-----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, KHUqWHVvGJc7PmUbcLKoEF/L4I+V/Dp0u2QjfEdgrXzqTb8ZXej8TTVborryA3nw B5G83alTLN0RpdkSC/0aOw== 0001047469-04-015969.txt : 20040505 0001047469-04-015969.hdr.sgml : 20040505 20040505145535 ACCESSION NUMBER: 0001047469-04-015969 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040229 FILED AS OF DATE: 20040505 EFFECTIVENESS DATE: 20040505 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07841 FILM NUMBER: 04781171 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-CSRS 1 a2135383zn-csrs.txt N-CSRS ----------------------------- 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, 2004 --------------------------------------------- Date of reporting period: September 1, 2003 through February 29, 2004 -------------------------------------------- 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 SEMI - ANNUAL REPORT FEBRUARY 29 2004 (UNAUDITED) 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 a worldwide investment presence. 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 marketplace. JPMorgan Fleming Asset Management is an EXPERIENCED PARTNER dedicated to working with your financial advisor to help provide you with a broad array of WEALTH SOLUTIONS. 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 74
HIGHLIGHTS - - Economic recovery underway - - Municipals trade closely with Treasuries - - Important merger news 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 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 LETTER TO SHAREHOLDERS APRIL 12, 2004 [PHOTO OF GEORGE C.W. GATCH] "ECONOMIC GROWTH ACCELERATED DURING THE LAST FEW MONTHS OF THE YEAR -- SHOWING SIGNS THAT IT WAS BECOMING SELF-SUSTAINING AND NO LONGER DRIVEN BY FISCAL AND MONETARY POLICY." DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Tax Free Funds for the six month period ended February 29, 2004. Inside you'll find in-depth information on some of our fixed income funds along with an update from the portfolio management team. THE ECONOMIC RECOVERY STEADIES As the period began, a strong economic recovery seemed to be underway. For example, during the third quarter, the U.S. gross domestic product (GDP) -- the total output of all goods and services produced in the United States -- had grown 8.2%. Nonetheless, American companies continued to lay off employees and delayed adding to their inventory. Inflation remained low; in fact, the general impression was of ongoing deflation. The perceived risk of deflation, which dominated the second quarter of 2003, appeared to have subsided. Economic growth accelerated during the last few months of the year -- showing signs that it was becoming self-sustaining and no longer driven by fiscal and monetary policy. Fourth-quarter GDP growth was reported at 4.1%, below the market consensus of 4.5% to 5%. Some attributed the lower-than-expected GDP to weak inventory accumulation and suggested that stronger growth was likely in early 2004. Supporting this theory was the continued capital spending and earnings growth of America's corporations. In February, economic data reinforced the expectation that the economy would continue to grow at about 4%. MUNICIPALS TRADE CLOSELY WITH TREASURIES Early in the period, limited issuance and year-end pressures in the market drove up municipal yields. In October, for example, fixed-rate tax-exempt yields ranged from 95% to 105% of Treasury bill yields. These historically rich levels remained unchanged in December as issuance slowed in the face of strong demand. Absent meaningful supply in January, municipal ratios did not exhibit any clear trend. When supply failed to materialize during February, tax-exempt issues performed well and the broader municipal market continued to trade directionally with Treasury rates. In the near term, as supply remains low, we expect municipals to continue trading closely with Treasuries. IMPORTANT MERGER NEWS As you may know, JPMorgan Chase and Bank One have agreed to merge by mid-2004, subject to approval of the Firms' shareholders