
============== ================
SUPPLEMENTARY DATA
</TABLE>
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE THREE FOR THE FISCAL YEAR ENDED AUGUST 31,
MAY 31, 2000 MONTHS ENDED --------------------------------------
(UNAUDITED) NOVEMBER 30, 1999 1999 1998 1997 1996
---------------- ----------------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Ratios to Average Net Assets
Net Expenses 0.19%(a) 0.20%(a) 0.20% 0.22% 0.24% 0.25%
Net Investment Income 3.67%(a) 3.29%(a) 3.00% 3.38% 3.34% 3.40%
</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)
MAY 31, 2000
--------------------------------------------------------------------------------
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 provide a high level
of current income exempt from federal income tax and maintain a high level of
liquidity.The Declaration of Trust permits the trustees to issue an unlimited
number of beneficial interests in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) Investments are valued at amortized cost which approximates market value.
The amortized cost method of valuation values a security at its cost at
the time of purchase and thereafter assumes a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instruments.
b) Securities transactions are recorded on a trade date basis. 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 six months ended May 31, 2000, such fees
amounted to $1,658,354.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The
33
<PAGE>
THE TAX EXEMPT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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 May 31, 2000, the fee for these services amounted to $7,797.
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 May 31, 2000, the fee for
these services amounted to $280,543.
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 $18,926 for the six months ended May 31, 2000.
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 $3,600.
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