-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IcSMBy1nSXcPd0r5FT+R8PQLk28cOx2vcKkLuCvYSRfyFTQE+UQ9fCtyGeyFXY3F WoJoXxCNtoqqbdvkLntNtw== 0001047469-03-034563.txt : 20031028 0001047469-03-034563.hdr.sgml : 20031028 20031028134147 ACCESSION NUMBER: 0001047469-03-034563 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030831 FILED AS OF DATE: 20031028 EFFECTIVENESS DATE: 20031028 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND SELECT TRUST CENTRAL INDEX KEY: 0001023772 IRS NUMBER: 311481189 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07841 FILM NUMBER: 03960459 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 16TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 800-348-4782 MAIL ADDRESS: STREET 1: J.P. MORGAN FLEMING ASSET MANAGEMENT STREET 2: 522 FIFTH AVENUE, 16TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MUTUAL FUND SELECT TRUST DATE OF NAME CHANGE: 19960926 N-CSR 1 a2120862zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07841 --------------------------------------------- J.P. Morgan Mutual Fund Select Trust - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: August 31, 2003 ------------------------------------------------------- Date of reporting period: September 1, 2002 through August 31, 2003 ------------------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [GRAPHIC] JPMORGAN FUNDS ANNUAL REPORT AUGUST 31 2003 TAX FREE FUNDS CALIFORNIA BOND FUND INTERMEDIATE TAX FREE INCOME FUND NEW JERSEY TAX FREE INCOME FUND NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the foundation from which our investment products have been built. We have investment professionals based in 44 countries across the globe. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our market place. JPMorgan Fleming Asset Management is dedicated to working as an EXPERIENCED PARTNER with your financial advisor to help provide you with the WEALTH SOLUTIONS your portfolio needs. CONTENTS President's Letter 1 Fund Commentaries: 2 JPMorgan California Bond Fund 2 JPMorgan Intermediate Tax Free Income Fund 4 JPMorgan New Jersey Tax Free Income Fund 6 JPMorgan New York Intermediate Tax Free Income Fund 8 JPMorgan Tax Free Income Fund 10 Portfolio of Investments 12 Financial Statements 50 Notes to Financial Statements 57 Financial Highlights 80
HIGHLIGHTS - - Economic Weakness Persists - - Investor Optimism Grows Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMorgan Tax Free Funds PRESIDENT'S LETTER OCTOBER 6, 2003 [PHOTO OF GEORGE C. W. GATCH] "The U.S. economy continued to send mixed signals through most of the period." DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Tax Free Funds for the year ended August 31, 2003. Inside you will find in-depth information on our tax-free funds along with updates from the portfolio management team. ECONOMIC WEAKNESS PERSISTS The U.S. economy continued to send mixed signals through most of the period. In the autumn of 2002, investors were confronted with contradictory economic data, lackluster corporate earnings, a declining stock market and escalating geopolitical risk, all of which combined to hold back the recovery. In response, many elected to buy only the highest quality issues. In November, the Federal Reserve Board once again eased short-term interest rates, cutting them by 1/2 percent. Dominating attention during the winter were concerns about an impending war with Iraq, the outbreak of SARS, an increased threat of terrorism and rising energy prices. In general, consumer prices were higher, suggesting that household real income had fallen. Energy was certainly more expensive, putting more pressure on the American consumer. In fact, consumer confidence-which had remained strong through the recession-began to falter. According to the Conference Board, the measure of consumer confidence fell in February to its lowest level since 1993. INVESTOR OPTIMISM GROWS Better news was forthcoming in the spring. The combat phase of the Iraq war ended quickly and investors could also celebrate better-than-expected corporate earnings, the passage of a new tax package and a more positive economic outlook. Businesses remained reluctant to invest and hire, but consumers seemed optimistic and continued to take advantage of low mortgage interest rates. To support the emerging recovery, investors expected the Federal Reserve Board to ease interest rates by 1/2 percent. In June, however, the Fed cut the Federal Funds Rate by just 1/4 percent to 1%. Yields surged after the conservative cut as investors speculated that the easing cycle had ended. As economic fundamentals continued to improve, many economists predicted that third-quarter GDP growth could be near 5%. The supply of tax-exempt bonds was heavy as state and local governments issued new debt to meet budget shortfalls. For most of the period, investor interest was strong and more than adequate to absorb the supply. However, the August issuance proved to be too much for the market, driving yield spreads wider. In the months ahead, your portfolio managers will continue to work hard to maintain strong performance. They will strive to obtain the highest possible yields while focusing on the preservation of your principal. The portfolio management team and all of us at JPMorgan Fleming Asset Management appreciate your continued investment with us and we anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C. W. Gatch George C. W. Gatch President JPMorgan Funds JPMorgan California Bond Fund AS OF AUGUST 31, 2003 (Unaudited) FUND FACTS Fund Inception 12/23/1996 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2003 (In Millions) $ 165.1 Primary Benchmark LEHMAN CALIFORNIA COMPETITIVE INTERMEDIATE BOND INDEX (1-17) Average Credit Quality AA+ Duration 5.8 YEARS
Q: HOW DID THE FUND PERFORM? A: JPMorgan California Bond Fund, which seeks to provide high after-tax return for California residents consistent with moderate risk of capital, had a total return of 1.67% (Institutional Shares) for the one-year period ended August 31, 2003. This compares with the 2.35% return of its benchmark index, the Lehman California Competitive Intermediate Bond Index (1-17). Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed its benchmark during the period. The primary reason was our high-quality bias at a time when lower quality issues performed better. The Fund was overweight in insured paper and high-quality uninsured paper. We were underweight in hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. Then and now, we are concerned about the stability of these credits as municipalities continue to struggle with budget deficits. We plan to maintain our high-quality bias. Q: HOW WAS THE FUND MANAGED? A: Although California's economy has been resilient, investors were troubled by the state's large budget deficit. In fact, Moody's Investor's Service, Standard & Poor's and Fitch Ratings had all given California a negative credit rating. To restore cash reserves, the state issued nearly $8 billion in new bonds. Because we expected the Fed to begin raising rates, we reduced our overweight in shorter maturities and adopted a more neutral yield curve stance. As Fed rate cuts continued and rate increases were delayed, we overweighted the 10- to 15-year part of the yield curve. We sold into strong retail demand, took profits on long-term securities, and purchased select issues at attractive prices. Our high-quality bias hurt performance slightly when lower quality issues outperformed. As California spreads widened, we bought high-quality issues, avoiding State of California general obligation bonds and funded those purchases with out-of-state paper. We increased our weightings in essential service revenue bonds, which should be insulated from budget issues. 2 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/23/96) ------------------------------------------------- CLASS A SHARES Without Sales Charge 1.51% 5.04% 4.62% 5.16% With Sales Charge* (3.05%) 3.43% 3.66% 4.44% ------------------------------------------------- INSTITUTIONAL SHARES 1.67% 5.25% 4.79% 5.31% ------------------------------------------------- SELECT SHARES 1.45% 5.02% 4.61% 5.15%
* Sales Charge for Class A Shares is 4.50%. [CHART] LIFE OF FUND PERFORMANCE (12/23/96 TO 8/31/03)
JPMORGAN CALIFORNIA BOND FUND LEHMAN CALIFORNIA COMPETITIVE LIPPER CALIFORNIA MUNICIPAL (INSTITUTIONAL SHARES) INTERMEDIATE BOND INDEX (1-17) DEBT FUNDS INDEX 12/23/96 $ 3,000,000 $ 3,000,000 $ 3,000,000 12/31/96 $ 3,009,300 $ 3,000,000 $ 3,000,000 1/31/97 $ 3,003,281 $ 3,010,800 $ 2,996,400 2/28/97 $ 3,028,809 $ 3,034,585 $ 3,023,667 3/31/97 $ 2,999,127 $ 2,999,688 $ 2,981,941 4/30/97 $ 3,016,822 $ 3,018,886 $ 3,009,076 5/31/97 $ 3,061,169 $ 3,061,150 $ 3,055,115 6/30/97 $ 3,090,250 $ 3,089,925 $ 3,087,805 7/31/97 $ 3,165,343 $ 3,167,482 $ 3,182,909 8/31/97 $ 3,135,906 $ 3,140,875 $ 3,148,534 9/30/97 $ 3,174,791 $ 3,166,630 $ 3,191,354 10/31/97 $ 3,179,236 $ 3,187,213 $ 3,210,183 11/30/97 $ 3,193,224 $ 3,198,369 $ 3,229,444 12/31/97 $ 3,241,761 $ 3,236,749 $ 3,280,792 1/31/98 $ 3,265,102 $ 3,274,295 $ 3,312,944 2/28/98 $ 3,266,734 $ 3,280,189 $ 3,312,281 3/31/98 $ 3,258,894 $ 3,277,565 $ 3,312,944 4/30/98 $ 3,238,363 $ 3,263,799 $ 3,291,410 5/31/98 $ 3,287,586 $ 3,309,166 $ 3,347,364 6/30/98 $ 3,295,477 $ 3,320,748 $ 3,361,088 7/31/98 $ 3,303,386 $ 3,332,371 $ 3,367,810 8/31/98 $ 3,355,910 $ 3,383,023 $ 3,425,063 9/30/98 $ 3,408,933 $ 3,431,400 $ 3,476,781 10/31/98 $ 3,410,296 $ 3,436,204 $ 3,464,960 11/30/98 $ 3,421,209 $ 3,447,887 $ 3,480,552 12/31/98 $ 3,423,262 $ 3,452,714 $ 3,482,641 1/31/99 $ 3,470,503 $ 3,494,837 $ 3,521,298 2/28/99 $ 3,448,986 $ 3,484,353 $ 3,504,044 3/31/99 $ 3,453,125 $ 3,493,063 $ 3,510,701 4/30/99 $ 3,450,708 $ 3,495,858 $ 3,515,967 5/31/99 $ 3,431,729 $ 3,476,281 $ 3,488,191 6/30/99 $ 3,382,998 $ 3,432,828 $ 3,430,985 7/31/99 $ 3,407,356 $ 3,455,484 $ 3,437,504 8/31/99 $ 3,398,156 $ 3,443,044 $ 3,394,879 9/30/99 $ 3,413,108 $ 3,459,915 $ 3,392,502 10/31/99 $ 3,391,264 $ 3,438,464 $ 3,333,812 11/30/99 $ 3,420,090 $ 3,469,066 $ 3,367,484 12/31/99 $ 3,402,647 $ 3,443,048 $ 3,332,125 1/31/2000 $ 3,404,689 $ 3,454,410 $ 3,308,467 2/29/2000 $ 3,434,650 $ 3,483,082 $ 3,362,395 3/31/2000 $ 3,490,291 $ 3,534,632 $ 3,448,809 4/30/2000 $ 3,474,934 $ 3,514,131 $ 3,417,424 5/31/2000 $ 3,471,112 $ 3,519,050 $ 3,400,337 6/30/2000 $ 3,547,129 $ 3,592,247 $ 3,498,607 7/31/2000 $ 3,585,438 $ 3,632,121 $ 3,554,935 8/31/2000 $ 3,637,785 $ 3,689,145 $ 3,632,077 9/30/2000 $ 3,629,782 $ 3,674,757 $ 3,609,558 10/31/2000 $ 3,657,369 $ 3,697,908 $ 3,642,766 11/30/2000 $ 3,674,192 $ 3,716,768 $ 3,669,722 12/31/2000 $ 3,748,411 $ 3,776,979 $ 3,764,034 1/31/2001 $ 3,791,143 $ 3,826,458 $ 3,779,843 2/28/2001 $ 3,796,830 $ 3,835,641 $ 3,791,938 3/31/2001 $ 3,814,295 $ 3,852,902 $ 3,816,586 4/30/2001 $ 3,751,741 $ 3,797,420 $ 3,741,781 5/31/2001 $ 3,805,015 $ 3,849,824 $ 3,788,179 6/30/2001 $ 3,828,987 $ 3,870,228 $ 3,812,423 7/31/2001 $ 3,878,764 $ 3,924,024 $ 3,875,710 8/31/2001 $ 3,951,297 $ 3,996,226 $ 3,974,928 9/30/2001 $ 3,941,419 $ 3,985,437 $ 3,950,283 10/31/2001 $ 4,001,722 $ 4,026,088 $ 3,991,761 11/30/2001 $ 3,958,504 $ 3,997,100 $ 3,955,835 12/31/2001 $ 3,920,502 $ 3,967,522 $ 3,911,134 1/31/2002 $ 3,985,190 $ 4,035,763 $ 3,965,499 2/28/2002 $ 4,030,621 $ 4,082,981 $ 4,009,120 3/31/2002 $ 3,942,351 $ 3,998,055 $ 3,917,311 4/30/2002 $ 4,015,679 $ 4,072,419 $ 3,986,256 5/31/2002 $ 4,044,591 $ 4,107,849 $ 4,016,152 6/30/2002 $ 4,076,544 $ 4,139,069 $ 4,047,478 7/31/2002 $ 4,116,494 $ 4,183,357 $ 4,093,215 8/31/2002 $ 4,171,655 $ 4,236,904 $ 4,151,339 9/30/2002 $ 4,257,174 $ 4,320,795 $ 4,262,179 10/31/2002 $ 4,165,645 $ 4,229,626 $ 4,147,527 11/30/2002 $ 4,150,232 $ 4,228,357 $ 4,135,914 12/31/2002 $ 4,236,972 $ 4,298,548 $ 4,223,181 1/31/2003 $ 4,211,126 $ 4,283,073 $ 4,187,707 2/28/2003 $ 4,262,502 $ 4,342,179 $ 4,252,197 3/31/2003 $ 4,260,371 $ 4,346,522 $ 4,249,221 4/30/2003 $ 4,293,175 $ 4,373,905 $ 4,284,914 5/31/2003 $ 4,385,908 $ 4,460,508 $ 4,389,895 6/30/2003 $ 4,356,084 $ 4,428,392 $ 4,386,383 7/31/2003 $ 4,215,382 $ 4,299,083 $ 4,219,262 8/31/2003 $ 4,241,096 $ 4,336,485 $ 4,247,531
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 12/23/96. Returns for the Select Shares prior to 4/21/97 (offering date of Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A Shares prior to 9/10/01 (offering date of Class A Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan California Bond Fund, Lehman California Competitive Intermediate Bond Index (1-17), and Lipper California Municipal Debt Funds Index from December 23, 1996 to August 31, 2003. The performance of the Fund assumes reinvestment of all dividends. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Lehman California Competitive Intermediate Bond Index (1-17) is an unmanaged index of California general obligation and revenue bonds which measures California-tax exempt bond market performance and reflects the universe of securities in which the funds invest. The Lipper California Municipal Debt Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Capital gains distributions are subject to federal income tax, a portion of the Fund's income distributions may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 3 JPMorgan Intermediate Tax Free Income Fund AS OF AUGUST 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2003 (In Millions) $ 1,643.3 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 5.7 YEARS
Q: HOW DID THE FUND PERFORM? A: JPMorgan Intermediate Tax Free Income Fund, which seeks to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations, had a total return of 2.44% (Select Shares) for the one-year period ended August 31, 2003. This compares with the 3.21% return of its benchmark index, the Lehman Competitive Intermediate (1-17 maturities) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed its benchmark during the period. The primary reason was our high-quality bias at a time when lower quality issues performed better. The Fund was overweight in insured paper and high-quality uninsured paper. We were underweight in hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. Then and now, we are concerned about the stability of these credits as municipalities continue to struggle with budget deficits. We plan to maintain our high-quality bias. Another detractor was our overweight to the front end of the yield curve, which underperformed the 15-year range. Q: HOW WAS THE FUND MANAGED? A: We reduced our overweight in shorter maturities and adopted a more neutral yield curve stance. We sold into strong retail demand and made purchases in the institutional market. We continued to buy high-quality, liquid securities to give us the flexibility to swap one asset for another if interest rates rise. Because they are tax-exempt in all 50 states and offer tremendous liquidity, we increased weightings in Puerto Rico securities. We took advantage of the heavy supply in both New York and California and overweighted those sectors, funding the purchases by selling general market paper. As spreads tightened in the spring, we removed our overweight to New York, purchasing more high-quality general market issues. We took advantage of the heavy supply in California to overweight that sector. Because of historically tight spreads, we also sold callable paper. 4 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------- INSTITUTIONAL SHARES 2.60% 6.00% 4.92% 5.35% ------------------------------------------------- SELECT SHARES# 2.44% 5.89% 4.85% 5.32%
# Formerly Institutional Shares [CHART] LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
JPMORGAN INTERMEDIATE TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER INTERMEDIATE MUNICIPAL INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS INDEX 8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000 9/30/93 $ 1,018,900 $ 1,010,500 $ 1,011,400 10/31/93 $ 1,018,594 $ 1,012,521 $ 1,013,018 11/30/93 $ 1,009,936 $ 1,005,332 $ 1,006,839 12/31/93 $ 1,028,115 $ 1,024,232 $ 1,023,351 1/31/94 $ 1,039,938 $ 1,035,499 $ 1,033,892 2/28/94 $ 1,014,460 $ 1,012,097 $ 1,011,973 3/31/94 $ 991,635 $ 980,114 $ 983,638 4/30/94 $ 994,015 $ 988,739 $ 987,769 5/31/94 $ 998,289 $ 995,661 $ 995,572 6/30/94 $ 994,196 $ 992,375 $ 992,685 7/31/94 $ 1,004,337 $ 1,007,161 $ 1,005,094 8/31/94 $ 1,008,856 $ 1,011,291 $ 1,008,913 9/30/94 $ 999,877 $ 1,000,369 $ 998,521 10/31/94 $ 985,979 $ 988,564 $ 987,538 11/30/94 $ 963,301 $ 974,329 $ 972,823 12/31/94 $ 987,480 $ 989,821 $ 987,318 1/31/95 $ 1,011,772 $ 1,011,102 $ 1,006,472 2/28/95 $ 1,036,257 $ 1,035,267 $ 1,027,407 3/31/95 $ 1,045,894 $ 1,046,966 $ 1,036,448 4/30/95 $ 1,052,588 $ 1,049,060 $ 1,038,728 5/31/95 $ 1,074,482 $ 1,077,594 $ 1,063,138 6/30/95 $ 1,068,143 $ 1,073,176 $ 1,059,843 7/31/95 $ 1,079,999 $ 1,085,840 $ 1,069,487 8/31/95 $ 1,089,827 $ 1,098,870 $ 1,079,968 9/30/95 $ 1,092,552 $ 1,104,913 $ 1,085,368 10/31/95 $ 1,107,519 $ 1,115,963 $ 1,095,679 11/30/95 $ 1,118,262 $ 1,129,800 $ 1,107,293 12/31/95 $ 1,129,333 $ 1,137,370 $ 1,114,380 1/31/96 $ 1,144,353 $ 1,148,061 $ 1,123,072 2/29/96 $ 1,141,836 $ 1,143,814 $ 1,119,591 3/31/96 $ 1,121,625 $ 1,132,261 $ 1,108,283 4/30/96 $ 1,120,055 $ 1,129,770 $ 1,106,288 5/31/96 $ 1,117,479 $ 1,128,640 $ 1,106,288 6/30/96 $ 1,124,407 $ 1,138,234 $ 1,113,147 7/31/96 $ 1,137,675 $ 1,148,023 $ 1,122,943 8/31/96 $ 1,136,196 $ 1,148,482 $ 1,123,392 9/30/96 $ 1,145,399 $ 1,159,622 $ 1,133,615 10/31/96 $ 1,157,884 $ 1,172,146 $ 1,144,724 11/30/96 $ 1,179,074 $ 1,191,604 $ 1,161,666 12/31/96 $ 1,172,117 $ 1,187,790 $ 1,158,529 1/31/97 $ 1,175,399 $ 1,192,304 $ 1,161,426 2/28/97 $ 1,185,037 $ 1,202,200 $ 1,170,136 3/31/97 $ 1,171,172 $ 1,188,375 $ 1,158,201 4/30/97 $ 1,178,785 $ 1,196,218 $ 1,164,224 5/31/97 $ 1,194,227 $ 1,211,649 $ 1,177,962 6/30/97 $ 1,206,289 $ 1,223,160 $ 1,188,799 7/31/97 $ 1,235,360 $ 1,251,904 $ 1,214,596 8/31/97 $ 1,226,219 $ 1,242,640 $ 1,205,243 9/30/97 $ 1,239,462 $ 1,255,812 $ 1,218,019 10/31/97 $ 1,247,270 $ 1,262,719 $ 1,223,865 11/30/97 $ 1,252,634 $ 1,268,275 $ 1,228,638 12/31/97 $ 1,268,667 $ 1,284,255 $ 1,244,365 1/31/98 $ 1,281,354 $ 1,297,098 $ 1,254,818 2/28/98 $ 1,280,457 $ 1,298,136 $ 1,255,445 3/31/98 $ 1,281,225 $ 1,298,915 $ 1,256,198 4/30/98 $ 1,274,691 $ 1,293,589 $ 1,250,420 5/31/98 $ 1,295,724 $ 1,311,958 $ 1,267,176 6/30/98 $ 1,298,704 $ 1,316,681 $ 1,271,484 7/31/98 $ 1,302,989 $ 1,320,236 $ 1,274,408 8/31/98 $ 1,325,401 $ 1,339,115 $ 1,292,760 9/30/98 $ 1,341,571 $ 1,354,783 $ 1,306,722 10/31/98 $ 1,342,107 $ 1,356,951 $ 1,307,114 11/30/98 $ 1,343,718 $ 1,360,750 $ 1,309,989 12/31/98 $ 1,351,915 $ 1,364,968 $ 1,314,181 1/31/99 $ 1,371,112 $ 1,382,440 $ 1,328,900 2/28/99 $ 1,360,966 $ 1,376,357 $ 1,321,857 3/31/99 $ 1,358,924 $ 1,377,046 $ 1,321,593 4/30/99 $ 1,363,001 $ 1,381,039 $ 1,325,293 5/31/99 $ 1,353,324 $ 1,374,410 $ 1,317,474 6/30/99 $ 1,330,723 $ 1,356,680 $ 1,299,556 7/31/99 $ 1,341,369 $ 1,363,870 $ 1,305,664 8/31/99 $ 1,340,564 $ 1,359,915 $ 1,299,658 9/30/99 $ 1,342,039 $ 1,363,451 $ 1,300,438 10/31/99 $ 1,335,999 $ 1,355,952 $ 1,291,335 11/30/99 $ 1,346,420 $ 1,368,020 $ 1,302,311 12/31/99 $ 1,344,401 $ 1,362,138 $ 1,296,451 1/31/2000 $ 1,338,889 $ 1,359,686 $ 1,290,746 2/29/2000 $ 1,346,119 $ 1,369,475 $ 1,300,685 3/31/2000 $ 1,362,003 $ 1,390,291 $ 1,319,285 4/30/2000 $ 1,355,874 $ 1,385,704 $ 1,313,744 5/31/2000 $ 1,352,891 $ 1,381,131 $ 1,308,357 6/30/2000 $ 1,381,843 $ 1,411,377 $ 1,335,310 7/31/2000 $ 1,398,978 $ 1,427,467 $ 1,350,532 8/31/2000 $ 1,414,786 $ 1,445,453 $ 1,367,279 9/30/2000 $ 1,410,259 $ 1,441,261 $ 1,363,314 10/31/2000 $ 1,422,105 $ 1,454,377 $ 1,374,629 11/30/2000 $ 1,428,362 $ 1,462,958 $ 1,381,227 12/31/2000 $ 1,459,500 $ 1,492,802 $ 1,408,990 1/31/2001 $ 1,479,787 $ 1,511,761 $ 1,425,193 2/28/2001 $ 1,481,711 $ 1,515,691 $ 1,429,754 3/31/2001 $ 1,493,713 $ 1,527,817 $ 1,440,763 4/30/2001 $ 1,477,880 $ 1,515,289 $ 1,427,796 5/31/2001 $ 1,494,136 $ 1,530,593 $ 1,442,503 6/30/2001 $ 1,504,595 $ 1,539,317 $ 1,451,446 7/31/2001 $ 1,522,199 $ 1,557,789 $ 1,468,863 8/31/2001 $ 1,546,859 $ 1,581,000 $ 1,491,043 9/30/2001 $ 1,546,085 $ 1,580,684 $ 1,488,956 10/31/2001 $ 1,563,865 $ 1,596,649 $ 1,503,250 11/30/2001 $ 1,543,066 $ 1,582,918 $ 1,487,616 12/31/2001 $ 1,529,487 $ 1,571,837 $ 1,476,459 1/31/2002 $ 1,557,629 $ 1,597,773 $ 1,497,868 2/28/2002 $ 1,575,231 $ 1,616,786 $ 1,514,644 3/31/2002 $ 1,541,363 $ 1,586,876 $ 1,487,077 4/30/2002 $ 1,576,815 $ 1,619,248 $ 1,516,075 5/31/2002 $ 1,585,014 $ 1,628,478 $ 1,524,262 6/30/2002 $ 1,603,242 $ 1,646,391 $ 1,539,809 7/31/2002 $ 1,623,282 $ 1,665,654 $ 1,557,671 8/31/2002 $ 1,639,190 $ 1,683,643 $ 1,572,002 9/30/2002 $ 1,669,351 $ 1,714,622 $ 1,599,355 10/31/2002 $ 1,644,979 $ 1,690,789 $ 1,575,044 11/30/2002 $ 1,638,070 $ 1,683,856 $ 1,568,587 12/31/2002 $ 1,670,668 $ 1,717,197 $ 1,599,645 1/31/2003 $ 1,665,488 $ 1,714,277 $ 1,593,886 2/28/2003 $ 1,688,472 $ 1,737,249 $ 1,615,882 3/31/2003 $ 1,687,966 $ 1,738,117 $ 1,615,397 4/30/2003 $ 1,697,756 $ 1,748,546 $ 1,625,735 5/31/2003 $ 1,733,579 $ 1,785,266 $ 1,658,738 6/30/2003 $ 1,725,257 $ 1,777,946 $ 1,650,942 7/31/2003 $ 1,667,979 $ 1,725,319 $ 1,601,083 8/31/2003 $ 1,678,741 $ 1,737,741 $ 1,612,931
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 1/1/97. Returns for the Select Shares include performance of a predecessor account for the period dating back to 8/31/93, prior to the Fund's commencement of operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. Returns for the Institutional Shares prior to 9/10/01 (offering date of Institutional Shares) are calculated using the historical expenses of the of the Select Shares, which are higher than the expenses of the Institutional Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Intermediate Tax Free Income Fund, Lehman Competitive Intermediate (1-17 maturities) Index, and Lipper Intermediate Municipal Debt Funds Index from August 31, 1993 to August 31, 2003. The performance of the Fund assumes reinvestment of all dividends. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The unmanaged Lehman NY Competitive Intermediate Bond (1-17 maturities) Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper Intermediate Municipal Debt Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Capital gains distributions are subject to federal income tax, a portion of the Fund's income distributions may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 5 JPMorgan New Jersey Tax Free Income Fund AS OF AUGUST 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2003 (In Millions) $ 75.3 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 6.1 YEARS
Q: HOW DID THE FUND PERFORM? A: JPMorgan New Jersey Tax Free Income Fund, which seeks to provide monthly dividends that are excluded from gross income for Federal tax purposes and are exempt from New Jersey gross income tax, had a total return of 2.58% (Select Shares) for the one-year period ended August 31, 2003. This compares with the 3.21% return of its benchmark index, the Lehman Competitive Intermediate (1-17 maturities) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: A primary reason why the Fund underperformed its benchmark was our high-quality bias at a time when lower quality issues performed better. We were overweight in insured paper and high-quality uninsured paper. We were underweight in hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. Then and now, we are concerned about the stability of these credits as municipalities continue to struggle with budget deficits. We plan to maintain our high-quality bias. Early in the period, a detractor was our overweight in the 5- to 15-year portion of the yield curve, which underperformed the 20- to 30-year portion. However, in the spring, we overweighted the 10- to 15-year part of the yield curve, which helped performance as the curve flattened. Q: HOW WAS THE FUND MANAGED? A: Because we expected the Fed to begin raising rates, we reduced our overweight in shorter maturities and adopted a more neutral yield curve stance. As Fed rate cuts continued and rate increases were delayed, we overweighted the 10- to 15-year part of the yield curve. Taking advantage of strong retail demand, we sold issues that were appealing to the individual investor and replaced them with quality names at attractive prices. We also took profits on long-term securities. We reduced our holdings in Puerto Rico, which are tax-exempt in all 50 states. In addition, we purchased high-quality, essential service revenue issues and local general obligation bonds, which should appreciate in value. We also sold callable paper because of historically tight spreads. 6 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------- CLASS A SHARES Without Sales Charge 1.92% 6.11% 4.93% 5.13% With Sales Charge* (2.68%) 4.49% 3.97% 4.65% ------------------------------------------------- CLASS B SHARES Without CDSC 1.31% 5.75% 4.71% 5.02% With CDSC** (3.54%) 4.85% 4.39% 5.02% ------------------------------------------------- SELECT SHARES# 2.58% 6.31% 5.05% 5.19%
* Sales Charge for Class A Shares is 4.50%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, a 2% CDSC for the five year period and 0% for the ten year period. # Formerly Institutional Shares [CHART] LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