and certain regulatory agencies. We believe that the merger is compelling both strategically and financially. We believe that the newly combined organization will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we will have an extraordinarily talented team that shares common values and a strong client orientation. In the months ahead, your portfolio managers will continue to work hard on your behalf. They will try to obtain the highest possible tax-exempt yields in this low interest rate environment while focusing on the preservation of your principal. On behalf of all of us here at JPMorgan Fleming Asset Management, thank you for the trust you have placed in us over the years. We look forward to 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 FEBRUARY 29, 2004 (Unaudited) FUND FACTS Fund Inception 12/23/1996 Fiscal Year End AUGUST 31 Net Assets as of 2/29/2004 (In Millions) $138.3 Primary Benchmark LEHMAN CALIFORNIA COMPETITIVE INTERMEDIATE BOND INDEX (1-17) Average Credit Quality AA Duration 5.0 YEARS Q: HOW DID THE FUND PERFORM? A: The 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 5.57% (Institutional Shares) for the six-month period ended February 29, 2004. This compares with the 5.49% return of its benchmark index, the Lehman California Competitive Intermediate Bond Index (1-17 year). Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund outperformed its benchmark during the period. Our overweight to 10- to 15-year part of the yield curve added to performance as the curve flattened. Our high-quality bias hurt performance slightly when lower quality issues outperformed. The Fund was overweight insured paper and high-quality uninsured paper. We were underweight hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. As municipalities continue to struggle with budget deficits, we continue to be concerned about the stability of these credits. We also made what we consider a prudent decision to avoid the risks specific to airport and tobacco debt. We plan to maintain our high-quality bias. Q: HOW WAS THE FUND MANAGED? A: The economic expansion quickened, beginning the transition from being policy-dependent to becoming self-sustaining. Strong profits supported the corporate sector's gradual increase in capital spending and hiring. Yet, with ongoing excess capacity and comparatively high unemployment, consumer price inflation continued to decelerate. The Federal Reserve Board continued to indicate that it would keep its monetary policy on hold until economic conditions warrant a change. The U.S. gross domestic product (GDP) grew at 4.1% during the fourth quarter, slightly below the market consensus of 4.5% to 5%. January and February economic data were mixed. Industrial production rose, and new orders were near the two-decade high recorded in December. Yields for Municipals were attractive relative to Treasury yields, which ended the six-month period notably lower than the peak they reached in early September. Although California's economy has been resilient, investors were troubled by the state's large budget deficit. Moody's Investor's Service, Standard & Poor's and Fitch Ratings maintained their negative credit rating. In fact, California debt was downgraded by Moody's to Baa1, which caused spreads to widen about 15 to 20 basis points (one basis point is 1/100 of a percent). Since then, California spreads have stabilized and started to rally. 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. As California spreads widened, we bought high-quality issues that were not 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 SEMI - ANNUAL REPORT FEBRUARY 29 2004 AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/23/96) - ------------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 4.80% 5.44% 5.19% 5.57% With Sales Charge* 0.10% 3.82% 4.23% 4.90% INSTITUTIONAL SHARES 5.02% 5.64% 5.36% 5.73% SELECT SHARES 4.75% 5.40% 5.17% 5.56%
* Sales Charge for Class A Shares is 4.50%. [CHART] LIFE OF FUND PERFORMANCE (12/23/96 TO 2/29/04)