JPMORGAN NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER NEW JERSEY MUNICIPAL INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS AVERAGE 8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000 9/30/93 $ 1,016,200 $ 1,010,500 $ 1,011,400 10/31/93 $ 1,015,590 $ 1,012,521 $ 1,012,007 11/30/93 $ 1,010,309 $ 1,005,332 $ 1,000,875 12/31/93 $ 1,025,666 $ 1,024,232 $ 1,021,993 1/31/94 $ 1,034,076 $ 1,035,499 $ 1,032,929 2/28/94 $ 1,015,566 $ 1,012,097 $ 1,004,420 3/31/94 $ 999,114 $ 980,114 $ 958,417 4/30/94 $ 1,002,112 $ 988,739 $ 961,772 5/31/94 $ 1,006,020 $ 995,661 $ 969,562 6/30/94 $ 1,002,599 $ 992,375 $ 963,648 7/31/94 $ 1,010,921 $ 1,007,161 $ 980,897 8/31/94 $ 1,014,661 $ 1,011,291 $ 984,624 9/30/94 $ 1,009,284 $ 1,000,369 $ 968,083 10/31/94 $ 998,989 $ 988,564 $ 948,915 11/30/94 $ 981,107 $ 974,329 $ 927,185 12/31/94 $ 1,001,416 $ 989,821 $ 953,053 1/31/95 $ 1,019,842 $ 1,011,102 $ 980,978 2/28/95 $ 1,039,321 $ 1,035,267 $ 1,007,170 3/31/95 $ 1,048,467 $ 1,046,966 $ 1,015,932 4/30/95 $ 1,055,492 $ 1,049,060 $ 1,017,354 5/31/95 $ 1,072,274 $ 1,077,594 $ 1,048,180 6/30/95 $ 1,070,880 $ 1,073,176 $ 1,038,222 7/31/95 $ 1,080,839 $ 1,085,840 $ 1,044,244 8/31/95 $ 1,090,243 $ 1,098,870 $ 1,054,895 9/30/95 $ 1,092,096 $ 1,104,913 $ 1,061,752 10/31/95 $ 1,102,252 $ 1,115,963 $ 1,077,254 11/30/95 $ 1,110,960 $ 1,129,800 $ 1,095,459 12/31/95 $ 1,118,848 $ 1,137,370 $ 1,106,743 1/31/96 $ 1,131,715 $ 1,148,061 $ 1,112,498 2/29/96 $ 1,132,847 $ 1,143,814 $ 1,103,375 3/31/96 $ 1,117,213 $ 1,132,261 $ 1,087,487 4/30/96 $ 1,116,878 $ 1,129,770 $ 1,083,572 5/31/96 $ 1,116,320 $ 1,128,640 $ 1,084,655 6/30/96 $ 1,122,906 $ 1,138,234 $ 1,095,068 7/31/96 $ 1,134,247 $ 1,148,023 $ 1,105,362 8/31/96 $ 1,133,794 $ 1,148,482 $ 1,104,477 9/30/96 $ 1,140,256 $ 1,159,622 $ 1,118,946 10/31/96 $ 1,150,062 $ 1,172,146 $ 1,130,247 11/30/96 $ 1,166,853 $ 1,191,604 $ 1,148,783 12/31/96 $ 1,153,785 $ 1,187,790 $ 1,144,303 1/31/97 $ 1,156,900 $ 1,192,304 $ 1,145,562 2/28/97 $ 1,165,692 $ 1,202,200 $ 1,154,841 3/31/97 $ 1,153,103 $ 1,188,375 $ 1,141,445 4/30/97 $ 1,159,906 $ 1,196,218 $ 1,150,462 5/31/97 $ 1,174,637 $ 1,211,649 $ 1,165,648 6/30/97 $ 1,185,913 $ 1,223,160 $ 1,176,256 7/31/97 $ 1,210,343 $ 1,251,904 $ 1,209,191 8/31/97 $ 1,202,718 $ 1,242,640 $ 1,196,494 9/30/97 $ 1,215,226 $ 1,255,812 $ 1,210,493 10/31/97 $ 1,222,032 $ 1,262,719 $ 1,217,393 11/30/97 $ 1,227,409 $ 1,268,275 $ 1,224,210 12/31/97 $ 1,242,628 $ 1,284,255 $ 1,242,451 1/31/98 $ 1,254,309 $ 1,297,098 $ 1,253,882 2/28/98 $ 1,253,055 $ 1,298,136 $ 1,253,380 3/31/98 $ 1,252,303 $ 1,298,915 $ 1,253,882 4/30/98 $ 1,245,165 $ 1,293,589 $ 1,246,860 5/31/98 $ 1,266,831 $ 1,311,958 $ 1,266,186 6/30/98 $ 1,270,885 $ 1,316,681 $ 1,271,124 7/31/98 $ 1,273,808 $ 1,320,236 $ 1,273,158 8/31/98 $ 1,296,864 $ 1,339,115 $ 1,293,274 9/30/98 $ 1,310,999 $ 1,354,783 $ 1,308,535 10/31/98 $ 1,310,082 $ 1,356,951 $ 1,306,441 11/30/98 $ 1,312,833 $ 1,360,750 $ 1,310,752 12/31/98 $ 1,319,660 $ 1,364,968 $ 1,313,243 1/31/99 $ 1,336,947 $ 1,382,440 $ 1,327,557 2/28/99 $ 1,326,118 $ 1,376,357 $ 1,319,990 3/31/99 $ 1,325,057 $ 1,377,046 $ 1,320,518 4/30/99 $ 1,329,032 $ 1,381,039 $ 1,323,687 5/31/99 $ 1,318,533 $ 1,374,410 $ 1,314,818 6/30/99 $ 1,299,810 $ 1,356,680 $ 1,294,307 7/31/99 $ 1,307,998 $ 1,363,870 $ 1,297,672 8/31/99 $ 1,301,328 $ 1,359,915 $ 1,281,711 9/30/99 $ 1,299,896 $ 1,363,451 $ 1,276,200 10/31/99 $ 1,289,237 $ 1,355,952 $ 1,256,546 11/30/99 $ 1,301,227 $ 1,368,020 $ 1,269,237 12/31/99 $ 1,293,940 $ 1,362,138 $ 1,255,276 1/31/2000 $ 1,286,565 $ 1,359,686 $ 1,244,731 2/29/2000 $ 1,299,559 $ 1,369,475 $ 1,260,166 3/31/2000 $ 1,321,521 $ 1,390,291 $ 1,286,882 4/30/2000 $ 1,314,914 $ 1,385,704 $ 1,278,131 5/31/2000 $ 1,310,180 $ 1,381,131 $ 1,269,056 6/30/2000 $ 1,343,197 $ 1,411,377 $ 1,302,432 7/31/2000 $ 1,361,061 $ 1,427,467 $ 1,321,448 8/31/2000 $ 1,380,252 $ 1,445,453 $ 1,341,270 9/30/2000 $ 1,373,903 $ 1,441,261 $ 1,332,820 10/31/2000 $ 1,386,131 $ 1,454,377 $ 1,345,081 11/30/2000 $ 1,399,576 $ 1,462,958 $ 1,353,421 12/31/2000 $ 1,441,983 $ 1,492,802 $ 1,389,287 1/31/2001 $ 1,455,826 $ 1,511,761 $ 1,399,845 2/28/2001 $ 1,461,941 $ 1,515,691 $ 1,407,264 3/31/2001 $ 1,475,829 $ 1,527,817 $ 1,419,085 4/30/2001 $ 1,454,725 $ 1,515,289 $ 1,402,482 5/31/2001 $ 1,470,145 $ 1,530,593 $ 1,416,647 6/30/2001 $ 1,483,964 $ 1,539,317 $ 1,429,822 7/31/2001 $ 1,502,217 $ 1,557,789 $ 1,450,983 8/31/2001 $ 1,527,905 $ 1,581,000 $ 1,473,764 9/30/2001 $ 1,516,599 $ 1,580,684 $ 1,458,437 10/31/2001 $ 1,542,381 $ 1,596,649 $ 1,474,479 11/30/2001 $ 1,518,936 $ 1,582,918 $ 1,459,735 12/31/2001 $ 1,502,836 $ 1,571,837 $ 1,446,159 1/31/2002 $ 1,530,789 $ 1,597,773 $ 1,470,165 2/28/2002 $ 1,550,536 $ 1,616,786 $ 1,487,219 3/31/2002 $ 1,517,044 $ 1,586,876 $ 1,461,044 4/30/2002 $ 1,552,240 $ 1,619,248 $ 1,487,051 5/31/2002 $ 1,562,795 $ 1,628,478 $ 1,496,271 6/30/2002 $ 1,579,673 $ 1,646,391 $ 1,509,288 7/31/2002 $ 1,599,893 $ 1,665,654 $ 1,526,041 8/31/2002 $ 1,617,012 $ 1,683,643 $ 1,539,318 9/30/2002 $ 1,651,131 $ 1,714,622 $ 1,564,716 10/31/2002 $ 1,619,429 $ 1,690,789 $ 1,533,579 11/30/2002 $ 1,606,311 $ 1,683,856 $ 1,529,898 12/31/2002 $ 1,645,827 $ 1,717,197 $ 1,563,862 1/31/2003 $ 1,637,598 $ 1,714,277 $ 1,555,104 2/28/2003 $ 1,662,980 $ 1,737,249 $ 1,576,098 3/31/2003 $ 1,664,643 $ 1,738,117 $ 1,572,788 4/30/2003 $ 1,677,461 $ 1,748,546 $ 1,585,842 5/31/2003 $ 1,719,733 $ 1,785,266 $ 1,621,207 6/30/2003 $ 1,711,478 $ 1,777,946 $ 1,613,425 7/31/2003 $ 1,646,100 $ 1,725,319 $ 1,559,214 8/31/2003 $ 1,658,666 $ 1,737,741 $ 1,567,789
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 1/1/97. Returns for the Select Shares include performance of a predecessor account for the period dating back to 8/31/93, prior to the Fund's commencement of operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan New Jersey Tax Free Income Fund, Lehman Competitive Intermediate (1-17 maturities) Index, and Lipper New Jersey Municipal Debt Funds Index from August 31, 1993 to August 31, 2003. The performance of the Fund assumes reinvestment of all dividends. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The unmanaged Lehman Competitive Intermediate (1-17) Index represents the performance of municipal bonds with maturities from 1 to 17 years. The Lipper New Jersey Municipal Debt Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Capital gains distributions are subject to federal income tax, a portion of the Fund's income distributions may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 7 JPMorgan New York Intermediate Tax Free Income Fund AS OF AUGUST 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2003 (In Millions) $ 754.5 Primary Benchmark LEHMAN NY COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 5.8 YEARS
Q: HOW DID THE FUND PERFORM? A: JPMorgan New York Intermediate Tax Free Income Fund, which seeks to provide monthly dividends that are excluded from gross income for Federal income tax purposes and are exempt from New York State and New York City personal income taxes, had a total return of 2.32% (Select Shares) for the one-year period ended August 31, 2003. This compares with the 3.16% return of its benchmark index, the Lehman NY Competitive Intermediate (1-17 maturities) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed its benchmark during the period. The primary reason was our high-quality bias at a time when lower quality issues performed better. The Fund was overweight in insured paper and high-quality uninsured paper. We were underweight in hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. Then and now, we are concerned about the stability of these credits as municipalities continue to struggle with budget deficits. We plan to maintain our high-quality bias. Early in the period, a detractor was our overweight in the 5- to 15-year portion of the yield curve, which under-performed the 20- to 30-year portion. However, in the spring, we overweighted the 10- to 15-year part of the yield curve, which helped performance as the curve flattened. Q: HOW WAS THE FUND MANAGED? A: Because we expected the Fed to begin raising rates, we reduced our overweight in shorter maturities and adopted a more neutral yield curve stance. As Fed rate cuts continued and rate increases were delayed, we overweighted the 10- to 15-year part of the yield curve. We continued to focus on high-quality liquid issues. Supply of New York issues was heavy and we took advantage of widening spreads by increasing our weightings to New York bonds. During the winter, we added New York City issues inside of five years when spreads widened dramatically. We funded these purchases by reducing our holdings in out-of-state and Puerto Rico paper. When spreads tightened by nearly 1/4 percent in the spring, we sold some of our New York City holdings. We also sold callable paper because of historically tight spreads. 8 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------- CLASS A SHARES Without Sales Charge 2.15% 5.54% 4.60% 4.97% With Sales Charge* (2.43%) 3.93% 3.65% 4.48% ------------------------------------------------- CLASS B SHARES Without CDSC 1.34% 4.81% 4.17% 4.75% With CDSC** (3.60%) 3.89% 3.83% 4.75% ------------------------------------------------- CLASS C SHARES Without CDSC 1.32% 4.81% 4.17% 4.75% With CDSC*** 0.34% 4.81% 4.17% 4.75% ------------------------------------------------- INSTITUTIONAL SHARES 2.40% 5.74% 4.72% 5.03% ------------------------------------------------- SELECT SHARES# 2.32% 5.62% 4.65% 4.99%
* Sales Charge for Class A Shares is 4.50%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, a 2% CDSC for the five year period and 0% for the ten year period. *** Assumes 1% CDSC for the one year period and 0% thereafter. # Formerly Institutional Shares [CHART] LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
JPMORGAN NEW YORK INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE LIPPER NEW YORK INTERMEDIATE MUNICIPAL FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS AVERAGE 8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000 9/30/93 $ 1,011,100 $ 1,008,200 $ 1,009,200 10/31/93 $ 1,008,876 $ 1,010,922 $ 1,010,613 11/30/93 $ 1,005,143 $ 1,004,048 $ 1,002,528 12/31/93 $ 1,020,521 $ 1,021,920 $ 1,021,576 1/31/94 $ 1,031,849 $ 1,032,752 $ 1,031,792 2/28/94 $ 1,004,712 $ 1,012,614 $ 1,009,402 3/31/94 $ 977,283 $ 982,235 $ 976,495 4/30/94 $ 974,351 $ 990,682 $ 982,354 5/31/94 $ 980,002 $ 999,103 $ 990,410 6/30/94 $ 976,180 $ 997,804 $ 987,141 7/31/94 $ 989,066 $ 1,011,574 $ 1,000,270 8/31/94 $ 993,715 $ 1,015,924 $ 1,003,271 9/30/94 $ 978,411 $ 1,004,342 $ 991,132 10/31/94 $ 962,952 $ 991,587 $ 977,256 11/30/94 $ 938,782 $ 977,804 $ 959,274 12/31/94 $ 960,656 $ 994,427 $ 976,829 1/31/95 $ 978,140 $ 1,009,343 $ 995,389 2/28/95 $ 1,007,484 $ 1,033,769 $ 1,019,676 3/31/95 $ 1,016,451 $ 1,044,624 $ 1,027,834 4/30/95 $ 1,022,651 $ 1,047,653 $ 1,029,889 5/31/95 $ 1,050,978 $ 1,076,464 $ 1,055,327 6/30/95 $ 1,040,784 $ 1,071,943 $ 1,051,528 7/31/95 $ 1,051,504 $ 1,083,948 $ 1,060,992 8/31/95 $ 1,060,757 $ 1,098,473 $ 1,072,769 9/30/95 $ 1,067,122 $ 1,103,526 $ 1,076,631 10/31/95 $ 1,081,101 $ 1,116,989 $ 1,087,182 11/30/95 $ 1,098,183 $ 1,132,739 $ 1,099,032 12/31/95 $ 1,109,164 $ 1,140,441 $ 1,105,956 1/31/96 $ 1,115,598 $ 1,150,477 $ 1,114,140 2/29/96 $ 1,112,809 $ 1,145,300 $ 1,108,681 3/31/96 $ 1,096,116 $ 1,135,680 $ 1,097,927 4/30/96 $ 1,091,622 $ 1,134,430 $ 1,095,072 5/31/96 $ 1,091,841 $ 1,132,842 $ 1,093,649 6/30/96 $ 1,099,811 $ 1,143,038 $ 1,102,070 7/31/96 $ 1,114,109 $ 1,154,125 $ 1,111,547 8/31/96 $ 1,112,772 $ 1,153,894 $ 1,110,325 9/30/96 $ 1,124,122 $ 1,168,087 $ 1,121,539 10/31/96 $ 1,135,476 $ 1,180,119 $ 1,131,745 11/30/96 $ 1,154,892 $ 1,199,709 $ 1,149,400 12/31/96 $ 1,143,805 $ 1,196,709 $ 1,145,262 1/31/97 $ 1,147,694 $ 1,200,898 $ 1,146,980 2/28/97 $ 1,157,564 $ 1,210,985 $ 1,155,927 3/31/97 $ 1,144,715 $ 1,198,270 $ 1,143,790 4/30/97 $ 1,153,530 $ 1,207,257 $ 1,150,767 5/31/97 $ 1,168,872 $ 1,224,038 $ 1,165,381 6/30/97 $ 1,179,041 $ 1,236,401 $ 1,176,219 7/31/97 $ 1,209,342 $ 1,267,558 $ 1,204,213 8/31/97 $ 1,196,402 $ 1,257,798 $ 1,194,218 9/30/97 $ 1,208,366 $ 1,271,130 $ 1,205,922 10/31/97 $ 1,215,496 $ 1,278,884 $ 1,211,469 11/30/97 $ 1,222,424 $ 1,284,767 $ 1,216,315 12/31/97 $ 1,240,271 $ 1,301,212 $ 1,232,127 1/31/98 $ 1,250,814 $ 1,313,704 $ 1,242,723 2/28/98 $ 1,250,563 $ 1,315,149 $ 1,243,593 3/31/98 $ 1,250,689 $ 1,317,385 $ 1,243,842 4/30/98 $ 1,243,685 $ 1,310,007 $ 1,236,255 5/31/98 $ 1,264,703 $ 1,331,491 $ 1,255,293 6/30/98 $ 1,268,118 $ 1,337,217 $ 1,259,435 7/31/98 $ 1,273,444 $ 1,340,025 $ 1,261,576 8/31/98 $ 1,296,493 $ 1,359,857 $ 1,280,752 9/30/98 $ 1,314,125 $ 1,375,632 $ 1,295,865 10/31/98 $ 1,310,577 $ 1,378,658 $ 1,295,347 11/30/98 $ 1,312,150 $ 1,382,380 $ 1,297,290 12/31/98 $ 1,320,285 $ 1,386,666 $ 1,302,090 1/31/99 $ 1,338,505 $ 1,405,247 $ 1,317,454 2/28/99 $ 1,328,868 $ 1,398,643 $ 1,309,682 3/31/99 $ 1,327,008 $ 1,399,202 $ 1,308,372 4/30/99 $ 1,330,458 $ 1,403,819 $ 1,311,643 5/31/99 $ 1,321,011 $ 1,396,800 $ 1,303,511 6/30/99 $ 1,298,290 $ 1,378,782 $ 1,284,088 7/31/99 $ 1,307,378 $ 1,385,951 $ 1,289,867 8/31/99 $ 1,301,495 $ 1,383,041 $ 1,283,546 9/30/99 $ 1,303,187 $ 1,386,222 $ 1,284,060 10/31/99 $ 1,293,413 $ 1,377,488 $ 1,271,476 11/30/99 $ 1,305,959 $ 1,390,988 $ 1,284,318 12/31/99 $ 1,301,780 $ 1,385,007 $ 1,277,126 1/31/2000 $ 1,296,963 $ 1,381,267 $ 1,271,379 2/29/2000 $ 1,309,155 $ 1,392,317 $ 1,282,567 3/31/2000 $ 1,327,876 $ 1,413,063 $ 1,305,525 4/30/2000 $ 1,322,564 $ 1,408,117 $ 1,298,083 5/31/2000 $ 1,317,803 $ 1,403,329 $ 1,291,982 6/30/2000 $ 1,346,004 $ 1,435,466 $ 1,322,861 7/31/2000 $ 1,362,694 $ 1,451,686 $ 1,338,735 8/31/2000 $ 1,381,363 $ 1,469,687 $ 1,357,076 9/30/2000 $ 1,374,318 $ 1,466,013 $ 1,351,104 10/31/2000 $ 1,387,237 $ 1,479,794 $ 1,364,345 11/30/2000 $ 1,396,115 $ 1,488,524 $ 1,371,713 12/31/2000 $ 1,431,018 $ 1,518,890 $ 1,404,222 1/31/2001 $ 1,448,047 $ 1,537,725 $ 1,420,090 2/28/2001 $ 1,450,654 $ 1,540,185 $ 1,421,794 3/31/2001 $ 1,461,679 $ 1,554,663 $ 1,433,879 4/30/2001 $ 1,446,477 $ 1,544,868 $ 1,419,827 5/31/2001 $ 1,463,690 $ 1,560,626 $ 1,435,020 6/30/2001 $ 1,474,668 $ 1,568,897 $ 1,443,199 7/31/2001 $ 1,489,710 $ 1,587,097 $ 1,460,518 8/31/2001 $ 1,514,886 $ 1,611,538 $ 1,483,594 9/30/2001 $ 1,502,918 $ 1,603,480 $ 1,472,615 10/31/2001 $ 1,519,751 $ 1,619,355 $ 1,486,899 11/30/2001 $ 1,503,490 $ 1,607,047 $ 1,472,625 12/31/2001 $ 1,490,259 $ 1,596,602 $ 1,460,697 1/31/2002 $ 1,517,680 $ 1,623,584 $ 1,484,652 2/28/2002 $ 1,536,195 $ 1,644,528 $ 1,503,211 3/31/2002 $ 1,505,318 $ 1,614,434 $ 1,474,499 4/30/2002 $ 1,537,231 $ 1,646,884 $ 1,503,105 5/31/2002 $ 1,539,844 $ 1,653,142 $ 1,509,418 6/30/2002 $ 1,557,244 $ 1,671,822 $ 1,524,663 7/31/2002 $ 1,574,997 $ 1,689,711 $ 1,540,977 8/31/2002 $ 1,590,747 $ 1,708,805 $ 1,558,081 9/30/2002 $ 1,623,198 $ 1,739,221 $ 1,587,529 10/31/2002 $ 1,597,876 $ 1,715,046 $ 1,562,764 11/30/2002 $ 1,585,253 $ 1,705,613 $ 1,552,918 12/31/2002 $ 1,620,604 $ 1,740,067 $ 1,585,995 1/31/2003 $ 1,614,608 $ 1,738,153 $ 1,577,272 2/28/2003 $ 1,638,504 $ 1,761,270 $ 1,599,827 3/31/2003 $ 1,634,735 $ 1,761,446 $ 1,597,108 4/30/2003 $ 1,646,015 $ 1,771,839 $ 1,608,128 5/31/2003 $ 1,683,709 $ 1,808,339 $ 1,642,542 6/30/2003 $ 1,675,290 $ 1,800,925 $ 1,632,029 7/31/2003 $ 1,614,142 $ 1,749,778 $ 1,579,478 8/31/2003 $ 1,627,613 $ 1,762,727 $ 1,592,430
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares include performance of a predecessor account for the period dating back to 8/31/93, prior to the Fund's commencement of operations on 1/1/97. Returns for the Select Shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses for Class A and B Shares. Returns for the Institutional Shares prior to 9/10/01 (offering date of Institutional Shares) are calculated using the historical expenses of the of the Select Shares, which are higher than the expenses of the Institutional Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan New York Intermediate Tax Free Income Fund, Lehman NY Competitive Intermediate (1-17 maturities) Index, and Lipper New York Intermediate Municipal Debt Funds Average from August 31, 1993 to August 31, 2003. The performance of the Fund assumes reinvestment of all dividends. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The unmanaged Lehman NY Competitive Intermediate (1-17 maturities) Index represents the performance of NY municipal bonds with maturities from 1 to 17 years. The Lipper New York Intermediate Municipal Debt Funds Average describes the average total returns for all the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Capital gains distributions are subject to federal income tax, a portion of the Fund's income distributions may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 9 JPMorgan Tax Free Income Fund AS OF AUGUST 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2003 (In Millions) $ 721.4 Primary Benchmark LEHMAN MUNICIPAL BOND INDEX Average Credit Quality AA Duration 7.4 YEARS
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Free Income Fund, which seeks to provide monthly dividends that are excluded from gross income for Federal tax purposes, and to protect the value of your investment by investing primarily in municipal obligations, had a total return of 2.14% (Select Shares) for the one-year period ended August 31, 2003. This compares with a 3.13% return for its benchmark index, the Lehman Municipal Bond Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed its benchmark because it had a high-quality bias at a time when lower quality issues performed better. The Fund was overweight in insured paper and high-quality uninsured paper. We were underweight in hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. Then and now, we are concerned about the stability of these credits as municipalities continue to struggle with budget deficits. We plan to maintain our high-quality bias. Early in the period, a detractor was our overweight in the 5- to 15-year portion of the yield curve, which underperformed the 20- to 30-year portion. However, in the spring, we overweighted the 10- to 15-year part of the yield curve, which helped performance as the curve flattened. Q: HOW WAS THE FUND MANAGED? A: Because we expected the Fed to begin raising rates, we reduced our overweight in shorter maturities and adopted a more neutral yield curve stance. As Fed rate cuts continued and rate increases were delayed, we overweighted the 10- to 15-year part of the yield curve. Early in the period, we took overweight positions in non-callable and zero coupon bonds. We also took advantage of the heavy supply in both New York and California and overweighted those sectors, funding the purchases by selling general market paper. However, as spreads tightened in the spring, we reduced our New York holdings and took advantage of the heavy supply in California to overweight that sector. We continued to focus on high-quality liquid issues. We also took profits on long-term securities and sold callable paper because of historically tight spreads. 10 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------- CLASS A SHARES Without Sales Charge 2.15% 5.88% 4.59% 5.31% With Sales Charge* (2.40%) 4.29% 3.63% 4.82% ------------------------------------------------- CLASS B SHARES Without CDSC 1.11% 5.09% 4.12% 5.07% With CDSC** (3.75%) 4.18% 3.79% 5.07% ------------------------------------------------- SELECT SHARES# 2.14% 5.87% 4.58% 5.31%
* Sales Charge for Class A Shares is 4.50%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, a 2% CDSC for the five year period and 0% for the ten year period. # Formerly Institutional Shares [CHART] LIFE OF FUND PERFORMANCE (8/31/93 TO 8/31/03)
JPMORGAN TAX FREE INCOME LEHMAN MUNICIPAL LIPPER GENERAL MUNICIPAL FUND (SELECT SHARES) BOND INDEX DEBT FUNDS INDEX 8/31/93 $ 1,000,000 $ 1,000,000 $ 1,000,000 9/30/93 $ 1,015,400 $ 1,011,400 $ 1,011,500 10/31/93 $ 1,015,806 $ 1,013,322 $ 1,013,118 11/30/93 $ 1,009,305 $ 1,004,404 $ 1,002,886 12/31/93 $ 1,024,142 $ 1,025,597 $ 1,022,944 1/31/94 $ 1,033,666 $ 1,037,289 $ 1,034,196 2/28/94 $ 1,013,923 $ 1,010,423 $ 1,008,858 3/31/94 $ 990,907 $ 969,299 $ 966,688 4/30/94 $ 988,034 $ 977,538 $ 969,878 5/31/94 $ 992,183 $ 986,043 $ 978,413 6/30/94 $ 988,512 $ 980,028 $ 972,249 7/31/94 $ 998,299 $ 997,962 $ 988,972 8/31/94 $ 1,004,887 $ 1,001,455 $ 992,136 9/30/94 $ 996,346 $ 986,734 $ 976,758 10/31/94 $ 982,098 $ 969,170 $ 958,102 11/30/94 $ 959,706 $ 951,628 $ 938,365 12/31/94 $ 985,042 $ 972,564 $ 961,167 1/31/95 $ 1,007,206 $ 1,000,379 $ 990,387 2/28/95 $ 1,030,271 $ 1,029,490 $ 1,019,901 3/31/95 $ 1,041,192 $ 1,041,329 $ 1,029,284 4/30/95 $ 1,048,792 $ 1,042,579 $ 1,029,284 5/31/95 $ 1,070,607 $ 1,075,837 $ 1,062,118 6/30/95 $ 1,064,077 $ 1,066,477 $ 1,050,222 7/31/95 $ 1,072,696 $ 1,076,609 $ 1,057,048 8/31/95 $ 1,079,668 $ 1,090,282 $ 1,069,099 9/30/95 $ 1,083,231 $ 1,097,151 $ 1,075,834 10/31/95 $ 1,099,588 $ 1,113,059 $ 1,092,832 11/30/95 $ 1,113,443 $ 1,131,536 $ 1,114,580 12/31/95 $ 1,127,361 $ 1,142,399 $ 1,127,397 1/31/96 $ 1,136,154 $ 1,151,081 $ 1,132,809 2/29/96 $ 1,136,268 $ 1,143,254 $ 1,124,653 3/31/96 $ 1,117,178 $ 1,128,620 $ 1,107,445 4/30/96 $ 1,113,715 $ 1,125,460 $ 1,102,794 5/31/96 $ 1,113,715 $ 1,125,010 $ 1,103,456 6/30/96 $ 1,123,405 $ 1,137,272 $ 1,113,718 7/31/96 $ 1,133,290 $ 1,147,622 $ 1,123,296 8/31/96 $ 1,135,104 $ 1,147,392 $ 1,122,734 9/30/96 $ 1,149,520 $ 1,163,456 $ 1,139,912 10/31/96 $ 1,162,969 $ 1,176,603 $ 1,152,565 11/30/96 $ 1,182,856 $ 1,198,134 $ 1,172,735 12/31/96 $ 1,173,393 $ 1,193,102 $ 1,167,810 1/31/97 $ 1,173,393 $ 1,195,369 $ 1,167,693 2/28/97 $ 1,182,663 $ 1,206,367 $ 1,177,969 3/31/97 $ 1,167,643 $ 1,190,322 $ 1,163,479 4/30/97 $ 1,178,969 $ 1,200,321 $ 1,173,485 5/31/97 $ 1,195,946 $ 1,218,325 $ 1,190,384 6/30/97 $ 1,207,188 $ 1,231,362 $ 1,204,430 7/31/97 $ 1,243,283 $ 1,265,470 $ 1,240,563 8/31/97 $ 1,230,104 $ 1,253,575 $ 1,226,421 9/30/97 $ 1,245,234 $ 1,268,492 $ 1,241,874 10/31/97 $ 1,252,955 $ 1,276,611 $ 1,250,070 11/30/97 $ 1,260,473 $ 1,284,143 $ 1,257,195 12/31/97 $ 1,279,884 $ 1,302,891 $ 1,277,562 1/31/98 $ 1,293,579 $ 1,316,311 $ 1,289,826 2/28/98 $ 1,293,061 $ 1,316,706 $ 1,289,826 3/31/98 $ 1,293,191 $ 1,317,891 $ 1,291,116 4/30/98 $ 1,284,914 $ 1,311,960 $ 1,283,240 5/31/98 $ 1,308,814 $ 1,332,689 $ 1,304,029 6/30/98 $ 1,312,478 $ 1,337,887 $ 1,308,723 7/31/98 $ 1,316,416 $ 1,341,232 $ 1,311,341 8/31/98 $ 1,340,638 $ 1,362,021 $ 1,331,798 9/30/98 $ 1,358,602 $ 1,379,046 $ 1,347,646 10/31/98 $ 1,354,391 $ 1,379,046 $ 1,342,795 11/30/98 $ 1,358,047 $ 1,383,873 $ 1,347,360 12/31/98 $ 1,362,936 $ 1,387,332 $ 1,349,785 1/31/99 $ 1,381,336 $ 1,403,841 $ 1,364,498 2/28/99 $ 1,372,219 $ 1,397,665 $ 1,356,857 3/31/99 $ 1,370,024 $ 1,399,621 $ 1,357,400 4/30/99 $ 1,375,915 $ 1,403,120 $ 1,361,200 5/31/99 $ 1,365,183 $ 1,394,982 $ 1,351,536 6/30/99 $ 1,341,428 $ 1,374,895 $ 1,330,182 7/31/99 $ 1,345,453 $ 1,379,844 $ 1,332,576 8/31/99 $ 1,332,267 $ 1,368,805 $ 1,316,718 9/30/99 $ 1,329,603 $ 1,369,353 $ 1,313,295 10/31/99 $ 1,314,046 $ 1,354,564 $ 1,295,040 11/30/99 $ 1,328,238 $ 1,368,922 $ 1,307,343 12/31/99 $ 1,318,542 $ 1,358,655 $ 1,294,923 1/31/2000 $ 1,313,004 $ 1,352,813 $ 1,284,564 2/29/2000 $ 1,329,023 $ 1,368,506 $ 1,302,805 3/31/2000 $ 1,356,932 $ 1,398,476 $ 1,331,336 4/30/2000 $ 1,348,655 $ 1,390,225 $ 1,322,150 5/31/2000 $ 1,338,675 $ 1,382,996 $ 1,313,291 6/30/2000 $ 1,373,079 $ 1,419,645 $ 1,347,174 7/31/2000 $ 1,394,362 $ 1,439,378 $ 1,365,900 8/31/2000 $ 1,413,464 $ 1,461,545 $ 1,387,345 9/30/2000 $ 1,405,408 $ 1,453,945 $ 1,378,743 10/31/2000 $ 1,420,164 $ 1,469,793 $ 1,393,082 11/30/2000 $ 1,432,520 $ 1,480,963 $ 1,402,276 12/31/2000 $ 1,472,487 $ 1,517,543 $ 1,438,455 1/31/2001 $ 1,482,647 $ 1,532,567 $ 1,449,243 2/28/2001 $ 1,490,060 $ 1,537,471 $ 1,456,055 3/31/2001 $ 1,500,491 $ 1,551,308 $ 1,468,286 4/30/2001 $ 1,473,632 $ 1,534,554 $ 1,447,730 5/31/2001 $ 1,491,021 $ 1,551,127 $ 1,464,234 6/30/2001 $ 1,503,546 $ 1,561,520 $ 1,476,387 7/31/2001 $ 1,525,497 $ 1,584,630 $ 1,499,714 8/31/2001 $ 1,554,634 $ 1,610,777 $ 1,526,709 9/30/2001 $ 1,545,617 $ 1,605,300 $ 1,514,190 10/31/2001 $ 1,567,565 $ 1,624,403 $ 1,529,937 11/30/2001 $ 1,546,560 $ 1,610,758 $ 1,514,332 12/31/2001 $ 1,528,001 $ 1,595,456 $ 1,498,280 1/31/2002 $ 1,555,352 $ 1,623,057 $ 1,521,653 2/28/2002 $ 1,577,594 $ 1,642,696 $ 1,540,065 3/31/2002 $ 1,540,047 $ 1,610,499 $ 1,510,804 4/30/2002 $ 1,574,698 $ 1,641,904 $ 1,538,301 5/31/2002 $ 1,582,729 $ 1,651,920 $ 1,547,838 6/30/2002 $ 1,600,456 $ 1,669,430 $ 1,562,697 7/31/2002 $ 1,623,502 $ 1,690,966 $ 1,582,700 8/31/2002 $ 1,641,848 $ 1,711,257 $ 1,598,210 9/30/2002 $ 1,684,372 $ 1,748,734 $ 1,632,252 10/31/2002 $ 1,647,652 $ 1,719,705 $ 1,597,485 11/30/2002 $ 1,635,460 $ 1,712,482 $ 1,591,575 12/31/2002 $ 1,675,856 $ 1,748,615 $ 1,627,385 1/31/2003 $ 1,666,303 $ 1,744,244 $ 1,617,295 2/28/2003 $ 1,691,798 $ 1,768,663 $ 1,641,878 3/31/2003 $ 1,692,644 $ 1,769,725 $ 1,639,251 4/30/2003 $ 1,703,476 $ 1,781,405 $ 1,654,004 5/31/2003 $ 1,747,597 $ 1,823,090 $ 1,693,370 6/30/2003 $ 1,735,189 $ 1,815,250 $ 1,684,564 7/31/2003 $ 1,663,699 $ 1,751,717 $ 1,627,120 8/31/2003 $ 1,677,221 $ 1,764,854 $ 1,639,161
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 1/1/97. Returns for the Select Shares include performance of a predecessor account for the period dating back to 8/31/93, prior to the Fund's commencement of operations on 1/1/97. Returns prior to 1/1/97 for the Select Shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. Returns for Class A and B Shares prior to 2/16/01 (offering date of Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses for Class A and B Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Free Income Fund, Lehman Municipal Bond Index, and Lipper General Municipal Debt Funds Index from August 31, 1993 to August 31, 2003. The performance of the Fund assumes reinvestment of all dividends. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Lehman Municipal Bond Index is a broad-based index that replicates the long-term, investment grade tax-exempt bond market. The Lipper General Municipal Debt Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Capital gains distributions are subject to federal income tax, a portion of the Fund's income distributions may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 11 JPMorgan California Bond Fund PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.3% STATE AND MUNICIPAL OBLIGATIONS -- 96.3% CALIFORNIA -- 84.5% $ 250 Bell Community Redevelopment Agency, Tax Allocation, Bell Redevelopment Project Area, FSA, 6.30%, 11/1/13 @+ $ 257 260 Burlingame Financing Authority, Rev., 4.75%, 10/15/11 + 276 1,000 California Educational Facilities Authority, Claremont University Center, Ser. 1998-C, Rev., 1.73%, 5/1/28 + 1,001 140 California Educational Facilities Authority, Dominican University, Rev., 4.85%, 12/1/06 + 150 750 California Educational Facilities Authority, Stanford University, Ser. P, Rev., 5.25%, 12/1/13 + 829 1,100 California Educational Facilities Authority, University of Southern California, Ser. A, Rev., 5.60%, 10/1/06 + 1,224 1,460 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., 7.00%, 12/1/12 + 1,785 540 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., (p), 7.00%, 12/1/12 + 674 3,335 California State Department of Water Resources, Rev., 5.50%, 12/1/08 + 3,788 665 California State Department of Water Resources, Rev., (p), 5.50%, 12/1/08 + 759 4,461 California State University, California State Polytechnic University Pamona, Campus Energy Project, Tax Exempt Master Lease, Rev., 5.06%, 3/15/14 + 4,641 120 California State, GO, (p), MBIA-IBC, 6.25%, 10/1/19 + 122 1,675 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 7/1/09 + 1,833 1,840 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 7/1/13 + 2,020 490 Carson Redevelopment Agency, Redevelopment Project Area No. 1, Tax Allocation, MBIA, 5.50%, 10/1/14 + 549 $ 150 Coachella Valley Recreation & Park District, Improvement Bond Act of 1915, Reassessment District 1, Special Assessment, MBIA, 4.63%, 9/2/10 + $ 161 1,500 Contra Costa Transportation Authority, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 3/1/06 + 1,651 1,850 Contra Costa Water District, Ser. G, Rev., (p), MBIA, 5.75%, 10/1/04 + 1,980 2,500 Contra Costa Water District, Ser. K, Rev., FSA, 5.50%, 10/1/11 + 2,808 2,505 Corona Community Facilities District, Corona Facilities, No. 97-2, Eagle Glen, Special Tax, 5.75%, 9/1/16 + 2,506 2,500 Duarte Redevelopment Agency, Single Family Mortgage, Mortgage Backed Securities Program, Ser. A, Rev., (p), 6.88%, 11/1/11 + 3,072 1,310 El Monte City School District, Ser. A, GO, FSA, 6.25%, 5/1/20 + 1,467 1,000 Fallbrook Union High School District, San Diego County, GO, FGIC, 5.38%, 9/1/12 + 1,110 1,000 Foothill Eastern Transportation Corridor Agency, California Toll Road, Senior Lien, Ser. A, Rev., (p), 6.00%, 1/1/07 + 1,124 1,000 Fremont-Newark Community College District, Ser. A, GO, MBIA, 5.50%, 8/1/13 + 1,105 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 7/1/10 + 112 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 7/1/11 + 111 545 Golden West Schools Financing Authority, Ser. A, Rev., MBIA, 5.80%, 2/1/16 + 622 1,000 Long Beach, California, Long Beach Harbor, Rev., MBIA, 6.00%, 5/15/06 + 1,087 500 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 9/1/11 + 558
SEE NOTES TO FINANCIAL STATEMENTS. 12
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,395 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 9/1/13 + $ 1,537 1,000 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 9/1/14 1,110 1,000 Los Angeles County Public Works Financing Authority, Multiple Capital Facilities Project, Ser. B, Rev., AMBAC, 6.00%, 12/1/07 1,145 4,255 Los Angeles Harbor Department, Ser. A, Rev., AMBAC, 5.50%, 8/1/05 + 4,553 4,405 Los Angeles Unified School District, COP, Ser. B, FSA, 5.00%, 10/1/06 + 4,818 125 Los Angeles Unified School District, Ser. A, GO, FGIC, 6.00%, 7/1/15 + 146 1,300 Los Angeles, California, American Academy of Dramatic Arts, COP, Ser. A, Adj., 4.70%, 11/1/30 + 1,372 500 Los Angeles, California, Department of Water & Power Systems, Ser. A-A-1, Rev., 5.25%, 7/1/04 @+ 517 5,110 Los Angeles, California, Sonnenblick Del Rio, West Los Angeles, COP, AMBAC, 6.13%, 11/1/15 + 5,818 1,000 Los Angeles, California, Water & Power Systems, Ser. B, Rev. FSA, 5.13%, 7/1/15 + 1,073 1,000 Los Angeles, California, Water & Power Systems, Ser. B, Rev. FSA, 5.13%, 7/1/16 + 1,059 1,000 Modesto Irrigation District Financing Authority, Ser. A, Rev., MBIA, 5.45%, 10/1/07 1,113 1,300 Mojave Unified School District School Facilities Improvement District No. 1, GO, FGIC, 5.25%, 8/1/18 1,362 1,255 Mountain View/Santa Clara County, Capital Projects, COP, 5.00%, 8/1/14 + 1,334 1,385 Mountain View/Santa Clara County, Capital Projects, COP, 5.25%, 8/1/16 + 1,476 1,485 Mountain View/Santa Clara County, Capital Projects, COP, 5.25%, 8/1/18 + 1,569 $ 4,750 Northern California Power Agency, California-Oregon Transportation Project, Ser. A, Rev., MBIA, 7.00%, 5/1/13 $ 5,781 560 Northern California Power Agency, Public Power, Ser. A, Rev., AMBAC, 5.80%, 7/1/09 642 1,000 Orange County Local Transportation Authority, Measure M, 2nd Ser., Sales Tax, Ser. A, Rev., MBIA, 5.25%, 2/15/05 1,057 2,000 Orange County Public Financing Authority, Waste Management Systems, Rev., AMBAC, 5.75%, 12/1/09 2,257 600 Pacifica, California, Street Improvement Project, COP, AMBAC, 5.75%, 11/1/19 660 2,000 Pasadena, California, Old Pasadena Packing Facilities Project, COP, 6.25%, 1/1/18 2,276 2,490 Pittsburg Redevelopment Agency, Tax Allocation, Los Medanos Community Development Project, Ser. A, MBIA, 5.25%, 8/1/15 2,730 425 Port of Oakland, Ser. K, Rev., FGIC, 5.25%, 11/1/07 468 360 Rancho Water District Financing Authority, Ser. A, Rev., FSA, 5.50%, 8/1/10 405 1,210 Richmond, California, Taxable Limited Obligation Pension, Ser. A, GO, MBIA, 7.02%, 8/1/05 1,316 35 Richmond, California, Wastewater, Rev., FGIC, 5.20%, 8/1/11 38 1,250 Riverside County Transportation Commission, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 6/1/09 1,436 250 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.25%, 12/1/12 272 150 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.75%, 12/1/10 172 1,200 Sacramento Regional County Sanitation District, GO, 5.00%, 8/1/04 1,242
SEE NOTES TO FINANCIAL STATEMENTS. 13
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,000 San Bernardino, California, Single Family Mortgage, Ser. A, Rev., (p), 7.50%, 5/1/23 $ 1,294 1,200 San Diego County Regional Transportation Commission, Sales Tax, 2nd Ser., Ser. A, Rev., AMBAC, 6.00%, 4/1/06 1,325 1,170 San Francisco City & County Airports Commission, International Airport, Issue 27-B, 2nd Ser., Rev., FGIC, 5.25%, 5/1/13 1,263 1,000 San Francisco City & County Airports Commission, Issue 15-B, 2nd Ser., Rev., FSA, 5.50%, 5/1/06 1,094 2,000 San Francisco City & County Redevelopment Financing Authority, San Francisco Redevelopment Project, Tax Allocation, Ser. B, FGIC, 5.00%, 8/1/11 2,174 1,005 San Francisco City & County Redevelopment Financing Authority, San Francisco Redevelopment Project, Tax Allocation, Ser. C, FGIC, 5.25%, 8/1/15 1,089 5,000 San Jose Financing Authority, Civic Center Project, Ser. D, Adj., Rev., AMBAC, 5.00%, 6/1/38 5,398 1,240 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 8/1/07 1,407 3,000 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 8/1/15 3,498 4,000 San Marcos University Corp., Auxiliary Organization, Rev. Adj., 3.35%, 7/1/32 4,123 585 San Mateo County Community College District, Election of 2001, Ser. A, GO, FGIC, 5.38%, 9/1/19 619 250 San Mateo County Joint Powers Authority, Capital Projects Program, Rev., MBIA, 6.50%, 7/1/15 303 2,445 Santa Ana Financing Authority, Police Administration & Holding Facility, Ser. A, Rev., MBIA, 6.25%, 7/1/24 2,812 $ 1,000 Santa Clara County Financing Authority, Ser. A, Rev., AMBAC, 5.75%, 11/15/13 $ 1,142 2,605 South Bayside Waste Management Authority, Solid Waste System, Rev., AMBAC, 6.13%, 3/1/17 2,947 1,200 South Orange County Public Financing Authority, Special Tax, Senior Lien, Ser. A, (p), MBIA, 6.20%, 9/1/03 1,224 5,000 South Orange County Public Financing Authority, Special Tax, Senior Lien, Ser. A, MBIA, 5.00%, 9/1/12 5,408 3,725 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 1/1/14 4,146 1,000 Turlock Irrigation District, Ser. A, Rev., MBIA, 6.00%, 1/1/07 1,117 1,000 University of California, UC Medical Center, Rev., AMBAC, 10.00%, 7/1/06 1,217 4,000 Walnut Valley Unified School District, Ser. A, GO, MBIA, 7.20%, 2/1/16 4,885 -------------------------------------------------------------- 138,621 -------------------------------------------------------------- CONNECTICUT -- 1.5% 2,040 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.68%, 12/15/09 + 2,526 MICHIGAN -- 1.3% 2,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 2,196 NEW YORK -- 0.6% 1,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 6/1/08 995 PUERTO RICO -- 8.2% 115 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 7/1/07 124
SEE NOTES TO FINANCIAL STATEMENTS. 14
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PUERTO RICO -- CONTINUED $ 1,280 Puerto Rico Commonwealth, Public Improvement, GO, (p), MBIA-IBC, 3.00%, 7/1/06 $ 1,285 4,250 Puerto Rico Commonwealth, Public Improvement, GO, MBIA-IBC, 6.00%, 7/1/29 4,647 2,500 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 7/1/18 2,683 3,000 Puerto Rico Electric Power Authority, Ser. BB, Rev., MBIA, 6.00%, 7/1/11 3,474 125 Puerto Rico Electric Power Authority, Ser. Z, Rev., 5.10%, 7/1/06 134 420 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 7/1/15 472 500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 5.75%, 8/1/13 560 -------------------------------------------------------------- 13,379 -------------------------------------------------------------- VIRGIN ISLANDS -- 0.2% 375 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/1/10 391 -------------------------------------------------------------- Total State and Municipal Obligations 158,108 (Cost $150,929) -------------------------------------------------------------- SHARES ISSUER VALUE - ----------------------------------------------------------------------------------- SHORT TERM INVESTMENTS -- 3.7% MONEY MARKET FUND -- 3.7% 6,102 JPMorgan Tax Free Money Market Fund (a) $ 6,102 (Cost $6,102) -------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 164,210 (COST $157,031) --------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 125 Eurodollar December, 2004 $ 30,350 $ 58 126 Eurodollar June, 2004 30,895 47
SEE NOTES TO FINANCIAL STATEMENTS. 15 JPMorgan Intermediate Tax Free Income Fund PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.8% STATE AND MUNICIPAL OBLIGATIONS -- 96.8% ALABAMA -- 1.6% $ 8,485 Alabama Public School & College Authority, Capital Improvement, Ser. D, Rev., 5.25%, 8/1/05 + $ 9,076 5,000 Jefferson County, Capital Improvements, Ser. D., Rev., FGIC, (p), 5.00%, 8/1/12 + 5,434 10,360 Jefferson County, Capital Improvements, Ser. D, Rev., (p), FGIC, 5.00%, 8/1/12 + 11,259 1,000 Shelby County Board of Education, Capital Outlay School Warrants, AMBAC, 5.70%, 2/1/09 1,071 -------------------------------------------------------------- 26,840 -------------------------------------------------------------- ARIZONA -- 0.4% 2,435 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 7/1/09 + 2,658 4,005 Phoenix IDA, Single Family Mortgage, Ser. 2-A, Adj., Rev, 3.50%, 3/1/28 4,281 -------------------------------------------------------------- 6,939 -------------------------------------------------------------- CALIFORNIA -- 9.7% 5,000 Alameda County, COP, Ser. A, MBIA, 5.38%, 12/1/10 + 5,616 1,725 Alvord Unified School District, Ser. A, GO, MBIA, 5.90%, 2/1/17 + 1,979 3,520 Anaheim Public Financing Authority, Convention Center Project, Ser. A, Rev., AMBAC, 5.50%, 8/1/11 + 3,946 1,795 Anaheim Public Financing Authority, Distribution System, Ser. A, Rev., MBIA, 5.00%, 10/1/18 + 1,854 2,180 Anaheim Public Financing Authority, Electric System Generation, Ser. B, Rev., FSA, 5.25%, 10/1/14 + 2,366 1,840 California State Department of Water Resources, Central Valley Project, Ser. J-1, Adj., Rev, 7.00%, 12/1/12 + 2,245 500 California State Department of Water Resources, Central Valley Project, Ser. J-1, Rev., (p), 7.00%, 12/1/12 + 620 $ 9,485 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 7/1/09 + $ 10,381 3,145 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 7/1/15 + 3,404 3,310 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 7/1/16 + 3,553 1,855 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 7/1/19 + 1,944 1,500 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 7/1/20 + 1,560 4,265 Coast Community College District, Election 2002, Ser. A, GO, MBIA, 5.00%, 8/1/17 + 4,439 2,435 Coast Community College District, Election 2002, Ser. A, GO, MBIA, 5.00%, 8/1/20 + 2,476 2,000 Coast Community College District, Election 2002, Ser. A, GO, MBIA, 5.00%, 8/1/21 + 2,018 10,435 Contra Costa Water District, Ser. K, Rev., FSA, 5.50%, 10/1/14 + 11,531 1,115 Gilroy Unified School District, Measure J Capital Projects, COP, MBIA, 5.50%, 9/1/11 + 1,251 1,000 Los Angeles Community Redevelopment Agency, Tax Allocation, Hollywood Redevelopment Project, Ser. C, MBIA, 5.50%, 7/1/16 + 1,115 3,000 Los Angeles County Metropolitan Transportation Authority, Sales Tax, 1st Ser., Ser. B, Rev., FSA, 5.25%, 7/1/11 + 3,310 2,500 Los Angeles County Public Works Financing Authority, Ser. A, Rev., MBIA, 6.00%, 9/1/06 + 2,797
SEE NOTES TO FINANCIAL STATEMENTS. 16
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,675 Los Angeles Unified School District, Election of 1997, Ser. E, GO, MBIA, 5.00%, 7/1/11 + $ 1,820 1,015 Los Angeles Unified School District, Ser. A, GO, FGIC, 6.00%, 7/1/08 + 1,165 7,555 Los Angeles Unified School District, Ser. A, GO, MBIA, 5.38%, 7/1/17 + 8,115 1,805 Los Angeles Unified School District, Ser. B, GO, (p), FGIC, 5.38%, 7/1/08 + 2,055 4,090 Los Angeles Unified School District, Ser. D, GO, (p), FGIC, 5.50%, 7/1/10 + 4,649 4,825 Los Angeles, California, Ser. A, GO, (p), 5.00%, 9/1/11 + 5,287 3,000 Oakland Redevelopment Agency, Central District Redevelopment, Tax Allocation, FGIC, 5.50%, 9/1/18 3,221 7,895 Oakland Redevelopment Agency, Central District Redevelopment, Tax Allocation, FGIC, 5.50%, 9/1/19 8,414 1,460 Pleasant Valley School District-Ventura County, Ser. A, GO, MBIA, 5.85%, 2/1/18 1,670 3,150 Rancho Santiago Community College, Election of 2002, Ser. A, GO, MBIA, 5.00%, 9/1/16 3,308 17,075 San Jose Financing Authority, Civic Center Project, Ser. D, Adj., Rev., AMBAC, 5.00%, 6/1/38 18,435 2,045 San Marcos Public Facilities Authority, Tax Allocation, Project Areas No. 1-2-3, Ser. A, FGIC, 5.25%, 8/1/17 2,177 2,835 Solano County, COP, MBIA, 5.00%, 11/1/11 3,089 2,000 Solano County, COP, MBIA, 5.25%, 11/1/13 2,184 2,000 Solano County, COP, MBIA, 5.25%, 11/1/16 2,146 5,500 Southern California Public Power Authority, Power Project, San Juan Power, Ser. B, Adj., Rev., FSA, 5.25%, 1/1/20 5,996 5,150 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.38%, 1/1/12 5,679 $ 5,000 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 1/1/13 $ 5,564 3,205 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 1/1/14 3,567 1,295 Tulare County, Ser. G, Rev., 6.40%, 6/1/14 (i)+ 1,295 -------------------------------------------------------------- 158,241 -------------------------------------------------------------- COLORADO -- 0.3% 1,000 La Plata County School District No. 9-R, Durango, GO, MBIA, 5.00%, 11/1/10 + 1,097 1,000 La Plata County School District No. 9-R, Durango, GO, MBIA, 5.25%, 11/1/14 + 1,092 1,000 La Plata County School District No. 9-R, Durango, GO, MBIA, 5.25%, 11/1/15 + 1,083 1,000 La Plata County School District No. 9-R, Durango, GO, MBIA, 5.25%, 11/1/16 + 1,073 1,000 La Plata County School District No. 9-R, Durango, GO, MBIA, 5.25%, 11/1/18 + 1,055 -------------------------------------------------------------- 5,400 -------------------------------------------------------------- CONNECTICUT -- 2.6% 4,735 Connecticut State Special Tax, Transportation Infrastructure, Tax Obligation, Ser. A, Rev., TRAN, (p), FGIC, 5.40%, 6/1/05 + 5,115 19,405 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.68%, 12/15/09 + 24,031 7,240 Connecticut State, Ser. B, GO, (p), 5.88%, 6/15/10 + 8,340 3,905 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 4/1/13 4,313 -------------------------------------------------------------- 41,799 -------------------------------------------------------------- DISTRICT OF COLUMBIA -- 1.8% 770 District of Columbia, Ser. A, GO, (p), MBIA-IBC, 6.00%, 6/1/07 + 874 6,465 District of Columbia, Ser. A, GO, MBIA, 5.00%, 6/1/14 + 6,814
SEE NOTES TO FINANCIAL STATEMENTS. 17
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED DISTRICT OF COLUMBIA -- CONTINUED $ 11,455 District of Columbia, Ser. A, GO, MBIA, 5.00%, 6/1/15 + $ 11,970 2,450 District of Columbia, Ser. A, GO, MBIA-IBC, 6.00%, 6/1/07 + 2,752 6,795 District of Columbia, Ser. C, GO, (p), FGIC, 5.25%, 12/1/03 + 6,865 -------------------------------------------------------------- 29,275 -------------------------------------------------------------- FLORIDA -- 3.1% 2,610 Coral Springs Improvement District, Water & Sewer, GO, MBIA, 6.00%, 6/1/10 + 2,899 1,750 Dade County, Aviation, Ser. B, Rev., AMBAC, 6.40%, 10/1/06 + 1,868 1,495 Florida State Board of Education, Capital Outlay, Public Education, Ser. B, GO, 5.25%, 6/1/12 + 1,642 2,000 Florida State Department of Corrections, Okeechobee Correctional, COP, AMBAC, 6.00%, 3/1/08 + 2,151 30,000 Orlando Utilities Commission, Water & Electric, Multi-Modal, Ser. A, Adj., Rev., 4.10%, 10/1/23 31,882 10,250 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., BAN, 3.25%, 9/1/03 (i) 10,251 -------------------------------------------------------------- 50,693 -------------------------------------------------------------- GEORGIA -- 1.9% 1,720 Forsyth County School District, GO, 5.00%, 7/1/12 + 1,849 2,630 Fulton County School District, GO, 6.38%, 5/1/14 + 3,147 1,250 Georgia Municipal Electric Authority, Power, Ser. A, Rev., 6.50%, 1/1/12 + 1,444 5,000 Georgia Municipal Electric Authority, Power, Ser. DD, Rev., MBIA-IBC, 7.00%, 1/1/08 + 5,848 6,000 Georgia State, Ser. B, GO, 7.20%, 3/1/07 + 6,961 $ 3,000 Georgia State, Ser. B, GO, 6.30%, 3/1/10 + $ 3,502 2,500 Gwinnette County School District, Ser. B, GO, 6.40%, 2/1/08 + 2,880 5,000 Metropolitan Atlanta Rapid Transportation Authority, Ser. P, Rev., AMBAC, 6.25%, 7/1/11 + 5,890 -------------------------------------------------------------- 31,521 -------------------------------------------------------------- HAWAII -- 0.1% 2,000 Honolulu City & County, Ser. A, GO, 7.35%, 7/1/06 + 2,288 ILLINOIS -- 4.7% 1,500 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 7.00%, 1/1/08 + 1,768 10,000 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 5.50%, 12/1/12 + 11,245 10,025 Chicago Metropolitan Water Reclamation District, GO, 5.50%, 12/1/09 + 11,301 6,055 Chicago O'Hare International Airport, Passenger Facilities Charge, Ser. A, Rev., AMBAC, 5.38%, 1/1/07 + 6,551 1,245 Chicago Park District, Harbor Facilities, Rev., (p), 5.38%, 1/1/06 + 1,345 4,150 Chicago, Wastewater Transmission, Second Lien, Rev., MBIA, 5.50%, 1/1/18 + 4,579 2,882 Illinois Development Finance Authority, IDR, Rev. 4.90%, 8/1/28 (i)+ 3,022 12,970 Illinois Educational Facilities Authority, DePaul University, Ser. A, Rev., AMBAC, 5.00%, 9/1/18 + 13,154 1,665 Illinois Health Facilities Authority, Rev., 6.63%, 2/15/12 + 1,883 3,770 Illinois Health Facilities Authority, Riverside Health Systems, Rev., 6.75%, 11/15/10 + 4,352 1,810 Illinois State, 1st Ser., GO, 5.25%, 8/1/05 + 1,935
SEE NOTES TO FINANCIAL STATEMENTS. 18
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 2,565 Illinois State, 1st Ser., GO, 5.50%, 8/1/06 + $ 2,814 4,000 Illinois State, 1st Ser., GO, 5.50%, 8/1/07 + 4,439 770 Illinois State, GO, 5.50%, 8/1/06 + 810 2,000 Illinois State, GO, (p), MBIA, 5.25%, 6/1/08 + 2,252 50 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., 8.50%, 6/15/06 + 59 1,330 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., (p), 8.50%, 6/15/06 + 1,568 1,000 Regional Transportation Authority, Ser. B, GO, AMBAC, 6.40%, 6/1/12 1,175 2,810 Regional Transportation Authority, Ser. D, Rev., FGIC, 7.75%, 6/1/07 3,324 -------------------------------------------------------------- 77,576 -------------------------------------------------------------- INDIANA -- 1.3% 10,560 Indiana Housing Finance Authority, Single Family Mortgage, Ser. B-2, Rev., 4.00%, 1/1/34 + 11,031 10,615 Indiana Housing Finance Authority, Single Family Mortgage, Ser. D-2, Rev., 3.60%, 1/1/32 + 10,654 -------------------------------------------------------------- 21,685 -------------------------------------------------------------- IOWA -- 0.5% 2,095 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 2/15/15 + 2,302 2,385 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 2/15/16 + 2,613 2,440 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 2/15/17 + 2,653 -------------------------------------------------------------- 7,568 -------------------------------------------------------------- KENTUCKY -- 0.0% ^ 40 Owensboro, Kentucky, Electric Light & Power, Rev., (p), 10.50%, 1/1/04 41 LOUISIANA -- 0.2% $ 3,500 Lake Charles Harbor & Terminal District, Reynolds Metals Co. Project, Rev., 5.50%, 5/1/06 + $ 3,500 MARYLAND -- 1.4% 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.75%, 12/15/08 + 3,208 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.80%, 12/15/09 + 3,210 6,500 Maryland State Transportation Authority, Transportation Facilities Project, Special Obligation, Rev., 5.80%, 7/1/06 + 7,173 9,238 State of Maryland, Tax Exempt MSR Lease, 5.19%, 7/1/16 (i) 9,854 -------------------------------------------------------------- 23,445 -------------------------------------------------------------- MASSACHUSETTS -- 4.5% 5,650 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., 7.00%, 3/1/08 + 6,617 2,045 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., MBIA, 5.50%, 3/1/14 + 2,262 6,750 Massachusetts Health and Educational Facilities Authority, Harvard University, Ser. Z, Rev., 5.00%, 1/15/07 + 7,314 1,420 Massachusetts State College Building Authority, Ser. A, Rev., 7.50%, 5/1/11 + 1,769 10,000 Massachusetts State Turnpike Authority, Ser. A, Rev., (p), 5.00%, 1/1/13 + 10,858 9,500 Massachusetts State Water Pollution Abatement, MWRA Program, Sub Ser. A, Rev., 6.00%, 8/1/15 + 10,639 2,000 Massachusetts State Water Resources Authority, Ser. A, Rev., FSA, 5.50%, 8/1/13 + 2,234 3,000 Massachusetts State Water Resources Authority, Ser. C, Rev., FGIC, 5.25%, 12/1/15 + 3,283
SEE NOTES TO FINANCIAL STATEMENTS. 19
PRINCIPAL AMOUNT ISSUER VALUE - ----------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 5,000 Massachusetts State, CONS, Ser. C, GO, (p), 5.75%, 10/1/10 + $ 5,683 18,545 Massachusetts State, Federal Highway, Ser. A, Rev., GAN, FSA, 5.75%, 12/15/12 + 20,821 1,210 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 5/1/09 1,309 1,000 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 5/1/10 1,081 -------------------------------------------------------------- 73,870 -------------------------------------------------------------- MICHIGAN -- 6.4% 3,910 Grand Rapids, Michigan, Water Supply, Rev., FGIC, 5.75%, 1/1/13 + 4,354 13,050 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 6.25%, 11/15/09 + 15,491 10,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 + 10,981 2,905 Michigan State Hospital Finance Authority, Mercy Health Services, Ser. T, Rev., 5.75%, 8/15/04 + 3,015 3,755 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/1/05 + 4,060 4,160 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/1/11 + 4,682 4,405 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/1/12 + 4,929 10,750 Michigan State Trunk Line, Ser. A, Rev., 5.25%, 11/1/13 + 11,783 3,565 Michigan State Underground Storage Tank Financial Assurance Authority, Ser. I, Rev., AMBAC, 5.75%, 5/1/10 + 3,887 9,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 4.60%, 6/1/14 + 9,115 $ 16,000 Monroe County Economic Development Corp., Limited Obligation, Detroit Edison Co., Ser. CC, Rev., Adj. AMBAC, 4.65%, 10/1/24 + $ 16,824 10,000 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.25%, 12/1/06 10,864 3,780 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.50%, 12/1/07 4,185 -------------------------------------------------------------- 104,170 -------------------------------------------------------------- MINNESOTA -- 0.9% 5,000 University of Minnesota, Ser. A, Rev., 5.75%, 7/1/10 5,678 8,000 University of Minnesota, Ser. A, Rev., 5.75%, 7/1/15 9,120 -------------------------------------------------------------- 14,798 -------------------------------------------------------------- MISSISSIPPI -- 1.3% 2,505 Mississippi Higher Education Assistance Corp., Ser. B, Rev., 5.60%, 9/1/04 + 2,536 4,000 Mississippi State, Capital Improvements Issue, Ser. I, GO, (p), 5.50%, 11/1/06 + 4,446 2,000 Mississippi State, GO, 5.75%, 12/1/12 + 2,272 10,870 Mississippi State, GO, (p), 6.20%, 2/1/08 + 12,390 -------------------------------------------------------------- 21,644 -------------------------------------------------------------- MISSOURI -- 1.9% 17,685 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. C-1, Adj., Rev., 3.50%, 9/1/34 + 18,664 9,750 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. B-1, Adj., Rev., 3.50%, 9/1/34 + 10,248
SEE NOTES TO FINANCIAL STATEMENTS. 20
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MISSOURI -- CONTINUED $ 1,105 Missouri State Environmental Improvement & Energy Resources Authority, State Revolving Funds Program, Ser. B, Rev., 5.50%, 7/1/12 + $ 1,242 1,265 Missouri State Health & Educational Facilities Authority, University of Missouri, Columbia Arena Project, Rev., 5.00%, 11/1/11 + 1,379 ---------------------------------------------------------------------- 31,533 ---------------------------------------------------------------------- NEBRASKA -- 0.3% 5,245 NEBHELP, Inc., Sub Ser. A-5B, Rev., MBIA, 6.20%, 6/1/13 5,628 NEVADA -- 0.6% 8,200 Clark County School District, Ser. A, GO, MBIA, 7.00%, 6/1/11 + 9,904 NEW HAMPSHIRE -- 0.3% 4,900 New Hampshire Higher Educational & Health Facilities Authority, Dartmouth College, Rev., 6.75%, 6/1/07 5,652 NEW JERSEY -- 2.2% 3,245 Elizabeth, New Jersey, GO, AMBAC, 6.25%, 8/15/08 + 3,562 955 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., (p), MBIA, 5.80%, 7/1/04 1,011 3,490 New Jersey State Turnpike Authority, Rev., (p), 5.70%, 5/1/13 3,902 3,260 New Jersey State Turnpike Authority, Ser. G, Rev., (p), 5.75%, 1/1/09 3,586 10,000 New Jersey State, GO, 5.50%, 5/1/07 11,090 2,630 New Jersey Transportation Trust Fund Authority, Ser. B, Rev., (p), MBIA, 5.50%, 6/15/05 2,876 $ 4,570 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 6/15/15 $ 5,167 4,370 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 5.50%, 6/15/09 4,721 ---------------------------------------------------------------------- 35,915 ---------------------------------------------------------------------- NEW MEXICO -- 0.8% 5,570 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. A-2, Rev., 5.25%, 3/1/34 5,876 3,000 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. D, Adj., Rev., 3.25%, 9/1/33 + 3,219 3,125 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. PG, Class C-2, Rev., 4.70%, 9/1/33 3,199 ---------------------------------------------------------------------- 12,294 ---------------------------------------------------------------------- NEW YORK -- 12.5% 1,500 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/1/13 + 1,704 22,630 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.50%, 7/1/17 + 24,594 5,000 Metropolitan Transportation Authority, Service Contract, Ser. B, Rev., FGIC, 5.25%, 7/1/09 + 5,546 24,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/1/26 26,500 11,500 New York City, New York, Ser. G, GO, 5.50%, 8/1/09 12,556 10,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 6.50%, 12/1/04 10,188
SEE NOTES TO FINANCIAL STATEMENTS. 21