LIPPER JPMORGAN CALIFORNIA LEHMAN CALIFORNIA COMPETITIVE CALIFORNIA MUNICIPAL BOND FUND (INSTITUTIONAL SHARES) INTERMEDIATE BOND INDEX (1-17) DEBT FUNDS INDEX Dec-1996 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-1996 $ 3,009,300 $ 3,000,000 $ 3,000,000 Jan-1997 $ 3,003,281 $ 3,010,800 $ 2,996,400 Feb-1997 $ 3,028,809 $ 3,034,585 $ 3,023,667 Mar-1997 $ 2,999,127 $ 2,999,688 $ 2,981,941 Apr-1997 $ 3,016,822 $ 3,018,886 $ 3,009,076 May-1997 $ 3,061,169 $ 3,061,150 $ 3,055,115 Jun-1997 $ 3,090,250 $ 3,089,925 $ 3,087,805 Jul-1997 $ 3,165,343 $ 3,167,482 $ 3,182,909 Aug-1997 $ 3,135,906 $ 3,140,875 $ 3,148,534 Sep-1997 $ 3,174,791 $ 3,166,630 $ 3,191,354 Oct-1997 $ 3,179,236 $ 3,187,213 $ 3,210,183 Nov-1997 $ 3,193,224 $ 3,198,369 $ 3,229,444 Dec-1997 $ 3,241,761 $ 3,236,749 $ 3,280,792 Jan-1998 $ 3,265,102 $ 3,274,295 $ 3,312,944 Feb-1998 $ 3,266,734 $ 3,280,189 $ 3,312,281 Mar-1998 $ 3,258,894 $ 3,277,565 $ 3,312,944 Apr-1998 $ 3,238,363 $ 3,263,799 $ 3,291,410 May-1998 $ 3,287,586 $ 3,309,166 $ 3,347,364 Jun-1998 $ 3,295,477 $ 3,320,748 $ 3,361,088 Jul-1998 $ 3,303,386 $ 3,332,371 $ 3,367,810 Aug-1998 $ 3,355,910 $ 3,383,023 $ 3,425,063 Sep-1998 $ 3,408,933 $ 3,431,400 $ 3,476,781 Oct-1998 $ 3,410,296 $ 3,436,204 $ 3,464,960 Nov-1998 $ 3,421,209 $ 3,447,887 $ 3,480,552 Dec-1998 $ 3,423,262 $ 3,452,714 $ 3,482,641 Jan-1999 $ 3,470,503 $ 3,494,837 $ 3,521,298 Feb-1999 $ 3,448,986 $ 3,484,353 $ 3,504,044 Mar-1999 $ 3,453,125 $ 3,493,063 $ 3,510,701 Apr-1999 $ 3,450,708 $ 3,495,858 $ 3,515,968 May-1999 $ 3,431,729 $ 3,476,281 $ 3,488,191 Jun-1999 $ 3,382,998 $ 3,432,828 $ 3,430,985 Jul-1999 $ 3,407,356 $ 3,455,484 $ 3,437,504 Aug-1999 $ 3,398,156 $ 3,443,044 $ 3,394,879 Sep-1999 $ 3,413,108 $ 3,459,915 $ 3,392,502 Oct-1999 $ 3,391,264 $ 3,438,464 $ 3,333,812 Nov-1999 $ 3,420,090 $ 3,469,066 $ 3,367,484 Dec-1999 $ 3,402,647 $ 3,443,048 $ 3,332,125 Jan-2000 $ 3,404,689 $ 3,454,410 $ 3,308,467 Feb-2000 $ 3,434,650 $ 3,483,082 $ 3,362,395 Mar-2000 $ 3,490,291 $ 3,534,632 $ 3,448,809 Apr-2000 $ 3,474,934 $ 3,514,131 $ 3,417,424 May-2000 $ 3,471,112 $ 3,519,050 $ 3,400,337 Jun-2000 $ 3,547,129 $ 3,592,247 $ 3,498,607 Jul-2000 $ 3,585,438 $ 3,632,121 $ 3,554,935 Aug-2000 $ 3,637,785 $ 3,689,145 $ 3,632,077 Sep-2000 $ 3,629,782 $ 3,674,757 $ 3,609,558 Oct-2000 $ 3,657,369 $ 3,697,908 $ 3,642,766 Nov-2000 $ 3,674,193 $ 3,716,768 $ 3,669,722 Dec-2000 $ 3,748,411 $ 3,776,979 $ 3,764,034 Jan-2001 $ 3,791,143 $ 3,826,458 $ 3,779,843 Feb-2001 $ 3,796,830 $ 3,835,641 $ 3,791,938 Mar-2001 $ 3,814,295 $ 3,852,902 $ 3,816,586 Apr-2001 $ 3,751,741 $ 3,797,420 $ 3,741,781 May-2001 $ 3,805,015 $ 3,849,824 $ 3,788,179 Jun-2001 $ 3,828,987 $ 3,870,228 $ 3,812,423 Jul-2001 $ 3,878,764 $ 3,924,024 $ 3,875,710 Aug-2001 $ 3,951,297 $ 3,996,226 $ 3,974,928 Sep-2001 $ 3,941,419 $ 3,985,437 $ 3,950,283 Oct-2001 $ 4,001,722 $ 4,026,088 $ 3,991,761 Nov-2001 $ 3,958,504 $ 3,997,100 $ 3,955,835 Dec-2001 $ 3,920,502 $ 3,967,522 $ 3,911,134 Jan-2002 $ 3,985,190 $ 4,035,763 $ 3,965,499 Feb-2002 $ 4,030,621 $ 4,082,981 $ 4,009,120 Mar-2002 $ 3,942,351 $ 3,998,055 $ 3,917,311 Apr-2002 $ 4,015,679 $ 4,072,419 $ 3,986,256 May-2002 $ 4,044,591 $ 4,107,849 $ 4,016,152 Jun-2002 $ 4,076,544 $ 4,139,069 $ 4,047,478 Jul-2002 $ 4,116,494 $ 4,183,357 $ 4,093,215 Aug-2002 $ 4,171,655 $ 4,236,904 $ 4,151,339 Sep-2002 $ 4,257,174 $ 4,320,795 $ 4,262,179 Oct-2002 $ 4,165,645 $ 4,229,626 $ 4,147,527 Nov-2002 $ 4,150,232 $ 4,228,357 $ 4,135,914 Dec-2002 $ 4,236,972 $ 4,298,548 $ 4,223,181 Jan-2003 $ 4,211,126 $ 4,283,073 $ 4,187,707 Feb-2003 $ 4,262,502 $ 4,342,179 $ 4,252,197 Mar-2003 $ 4,260,371 $ 4,346,522 $ 4,249,221 Apr-2003 $ 4,293,175 $ 4,373,905 $ 4,284,914 May-2003 $ 4,385,908 $ 4,460,508 $ 4,389,895 Jun-2003 $ 4,356,084 $ 4,428,392 $ 4,354,776 Jul-2003 $ 4,215,382 $ 4,299,083 $ 4,188,859 Aug-2003 $ 4,240,675 $ 4,336,485 $ 4,216,924 Sep-2003 $ 4,357,717 $ 4,450,101 $ 4,338,371 Oct-2003 $ 4,335,493 $ 4,423,846 $ 4,325,790 Nov-2003 $ 4,361,072 $ 4,453,043 $ 4,379,430 Dec-2003 $ 4,396,833 $ 4,483,324 $ 4,415,779 Jan-2004 $ 4,418,817 $ 4,504,395 $ 4,436,533 Feb-2004 $ 4,477,196 $ 4,574,664 $ 4,513,729