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 6,300 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 6/1/08 $ 6,271 5,000 New York State Dormitory Authority, Personal Income Tax, Rev., FSA, 5.50%, 3/15/16 5,488 6,035 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/1/07 6,691 4,025 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 5/15/13 4,484 1,500 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FSA, 5.50%, 5/15/13 1,671 8,152 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 3/27/07 (i)+ 8,385 3,345 New York State Environmental Facilities Corp., New York City Municipal Water Project, Clean Water & Drinking, State Revolving Funds, Ser. D, Rev., 5.38%, 6/15/13 3,668 6,600 New York State Environmental Facilities Corp., New York City Municipal Water Project, Clean Water & Drinking, State Revolving Funds, Ser. D, Rev., 5.38%, 6/15/16 7,151 5,040 New York State Environmental Facilities Corp., New York City Municipal Water Project, Clean Water & Drinking, State Revolving Funds, Ser. D, Rev., 5.38%, 6/15/16 5,472 7,745 New York State Environmental Facilities Corp., New York City Municipal Water Project, Clean Water & Drinking, State Revolving Funds, Ser. D, Rev., 5.38%, 6/15/17 8,327 $ 8,325 New York State Environmental Facilities Corp., New York City Municipal Water Project, Clean Water & Drinking, State Revolving Funds, Ser. D, Rev., 5.38%, 6/15/18 $ 8,894 8,055 New York State Environmental Facilities Corp., State Revolving Funds, New York City Municipal Project, Clean Water & Drinking, Sub Ser. E, Rev., 5.38%, 7/15/19 8,539 4,335 New York State Housing Finance Agency, Housing Project Mortgage, Ser. A, Rev., FSA, 5.40%, 11/1/05 4,630 3,950 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 4/1/10 4,350 700 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. B, Rev., (p), FGIC, 6.00%, 4/1/04 734 10,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., AMBAC, 5.50%, 4/1/11 11,132 5,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.10%, 4/1/08 5,438 10,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.20%, 4/1/09 10,867 5,000 New York State, Ser. B, GO, 5.70%, 8/15/10 5,383 3,910 Port Authority of New York & New Jersey, Consolidated Bonds, 112th Ser., Rev., 5.00%, 12/1/05 4,159 ---------------------------------------------------------------------- 202,822 ---------------------------------------------------------------------- NORTH CAROLINA -- 1.9% 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 4/1/11 + 2,263 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 4/1/12 + 2,281
SEE NOTES TO FINANCIAL STATEMENTS. 22
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NORTH CAROLINA -- CONTINUED $ 9,155 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., AMBAC, 6.00%, 1/1/08 $ 10,353 8,900 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.13%, 1/1/06 9,613 6,275 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.25%, 1/1/07 6,890 ---------------------------------------------------------------------- 31,400 ---------------------------------------------------------------------- NORTH DAKOTA -- 0.6% 8,925 North Dakota State Housing Finance Agency, Housing Finance Program, Ser. C, Rev., 5.55%, 1/1/31 9,200 OHIO -- 3.2% 8,690 Columbus, Ohio, Ser. 1, GO, 5.25%, 11/15/05 + 9,409 6,000 Columbus, Ohio, Ser. 1, GO, 5.50%, 11/15/06 + 6,665 4,000 Montgomery County, Solid Waste, Rev., MBIA, 5.50%, 11/1/10 + 4,368 3,360 Ohio State Building Authority, Adult Correctional State Facilities, Ser. A, Rev., (p), MBIA, 5.75%, 10/1/04 3,563 6,000 Ohio State Turnpike Commission, Ser. A, Rev., (p), MBIA, 5.40%, 2/15/06 6,627 17,000 Ohio State Turnpike Commission, Ser. A, Rev., (p), MBIA, 5.50%, 2/15/06 18,816 2,100 Ohio State Water Development Authority, Rev., (p), 9.38%, 12/1/10 2,536 ---------------------------------------------------------------------- 51,984 ---------------------------------------------------------------------- OKLAHOMA -- 0.4% 7,000 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-1, Adj, Rev., 3.50%, 9/1/33 7,301 OREGON -- 0.8% $ 3,000 Oregon State Department of Transportation, Highway User Tax, Ser. A, Rev., 5.50%, 11/15/19 $ 3,213 5,300 Oregon State, State Board of Higher Education, Ser. A, GO, (p), 6.00%, 8/1/06 6,020 3,000 Washington County, Union High School District No. 3, Hillsboro, GO, (p), MBIA, 6.00%, 11/1/05 3,293 ---------------------------------------------------------------------- 12,526 ---------------------------------------------------------------------- PENNSYLVANIA -- 3.1% 19,024 Pennsylvania Higher Education, 4.64%, 4/30/09 (i) 19,765 13,755 Pennsylvania Housing Finance Agency, Single Family Housing, Ser. 73-A, Rev., 5.25%, 4/1/33 14,328 2,800 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 1/1/06 3,017 2,000 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 1/1/07 2,150 7,645 Pennsylvania State University, Rev., 5.00%, 3/1/07 8,304 3,500 Philadelphia Authority, IDR, Rev., 2.15%, 1/1/18 (i) 3,435 ---------------------------------------------------------------------- 50,999 ---------------------------------------------------------------------- PUERTO RICO -- 2.6% 5,500 Puerto Rico Commonwealth, GO, MBIA-IBC, 5.50%, 7/1/09 6,216 29,350 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 7/1/18 31,493 5,105 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 7/1/08 5,513 ---------------------------------------------------------------------- 43,222 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 23
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SOUTH CAROLINA -- 2.6% $ 1,000 Piedmont Municipal Power Agency, Electric, Rev., (p), MBIA, 6.20%, 1/1/08 $ 1,146 15,000 Piedmont Municipal Power Agency, Electric, Rev., FGIC, 6.75%, 1/1/20 @ 18,207 5,500 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.00%, 12/15/10 6,666 3,000 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.13%, 12/15/10 3,696 3,140 South Carolina State Housing Finance & Development Authority, Ser. A, Rev., AMBAC, 3.60%, 7/1/33 3,129 10,310 South Carolina State, State School Facilities, Ser. A, GO, 4.25%, 1/1/15 10,329 ---------------------------------------------------------------------- 43,173 ---------------------------------------------------------------------- SOUTH DAKOTA -- 0.4% 6,615 South Dakota Housing Development Authority, Ser. E, Rev., 5.00%, 5/1/28 + 7,004 TENNESSEE -- 0.8% 3,320 Knox County, Public Improvement, GO, (p), 6.00%, 5/1/08 + 3,840 3,500 Knox County, Public Improvement, GO, (p), 6.00%, 5/1/08 + 4,048 5,335 Tennergy Corp., Gas, Rev., MBIA, 5.00%, 6/1/09 5,825 ---------------------------------------------------------------------- 13,713 ---------------------------------------------------------------------- TEXAS -- 9.4% 3,205 Alvin Independent School District, 1.79%, 2/15/22 (i)+ 3,265 3,375 Alvin Independent School District, 3.58%, 2/15/23 (i)+ 3,438 3,550 Alvin Independent School District, 4.00%, 2/15/24 (i)+ 3,691 3,735 Alvin Independent School District, 2.00%, 2/15/25 (i)+ 3,883 $ 2,000 Austin Independent School District, Public Property Finance Contractual Obligation, GO, MBIA, 5.25%, 2/1/08 + $ 2,205 5,255 Austin, Texas, Utility Systems, Rev., MBIA-IBC, 5.80%, 11/15/06 + 5,877 18,495 Beaumont Water & Sewer, Rev., 3.50%, 9/1/23 (i)+ 18,772 1,305 Dallas County Flood Control District, GO, (p), 9.25%, 4/1/08 + 1,670 6,200 Dallas, Texas, Civic Center, Improvement, Rev., MBIA, 5.25%, 8/15/07 + 6,849 2,505 Duncanville Independent School District, Capital Appreciation, GO, 0.00%, 2/15/28 + 2,617 6,220 Harris County, GO, 5.88%, 10/1/07 + 7,044 8,675 Houston, Texas, Ser. A, GO, 5.50%, 3/1/08 + 9,673 5,000 Humble Independent School District, Ser. C, GO, 0.00%, 2/15/16 + 2,681 5,880 Humble Independent School District, Ser. C, GO, 0.00%, 2/15/17 + 2,964 1,520 Katy Independent School District, Ser. A, GO, 5.00%, 2/15/11 + 1,641 5,875 Lubbock Health Facilities Development Corp., St. Joseph Health Systems, Rev., 5.25%, 7/1/11 + 6,151 7,500 Pearland Independent School District, 4.27%, 2/15/25 (i) 7,744 7,500 Pearland Independent School District, Unlimited Tax, 4.27%, 2/15/24 (i) 7,585 5,950 Texas Department of Housing & Community Affairs, Single Family Housing, Ser. B, Rev., MBIA, 5.35%, 3/1/33 6,194 10,025 Texas Public Building Authority, Capital Appreciation, Rev., (p), MBIA, 0.00%, 8/1/06 9,434 7,375 Texas State Department of Housing & Community Affairs, Residential Mortgage, Ser. A, Rev., 4.75%, 1/1/25 7,753 7,500 Texas State, Ser. A, GO, 6.00%, 10/1/09 8,633
SEE NOTES TO FINANCIAL STATEMENTS. 24
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- CONTINUED $ 4,700 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.00%, 7/15/07 $ 5,132 3,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.25%, 7/15/09 3,281 1,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.63%, 7/15/11 1,100 3,175 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. B, Rev., 5.25%, 7/15/08 3,484 7,385 Tomball Independent School District, Ser. B, 4.27%, 2/15/26 (i) 7,385 3,270 Tomball Independent School District, U.T. Schoolhouse, 2.68%, 2/15/23 (i) 3,311 ---------------------------------------------------------------------- 153,457 ---------------------------------------------------------------------- UTAH -- 0.5% 3,800 Intermountain Power Agency, Utah Power Supply, Ser. B, Rev., MBIA, 6.50%, 7/1/10 + 4,452 10 Salt Lake City, Utah, GO, 5.50%, 6/15/11 11 2,840 Salt Lake City, Utah, GO, (p), 5.50%, 6/15/10 3,207 ---------------------------------------------------------------------- 7,670 ---------------------------------------------------------------------- VERMONT -- 0.8% 4,100 Burlington, Vermont, Electric, Ser. A, Rev., MBIA, 6.38%, 7/1/09 + 4,770 3,510 Vermont State, Ser. A, GO, (p), 6.40%, 1/15/05 3,821 3,510 Vermont State, Ser. A, GO, (p), 6.50%, 1/15/05 3,825 ---------------------------------------------------------------------- 12,416 ---------------------------------------------------------------------- VIRGIN ISLANDS -- 0.7% 2,500 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/1/10 2,606 $ 5,000 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.50%, 10/1/06 $ 5,389 3,070 Virgin Islands Water & Power Authority, Electric Systems, Rev., 5.25%, 7/1/07 3,265 ---------------------------------------------------------------------- 11,260 ---------------------------------------------------------------------- VIRGINIA -- 2.4% 5,415 Chesapeake Bay Bridge & Tunnel Commission, General Resolution, Rev., (p), FGIC, 5.75%, 7/1/05 + 5,955 7,060 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Anticipation Note, Rev., 5.50%, 10/1/05 7,642 3,135 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Anticipation Note, Rev., 5.50%, 10/1/06 3,471 20,355 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Anticipation Note, Rev., 5.50%, 10/1/08 22,995 ---------------------------------------------------------------------- 40,063 ---------------------------------------------------------------------- WASHINGTON -- 3.3% 1,245 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/1/10 + 1,339 1,000 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/1/11 + 1,065 1,380 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/1/12 + 1,460 2,865 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/1/13 + 3,017 1,505 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/1/14 + 1,576 34,000 Energy Northwest, Washington Electric, Ser. B, Rev., MBIA, 5.50%, 7/1/18 + 37,985
SEE NOTES TO FINANCIAL STATEMENTS. 25
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED WASHINGTON -- (CONTINUED) $ 115 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., 7.25%, 7/1/06 $ 131 1,885 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., (p), 7.25%, 7/1/06 2,163 4,500 Washington State, Ser. B & AT-7, GO, 6.40%, 6/1/17 5,381 ---------------------------------------------------------------------- 54,117 ---------------------------------------------------------------------- WISCONSIN -- 2.0% 1,245 Milwaukee County, Corporate Purpose, Ser. A, GO, 5.38%, 9/1/05 + 1,338 2,350 Milwaukee County, Corporate Purpose, Ser. A, GO, 5.63%, 9/1/10 + 2,623 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-C, Rev., 5.70%, 5/1/14 (i) 6,444 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-D, Rev., 5.95%, 5/1/19 (i) 6,540 1,000 Wisconsin State, GO, 6.25%, 5/1/12 1,162 2,775 Wisconsin State, Ser. 1, GO, 5.00%, 11/1/07 3,045 6,275 Wisconsin State, Ser. 1, GO, 5.50%, 11/1/11 7,004 4,450 Wisconsin State, Ser. 3, GO, 5.20%, 11/1/09 4,933 ---------------------------------------------------------------------- 33,089 ---------------------------------------------------------------------- Total State and Municipal Obligations (Cost $1,506,458) 1,587,635 ---------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 3.2% MUNICIPAL SECURITIES -- 0.3% CALIFORNIA -- 0.0% ^ $ 200 Irvine Ranch Water District, Capital Improvement Project, COP, FRDO, 0.85%, 9/2/03 + $ 200 100 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 0.85%, 9/2/03 + 100 ---------------------------------------------------------------------- 300 ---------------------------------------------------------------------- MULTIPLE STATES -- 0.3% 3,803 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-34, FRDO, #, 1.05%, 12/1/29 3,803 NEW YORK -- 0.0% ^ 100 Port Authority of New York & New Jersey, Special Obligation, Versatile Structure Obligation, Ser. 6, Rev., FRDO, 0.90%, 9/2/03 100 ---------------------------------------------------------------------- Total Municipal Securities (Cost $4,203) 4,203 SHARES - ------------------------------------------------------------------------------------------- MONEY MARKET FUND -- 2.9% 46,891 JPMorgan Tax Free Money Market Fund (a)+ (Cost $46,891) 46,891 Total Short-Term Investments (Cost $51,094) 51,094 ---------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $1,557,552) $ 1,638,729 ----------------------------------------------------------------------
Future Contracts (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION)(USD) - --------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 1,693 Eurodollar June, 2004 $ 415,124 $ 625 1,692 Eurodollar December, 2004 410,818 786
SEE NOTES TO FINANCIAL STATEMENTS. 26 JPMorgan New Jersey Tax Free Income Fund PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003 (Amount in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 95.5% STATE AND MUNICIPAL OBLIGATIONS -- 95.5% CONNECTICUT -- 2.4% $ 1,225 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.68%, 12/15/09 $ 1,517 230 East Hartford, Connecticut, GO, FGIC, 5.25%, 05/01/15 252 ---------------------------------------------------------------------- 1,769 ---------------------------------------------------------------------- NEW JERSEY -- 70.3% 400 Atlantic City, New Jersey, Ser. B, GO, MBIA, 4.00%, 08/01/08 + 422 625 Atlantic City, New Jersey, Ser. B, GO, MBIA, 4.00%, 08/01/09 655 140 Atlantic City, New Jersey, Ser. B, GO, MBIA, 4.00%, 08/01/10 145 410 Bayonne, New Jersey, Ser. B, GO, FSA, 5.00%, 01/15/16 438 455 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/18 492 480 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/19 516 505 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/20 554 530 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/21 579 535 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/22 581 395 Bayshore Regional Sewer Authority, Rev., (p), MBIA, 5.50%, 04/01/06 439 285 Bergen County, General Improvement, GO, 4.00%, 07/15/11 293 1,225 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. A, Rev., FSA, 5.25%, 01/01/12 1,347 1,700 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,787 100 Deptford Township Municipal Utilities Authority, Rev., AMBAC, 4.88%, 02/01/10 108 570 Edison Township, School District, GO, 6.50%, 06/01/04 593 $ 1,385 Ewing Township School District, School Bond Resource Fund, GO, (p), FGIC, 5.30%, 08/01/08 $ 1,550 850 Freehold Regional High School District, GO, FGIC, 5.00%, 03/01/16 909 130 Freehold Township Board of Education, GO, MBIA, 5.00%, 02/15/11 141 300 Galloway Township, GO, AMBAC, 5.00%, 11/01/10 329 100 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.35%, 08/01/09 112 220 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.55%, 08/01/12 242 225 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.70%, 08/01/15 245 1,720 Hillsborough Township School District, GO, FSA, 5.38%, 10/01/14 1,908 160 Howell Township, GO, MBIA, 5.00%, 01/01/09 175 2,685 Hudson County, COP, MBIA, 6.00%, 06/01/11 3,078 1,425 Hudson County, COP, MBIA, 7.00%, 12/01/12 1,752 1,500 Hudson County, COP, MBIA, 6.25%, 12/01/14 1,779 500 Hunterdon Central Regional High School District, GO, (p), FSA, 5.40%, 05/01/05 543 200 Jersey City Municipal Utilities Authority, Rev., FSA, 5.25%, 12/01/12 221 475 Jersey City, New Jersey, School Improvement, School Board Fund, Ser. B, GO, AMBAC, 5.25%, 03/01/14 520 315 Little Egg Harbor Municipal Utilities Authority, Water & Sewage, Ser. E, Rev., AMBAC, 5.25%, 07/01/09 351 100 Long Hill Township, GO, 5.15%, 08/15/06 109 170 Long Hill Township, GO, 5.15%, 08/15/07 188 380 Lopatcong Township Board of Education, GO, (p), FSA, 5.63%, 07/15/10 433
SEE NOTES TO FINANCIAL STATEMENTS. 27
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 400 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 $ 457 450 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 514 55 Lower Township, General Improvement, GO, FSA, 4.25%, 07/15/11 57 100 Mainland Regional High School District, School Board Resource Fund, GO, 5.20%, 11/15/06 110 105 Mainland Regional High School District, School Board Resource Fund, GO, 5.20%, 11/15/07 117 60 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/08 68 110 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/09 124 115 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/10 127 220 Mercer County, GO, MBIA, 4.35%, 05/01/05 231 150 Middlesex County, General Improvement, GO, 5.30%, 01/15/09 166 210 Middletown Township Board of Education, GO, (p), MBIA, 5.80%, 08/01/07 237 2,500 Middletown Township Board of Education, GO, (p), MBIA, 5.85%, 08/01/07 2,827 220 Midland Park Board of Education, GO, FSA, 4.13%, 08/15/06 + 234 1,000 Musconetcong Sewage Authority, Project I, Rev., MBIA, 5.25%, 01/01/14 1,091 1,060 New Jersey Economic Development Authority, New Jersey Performing Arts Center Project, Ser. A, Rev., AMBAC, 6.00%, 06/15/08 1,210 100 New Jersey Economic Development Authority, Rev., FSA, 5.50%, 11/15/09 113 $ 100 New Jersey Health Care Facilities Financing Authority, St. Elizabeth Hospital Obligation Group, Rev., 6.00%, 07/01/14 $ 101 720 New Jersey State Educational Facilities Authority, Capital Improvement Fund, Ser. A, Rev., 5.00%, 09/01/08 791 2,545 New Jersey State Educational Facilities Authority, Drew University Issue, Ser. C, Rev., MBIA, 5.25%, 07/01/13 2,722 600 New Jersey State Educational Facilities Authority, Drew University, Ser. C, Rev., FGIC, 5.25%, 07/01/18 649 115 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 4.88%, 07/01/04 117 1,000 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 973 1,050 New Jersey State Educational Facilities Authority, Higher Education Equipment Leasing Fund, Ser. A, Rev., 5.00%, 09/01/08 1,156 1,000 New Jersey State Educational Facilities Authority, Princeton University, Ser. E, Rev., 5.25%, 07/01/13 1,078 135 New Jersey State Educational Facilities Authority, Rowan College, Ser. E, Rev., (p), AMBAC, 5.75%, 07/01/06 151 200 New Jersey State Turnpike Authority, Rev., (p), 6.75%, 01/01/09 220 75 New Jersey State Turnpike Authority, Ser. C, Rev., 6.50%, 01/01/16 88 260 New Jersey State Turnpike Authority, Ser. C, Rev. (p), 6.50%, 01/01/16 311 440 New Jersey State Turnpike Authority, Ser. C, Rev., MBIA-IBC, 6.50%, 01/01/16 524 350 New Jersey State, Ser. D, GO, 8.00%, 02/15/07 414 100 New Jersey State, Ser. D, GO, 6.00%, 02/15/11 114
SEE NOTES TO FINANCIAL STATEMENTS. 28
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,320 New Jersey State, Transportation Trust Fund Authority, Ser. A, Rev. (p), 5.00%, 06/15/09 $ 1,458 200 New Jersey Transportation Trust Fund Authority, Ser. C, Rev., 5.00%, 12/15/06 219 400 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.63%, 06/15/14 447 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/16 1,136 100 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev. (p), 6.00%, 06/15/10 116 1,000 New Jersey Wastewater Treatment Trust, Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,205 1,140 Northwest Bergen County Utilities Authority, Utility Systems, Rev., MBIA, 6.00%, 07/15/07 1,166 500 Ocean County Utilities Authority, New Jersey Wastewater, GO, 6.00%, 01/01/07 557 1,270 State of New Jersey, GO, 5.25%, 07/01/10 1,407 1,105 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 1,261 35 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 40 100 Union County Improvement Authority, Plainfield Board of Education Project, Rev., FGIC, 6.25%, 08/01/07 114 1,175 West New York, New Jersey, Improvement, GO, AMBAC, 4.75%, 08/15/05 1,250 ---------------------------------------------------------------------- 51,002 ---------------------------------------------------------------------- NEW MEXICO -- 0.4% 250 New Mexico State Highway Commission, Senior Sub Lien, Ser. D, Rev., 5.00%, 06/15/12 270 NEW YORK -- 2.3% $ 1,500 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 $ 1,681 NORTH CAROLINA -- 0.4% 275 New Hanover County, Public Improvement, GO, 5.75%, 11/01/11 311 PUERTO RICO -- 18.2% 1,375 Puerto Rico Commonwealth, GO, MBIA, 6.50%, 07/01/12 1,650 250 Puerto Rico Commonwealth, GO, MBIA- IBC, 7.00%, 07/01/10 304 135 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/06 145 250 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/14 281 250 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, FGIC, 5.25%, 07/01/12 277 235 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA, 5.50%, 07/01/16 264 580 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA-IBC, 5.50%, 07/01/16 651 2,000 Puerto Rico Commonweath, GO, 5.75%, 07/01/17 2,276 230 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/15 259 210 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/16 236 3,000 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 3,238 380 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/13 428 1,200 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 1,350
SEE NOTES TO FINANCIAL STATEMENTS. 29
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PUERTO RICO -- CONTINUED $ 315 Puerto Rico Highway & Transportation Authority, Ser. Z, Rev., MBIA, 6.25%, 07/01/14 $ 375 400 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.00%, 07/01/05 422 1,000 University of Puerto Rico, Ser. O, Rev., MBIA, 5.75%, 06/01/17 1,102 ---------------------------------------------------------------------- 13,258 ---------------------------------------------------------------------- TEXAS -- 1.5% 1,000 El Paso, Texas, GO, FSA, 5.00%, 08/15/09 1,098 Total State and Municipal Obligations 69,389 (Cost $67,245) ---------------------------------------------------------------------- SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 4.5% - ------------------------------------------------------------------------------------------- MONEY MARKET FUND -- 4.5% 3,283 JPMorgan Tax Free Money Market Fund (a) (Cost $3,283) $ 3,283 ---------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $70,528) $ 72,672 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 JPMorgan New York Intermediate Tax Free Income Fund PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003 (Amount in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.6% STATE AND MUNICIPAL OBLIGATIONS -- 98.6% ARIZONA -- 0.6% $ 4,280 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 07/01/09 + $ 4,672 CALIFORNIA -- 0.3% 630 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/13 + 677 650 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/14 + 695 1,040 Lancaster Redevelopment Agency, Tax Allocation, Redevelopment Project Areas, MBIA, 5.00%, 08/01/11 + 1,131 ---------------------------------------------------------------------- 2,503 ---------------------------------------------------------------------- CONNECTICUT -- 1.8% 10,605 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.68%, 12/15/09 + 13,133 ILLINOIS -- 0.4% 2,882 Illinois Development Finance Authority, Riverside Health & Fitness Center Project, Ser. 1998-C, Rev., 5.20%, 08/01/28 (i)+ 3,082 MASSACHUSETTS -- 0.2% 1,000 Massachusetts State, Ser. A, GO, 6.00%, 11/01/11 + 1,146 MICHIGAN -- 0.6% 3,800 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 + 4,173 MULTIPLE STATES -- 0.2% 1,707 Koch Finance Tax Exempt Lease Trust, 5.21%, 07/01/04 (i) 1,720 NEW HAMPSHIRE -- 0.0% ^ $ 200 Nashua, New Hampshire, Capital Improvement, Ser. A, GO, 5.50%, 07/15/10 $ 224 NEW JERSEY -- 0.2% 540 Camden County Improvement Authority, County Guaranteed Lease, Ser. A, Rev., FGIC, 5.25%, 09/01/13 + 588 1,025 New Jersey State Educational Facilities Authority, Higher Education, Capital Improvement, Ser. B, Rev., 5.75%, 09/01/10 1,162 ---------------------------------------------------------------------- 1,750 ---------------------------------------------------------------------- NEW YORK -- 84.0% 1,120 Allegany County IDA, Alfred University, Civic Facilities, Rev., MBIA, 5.25%, 08/01/11 + 1,225 1,175 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. A, Rev., AMBAC, 5.50%, 08/01/15 + 1,293 1,000 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.50%, 08/01/15 + 1,101 1,290 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.75%, 08/01/15 + 1,446 150 Arkport Central School District, GO, FSA, 5.20%, 06/15/09 + 168 500 Attica Central School District, GO, FSA, 5.00%, 06/15/15 + 551 6,895 Babylon IDA, Civic Facilities, Winthrop S. Nassau University East, Inc. Project, Ser. A, Rev., AMBAC, 6.63%, 08/01/19 + 7,932 3,000 Babylon, New York, Waste Facilities, GO, FGIC, 9.00%, 08/01/11 @ + 4,058 1,040 Beacon City School District, GO, MBIA, 5.50%, 07/15/11 + 1,190 650 Brentwood Union Free School District, GO, FSA, 5.63%, 06/15/13 + 714
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/13 + $ 1,859 1,100 Brockport Central School District, GO, FGIC, 5.50%, 06/15/14 + 1,231 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/15 + 1,863 685 Brockport Central School District, GO, FGIC, 5.75%, 06/15/17 + 785 500 Bronxville Union Free School District, GO, 5.25%, 10/15/10 + 555 500 Brookhaven, New York, Public Improvement, GO, AMBAC, 5.25%, 11/15/09 + 559 1,085 Brookhaven, New York, Public Improvement, GO, AMBAC, 5.30%, 11/15/11 + 1,202 4,597 Buffalo, New York, State University of New York, 5.50%, 01/01/07 (i) 4,967 590 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.40%, 07/15/16 + 664 305 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/17 + 344 375 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/18 + 423 1,000 Canandaigua City School District, Ser. A, GO, FSA, 5.38%, 04/01/15 + 1,093 250 Chenango Forks Central School District, GO, FGIC, 5.63%, 06/15/11 + 287 850 Chenango Forks Central School District, GO, FGIC, 5.70%, 06/15/12 + 980 370 City of Buffalo, Buffalo School, Ser. B, GO, MBIA, 5.38%, 11/15/14 + 404 1,500 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/13 + 1,649 1,730 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/14 + 1,897 2,250 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/07 + 2,438 2,300 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/08 + 2,500 2,200 Eastport-South Manor Central School District, GO, FGIC, 4.63%, 06/15/09 + 2,393 $ 1,325 Erie County Water Authority, Improvement & Extension, Rev., 5.75%, 12/01/08 + $ 1,452 320 Fayetteville-Manlius Central School District, GO, FGIC, 5.00%, 06/15/12 + 347 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/16 + 1,130 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/17 + 1,122 885 Goshen Central School District, GO, FGIC, 5.00%, 06/15/18 + 929 1,000 Goshen Central School District, GO, FGIC, 5.00%, 06/15/19 + 1,052 915 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/08 + 1,006 1,480 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/09 + 1,627 1,545 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/10 + 1,689 1,000 Ilion Central School District, Ser. B, GO, FGIC, 5.00%, 06/15/14 + 1,075 320 Irvington Union Free School District, GO, FSA, 5.00%, 04/01/12 + 343 300 Irvington Union Free School District, GO, FSA, 5.00%, 04/01/13 + 319 1,070 Lindenhurst Union Free School District, GO, FGIC, 5.25%, 07/15/12 + 1,157 1,295 Lindenhurst Union Free School District, GO, FGIC, 5.25%, 07/15/16 + 1,383 1,460 Lindenhurst Union Free School District, GO, FGIC, 5.25%, 07/15/17 + 1,552 5,250 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/12 + 5,944 1,875 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/13 + 2,130 3,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/08 + 3,388
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 8,770 Long Island Power Authority, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/11 + $ 9,838 160 Longwood Central School District at Middle Island, GO, FSA, 4.80%, 06/15/13 + 178 525 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/14 + 581 815 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/15 + 896 1,090 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/09 + 1,229 2,180 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/12 + 2,470 2,485 Massapequa Union Free School District, Ser. A, GO, FSA, 5.40%, 06/15/13 + 2,820 3,135 Massapequa Union Free School District, Ser. A, GO, FSA, 5.70%, 06/15/16 + 3,614 1,800 Metropolitan Transportation Authority, Commuter Facilities, Ser. A, Rev., (p), MBIA, 6.10%, 07/01/08 + 2,087 500 Metropolitan Transportation Authority, Commuter Facilities, Ser. B, Rev., (p), MBIA, 6.10%, 07/01/09 + 583 2,700 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), MBIA, 5.50%, 10/01/10 + 3,063 5,500 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), MBIA, 6.25%, 04/01/11 + 6,475 1,100 Metropolitan Transportation Authority, Ser. A, Rev., MBIA, 4.50%, 11/15/07 + 1,190 1,000 Metropolitan Transportation Authority, Ser. E, Rev., MBIA, 5.50%, 11/15/12 + 1,121 12,000 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/16 + 13,396 2,610 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/18 + 2,891 5,000 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., FSA, 5.75%, 01/01/18 + 5,671 $ 300 Metropolitan Transportation Authority, Service Contract, Ser. B, Rev., FGIC, 5.25%, 01/01/11 + $ 328 4,285 Metropolitan Transportation Authority, Transportation Facilities, Ser. A, Rev., (p), MBIA, 6.00%, 07/01/12 + 5,007 510 Metropolitan Transportation Authority, Transportation Facilities, Ser. C, Rev., (p), FSA, 5.25%, 07/01/10 + 568 2,000 Metropolitan Transportation Authority, Transportation Facilities, Ser. K, Rev., (p), MBIA, 6.30%, 07/01/07 + 2,301 1,125 Monroe County, GO, 5.30%, 06/01/07 + 1,210 1,230 Monroe County, Public Improvement, GO, 6.00%, 03/01/12 + 1,380 1,000 Monroe County, Public Improvement, GO, 6.00%, 03/01/14 + 1,122 1,000 Monroe County, Public Improvement, GO, 6.00%, 03/01/18 + 1,121 1,000 Monroe County, Public Improvement, GO, 6.00%, 03/01/19 + 1,109 65 Monroe County, Public Improvement, GO, AMBAC, 5.88%, 06/01/08 + 74 1,030 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/15 + 1,083 100 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/16 + 104 385 Monroe County, Public Improvement, GO, MBIA-IBC, 6.00%, 03/01/15 + 445 500 Monroe County, Public Improvement, Ser. A, GO, 4.70%, 06/01/08 + 533 1,065 Monroe County, Public Improvement, Ser. P, GO, (p), AMBAC, 5.88%, 06/01/08 + 1,222 1,020 Monticello Central School District, GO, FGIC, 5.63%, 06/15/06 + 1,123 365 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/07 + 412 6,500 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/08 7,366
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 250 Municipal Assistance Corporation for the City of New York, Ser. I, Rev., 6.25%, 07/01/08 $ 286 2,750 Municipal Assistance Corporation for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 + 3,051 1,705 Nassau County IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.00%, 07/01/06 1,850 4,740 Nassau County IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.25%, 07/01/09 5,257 3,330 Nassau County, Comb Sewer Districts, Ser. F, GO, MBIA, 5.35%, 07/01/08 3,686 4,360 Nassau County, Comb Sewer Districts, Ser. F, GO, MBIA, 5.35%, 07/01/09 4,844 1,800 New Rochelle City School District, Ser. A, GO, FSA, 5.00%, 12/15/07 1,987 575 New Rochelle City School District, Ser. A, GO, FSA, 5.00%, 12/15/10 630 345 New York City IDA, Civic Facilities, Mount St. Vincent College, Rev., 7.00%, 05/01/08 356 1,000 New York City IDA, Civic Facilities, New School for Social Research, Ser. A, Rev., MBIA, 5.75%, 09/01/15 1,090 1,260 New York City IDA, Civic Facilities, New York Blood Center, Inc. Project, Rev., (p), 7.20%, 05/01/04 1,310 3,605 New York City IDA, Civic Facilities, Nightingale-Bamford School, Rev., AMBAC, 5.00%, 01/15/10 3,909 1,400 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. A, Rev., (p), AMBAC, 6.00%, 06/15/09 1,625 3,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. A, Rev., FGIC, 5.75%, 06/15/31 3,163 6,500 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 7,278 $ 3,555 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. D, Rev., 5.25%, 06/15/15 $ 3,806 1,000 New York City Transit Authority, Metropolitan Transportation Authority, Triborough, COP, Ser. A, AMBAC, 5.63%, 01/01/12 1,105 2,480 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 05/01/07 2,703 4,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.38%, 02/15/10 4,511 1,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.75%, 08/15/09 1,157 5,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.75%, 08/15/09 5,783 2,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 6.00%, 08/15/09 2,340 520 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 5.50%, 02/01/13 570 695 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 6.13%, 11/15/14 796 3,380 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 5.50%, 02/01/11 3,830 3,305 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 6.13%, 05/15/10 3,888 2,500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FSA, 6.00%, 11/15/10 2,888 1,215 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., TRAN, 5.50%, 02/01/11 1,347
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,000 New York City Trust for Cultural Resources, Educational Broadcasting Corp., Ser. 1999, Rev., 4.60%, 01/01/04 (i)+ $ 2,020 1,000 New York City, New York, Ser. E, GO, MBIA-IBC, 5.75%, 08/01/11 1,121 670 New York City, New York, Capital Appreciation, Ser. E, GO, (p), 6.35%, 05/15/08 786 5,000 New York City, New York, Ser. B, GO, FGIC, 5.75%, 08/01/13 5,557 160 New York City, New York, Ser. D, GO, FGIC, 5.75%, 08/01/09 180 50 New York City, New York, Ser. F, GO, 5.25%, 08/01/05 53 1,245 New York City, New York, Ser. F, GO, 5.75%, 02/01/12 1,322 755 New York City, New York, Ser. F, GO, (p), 5.75%, 02/01/06 836 4,905 New York City, New York, Ser. G, GO, 5.00%, 08/01/07 5,259 3,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 2,986 11,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 6.50%, 12/01/04 11,206 2,475 New York Local Government Assistance Corp., Senior Lien, Ser. AA, Rev., 5.00%, 04/01/12 2,648 9,000 New York Local Government Assistance Corp., Ser. A, Rev., (p), 5.90%, 04/01/05 9,833 2,000 New York Local Government Assistance Corp., Ser. E, Rev., FSA, 6.00%, 04/01/14 2,300 2,060 New York Mortgage Agency, Home Owner Mortgage, Ser. 94, Rev., 5.35%, 04/01/23 2,197 635 New York Municipal Bond Bank Agency, Special Program, Ser. A, Rev., 6.88%, 03/15/06 648 125 New York State Dormitory Authority, Canisius College, Rev., MBIA, 4.85%, 07/01/13 132 $ 115 New York State Dormitory Authority, Canisius College, Rev., MBIA, 4.95%, 07/01/14 $ 122 1,545 New York State Dormitory Authority, Child Care Facilities, Service Contract, Ser. A, Rev., 5.38%, 04/01/13 1,673 2,500 New York State Dormitory Authority, City University System, 3rd Generation Reserve, Rev., FSA, 5.38%, 07/01/13 2,707 440 New York State Dormitory Authority, City University System, CONS, Ser. 1, Rev., MBIA, (p), 5.13%, 01/01/08 494 3,565 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 4,048 1,000 New York State Dormitory Authority, City University System, CONS, Ser. B, Rev., 6.00%, 07/01/14 1,138 2,000 New York State Dormitory Authority, City University System, CONS, Ser. B, Rev., FGIC, 5.75%, 07/01/07 2,242 320 New York State Dormitory Authority, City University, 3rd Ser., Rev., 6.00%, 07/01/06 353 445 New York State Dormitory Authority, City University, 3rd Ser., Rev., (p), 6.00%, 07/01/06 497 2,125 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.00%, 07/01/10 2,332 2,000 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/12 2,213 1,545 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/13 1,695 2,880 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/14 3,145 895 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/16 968
SEE NOTES TO FINANCIAL STATEMENTS. 35
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,565 New York State Dormitory Authority, Concord Nursing Home, Inc., Rev., 6.25%, 07/01/16 $ 3,864 480 New York State Dormitory Authority, FHA Insured Nursing Home, Ser. A, Rev., MBIA, 5.50%, 08/01/20 501 1,070 New York State Dormitory Authority, Lenox Hill Hospital Obligation Group, Rev., 5.00%, 07/01/05 1,130 1,180 New York State Dormitory Authority, Lenox Hill Hospital Obligation Group, Rev., 5.00%, 07/01/07 1,264 1,000 New York State Dormitory Authority, Lenox Hill Hospital Obligation Group, Rev., 5.25%, 07/01/08 1,085 320 New York State Dormitory Authority, Long Island University, Rev., 5.00%, 09/01/12 338 2,055 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/09 2,272 1,770 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/10 1,948 1,295 New York State Dormitory Authority, Master Boces Program, Ser. A, Rev., FSA, 5.00%, 08/15/11 1,404 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/09 1,122 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/23 1,078 445 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.75%, 07/01/19 503 2,340 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., 6.00%, 08/15/16 2,659 130 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., MBIA, 5.50%, 02/15/12 141 $ 1,385 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., MBIA, 5.60%, 08/15/13 $ 1,504 1,380 New York State Dormitory Authority, Municipal Health Facilities Improvement Program, Ser. 1, Rev., FSA, 5.00%, 01/15/07 1,490 500 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/14 556 1,925 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/16 2,152 1,455 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/18 1,616 3,150 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/23 3,396 1,570 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/24 1,690 2,480 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/25 2,664 8,360 New York State Dormitory Authority, New York University, Ser. A, Rev., AMBAC, 5.75%, 07/01/13 9,492 2,000 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/09 2,271 1,000 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/15 1,139 3,500 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 3,999 2,530 New York State Dormitory Authority, North Shore University Hospital, Rev., MBIA, 5.50%, 11/01/10 2,846
SEE NOTES TO FINANCIAL STATEMENTS. 36
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,450 New York State Dormitory Authority, Pratt Institute, Rev., 6.25%, 07/01/14 $ 3,902 4,000 New York State Dormitory Authority, Rochester Institute of Technology, Rev., MBIA, 5.30%, 07/01/17 4,240 1,150 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/09 1,280 3,855 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,272 1,055 New York State Dormitory Authority, School Districts Financing Program, Ser. C, Rev., MBIA, 5.50%, 10/01/11 1,181 2,010 New York State Dormitory Authority, School Districts Financing Program, Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,250 4,160 New York State Dormitory Authority, School Districts Financing Program, Ser. E, Rev., MBIA, 5.00%, 10/01/11 4,514 2,025 New York State Dormitory Authority, School Districts Financing Program, Ser. E, Rev., MBIA, 5.00%, 10/01/12 2,190 1,335 New York State Dormitory Authority, School Districts Financing Program, Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,619 1,575 New York State Dormitory Authority, Ser. C, Rev., 7.38%, 05/15/10 1,878 425 New York State Dormitory Authority, Ser. C, Rev., (p), 7.38%, 05/15/09 521 1,345 New York State Dormitory Authority, Service Contract, Child Care Facility, Rev., 5.13%, 04/01/12 1,443 1,105 New York State Dormitory Authority, Special Act School Districts Program, Rev., MBIA, 5.30%, 07/01/11 1,201 2,065 New York State Dormitory Authority, State Service Contract, Albany County, Rev., 5.25%, 04/01/12 2,192 340 New York State Dormitory Authority, State Service Contract, Albany County, Rev., 5.50%, 04/01/08 375 $ 500 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., 6.50%, 05/15/06 $ 556 1,180 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/06 1,291 6,725 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,492 800 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., MBIA-IBC, 5.50%, 05/15/10 894 28,582 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 03/27/07 (i) + 29,396 10,000 New York State Dormitory Authority, The City University of New York, CONS, Rev., AMBAC, 5.75%, 07/01/13 11,354 1,545 New York State Dormitory Authority, The City University of New York, Special Obligation, Ser. D, MBIA-IBC, 5.75%, 07/01/06 1,708 5,000 New York State Energy Research & Development Authority, PCR, New York State Electric & Gas Corp., Ser. E, Rev., MBIA, 5.90%, 12/01/06 5,626 460 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/11 523 700 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/12 797 1,590 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 1,825 2,950 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 3,386 4,130 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 4,746
SEE NOTES TO FINANCIAL STATEMENTS. 37
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,170 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 $ 2,494 425 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. B, Rev., 5.20%, 05/15/14 463 300 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/11 346 5,415 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,264 460 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., 5.70%, 07/15/14 531 4,650 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., (p), 5.70%, 07/15/09 5,173 1,000 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.50%, 06/15/13 1,109 3,320 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. L, Rev., 5.00%, 11/15/11 3,618 265 New York State Housing Finance Agency, Multi-Family Mortgage Housing, Ser. A, Rev., 6.95%, 08/15/12 268 1,250 New York State Housing Finance Agency, State University Construction, Ser. A, Rev., (p), 8.00%, 05/01/11 1,566 390 New York State Medical Care Facilities Finance Agency, FHA Insured Mortgage Project, St. Charles Memorial Hospital, Ser. F, Rev., (p), 6.20%, 08/15/05 425 440 New York State Medical Care Facilities Finance Agency, Hospital and Nursing Home, Insured Mortgage, Ser. C, Rev., (p), 5.75%, 02/15/08 499 1,345 New York State Thruway Authority, Capital Appreciation, Special Obligation, Ser. A, Rev., 0.00%, 01/01/04 1,338 $ 4,900 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 04/01/08 $ 5,406 865 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. B-1, Rev., (p), FGIC, 5.60%, 04/01/10 989 735 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.25%, 04/01/14 780 2,550 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 6.00%, 04/01/11 2,815 3,765 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), 6.00%, 04/01/07 4,327 5,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), MBIA, 5.63%, 04/01/09 5,723 2,890 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., MBIA, 5.50%, 04/01/10 3,225 3,800 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., MBIA-IBC, 5.25%, 01/01/11 4,157 3,045 New York State Urban Development Corp., Correctional Capital Facilities, Ser. A, Rev., FSA, 5.25%, 01/01/14 3,312 1,000 New York State Urban Development Corp., State Facilities, Rev., 5.60%, 04/01/15 1,100 250 New York State Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.60%, 04/01/11 276 45 New York State Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.88%, 04/01/14 50 1,000 New York State, GO, 2.75%, 07/01/04 1,014 3,000 New York State, GO, 6.00%, 03/01/07 3,342 1,940 Niagara Falls Bridge Commission, Tolls, Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,123 1,045 Oneida County, GO, FGIC, 5.50%, 03/15/11 1,168
SEE NOTES TO FINANCIAL STATEMENTS. 38
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,000 Oneida-Herkimer Solid Waste Management Authority, Solid Waste Systems, Rev., FSA, 5.50%, 04/01/11 $ 1,113 1,230 Onondaga County, GO, 5.25%, 05/15/13 1,360 1,280 Onondaga County, GO, 5.25%, 05/15/14 1,406 1,335 Onondaga County, GO, 5.25%, 05/15/15 1,466 785 Onondaga County, GO, 5.25%, 05/15/16 859 2,500 Onondaga County, Ser. A, GO, 5.00%, 05/01/12 2,695 495 Onondaga County, Ser. A, GO, 5.25%, 05/15/13 539 445 Onondaga County, Ser. A, GO, 5.25%, 05/15/14 482 515 Onondaga County, Ser. A, GO, 5.25%, 05/15/15 555 510 Onondaga County, Ser. A, GO, 5.25%, 05/15/16 546 9,425 Port Authority of New York & New Jersey, 120th Ser., Rev., MBIA, 5.75%, 10/15/07 10,564 775 Red Creek Central School District, GO, FSA, 5.50%, 06/15/14 867 390 Rockland County, Various Purposes, Ser. A, GO, 4.50%, 10/01/09 416 195 Rondout Valley Central School District, GO, FSA, 5.13%, 03/01/17 217 865 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/18 970 930 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/19 1,043 1,050 Scotia Glenville Central School District, GO, FGIC, 5.40%, 06/15/12 1,194 1,050 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/13 1,200 1,025 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/14 1,171 275 Shenendehowa Central School District, Clifton Park, GO, FSA, 5.50%, 07/15/11 311 500 Stillwater Central School District, GO, MBIA, 5.20%, 06/15/11 557 1,940 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.00%, 07/15/09 2,132 $ 1,730 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/13 $ 1,889 1,215 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/14 1,325 3,865 Suffolk County, Southwest Sewer District, GO, MBIA, 6.00%, 02/01/08 4,382 500 The New York Power Authority, General Purpose, Rev., (p), 7.00%, 01/01/10 605 2,000 The New York Power Authority, Rev., 5.00%, 11/15/06 2,187 1,300 The New York Power Authority, Rev., 5.50%, 11/15/07 1,456 2,000 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., GO, 5.00%, 11/15/10 2,184 7,890 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.50%, 01/01/12 8,789 9,125 Triborough Bridge & Tunnel Authority, General Purpose, Ser. Y, Rev., (p), 6.00%, 01/01/12 10,548 1,680 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/07 1,809 1,000 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/08 1,078 1,980 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/09 2,126 500 Uniondale Union Free School District, GO, FGIC, 5.00%, 06/01/07 547 465 Utica, New York, Public Improvement, GO, 6.00%, 01/15/04 472 675 Utica, New York, Public Improvement, GO, 6.00%, 01/15/12 730 295 Utica, New York, Public Improvement, GO, 6.10%, 01/15/13 316 1,150 Warren County, Public Improvement, GO, FGIC, 4.00%, 07/15/09 1,206 565 Warwick Valley Central School District, GO, FSA, 5.50%, 01/15/14 618 600 Watertown City School District, GO, FSA, 5.63%, 06/15/16 689
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,365 Watertown City School District, GO, FSA, 5.63%, 06/15/17 $ 1,568 1,245 Watertown City School District, GO, FSA, 5.63%, 06/15/18 1,431 2,870 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.20%, 11/01/16 3,059 8,140 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.25%, 11/01/12 8,884 1,700 Westchester County IDA, Civic Facilities, Children's Village Project, Ser. A, Rev., 5.30%, 03/15/14 1,783 1,150 Westchester County, GO, (p), 6.70%, 11/01/06 1,320 1,705 William Floyd Union Free School District of the Mastics-Moriches-Shirley, Ser. B, GO, MBIA, 4.63%, 06/15/08 1,847 1,000 Windsor Central School District, GO, FGIC, 5.50%, 06/15/13 1,142 1,170 Windsor Central School District, GO, FGIC, 5.50%, 06/15/14 1,337 650 Windsor Central School District, GO, FGIC, 5.50%, 06/15/15 743 ---------------------------------------------------------------------- 626,194 ---------------------------------------------------------------------- PUERTO RICO -- 9.2% 260 Puerto Rico Commonwealth Trust, 7.00%, 12/04/03 (i) 264 3,000 Puerto Rico Commonwealth, GO, MBIA, 6.50%, 07/01/12 3,601 3,500 Puerto Rico Commonwealth, Public Improvement, GO, 6.00%, 07/01/29 3,827 1,120 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/12 1,261 1,980 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA-IBC, 5.50%, 07/01/16 2,222 15,000 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 + 16,096 1,300 Puerto Rico Electric Power Authority, Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,464 $ 210 Puerto Rico Electric Power Authority, Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 $ 231 1,500 Puerto Rico Electric Power Authority, Ser. KK, Rev., FSA, 5.25%, 07/01/13 1,659 1,825 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/06 1,957 7,395 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/07 7,984 2,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., Adj., FSA, 5.00%, 07/01/26 2,173 8,430 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 9,101 1,500 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 1,687 1,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 1,705 4,725 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.00%, 07/01/07 5,101 4,500 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.25%, 07/01/08 4,910 1,570 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.50%, 07/01/12 1,715 1,345 Puerto Rico Public Buildings Authority, Rev., MBIA-IBC, 5.50%, 07/01/15 1,513 ---------------------------------------------------------------------- 68,471 ---------------------------------------------------------------------- VIRGIN ISLANDS -- 0.8% 1,390 Virgin Islands Public Finance Authority, Gross Receipts, Tax Loan Notes, Ser. A, Rev., 5.00%, 10/01/03 1,393 4,000 Virgin Islands Public Finance Authority, Gross Receipts, Tax Loan Notes, Ser. A, Rev., 6.38%, 10/01/19 4,393 ---------------------------------------------------------------------- 5,786 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED VIRGINIA -- 0.3% $ 1,740 Virginia Resources Authority, Infrastructure, Pooled Loan Bond Project, Ser. B, Rev., 5.00%, 11/01/12 $ 1,891 ---------------------------------------------------------------------- Total State and Municipal Obligations 734,745 (Cost $701,218) ---------------------------------------------------------------------- SHARES ISSUER VALUE - -------------------------------------------------------------------------------------------\ SHORT-TERM INVESTMENTS -- 1.4% MONEY MARKET FUND -- 1.4% 10,092 JPMorgan Tax Free Money Market Fund (a) $ 10,092 (Cost $10,092) ---------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 744,837 (COST $711,310) ----------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD) - ----------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 403 Eurodollar June, 2004 $ 98,816 $ 149 402 Eurodollar December, 2004 97,606 187 SHORT FUTURES OUTSTANDING (168) 5 Year Treasury Notes December, 2003 (18,456) (29)
SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMorgan Tax Free Income Fund PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.0% STATE AND MUNICIPAL OBLIGATIONS -- 96.0% ALABAMA -- 0.6% $ 1,805 Jefferson County, Sewer, Ser. D, Rev., (p), 5.75%, 02/01/07 + $ 2,029 2,195 Jefferson County, Sewer, Ser. D, Rev., (p), 5.75%, 02/01/07 + 2,468 ---------------------------------------------------------------------- 4,497 ---------------------------------------------------------------------- ARIZONA -- 0.9% 5,300 Pima County Unified School District No. 1, Tucson, GO, FGIC, 7.50%, 07/01/10 6,588 CALIFORNIA -- 11.8% 6,000 California Infrastructure & Economic Development Bank, State Revolving Fund, Clean Water, Rev., 5.00%, 10/01/15 + 6,375 5,750 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.13%, 05/01/18 + 5,921 2,000 California State, GO, MBIA-IBC, 6.50%, 11/01/09 + 2,359 1,000 California State, Veterans Bonds, Ser. AM, GO, 9.00%, 10/01/05 + 1,140 1,000 Fullerton University Foundation, Auxiliary Organization, Ser. A, Rev., MBIA, 5.75%, 07/01/30 + 1,066 4,000 Los Angeles Harbor Department, Rev., (p), 7.60%, 10/01/18 + 5,057 3,000 Modesto Irrigation District Financing Authority, Ser. A, Rev., MBIA, 6.00%, 10/01/15 + 3,338 2,015 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/07 + 2,722 2,090 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/09 + 3,060 2,830 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/10 + 4,253 2,370 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/11 + 3,652 3,705 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/13 + 5,974 $ 3,335 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/14 + $ 5,516 1,000 Nevada Union High School District, New Haven, GO, FSA, 12.00%, 08/01/15 + 1,678 9,930 Pomona Unified School District, Ser. A, GO, MBIA, 6.15%, 08/01/15 11,343 2,510 Riverside, California, Electric, Rev., FSA, 5.25%, 10/01/15 2,713 4,135 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/19 1,802 4,425 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/20 1,789 5,145 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/22 1,811 5,500 Southern California Public Power Authority, Power Project, San Juan Power, Ser. B, Adj., Rev., FSA, 5.25%, 01/01/20 5,996 6,475 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 01/01/14 7,206 ---------------------------------------------------------------------- 84,771 ---------------------------------------------------------------------- COLORADO -- 1.5% 1,145 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/11 + 1,255 100 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/13 + 108 2,000 Denver City & County, Airport, Ser. A, Rev., AMBAC, 6.00%, 11/15/17 + 2,179 570 Douglas County, Sales & Use Tax, Rev., FSA, 5.35%, 10/15/14 + 612 4,400 Platte River Power Authority, Ser. DD, Rev., MBIA, 6.00%, 06/01/06 4,878 1,595 Platte River Power Authority, Ser. DD, Rev., MBIA, 6.00%, 06/01/07 1,798 ---------------------------------------------------------------------- 10,830 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONNECTICUT -- 1.5% $ 4,555 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/14 $ 5,013 5,055 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/15 5,552 ---------------------------------------------------------------------- 10,565 ---------------------------------------------------------------------- DELAWARE -- 0.9% 5,000 Delaware State Economic Development Authority, Osteopathic Hospital Association of Delaware, Ser. A, Rev., (p), 6.90%, 01/01/18 + 6,145 FLORIDA -- 4.7% 2,200 Dade County, Special Obligation, Special Tax, Miami Beach Convention Center Project, (p), FGIC, 8.63%, 12/01/07 + 2,548 3,000 Florida State Division of Bond Finance, General Services, Department of Environmental Protection & Preservation, Ser. 2000-A, Rev., FGIC, 5.38%, 07/01/11 + 3,280 9,720 Florida State Division of Facilities Management, General Services, Ser. A, Rev., FSA, 5.25%, 09/01/16 + 10,589 3,205 Hillsborough County Aviation Authority, Tampa International Airport, Ser. B, Rev., FGIC, 6.00%, 10/01/18 + 3,640 3,800 Lakeland, Florida, Electric & Water, First Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 + 4,438 3,830 Orange County Health Facilities Authority, Ser. A, Rev., (p), MBIA, 6.25%, 10/01/12 4,532 1,295 Orange County Health Facilities Authority, Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,514 1,630 Orange County Health Facilities Authority, Ser. C, Rev., (p), MBIA, 6.25%, 10/01/12 1,929 680 Orange County Health Facilities Authority, Ser. C, Rev., MBIA, 6.25%, 10/01/12 795 495 Orange County, Tourist Development, Ser. A, Rev., (p), AMBAC, 6.50%, 10/01/10 502 ---------------------------------------------------------------------- 33,767 ---------------------------------------------------------------------- GEORGIA -- 5.1% $ 10,000 Dalton Development Authority, Rev., MBIA, 5.50%, 08/15/26 + $ 10,722 7,630 De Kalb County Housing Authority, Apartment Development, Fox Hollow Apartments, Rev., (p), 7.00%, 05/15/07 + 8,774 1,000 De Kalb County, Water & Sewer Systems, Rev., 5.25%, 10/01/11 + 1,106 15 Georgia State Residential Finance Authority, Single Family Mortgage, Ser. A, Rev., 8.40%, 12/01/18 + 15 10,485 Metropolitan Atlanta Rapid Transportation Authority, Sales Tax, Ser. P, Rev., AMBAC, 6.25%, 07/01/20 + 12,428 3,110 Savannah Economic Development Authority, College of Art & Design, Inc. Project, Rev., 6.60%, 10/01/15 3,357 ---------------------------------------------------------------------- 36,402 ---------------------------------------------------------------------- HAWAII -- 0.8% 5,000 Honolulu City & County, Ser. A, GO, 7.35%, 07/01/08 + 5,986 ILLINOIS -- 6.5% 3,990 Cook County Community High School District No. 219, Niles Township, GO, FGIC, 8.00%, 12/01/15 + 5,360 5,400 Cook County, Ser. B, GO, MBIA, 5.00%, 11/15/11 + 5,850 3,250 Illinois Housing Development Authority, Multi-Family Housing, Ser. 1991-A, Rev., 8.25%, 07/01/16 + 3,262 2,425 Regional Transportation Authority, Rev., MBIA, 6.25%, 07/01/15 2,859 11,000 State of Illinois, First Ser., GO, MBIA, 5.13%, 10/01/11 + 11,991 20,000 State of Illinois, Taxable Pension, GO, 5.10%, 06/01/33 + 17,500 ---------------------------------------------------------------------- 46,822 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED IOWA -- 0.8% $ 5,000 Muscatine, Iowa, Electric, Ser. A, Rev., AMBAC, 5.50%, 01/01/11 + $ 5,549 KANSAS -- 0.2% 1,000 Johnson County Water District No. 1, Rev., 5.00%, 12/01/10 + 1,097 KENTUCKY -- 1.2% 8,000 Louisville & Jefferson Counties Metropolitan Sewer District, Sewer & Drain System, Ser. A, Rev., (p), AMBAC, 6.50%, 11/15/04 + 8,670 LOUISIANA -- 1.3% 1,500 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/15 + 1,626 2,000 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/18 + 2,118 1,040 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/19 + 1,093 2,000 Orleans Parish School Board, Defeased, Rev., (p), MBIA, 8.85%, 02/01/06 2,330 2,000 Orleans Parish School Board, Defeased, Rev., (p), MBIA, 8.90%, 02/01/07 2,432 ---------------------------------------------------------------------- 9,599 ---------------------------------------------------------------------- MASSACHUSETTS -- 2.8% 9,000 Massachusetts State Port Authority, Ser. B, Rev., FSA, 5.50%, 07/01/13 + 9,562 8,600 Massachusetts State, CONS, Ser. C, GO, 5.25%, 12/01/07 + 9,517 1,000 New England Education Loan Marketing Corp., Student Loan, Sub-Issue H, Rev., 6.90%, 11/01/09 + 1,139 ---------------------------------------------------------------------- 20,218 ---------------------------------------------------------------------- MICHIGAN -- 0.7% 5,000 Michigan Strategic Fund, Detroit Edison Co., Ser. CC, Rev., Adj., AMBAC, 4.85%, 09/01/30 + 5,338 MISSOURI -- 0.2% 1,105 Sikeston, Missouri, Electric, Rev., MBIA, 6.00%, 06/01/16 1,290 NEVADA -- 0.0% ^ $ 20 Nevada Housing Division, Single Family Housing, Ser. A-3, Rev., 8.20%, 10/01/19 + $ 20 NEW HAMPSHIRE -- 0.5% 3,240 Manchester Housing & Redevelopment Authority, Ser. A, Rev., 6.75%, 01/01/15 + 3,562 NEW JERSEY -- 3.5% 4,200 Freehold Regional High School District, GO, (p), FGIC, 5.60%, 03/01/10 + 4,747 5,215 New Jersey Economic Development Authority, Educational Testing Service, Ser. B, Rev., (p), MBIA, 6.25%, 05/15/05 + 5,750 1,500 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 + 1,459 5,000 New Jersey State Highway Authority, Garden State Parkway, Rev., (p), 6.20%, 01/01/10 + 5,736 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 + 1,131 1,875 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., (p), MBIA, 6.50%, 06/15/10 + 2,230 3,125 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 6.50%, 06/15/10 + 3,680 ---------------------------------------------------------------------- 24,733 ---------------------------------------------------------------------- NEW MEXICO -- 0.8% 5,000 Bernalillo County, Gross Receipts, Ser. B, Rev., 5.70%, 04/01/27 + 5,475 NEW YORK -- 26.9% 345 New York City IDA, Civic Facilities, Mount St. Vincent College, Rev., 7.00%, 05/01/08 356 3,450 New York City IDA, IDR, Brooklyn Navy Yard Cogen Partners Project, Rev., 6.20%, 10/01/22 3,358
SEE NOTES TO FINANCIAL STATEMENTS. 44
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,850 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., 5.75%, 06/15/30 $ 3,001 13,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/01/26 14,355 8,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., 5.50%, 11/01/24 8,406 9,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., (p), 5.50%, 05/01/10 @ 10,247 2,000 New York City, New York, Ser. A, GO, 5.38%, 08/01/15 + 2,075 11,000 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/08 + 12,208 2,450 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/09 + 2,734 2,800 New York City, New York, Ser. B, GO, 5.50%, 08/01/12 2,996 3,775 New York City, New York, Ser. B, GO, MBIA, 6.50%, 08/15/10 + 4,407 18,140 New York City, New York, Ser. F, GO, 6.00%, 01/15/18 + 19,742 2,900 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 + 2,887 10,155 New York Mortgage Agency, Homeowner Mortgage, Ser. 85, Rev., 5.70%, 10/01/17 10,471 5,000 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 5,677 1,500 New York State Dormitory Authority, FHA Insured Nursing Home, Ser. A, Rev., MBIA, 5.50%, 08/01/30 1,525 2,000 New York State Dormitory Authority, Pratt Institute, Rev., 6.00%, 07/01/28 2,172 6,000 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp., Ser. A, Rev., FGIC, 7.20%, 07/01/29 6,374 $ 95 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. D-02, Rev., 6.85%, 11/15/11 $ 102 9,345 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.38%, 06/15/19 9,906 7,270 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/15/17 7,816 7,135 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/05/18 7,617 215 New York State Housing Finance Agency, Health Facilities, Monroe County, Ser. A, Rev., 7.63%, 05/01/05 217 2,070 New York State Medical Care Facilities Finance Agency, Hospital and Nursing Home, Insured Mortgage, Ser. C, Rev., 6.25%, 08/15/12 2,172 2,000 New York State Medical Care Facilities Finance Agency, Special Obligation, Mental Health Services Facilities Improvement, Ser. A, (p), 8.30%, 05/01/04 2,095 5,000 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.50%, 01/01/17 5,433 2,390 New York State Urban Development Corp., Correctional Capital Facilities, Rev., (p), MBIA-IBC, 5.70%, 01/01/07 2,703 26,000 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 29,137 9,000 Triborough Bridge & Tunnel Authority, Convention Center Project, Ser. E, Rev., 7.25%, 01/01/10 10,327 2,000 Utica IDA, Civic Facilities, Munson- Williams-ProctorInstitute Project, Ser. A, Rev., 5.38%, 07/15/19 2,137 ---------------------------------------------------------------------- 192,653 ----------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NORTH DAKOTA -- 0.8% $ 5,000 Mercer County, PCR, Antelope Valley Station, Rev., AMBAC, 7.20%, 06/30/13 + $ 5,990 OHIO -- 1.7% 11,000 Cleveland, Ohio, Public Power System, First Mortgage, Ser. A, Rev., (p), MBIA, 7.00%, 11/15/04 + 11,987 OKLAHOMA -- 1.4% 2,810 Oklahoma Development Finance Authority, Samuel Roberts Noble Foundation, Inc., Rev., 5.50%, 05/01/11 3,046 1,225 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-2, Rev., 6.80%, 09/01/26 1,243 5,000 Tulsa Metropolitan Utility Authority, Rev., MBIA, 5.75%, 09/01/19 5,418 ---------------------------------------------------------------------- 9,707 ---------------------------------------------------------------------- OREGON -- 1.7% 5,780 Oregon State, Higher Education Building, Ser. A, GO, (p), 6.45%, 08/01/04 6,121 5,000 Washington County Unified Sewer Agency, Senior Lien, Ser. A, Rev., FGIC, 5.75%, 10/01/10 5,727 ---------------------------------------------------------------------- 11,848 ---------------------------------------------------------------------- PENNSYLVANIA -- 1.0% 6,500 Pennsylvania IDA, Economic Development, Rev., AMBAC, 5.50%, 07/01/18 7,029 PUERTO RICO -- 9.3% 5,000 Puerto Rico Commonwealth, GO, FGIC, 5.25%, 07/01/09 5,585 5,655 Puerto Rico Commonwealth, GO, MBIA, 6.00%, 07/01/16 6,624 12,400 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 13,306 10,000 Puerto Rico Electric Power Authority, Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,248 $ 10,215 Puerto Rico Electric Power Authority, Ser. LL, Rev., MBIA, 5.50%, 07/01/16 $ 11,465 5,000 Puerto Rico Electric Power Authority, Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,830 5,000 Puerto Rico Highway & Transportation Authority, Ser. B, Rev., (p), 6.00%, 07/01/10 5,859 2,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 2,842 3,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, 6.25%, 07/01/11 3,525 25 Puerto Rico Urban Renewal & Housing Corp., Rev., 7.88%, 10/01/04 25 ---------------------------------------------------------------------- 66,309 ---------------------------------------------------------------------- SOUTH CAROLINA -- 0.8% 5,000 South Carolina State Public Service Authority, Ser. A, Rev., AMBAC, 6.25%, 01/01/22 5,466 SOUTH DAKOTA -- 0.5% 2,875 Heartland Consumers Power District, Rev., (p), 7.00%, 01/01/16 + 3,446 TENNESSEE -- 0.5% 650 Knox County Health Educational & Housing Facilities Board, Hospital Facilities, Baptist Health Systems East, Rev., 6.38%, 04/15/22 + 661 3,000 Metropolitan Government of Nashville & Davidson County, Water & Sewer, Rev., FGIC, 5.20%, 01/01/13 + 3,257 ---------------------------------------------------------------------- 3,918 ---------------------------------------------------------------------- TEXAS -- 2.4% 6,500 Austin, Texas, Utility System, Rev., MBIA-IBC, 6.00%, 11/15/13 + 7,459 2,115 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/08 + 2,228
SEE NOTES TO FINANCIAL STATEMENTS. 46
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- CONTINUED $ 2,945 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/09 + $ 3,102 2,000 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/11 + 2,107 2,000 Houston, Texas, Water Conveyance System, COP, Ser. F, AMBAC, 7.20%, 12/15/06 +. 2,328 ---------------------------------------------------------------------- 17,224 ---------------------------------------------------------------------- VIRGINIA -- 0.8% 5,500 Virginia State Public School Authority, 1997 Resolution, Ser. A, Rev., 5.00%, 08/01/18 5,747 WASHINGTON -- 1.9% 5,000 Energy Northwest, Washington Electric, Project Number 1, Ser. A, Rev., MBIA, 5.50%, 07/01/16 + 5,403 7,000 Energy Northwest, Washington Electric, Ser. B, Rev., MBIA, 5.50%, 07/01/18 +7,821 15 Washington Public Power Supply System, Nuclear Project No. 1, Ser. B, Rev., 7.25%, 07/01/09 17 $ 235 Washington Public Power Supply System, Nuclear Project No. 1, Ser. B, Rev., (p), 7.25%, 07/01/09 $ 286 ---------------------------------------------------------------------- 13,527 ---------------------------------------------------------------------- Total State and Municipal Obligations 686,775 (Cost $649,875) ---------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 4.0% SHARES - ------------------------------------------------------------------------------------------- MONEY MARKET FUNDS -- 4.0% 28,821 JPMorgan Tax Free Money Market Fund (a) + 28,821 0^^ Provident Municipal Money Market Fund 0^^ ---------------------------------------------------------------------- Total Money Market Funds 28,821 (Cost $28,821) ---------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 715,596 (COST $678,696) ----------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/03 (USD) (DEPRECIATION) (USD) - -------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 763 Eurodollar June, 2004 $ 187,088 $ 282 762 Eurodollar December, 2004 185,014 354
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) - -------------------------------------------------------------------------------------------------------------------- Interest Rate Swap with Morgan Stanley Capital Services, semi-annual payment of 4.108% and semi-annual receipt of weekly average BMA index 10/17/19 $ 11,800 $ 255
SEE NOTES TO FINANCIAL STATEMENTS. 47 Abbreviations (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. + -- All or a portion of this security is segregated with the custodian for futures contracts, TBA, when issued, delayed delivery securities, swaps or unsettled trades. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. @ -- Securities fully or partially segregated with the brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as ammended and advised by JPMorgan Investment Management, Inc. (i) -- Security is considered illiquid and may be difficult to sell. Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest rate shown is the rate in effect at August 31, 2003. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Note. CONS -- Consolidated Bonds. COP -- Certificates of Participation. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at August 31, 2003. FSA -- Financial Securities Assistance. GAN -- Grant Anticipation Note. GO -- General Obligation Bond. IBC -- Insured Bond Certificates. IDA -- Industrial Development Authority. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Association. PCR -- Pollution Control Revenue. Rev. -- Revenue Bond. Ser. -- Series. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 48 THIS PAGE IS INTENTIONALLY LEFT BLANK STATEMENT OF ASSETS AND LIABILITIES AS OF AUGUST 31, 2003 (Amounts in thousands, except per share amounts)
NEW YORK INTERMEDIATE NEW JERSEY INTERMEDIATE CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND ASSETS Investment securities, at value $ 164,210 $ 1,638,729 $ 72,672 $ 744,837 $ 715,596 Receivables: Investment securities sold 3,460 555 2,448 12,258 177 Fund shares sold 203 539 1 61 48 Interest and dividends 2,053 19,860 699 8,738 8,681 Unrealized appreciation on swaps -- -- -- -- 255 - ---------------------------------------------------------------------------------------------------------------------------------- Total Assets 169,926 1,659,683 75,820 765,894 724,757 - ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Dividends 324 3,775 191 1,387 2,176 Investment securities purchased 4,346 10,269 235 9,266 -- Fund shares redeemed 24 900 -- 145 288 Variation margin 31 423 -- 69 191 Accrued liabilities: Investment advisory fees 42 418 19 194 185 Administration fees 8 98 5 71 93 Shareholder servicing fees 7 261 4 96 149 Distribution fees -- -- 1 17 4 Custodian fees 10 34 10 24 20 Trustees' fees - deferred compensation plan 5 100 11 55 131 Other 65 132 49 115 118 - ---------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 4,862 16,410 525 11,439 3,355 - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $ 165,064 $ 1,643,273 $ 75,295 $ 754,455 $ 721,402 - ----------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 50
NEW YORK INTERMEDIATE NEW JERSEY INTERMEDIATE CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND NET ASSETS Paid in capital 156,727 1,559,414 71,171 713,343 680,101 Accumulated undistributed (overdistributed) net investment income (45) (389) (33) (162) (235) Accumulated net realized gain (loss) on investments, futures, and swaps 1,098 1,660 2,013 7,440 3,745 Net unrealized appreciation (depreciation) of investments, futures and swaps 7,284 82,588 2,144 33,834 37,791 - ---------------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 165,064 $ 1,643,273 $ 75,295 $ 754,455 $ 721,402 - ---------------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 2,017 -- 180 12,003 8,080 Class B -- -- 80 3,367 852 Class C -- -- -- 245 -- Institutional 10,068 44,270 -- 31,096 -- Select 3,350 106,082 7,203 55,761 102,333 - ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value: Class A (and redemption price) $ 10.80 $ -- $ 10.07 $ 7.35 $ 6.49 Class B* $ -- $ -- $ 10.04 $ 7.36 $ 6.50 Class C* $ -- $ -- $ -- $ 7.36 $ -- Institutional (and redemption price) $ 10.64 $ 10.93 $ -- $ 7.36 $ -- Select (and redemption price) $ 10.80 $ 10.93 $ 10.09 $ 7.37 $ 6.48 Class A Maximum Public Offering Price Per Share (net asset value per share/95.50%) $ 11.31 $ -- $ 10.54 $ 7.70 $ 6.80 - ---------------------------------------------------------------------------------------------------------------------------------- Cost of investments $ 157,031 $ 1,557,552 $ 70,528 $ 711,310 $ 678,696 - ----------------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 51 STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2003 (Amounts in thousands)
NEW YORK INTERMEDIATE NEW JERSEY INTERMEDIATE CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND INVESTMENT INCOME Interest $ 8,305 $ 76,283 $ 3,220 $ 36,306 $ 38,533 Dividend income from affiliated investments* 108 447 55 240 210 - ---------------------------------------------------------------------------------------------------------------------------------- Total investment income 8,413 76,730 3,275 36,546 38,743 - ---------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 602 5,243 240 2,610 2,474 Administration fees 301 2,622 120 1,305 1,237 Shareholder servicing fees 298 3,525 200 1,755 2,062 Distribution fees 57 -- 5 440 194 Custodian and accounting fees 61 209 57 138 119 Printing and postage fees 14 51 1 28 28 Professional fees 72 110 68 86 83 Registration expenses 21 69 16 55 56 Transfer agent fees 65 101 40 156 128 Trustees' fees 2 18 1 9 9 Other 21 118 8 80 49 - ---------------------------------------------------------------------------------------------------------------------------------- Total expenses 1,514 12,066 756 6,662 6,439 - ---------------------------------------------------------------------------------------------------------------------------------- Less amounts waived 424 1,428 125 778 248 Less earnings credits 1 4 --^ 2 1 Less expense reimbursements -- -- 26 -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 1,089 10,634 605 5,882 6,190 - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income 7,324 66,096 2,670 30,664 32,553 - ----------------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 52
NEW YORK INTERMEDIATE NEW JERSEY INTERMEDIATE CALIFORNIA TAX FREE TAX FREE TAX FREE TAX FREE BOND FUND INCOME FUND INCOME FUND INCOME FUND INCOME FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments 1,818 13,552 2,047 9,950 10,732 Futures (416) (5,033) 52 (2,194) (2,985) Swaps 59 (895) -- 130 -- Change in net unrealized appreciation/ depreciation of: Investments (4,928) (30,058) (2,621) (18,067) (20,977) Futures 105 1,411 -- 561 636 Swaps -- -- 255 - ---------------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments, futures and swaps (3,362) (21,023) (522) (9,620) (12,339) - ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 3,962 $ 45,073 $ 2,148 $ 21,044 $ 20,214 - ---------------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 15 $ 62 $ 8 $ 32 $ 30 - ----------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 53 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
INTERMEDIATE CALIFORNIA BOND FUND TAX FREE INCOME FUND ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 8/31/03 8/31/02 8/31/03 8/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 7,324 $ 7,591 $ 66,096 $ 66,694 Net realized gain on investments, futures and swaps 1,461 676 7,624 10,465 Change in net unrealized appreciation/depreciation of investments and futures (4,823) 2,273 (28,647) 26,324 - --------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 3,962 10,540 45,073 103,483 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (7,271) (7,577) (66,147) (67,242) Net realized gain on investment transactions (864) (79) (11,597) (6,348) - --------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (8,135) (7,656) (77,744) (73,590) - --------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (48,934) 47,026 (120,582) 1,038,289 - --------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (53,107) 49,910 (153,253) 1,068,182 - --------------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 218,171 168,261 1,796,526 728,344 - --------------------------------------------------------------------------------------------------------------------------- End of period $ 165,064 $ 218,171 $ 1,643,273 $ 1,796,526 - --------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (45) $ (98) $ (389) $ (459) - ---------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54
NEW JERSEY NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 8/31/03 8/31/02 8/31/03 8/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 2,670 $ 2,932 $ 30,664 $ 32,319 Net realized gain (loss) on investments, futures and swaps 2,099 1,803 7,886 2,536 Change in net unrealized appreciation/depreciation of investments and futures (2,621) (154) (17,506) 12,257 - --------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 2,148 4,581 21,044 47,112 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,656) (2,953) (30,687) (32,359) Net realized gain on investment transactions (1,343) (1,448) (212) (1,808) - --------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (3,999) (4,401) (30,899) (34,167) - --------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (6,022) 762 (135,478) 455,766 - --------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (7,873) 942 (145,333) 468,711 - --------------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 83,168 82,226 899,788 431,077 - --------------------------------------------------------------------------------------------------------------------------- End of period $ 75,295 $ 83,168 $ 754,455 $ 899,788 - --------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (33) $ (47) $ (162) $ (139) - ---------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55 JPMorgan Funds
TAX FREE INCOME FUND ---------------------------- YEAR ENDED YEAR ENDED 8/31/03 8/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 32,553 $ 35,825 Net realized gain (loss) on investments and futures 7,747 6,928 Change in net unrealized appreciation/depreciation of investments, futures and swaps (20,086) 4,174 Increase (decrease) in net assets from operations 20,214 46,927 - ----------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (32,728) (35,998) Net realized gain on investment transactions (6,328) -- - ----------------------------------------------------------------------------------------- Total distributions to shareholders (39,056) (35,998) - ----------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (122,669) (12,488) - ----------------------------------------------------------------------------------------- Total increase (decrease) in net assets (141,511) (1,559) - ----------------------------------------------------------------------------------------- NET ASSETS Beginning of period 862,913 864,472 - ----------------------------------------------------------------------------------------- End of period $ 721,402 $ 862,913 - ----------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (235) $ (60) - -----------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56 NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan Series Trust ("JPMST") and J.P. Morgan Mutual Fund Select Trust ("MFST") (the "Trusts") are organized as Massachusetts business trusts and are registered under the Investment Company Act of 1940, as amended, as open-end, management investment companies. JPMST and MFST were organized on August 15, 1996 and October 1, 1996, respectively. MFST was formerly named Mutual Fund Select Trust. The name change went into effect on May 1, 2003. The following are five separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan California Bond Fund ("CBF") Class A, Institutional and Select JPMorgan Intermediate Tax Free Income Fund ("ITFI") Institutional and Select JPMorgan New Jersey Tax Free Income Fund ("NJTFI") Class A, Class B and Select JPMorgan New York Intermediate Tax Free Income Fund ("NYTFI") Class A, Class B, Class C, Institutional and Select JPMorgan Tax Free Income Fund ("TFI") Class A, Class B and Select
CBF is a series of JPMST and ITFI, NJTFI, NYTFI and TFI are each a series of MFST. On January 31, 2003, NYTFI commenced offerings of Class C Shares. Class A shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Select Class or Institutional Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing expenses and each class has exclusive voting rights with respect to its distribution and shareholder servicing agreements. Class A shares, for which front-end sales charges have been waived, may be subject to redemption charges as described in the Funds' prospectus. 57 2. REORGANIZATIONS Prior to the open of business on September 10, 2001, the Acquiring Funds acquired all the net assets of the Target Funds, as shown in the tables below, pursuant to the Plans of Reorganization approved by the Target Funds' shareholders on July 3, 2001 and July 25, 2001. The transactions were structured for tax purposes to qualify as tax-free reorganizations under the Internal Revenue Code. Under each Reorganization Plan, shareholders of the Target Funds received shares in the Acquiring Funds with a value equal to their holdings in the Target Funds. Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds:
TARGET FUNDS ACQUIRING FUNDS SHARES RECEIVED J.P. Morgan California Intermediate Tax Free Fund CBF Class A J.P. Morgan Tax Exempt Bond Fund ITFI Select J.P. Morgan Institutional Tax Exempt Bond Fund ITFI Institutional J.P. Morgan New York Tax Exempt Bond Fund NYTFI Select J.P. Morgan Institutional New York Tax Exempt Bond Fund NYTFI Institutional
The following is a summary of Shares Outstanding, Beneficial Interest Outstanding, Net Assets, Net Asset Values Per Share and Net Unrealized Appreciation immediately before and after the Reorganizations (amounts in thousands, except per share amounts): JPMORGAN CALIFORNIA BOND FUND REORGANIZATION
NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE APPRECIATION TARGET FUND JPMorgan California Intermediate Tax Free Fund $ 1,450 Class A 2,257 $ 23,319 $ 10.33 ACQUIRING FUND J.P Morgan California Bond Fund $ 8,202 Institutional 13,012 $ 139,461 $ 10.72 Select 2,891 $ 31,511 $ 10.90 POST REORGANIZATION JPMorgan California Bond Fund $ 9,652 Class A 2,139 $ 23,319 $ 10.90 Institutional 13,012 $ 139,461 $ 10.72 Select 2,891 $ 31,511 $ 10.90
58 JPMORGAN INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION
BENEFICIAL NET ASSET NET INTEREST SHARES VALUE UNREALIZED OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION TARGET FUNDS J.P. Morgan Tax Exempt Bond Fund 29,573 $ 353,981 $ 11.96 $ 19,566 J.P. Morgan Institutional Tax Exempt Bond Fund 52,587 $ 552,679 $ 10.51 $ 23,466 ACQUIRING FUND JPMorgan Intermediate Tax Free Income Fund Institutional (renamed Select) 66,353 $ 725,784 $ 10.94 39,281 POST REORGANIZATION JPMorgan Intermediate Tax Free Income Fund $ 82,313 Institutional 50,521 $ 552,679 $ 10.94 Select 98,683 $ 1,079,765 $ 10.94
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION
BENEFICIAL NET ASSET NET INTEREST SHARES VALUE UNREALIZED OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION TARGET FUND J.P. Morgan New York Tax Exempt Bond Fund 14,665 $ 159,184 $ 10.85 $ 6,079 J.P. Morgan Institutional New York Tax Exempt Bond Fund 28,062 $ 307,395 $ 10.95 $ 8,951 ACQUIRING FUND JPMorgan New York Intermediate Tax Free Income Fund $ 21,041 Class A 16,631 $ 121,763 $ 7.32 Class B 1,614 $ 11,829 $ 7.33 Institutional (renamed Select) 40,980 $ 300,268 $ 7.33 POST REORGANIZATION JPMorgan New York Intermediate Tax Free Income Fund $ 36,071 Class A 16,631 $ 121,763 $ 7.32 Class B 1,614 $ 11,829 $ 7.33 Institutional 41,920 $ 307,395 $ 7.33 Select 62,687 $ 459,452 $ 7.33
59 3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Fixed income securities, other than convertible bonds, with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, which approximates market value. B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled. The Funds invest in U.S. Treasury and/or municipal bond futures contracts as a hedge to modify the duration of the portfolio holdings. The Funds also invest in exchange-traded interest rate futures and Eurodollar futures for hedging purposes to either modify the duration and/or yield curve exposure of the portfolio. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk. The Funds enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of August 31, 2003, the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. SWAPS -- The Funds may engage in swap transactions, including interest rate, currency, fixed income, index and total return swaps in order to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. As of August 31, 2003, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. D. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest 60 method adjusted for amortization of premiums and accretion of discounts. Purchases of To Be Announced (TBA), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is each Fund's policy to segregate assets with a current value at least equal to the amount of its TBA, when-issued or delayed delivery purchase commitments. E. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The policy of the Funds is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of their distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FUND CBF $ -- $ -- $ -- ITFI 16 121 (137) NJTFI -- -- -- NYTFI -- -- -- TFI -- -- --
61 The reclassifications for ITFI relate primarily to different book/tax amortization of market discount. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to separate Investment Advisory Agreements, J.P. Morgan Fleming Asset Management (USA), Inc. ("JPMFAM") and J.P. Morgan Investment Management, Inc. ("JPMIM" and together with JPMFAM, the "Advisors") act as the investment advisors to the Funds. JPMFAM, a direct wholly owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned subsidiary of JPMorgan Chase & Co. ("JPMorgan"), is the Advisor for ITFI, NJTFI, NYTFI and TFI. JPMIM, a wholly owned subsidiary of JPMorgan, is the Advisor for CBF. The Advisors supervise the investments of each respective Fund and for such services are paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.30% of the average daily net assets for each respective Fund. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A shares of the CBF, NJTFI, NYTFI and TFI, Class B shares of NJTFI, NYTFI and TFI and Class C shares of NYTFI in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C FUND CBF 0.25 n/a n/a NJTFI 0.25 0.75 n/a NYTFI 0.25 0.75 0.75 TFI 0.25 0.75 n/a
62 In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from redemptions of Class B and Class C shares. The Distributor waived fees as outlined in Note 4.F. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JPMCB, under which JPMCB provides account administration and personal account maintenance services to the shareholders. JPMCB may obtain the services of one or more Shareholder Servicing Agents. For these services, JPMCB or the Shareholder Servicing Agent will receive a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT FUND CBF 0.25 n/a n/a 0.10 0.25 ITFI n/a n/a n/a 0.10 0.25 NJTFI 0.25 0.25 n/a n/a 0.25 NYTFI 0.25 0.25 0.25 0.10 0.25 TFI 0.25 0.25 n/a n/a 0.25
In addition, JPMCB, Charles Schwab & Co. ("Schwab") and JPMST are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers of investment advisors and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationships between Schwab, JPMST and JPMCB are terminated, the Funds would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. JPMCB waived fees as outlined in Note 4.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and custody services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. 63 The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT FUND CBF 0.60 n/a n/a 0.50 0.65 ITFI n/a n/a n/a 0.50 0.66 NJTFI 1.00 1.50 n/a n/a 0.75 NYTFI 0.75 1.55 1.55 0.50 0.72 TFI 0.75 1.64 n/a n/a 0.75
The contractual expense limitation agreements were in effect for the year ended August 31, 2003 for the Funds. The expense limitation percentages in the table above are due to expire as follows:
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT FUND CBF 12/31/03 n/a n/a 12/31/04 12/31/04 ITFI n/a n/a n/a 12/31/04 12/31/04 NJTFI 12/31/03 12/31/03 n/a n/a 12/31/03 NYTFI 12/31/03 12/31/03 12/31/03 12/31/04 12/31/04 TFI 12/31/03 12/31/03 n/a n/a 12/31/03
64 The Administrator waived fees and/or reimbursed expenses as outlined in Note 4.F. F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
CONTRACTUAL WAIVERS -------------------------------------------------------------------------------- SHAREHOLDER CONTRACTUAL ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS FUND CBF $ 164 $ 203 $ 57 $ 424 $ -- ITFI 1,165 263 -- $ 1,428 -- NJTFI 40 85 -- 125 26 NYTFI 105 415 258 778 -- TFI -- 97 151 248 -- Total $ 1,474 $ 1,063 $ 466 $ 3,003 $ 26
G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. For the year ended August 31, 2003, there were no brokerage commissions with broker/dealers affiliated with JPMCB. During the period, certain funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors. 65 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended August 31, 2003 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT CBF Class A $ 56 $ 57 $ 27 Institutional 135 -- 18 Select 107 -- 20 $ 298 $ 57 $ 65 ITFI Institutional $ 563 $ 67 Select 2,962 34 $ 3,525 $ 101 NJTFI Class A $ 2 $ 2 $ 15 Class B 1 3 13 Select 197 -- 12 $ 200 $ 5 $ 40 NYTFI Class A $ 257 $ 258 $ 76 Class B 60 179 18 Class C 1 3 --^ Institutional 280 -- 27 Select 1,157 -- 35 $ 1,755 $ 440 $ 156 TFI Class A $ 151 $ 150 $ 88 Class B 15 44 9 Select 1,896 -- 31 $ 2,062 $ 194 $ 128
^ Amount rounds to less than one thousand. 66 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the years ended August 31, 2003 and August 31, 2002 are as follows (amounts in thousands):
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02 ------------------------------------ ------------------------------------ NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN CBF Class A $ 819 $ 87 $ 776 $ 8 Institutional 4,961 605 5,412 58 Select 1,491 172 1,389 13 - --------------------------------------------------------------------------------------------------------------- $ 7,271 $ 864 $ 7,577 $ 79 ITFI Institutional $ 21,900 $ 3,975 $ 24,361 $ 2,247 Select 44,247 7,622 42,881 4,101 - --------------------------------------------------------------------------------------------------------------- $ 66,147 $ 11,597 $ 67,242 $ 6,348 NJTFI Class A $ 22 $ 3 $ 1 $ -- Class B 10 1 -- -- Select 2,624 1,339 2,952 1,448 - --------------------------------------------------------------------------------------------------------------- $ 2,656 $ 1,343 $ 2,953 $ 1,448 NYTFI Class A $ 3,558 $ 25 $ 4,948 $ 357 Class B 631 6 425 27 Class C 11 -- -- -- Institutional 10,346 70 10,592 507 Select 16,141 111 16,394 917 - --------------------------------------------------------------------------------------------------------------- $ 30,687 $ 212 $ 32,359 $ 1,808 TFI Class A $ 2,396 $ 462 $ 2,497 $ -- Class B 180 42 193 -- Select 30,152 5,824 33,308 -- - --------------------------------------------------------------------------------------------------------------- $ 32,728 $ 6,328 $ 35,998 $ -- - ---------------------------------------------------------------------------------------------------------------
67 7. INVESTMENT TRANSACTIONS For the year ended August 31, 2003, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. GOVERNMENT) GOVERNMENT) FUND CBF $ 88,223 $ 144,881 ITFI 906,311 1,105,518 NJTFI 42,060 54,302 NYTFI 296,964 445,204 TFI 267,186 495,205
8. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation(depreciation) in value of the investment securities at August 31, 2003, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND CBF $ 157,031 $ 7,389 $ (210) $ 7,179 ITFI 1,557,552 84,135 (2,958) 81,177 NJTFI 70,528 2,480 (336) 2,144 NYTFI 711,294 35,149 (1,606) 33,543 TFI 678,696 38,002 (1,102) 36,900
The tax character of distributions paid during the years ended August 31, 2003 and August 31, 2002 were as follows (amounts in thousands): YEAR ENDED AUGUST 31, 2003
TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTIONS FUND CBF $ 7,232 $ 410 $ 493 $ 8,135 ITFI 65,928 6,432 5,384 77,744 NJTFI 2,652 469 878 3,999 NYTFI 30,645 42 212 30,899 TFI 32,626 3,265 3,165 39,056
68 YEAR ENDED AUGUST 31, 2002
TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTIONS FUND CBF $ 7,555 $ 22 $ 79 $ 7,656 ITFI 67,242 -- 6,348 73,590 NJTFI 2,923 686 792 4,401 NYTFI 32,360 521 1,286 34,167 TFI 35,997 -- -- 35,997
At August 31, 2003, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
CBF ITFI NJTFI FUND Current distributable ordinary income $ -- $ -- $ 51 Current distributable tax-exempt income 283 3,484 169 Plus/Less: cumulative timing differences (328) (3,874) (201) Undistributed ordinary income or (overdistribution of ordinary income) $ (45) $ (390) $ 19 Current distributable long-term capital gain or (tax basis capital loss carryover) 1,203 3,072 1,961 Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss 1,203 3,072 1,961 Unrealized appreciation (depreciation) $ 7,179 $ 81,177 $ 2,144
NYTFI TFI FUND Current distributable ordinary income $ -- $ 21 Current distributable tax-exempt income 1,264 2,072 Plus/Less: cumulative timing differences (1,442) (2,306) Undistributed ordinary income or (overdistribution of ordinary income) $ (178) $ (213) Current distributable long-term capital gain or (tax basis capital loss carryover) 7,747 4,359 Plus/Less: cumulative timing differences -- -- Undistributed long-term gains/ accumulated capital loss 7,747 4,359 Unrealized appreciation (depreciation) $ 33,543 $ 37,155
69 For CBF, TFI and ITFI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to the mark to market of futures. For NYTFI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to the mark to market of futures, and basis adjustment due to different book/tax amortization of market discount. For the Funds, the cumulative timing difference account primarily consists of dividends payable and deferred compensation. 9. BANK BORROWINGS Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 15, 2004. Prior to April 17, 2003, the Funds had entered into an agreement, enabling it to participate with other JPMorgan Funds in an unsecured line of credit with a syndicate of banks, which permitted borrowings up to $400 million, collectively. Interest was charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which was allocated on a pro-rata basis to the Funds. This agreement expired on April 16, 2003. The Funds had no borrowings outstanding at August 31, 2003, nor at anytime during the year then ended. 10. CONCENTRATIONS AND INDEMNIFICATIONS The ability of the issuers of debt, asset-backed and mortgage-backed securities, along with counterparties to swap agreements, to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments. From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. The Funds invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. CBF, NJTFI and NYTFI primarily invest in issuers in the States of California, New Jersey and New York, respectively. TFI invested approximately 26.9% of its net assets in issuers in New York State. The issuer's abilities to meet their obligations may be affected by economic or political developments in a specific state or region. In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 70 11. SUBSEQUENT EVENTS On September 1, 2003, Robert Fleming, Inc. and J.P. Morgan Fleming Asset Management (USA), Inc. merged into J.P. Morgan Investment Management, Inc. ("JPMIM"). The investment advisory services and personnel providing investment advice have not changed as a result of the merger. Effective September 1, 2003, JPMIM, the surviving entity, will serve as advisor to all of the funds. On October 1, 2003, JPMIM changed from being a wholly owned subsidiary of JPMorgan ("Parent") to being an indirectly wholly owned subsidiary of the Parent, with the intermediary being J.P. Morgan Fleming Asset Management Holdings, Inc. 71 12. CAPITAL SHARE TRANSACTIONS
CALIFORNIA BOND FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002^ CLASS A SHARES AMOUNT Shares sold $ 4,386 $ 4,563 Shares issued in connection with Fund reorganization (Note 2) -- 23,319 Shares issued in reinvestment of distributions 448 358 Shares redeemed (5,714) (5,377) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (880) $ 22,863 - ------------------------------------------------------------------------- SHARES Shares sold 401 417 Shares issued in connection with Fund reorganization (Note 2) -- 2,139 Shares issued in reinvestment of distributions 41 33 Shares redeemed (516) (498) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (74) 2,091 - ------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 32,544 $ 65,758 Shares issued in reinvestment of distributions 1,830 1,621 Shares redeemed (73,815) (56,771) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (39,441) $ 10,608 - ------------------------------------------------------------------------- SHARES Shares sold 2,989 6,130 Shares issued in reinvestment of distributions 168 152 Shares redeemed (6,788) (5,332) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,631) 950 - -------------------------------------------------------------------------
^ For Class A Shares, from commencement of offering on September 10, 2001. 72
CALIFORNIA BOND FUND (CONTINUED) ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002 SELECT SHARES AMOUNT Shares sold $ 12,521 $ 22,222 Shares issued in reinvestment of distributions 730 695 Shares redeemed (21,864) (9,362) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (8,613) $ 13,555 - ------------------------------------------------------------------------- SHARES Shares sold 1,130 2,049 Shares issued in reinvestment of distributions 66 64 Shares redeemed (1,980) (863) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (784) 1,250 - -------------------------------------------------------------------------
73
INTERMEDIATE TAX FREE INCOME FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002^ INSTITUTIONAL SHARES AMOUNT Shares sold $ 135,433 $ 238,778 Shares issued in connection with Fund reorganization (Note 2) -- 552,679 Shares issued in reinvestment of distributions 9,531 9,244 Shares redeemed (293,878) (170,779) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (148,914) $ 629,922 - ------------------------------------------------------------------------- SHARES Shares sold 12,144 21,941 Shares issued in connection with Fund reorganization (Note 2) -- 50,521 Shares issued in reinvestment of distributions 856 848 Shares redeemed (26,319) (15,721) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (13,319) 57,589 - ------------------------------------------------------------------------- SELECT SHARES * AMOUNT Shares sold $ 368,766 $ 321,333 Shares issued in connection with Fund reorganization (Note 2) -- 353,981 Shares issued in reinvestment of distributions 16,184 13,644 Shares redeemed (356,618) (280,591) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 28,332 $ 408,367 - ------------------------------------------------------------------------- SHARES Shares sold 33,010 29,316 Shares issued in connection with Fund reorganization (Note 2) -- 32,330 Shares issued in reinvestment of distributions 1,457 1,257 Shares redeemed (31,918) (25,736) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 2,549 37,167 - -------------------------------------------------------------------------
* Formerly Institutional Class shares. ^ For Institutional Shares, from commencement of offering on September 10, 2001. 74
NEW JERSEY TAX FREE INCOME FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002^ CLASS A SHARES AMOUNT Shares sold $ 1,811 $ 53 Shares issued in reinvestment of distributions 22 1 Shares redeemed (23) -- - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,810 $ 54 - ------------------------------------------------------------------------- SHARES Shares sold 175 5 Shares issued in reinvestment of distributions 2 -- Shares redeemed (2) -- - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 175 5 - ------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 839 $ 56 Shares issued in reinvestment of distributions 9 -- Shares redeemed (88) -- - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 760 $ 56 - ------------------------------------------------------------------------- SHARES Shares sold 82 6 Shares issued in reinvestment of distributions 1 -- Shares redeemed (9) -- - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 74 6 - ------------------------------------------------------------------------- SELECT SHARES * AMOUNT Shares sold $ 5,191 $ 10,293 Shares issued in reinvestment of distributions 1,186 1,317 Shares redeemed (14,969) (10,958) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (8,592) $ 652 - ------------------------------------------------------------------------- SHARES Shares sold 504 1,022 Shares issued in reinvestment of distributions 117 134 Shares redeemed (1,453) (1,081) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (832) 75 - -------------------------------------------------------------------------
^ For Class A and Class B Shares, from commencement of offering on April 01, 2002. * Formerly Institutional Class shares. 75
NEW YORK INTERMEDIATE TAX FREE INCOME FUND ------------------------------------------ YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 26,999 $ 142,935 Shares issued in reinvestment of distributions 2,726 3,899 Shares redeemed (47,172) (157,990) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (17,447) $ (11,156) - ------------------------------------------------------------------------------- SHARES Shares sold 3,598 19,642 Shares issued in reinvestment of distributions 364 536 Shares redeemed (6,318) (21,759) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,356) (1,581) - ------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 7,435 $ 12,643 Shares issued in reinvestment of distributions 428 305 Shares redeemed (3,541) (4,341) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,322 $ 8,607 - ------------------------------------------------------------------------------- SHARES Shares sold 988 1,731 Shares issued in reinvestment of distributions 57 42 Shares redeemed (471) (595) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 574 1,178 - -------------------------------------------------------------------------------
76
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) ------------------------------------------------------ YEAR ENDED YEAR ENDED AUGUST 31, 2003^ AUGUST 31, 2002 CLASS C SHARES AMOUNT Shares sold $ 1,937 Shares issued in reinvestment of distributions 10 Shares redeemed (93) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,854 - --------------------------------------------------------------------------------------------- SHARES Shares sold 257 Shares issued in reinvestment of distributions 1 Shares redeemed (13) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 245 - --------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 28,180 $ 92,571 Shares issued in connection with Fund reorganization (Note 2) -- 307,395 Shares issued in reinvestment of distributions 4,650 4,642 Shares redeemed (98,854) (112,439) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (66,024) $ 292,169 - --------------------------------------------------------------------------------------------- SHARES Shares sold 3,755 12,678 Shares issued in connection with Fund reorganization (Note 2) -- 41,920 Shares issued in reinvestment of distributions 620 636 Shares redeemed (13,177) (15,336) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (8,802) 39,898 - ---------------------------------------------------------------------------------------------
^ For Class C Shares, from commencement of offering on January 31, 2003. 77
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) ------------------------------------------------------ YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002 SELECT SHARES * AMOUNT Shares sold $ 78,597 $ 117,859 Shares issued in connection with Fund Reorganization (Note 2) -- 159,184 Shares issued in reinvestment of distributions 4,113 5,138 Shares redeemed (140,893) (116,035) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (58,183) $ 166,146 - --------------------------------------------------------------------------------------------- SHARES Shares sold 10,472 16,117 Shares issued in connection with Fund Reorganization (Note 2) -- 21,707 Shares issued in reinvestment of distributions 549 705 Shares redeemed (18,786) (15,882) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (7,765) 22,647 - ---------------------------------------------------------------------------------------------
* Formerly Institutional Class shares. 78
TAX FREE INCOME FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2003 AUGUST 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 97,661 $ 95,324 Shares issued in reinvestment of distributions 2,131 1,846 Shares redeemed (107,439) (95,334) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,647) $ 1,836 - ------------------------------------------------------------------------- SHARES Shares sold 14,710 14,638 Shares issued in reinvestment of distributions 321 284 Shares redeemed (16,156) (14,631) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,125) 291 - ------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 1,104 $ 2,398 Shares issued in reinvestment of distributions 144 126 Shares redeemed (1,632) (4,169) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (384) $ (1,645) - ------------------------------------------------------------------------- SHARES Shares sold 165 368 Shares issued in reinvestment of distributions 22 19 Shares redeemed (246) (639) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (59) (252) - ------------------------------------------------------------------------- SELECT SHARES * AMOUNT Shares sold $ 24,525 $ 94,544 Shares issued in reinvestment of distributions 5,617 89 Shares redeemed (144,780) (107,312) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (114,638) $ (12,679) - ------------------------------------------------------------------------- SHARES Shares sold 3,681 14,556 Shares issued in reinvestment of distributions 855 14 Shares redeemed (21,767) (16,519) - ------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (17,231) (1,949) - -------------------------------------------------------------------------
* Formerly Institutional Class shares. 79 FINANCIAL HIGHLIGHTS CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17 0.40 0.04 0.44 9/10/01** Through 8/31/02 $ 10.90 0.40 0.17 0.57 0.40 -- 0.40 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20 0.32 0.17 0.49 4/1/02** Through 8/31/02 $ 9.84 0.12 0.53 0.65 0.13 -- 0.13 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16 0.26 --! 0.26 Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36 0.27 0.01 0.28 2/16/01** Through 8/31/01 $ 7.22 0.15 0.15 0.30 0.15 -- 0.15 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14 0.26 0.05 0.31 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.27 -- 0.27 2/16/01** Through 8/31/01 $ 6.44 0.15 0.13 0.28 0.15 -- 0.15
** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005 (1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. (b) Amount rounds to less than one million. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 80
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ---------------------------------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (IN MILLIONS) CALIFORNIA BOND FUND Year Ended 8/31/03 $ 10.80 1.51% $ 22 9/10/01** Through 8/31/02 $ 11.07 5.33% $ 23 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.07 1.92% $ 2 4/1/02** Through 8/31/02 $ 10.36 6.67% $ --(b) NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.35 2.15% $ 88 Year Ended 8/31/02 $ 7.45 5.06% $ 107 2/16/01** Through 8/31/01 $ 7.37 4.26% $ 117 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.49 2.15% $ 52 Year Ended 8/31/02 $ 6.66 5.64% $ 61 2/16/01** Through 8/31/01 $ 6.57 4.46% $ 59 RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------------------------------------------------ NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/03 0.60% 3.56% 1.16% 3.00% 49% 9/10/01** Through 8/31/02 0.60% 3.70% 1.23% 3.07% 65% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 1.00% 2.87% 3.13% 0.74% 59% 4/1/02** Through 8/31/02 1.00% 3.16% 33.81%!! (29.67%)!! 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 0.75% 3.45% 1.07% 3.13% 38% Year Ended 8/31/02 0.75% 3.58% 1.09% 3.24% 75% 2/16/01** Through 8/31/01 0.75% 4.10% 1.21% 3.64% 33% TAX FREE INCOME FUND Year Ended 8/31/03 0.75% 3.94% 1.14% 3.55% 36% Year Ended 8/31/02 0.75% 4.21% 1.15% 3.81% 94% 2/16/01** Through 8/31/01 0.75% 4.55% 1.23% 4.07% 57%
SEE NOTES TO FINANCIAL STATEMENTS. 81 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14 0.27 0.17 0.44 4/1/02** Through 8/31/02 $ 9.84 0.11 0.50 0.61 0.11 -- 0.11 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10 0.20 --! 0.20 Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29 0.20 0.01 0.21 2/16/01** Through 8/31/01 $ 7.22 0.12 0.16 0.28 0.12 -- 0.12 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08 0.21 0.05 0.26 Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30 0.20 -- 0.20 2/16/01** Through 8/31/01 $ 6.44 0.12 0.14 0.26 0.12 -- 0.12
** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005 (1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. (b) Amount rounds to less than one million. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 82
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ---------------------------------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (IN MILLIONS) NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.04 1.31% $ 1 4/1/02** Through 8/31/02 $ 10.34 6.20% $ --(b) NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.36 1.34% $ 25 Year Ended 8/31/02 $ 7.46 4.08% $ 21 2/16/01** Through 8/31/01 $ 7.38 3.91% $ 12 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.50 1.11% $ 6 Year Ended 8/31/02 $ 6.68 4.69% $ 6 2/16/01** Through 8/31/01 $ 6.58 4.13% $ 7 RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 1.50% 2.44% 4.96% (1.02%) 59% 4/1/02** Through 8/31/02 1.50% 2.72% 36.90%!! (32.68%)!! 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 1.55% 2.64% 1.57% 2.62% 38% Year Ended 8/31/02 1.57% 2.74% 1.59% 2.72% 75% 2/16/01** Through 8/31/01 1.64% 3.21% 1.72% 3.13% 33% TAX FREE INCOME FUND Year Ended 8/31/03 1.64% 3.04% 1.64% 3.04% 36% Year Ended 8/31/02 1.64% 3.31% 1.65% 3.30% 94% 2/16/01** Through 8/31/01 1.64% 3.66% 1.74% 3.56% 57%
SEE NOTES TO FINANCIAL STATEMENTS. 83 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS NEW YORK INTERMEDIATE TAX FREE INCOME FUND 1/31/03** Through 8/31/03 $ 7.46 0.10@ (0.09) 0.01 0.11 --! 0.11
** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. (1) Total return figures do not include the effect of any front-end or deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 84
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ---------------------------------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (IN MILLIONS) NEW YORK INTERMEDIATE TAX FREE INCOME FUND 1/31/03** Through 8/31/03 $ 7.36 0.17% $ 2 RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) NEW YORK INTERMEDIATE TAX FREE INCOME FUND 1/31/03** Through 8/31/03 1.55% 2.40% 1.57% 2.38% 38%
SEE NOTES TO FINANCIAL STATEMENTS. 85 INSTITUTIONAL CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18 0.40 0.04 0.44 Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58 0.41 -- 0.41 5/1/01 Through 8/31/01^ $ 10.36 0.14 0.40 0.54 0.14 0.03 0.17 Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79 0.46 -- 0.46 Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06 0.42 0.01 0.43 Year Ended 4/30/99 $ 10.20 0.41 0.25 0.66 0.41 0.05 0.46 INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28 0.43 0.07 0.50 9/10/01** Through 8/31/02 $ 10.94 0.44 0.25 0.69 0.44 0.04 0.48 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18 0.28 --! 0.28 9/10/01** Through 8/31/02 $ 7.33 0.27@ 0.15 0.42 0.28 0.01 0.29
^ The Fund changed its fiscal year end from April 30 to August 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. (a) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 86
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ------------------------------------------------------ NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (IN MILLIONS) CALIFORNIA BOND FUND Year Ended 8/31/03 $ 10.64 1.67% $ 107 Year Ended 8/31/02 $ 10.90 5.57% $ 149 5/1/01 Through 8/31/01^ $ 10.73 5.31% $ 137 Year Ended 4/30/01 $ 10.36 7.97% $ 126 Year Ended 4/30/00 $ 10.03 0.70% $ 85 Year Ended 4/30/99 $ 10.40 6.55% $ 64 INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.93 2.60% $ 484 9/10/01** Through 8/31/02 $ 11.15 6.43% $ 642 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.36 2.40% $ 229 9/10/01** Through 8/31/02 $ 7.46 5.89% $ 298 RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/03 0.50% 3.72% 0.66% 3.56% 49% Year Ended 8/31/02 0.50% 3.84% 0.71% 3.63% 65% 5/1/01 Through 8/31/01^ 0.50% 3.99% 0.59% 3.90% 29% Year Ended 4/30/01 0.50% 4.40% 0.59% 4.31% 55% Year Ended 4/30/00 0.50% 4.19% 0.70% 3.99% 87% Year Ended 4/30/99 0.49% 3.92% 0.71% 3.70% 40% INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 0.50% 3.89% 0.59% 3.80% 56% 9/10/01** Through 8/31/02 0.50% 4.02% 0.58% 3.94% 71% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 0.50% 3.70% 0.60% 3.60% 38% 9/10/01** Through 8/31/02 0.50% 3.85% 0.62% 3.73% 75%
SEE NOTES TO FINANCIAL STATEMENTS. 87 SELECT CLASS SHARES*
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16 0.39 0.04 0.43 Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56 0.40 -- 0.40 5/1/01 Through 8/31/01^ $ 10.53 0.14 0.41 0.55 0.14 0.03 0.17 Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78 0.45 -- 0.45 Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05 0.41 0.01 0.42 Year Ended 4/30/99 $ 10.35 0.40 0.26 0.66 0.40 0.04 0.44 INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27 0.42 0.07 0.49 Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64 0.43 0.04 0.47 Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96 0.44 -- 0.44 Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56 0.46 0.06 0.52 Year Ended 8/31/99 $ 10.93 0.52 (0.39) 0.13 0.52 0.12 0.64 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26 0.34 0.17 0.51 Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57 0.37 0.19 0.56 Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02 0.42 -- 0.42 Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56 0.44 -- 0.44 Year Ended 8/31/99 $ 10.24 0.49 (0.45) 0.04 0.49 0.18 0.67
* Formerly Institutional for ITFI and NJTFI. ^ The Fund changed its fiscal year end from April 30 to August 31. (a) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 88
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ------------------------------------------------------ NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (IN MILLIONS) CALIFORNIA BOND FUND Year Ended 8/31/03 $ 10.80 1.45% $ 36 Year Ended 8/31/02 $ 11.07 5.31% $ 46 5/1/01 Through 8/31/01^ $ 10.91 5.31% $ 31 Year Ended 4/30/01 $ 10.53 7.77% $ 33 Year Ended 4/30/00 $ 10.20 0.60% $ 14 Year Ended 4/30/99 $ 10.57 6.43% $ 17 INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.93 2.44% $ 1,159 Year Ended 8/31/02 $ 11.15 5.99% $ 1,155 Year Ended 8/31/01 $ 10.98 9.35% $ 728 Year Ended 8/31/00 $ 10.46 5.54% $ 694 Year Ended 8/31/99 $ 10.42 1.15% $ 729 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 $ 10.09 2.58% $ 72 Year Ended 8/31/02 $ 10.34 5.82% $ 83 Year Ended 8/31/01 $ 10.33 10.69% $ 82 Year Ended 8/31/00 $ 9.73 6.08% $ 73 Year Ended 8/31/99 $ 9.61 0.37% $ 68 RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/03 0.65% 3.51% 0.84% 3.32% 49% Year Ended 8/31/02 0.65% 3.63% 0.88% 3.40% 65% 5/1/01 Through 8/31/01^ 0.65% 3.84% 0.78% 3.71% 29% Year Ended 4/30/01 0.65% 4.25% 0.78% 4.12% 55% Year Ended 4/30/00 0.65% 3.99% 0.85% 3.79% 87% Year Ended 4/30/99 0.65% 3.76% 0.87% 3.54% 40% INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 0.66% 3.73% 0.74% 3.65% 56% Year Ended 8/31/02 0.66% 3.88% 0.74% 3.80% 71% Year Ended 8/31/01 0.74% 4.10% 0.75% 4.09% 43% Year Ended 8/31/00 0.57% 4.49% 0.66% 4.40% 60% Year Ended 8/31/99 0.03% 4.81% 0.50% 4.34% 62% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/03 0.75% 3.35% 0.90% 3.20% 59% Year Ended 8/31/02 0.75% 3.64% 0.89% 3.50% 75% Year Ended 8/31/01 0.75% 4.18% 0.93% 4.00% 48% Year Ended 8/31/00 0.59% 4.67% 0.82% 4.44% 48% Year Ended 8/31/99 0.04% 4.94% 0.63% 4.35% 24%
SEE NOTES TO FINANCIAL STATEMENTS. 89 SELECT CLASS SHARES*
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17 0.26 --! 0.26 Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35 0.26 0.01 0.27 Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66 0.29 -- 0.29 Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41 0.31 -- 0.31 Year Ended 8/31/99 $ 7.29 0.35 (0.31) 0.04 0.35 0.07 0.42 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14 0.26 0.05 0.31 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.28 -- 0.28 Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61 0.29 -- 0.29 Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36 0.30 -- 0.30 Year Ended 8/31/99 $ 6.60 0.34 (0.37) (0.03) 0.34 0.04 0.38
* Formerly Institutional. @ Calculated based upon average shares outstanding. ! Rounds to less than .005 SEE NOTES TO FINANCIAL STATEMENTS. 90
RATIOS/SUPPLEMENTAL PER SHARE OPERATING PERFORMANCE: DATA: ------------------------------------------------------ NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (IN MILLIONS) NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 $ 7.37 2.32% $ 410 Year Ended 8/31/02 $ 7.46 4.99% $ 474 Year Ended 8/31/01 $ 7.38 9.68% $ 302 Year Ended 8/31/00 $ 7.01 6.13% $ 277 Year Ended 8/31/99 $ 6.91 0.38% $ 295 TAX FREE INCOME FUND Year Ended 8/31/03 $ 6.48 2.14% $ 663 Year Ended 8/31/02 $ 6.65 5.61% $ 796 Year Ended 8/31/01 $ 6.57 10.00% $ 798 Year Ended 8/31/00 $ 6.25 6.11% $ 753 Year Ended 8/31/99 $ 6.19 (0.63%) $ 744 RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/03 0.72% 3.48% 0.75% 3.45% 38% Year Ended 8/31/02 0.72% 3.63% 0.76% 3.59% 75% Year Ended 8/31/01 0.75% 4.10% 0.79% 4.06% 33% Year Ended 8/31/00 0.58% 4.48% 0.70% 4.36% 46% Year Ended 8/31/99 0.04% 4.85% 0.53% 4.36% 39% TAX FREE INCOME FUND Year Ended 8/31/03 0.75% 3.95% 0.75% 3.95% 36% Year Ended 8/31/02 0.75% 4.23% 0.75% 4.23% 94% Year Ended 8/31/01 0.74% 4.56% 0.76% 4.54% 57% Year Ended 8/31/00 0.57% 4.98% 0.66% 4.89% 35% Year Ended 8/31/99 0.03% 5.25% 0.50% 4.78% 39%
SEE NOTES TO FINANCIAL STATEMENTS. 91 REPORT OF INDEPENDENT AUDITORS To the Trustees and Shareholders of J.P. Morgan Series Trust and J.P. Morgan Mutual Fund Select Trust In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan California Bond Fund, JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund, and JPMorgan Tax Free Income Fund (separate portfolios of J.P. Morgan Series Trust and J.P. Morgan Mutual Fund Select Trust, hereafter referred to as the "Trusts") at August 31, 2003, the results of each of their operations for the year then ended, and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trusts' 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 of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York October 20, 2003 92 TAX LETTER (UNAUDITED) JPMORGAN CALIFORNIA BOND FUND ("CBF") JPMORGAN INTERMEDIATE TAX FREE INCOME FUND ("ITFI") JPMORGAN NEW JERSEY TAX FREE INCOME FUND ("NJTFI") JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND ("NYTFI") JPMORGAN TAX FREE INCOME FUND ("TFI") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2003. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. For the fiscal year ended August 31, 2003: - - The dividends paid from net investment income are 99.46%, 99.67%, 99.83%, 99.86%, and 99.69% exempt from Federal income tax for CBF, ITFI, NJTFI, NYTFI and TFI, respectively. - - The Long-Term Capital gain designation is $493,457, $5,384,389, $878,216, $212,431 and $3,165,489 for CBF, ITFI, NJTFI, NYTFI, and TFI, respectively. - - For shareholders who are subject to the Alternative Minimum Tax, the percentage of income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 4.81%, 10.19%, 4.06%, 3.73% and 3.21% for CBF, ITFI, NJTFI, NYTFI and TFI, respectively. 93 TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 71 None 522 Fifth Avenue, are series of JPMST President and New York, NY 10036; since 2001 and Funds Treasurer of 12/4/1941 that are series of Ingersoll-Rand MFST since 1996. Company (manufacturer of industrial equipment) (1972 - 2000) Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 71 Director, Janel Hydro, 522 Fifth Avenue, are series of JPMST Inc. (1993-Present) New York, NY 10036; since 2001 and Funds 4/1/1932 that are series of MFST since 1996. Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Corporation New York, NY 10036; Inc. (1997-Present); Director 8/22/1945 (communications) of Elan Corporation, Plc (1986-1998); (pharmaceuticals) President of (2001-Present); Director Diversified of The Phoenix Companies Publishing Group (wealth management) (1991-1997) (2002-Present) Matthew Healey; Trustee and Trustee of Funds that Retired; Chief 71 None 522 Fifth Avenue, President of are series of JPMST Executive Officer of New York, NY 10036; the Board of since 1996 and Funds certain J.P. Morgan 8/23/1937 Trustees that are series of Fund Trusts (1982 MFST since 2001. -2001) Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 71 Trustee of 16 Morgan 522 Fifth Avenue, Chairman of are series of JPMST Lumelite Corporation Stanley Funds New York, NY 10036; the Board of since 2001 and Funds (plastics (1995-Present) 8/12/1932 Trustees that are series of manufacturing) MFST since 1996. (1985-Present) James J. Schonbachler; Trustee Since 2001 Retired; Managing 71 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company 1/26/1943 (financial services) (1968-1998); Group Head and Director of Bankers Trust, A.G., Zurich and BT Brokerage Corp. (financial services) (1995-2002)
94
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX OVERSEEN JP MORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian 522 Fifth Avenue, Administration of Financial Corp. (banking) New York, NY 10036; the State of Rhode (2002-Present) 10/9/1945 Island (2003-Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 71 Trustee of the Albert 522 Fifth Avenue, City University of Einstein School of New York, NY 10036; New York, since Medicine (1998-present); 11/10/1941 September 1, 1999; Trustee of Bronx Lebanon President, Adelphi Hospital Center University (New (1992-present); Director York) (1998-1999). of New Plan Excel Realty Trust, Inc (real estate investment company) (2000-present); Director of Lincoln Center Institute for the Arts in Education (1999-present); Director of Jewish Community Relations Counsel of New York, Inc. (2000-present); Director of United Way of New York City (2002-present). William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 71 Director of Radio Shack 522 Fifth Avenue, Emeritus (March 2001 Corporation (electronics) New York, NY 10036; - October 2002), and (1987-present); Director 3/13/1937 Chairman and Chief of the Griswold Company Executive Officer, (securities brokerage) Boston Stock (2002-present); Director Exchange (June 1985- of The National Football March 2001). Foundation and College Hall of Fame (1994-present); Trustee of the Berklee College of Music (1998-present); Trustee of the Stratton Mountain School (2001-present).
95
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX OVERSEEN JP MORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 71 Director of Glenview 522 Fifth Avenue, are series of JPMST Executive Officer of Trust; Director of Pizza New York, NY 10036; since 2001 and Funds Chase Mutual Funds Magia; Trustee of St. 7/20/1935 that are series of (investment company) Catherine College Trust; MFST since 1998. (1989-1998); Chief Trustee of Bellarmine Investment Executive University Trust; Director of Chase Manhattan of Marion Washington Private Bank Airport Board Trust; (investment Director of Springfield management) Washington Economic (1990-1995) Development Board Trust.
(1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 11 investment companies. * Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. 96
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------- OFFICERS George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Head of J.P. Morgan Fleming's U.S. Mutual Funds and Financial New York, NY 10036; Intermediaries Business ("FFI"); he has held numerous 12/21/1962 positions throughout the firm in business management, marketing and sales. David Wezdenko; Treasurer Since 2001 Managing Director, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Chief Operating Officer for FFI; since joining J.P. Morgan New York, NY 10036; Chase in 1996, he has held numerous financial and operation 10/2/1963 related positions supporting the J.P. Morgan pooling funds business. Sharon Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Head of Business and Product Strategy for FFI; since joining New York, NY 10036; J.P. Morgan Chase in 1996, she has held numerous positions 6/15/1959 throughout the asset management business in mutual funds marketing, legal and product development. Stephen Ungerman; Vice President Since 2001 Vice President, J.P. Morgan Investment Management Inc.; Fund 522 Fifth Avenue, and Assistant Administration - Pooled Vehicles; prior to joining J.P. New York, NY 10036; Treasurer Morgan Chase in 2000, he held a number of in Prudential 6/2/1953 Financial's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration; Mr. Ungerman also served as Assistant Treasurer for all mutual funds managed by Prudential. Judy R. Bartlett; Vice President Since 2001 Vice President and Assistant General Counsel, J.P. Morgan 522 Fifth Avenue, and Assistant Investment Management Inc. since September 2000; from August New York, NY 10036; Secretary 1998 through August 2000, she was an attorney at New York 5/29/1965 Life Insurance Company where she served as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice President Since 2001 Vice President and Assistant General Counsel, J.P. Morgan 522 Fifth Avenue, and Assistant Investment Management Inc. New York, NY 10036; Secretary 11/4/1965 Wayne H. Chan; Vice President Since 2003 Vice President and Assistant General Counsel, J.P. Morgan 522 Fifth Avenue, and Assistant Investment Management Inc. since September 2002; Mr. Chan was New York, NY 10036; Secretary an associate at the law firm of Shearman & Sterling from May 6/27/1965 2001 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Paul M. DeRusso Assistant Since 2001 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Treasurer Manager of the Budgeting and Expense Group of Funds New York, NY Administration Group. 10036 12/3/1954 Lai Ming Fung Assistant Since 2001 Associate, J.P. Morgan Investment Management Inc.; Budgeting 522 Fifth Avenue, Treasurer Analyst for the Budgeting and Expense Group of Funds New York, NY Administration Group. 10036 9/08/1974
97
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND DATE OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) Mary D. Squires Assistant Since 2001 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Treasurer Ms. Squires has held numerous financial and operations New York, NY positions supporting the J.P. Morgan Chase organization 10036 complex. 1/8/1955 Nimish S. Bhatt Assistant Since 2001 Senior Vice President of Alternative Investment and Tax 3435 Stelzer Rd. Treasurer Services of BISYS Fund Services, Inc. since January 2002; Columbus, OH held various positions within BISYS since 1996, including 43219 Senior Vice President of Fund Administration and Financial 6/6/1963 Services, Vice President and Director of International Operation, Vice President of Financial Administration and Vice President of Tax. Arthur A. Jensen Assistant Since 2001 Vice President of Financial Services of BISYS Fund Services, 3435 Stelzer Rd. Treasurer Inc. since June 2001; formerly Section Manager of Northern Columbus, OH Trust Company and Accounting Supervisor at Allstate Insurance 43219 Company. 9/28/1966 Martin R. Dean Assistant Since 2001 Vice President of Regulatory Services of BISYS Fund Services, 3435 Stelzer Rd. Treasurer Inc. Columbus, OH 43219 11/27/1963 Alaina Metz Assistant Since 2001 Chief Administrative Officer of BISYS Fund Services, Inc.; 3435 Stelzer Rd. Secretary formerly, Supervisor of the Blue Sky Department of Alliance Columbus, OH Capital Management, L.P. 43219 4/7/1967 Ryan M. Louvar Assistant Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since 60 State Street, Secretary 2000; formerly Attorney at Hill, Farrer & Burrill LLP from Suite 1300 1999 to 2000 and Knapp Petersen & Clarke, PC from 1997 to Boston, MA 1999. 02109 2/18/1972 Lisa Hurley Assistant Since 2001 Executive Vice President and General Counsel of BISYS Fund 60 State Street, Secretary Services, Inc. Suite 1300 Boston, MA 02109 5/29/1955 Thomas J. Smith Vice President Since 2002 Managing Director, Head of Compliance for J.P. Morgan Chase & 522 Fifth Avenue, and Assistant Co.'s asset management business in the Americas. New York, NY Secretary 10036 6/24/1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 98 JPMorgan Family of Funds U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Disciplined Equity Value Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund Funds may be registered under separate registrants. THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. A list of portfolio holdings is available fifteen days after month-end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. JPMorgan Funds Fulfillment Center PRSAT STD 393 Manley Street U.S. POSTAGE West Bridgewater, MA 02379-1039 PAID PERMIT 2891 KANSAS CITY, MO (C)J.P. Morgan Chase & Co., 2003 All rights reserved. October 2003. AN-TF-803 ITEM 2. CODE OF ETHICS. (a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH FISCAL YEARS ENDING ON OR AFTER DECEMBER 15, 2003. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. NOT APPLICABLE. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, about the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph. THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose whether or not there were significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 10. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a) (1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - SEE ITEM 2 ABOVE. (a) (2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Mutual Fund Select Trust ------------------------------------------------------------------- By (Signature and Title)* /s/ David Wezdenko ------------------------------------------------------ David Wezdenko, Treasurer Date October 21, 2003 --------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ David Wezdenko ------------------------------------------------------ David Wezdenko, Treasurer Date October 21, 2003 --------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------ George C.W. Gatch, President Date October 21, 2003 --------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 a2120862zex-99_cert.txt EX-99.CERT Ex 99 Cert CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C.W. Gatch - ----------------------------------- George C.W. Gatch President October 21, 2003 - ----------------------------------- Date CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, David Wezdenko, certify that: 1 I have reviewed this report on Form N-CSR of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Select Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ David Wezdenko - ----------------------------------- David Wezdenko Treasurer October 21, 2003 - ----------------------------------- Date EX-99.906-CERT 4 a2120862zex-99_906cert.txt EX-99.906-CERT Ex 99 906 Cert CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended August 31, 2003 of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund, each a series of J.P. Morgan Mutual Fund Select Trust (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund, each a series of the Registrant. /s/ George C.W. Gatch - ------------------------------------- George C.W. Gatch President October 21, 2003 - ------------------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended August 31, 2003 of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund, each a series of J.P. Morgan Mutual Fund Select Trust (the "Registrant"). I, David Wezdenko, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund and JPMorgan Tax Free Income Fund, each a series of the Registrant. /s/ David Wezdenko - ------------------------------------- David Wezdenko Treasurer October 21, 2003 - ------------------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----