Source: Lipper Analytical Services, Inc. Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 2/29/2004 (In Millions) $1,561.0 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 5.6 YEARS Q: HOW DID THE FUND PERFORM? A: The JPMorgan Fleming 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 5.26% (Select Shares) for the six-month period ended February 29, 2004. This compares with the 5.58% 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. One detractor was our high-quality bias at a time when lower quality issues performed better. We were underweight to hospitals, airports, tobacco debt and other high-yield sectors, which experienced a technical rebound following a severe widening in spreads. As municipalities continue to struggle with budget deficits, we continue to be concerned about the stability of these credits. We also made what we consider a prudent decision to avoid the risks specific to airport and tobacco debt. We plan to maintain our high-quality bias. The eight-year part of the yield curve outperformed, enhancing performance. Also contributing was our continued overweight to revenue bonds. Q: HOW WAS THE FUND MANAGED? A: The economic expansion quickened, beginning the transition from being policy-dependent to becoming self-sustaining. Strong profits supported the corporate sector's gradual increase in capital spending and hiring. Yet, with ongoing excess capacity and comparatively high unemployment, consumer price inflation continued to decelerate. The Federal Reserve Board continued to indicate that it would keep its monetary policy on hold until economic conditions warrant a change. The U.S. gross domestic product (GDP) grew at 4.1% during the fourth quarter, slightly below the market consensus of 4.5% to 5%. January and February economic data were mixed. Industrial production rose, and new orders were near the two-decade high recorded in December. Yields for Municipals were attractive relative to Treasury yields, which ended the six-month period notably lower than the peak they reached in early September. We overweighted the eight-year part of the yield curve as well as the revenue sector of the market, which enhanced performance. We were underweight to hospitals, airports, tobacco debt and other high-yield sectors. We removed our overweight to New York as spreads tightened, purchasing more high-quality general market issues such as pre-refunded bonds (which are secured by an escrow fund of U.S. government obligations). We also started to initiate an overweight to California. 4 SEMI - ANNUAL REPORT FEBRUARY 29 2004 AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 4.76% 6.09% 5.39% 5.71% With Sales Charge* 0.02% 4.46% 4.42% 5.23% CLASS B SHARES Without Sales Charge 4.63% 6.05% 5.36% 5.70% With Sales Charge** (0.37%) 5.15% 5.03% 5.70% CLASS C SHARES Without Sales Charge 4.54% 6.02% 5.34% 5.69% With Sales Charge*** 3.54% 6.02% 5.34% 5.69% INSTITUTIONAL SHARES 4.95% 6.21% 5.45% 5.75% SELECT SHARES# 4.69% 6.07% 5.37% 5.71%
* 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] TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
JPMORGAN LEHMAN COMPETITIVE LIPPER INTERMEDIATE INTERMEDIATE TAX FREE INTERMEDIATE (1-17 MUNICIPAL DEBT INCOME FUND (SELECT SHARES) MATURITIES) INDEX FUNDS INDEX Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Mar-1994 $ 977,500 $ 968,400 $ 972,000 Apr-1994 $ 979,846 $ 976,922 $ 976,082 May-1994 $ 984,059 $ 983,760 $ 983,793 Jun-1994 $ 980,025 $ 980,514 $ 980,940 Jul-1994 $ 990,021 $ 995,124 $ 993,202 Aug-1994 $ 994,476 $ 999,204 $ 996,976 Sep-1994 $ 985,625 $ 988,412 $ 986,708 Oct-1994 $ 971,925 $ 976,749 $ 975,854 Nov-1994 $ 949,571 $ 962,684 $ 961,314 Dec-1994 $ 973,405 $ 977,990 $ 975,637 Jan-1995 $ 997,351 $ 999,017 $ 994,564 Feb-1995 $ 1,021,487 $ 1,022,894 $ 1,015,251 Mar-1995 $ 1,030,986 $ 1,034,452 $ 1,024,186 Apr-1995 $ 1,037,585 $ 1,036,521 $ 1,026,439 May-1995 $ 1,059,167 $ 1,064,715 $ 1,050,560 Jun-1995 $ 1,052,917 $ 1,060,349 $ 1,047,303 Jul-1995 $ 1,064,605 $ 1,072,862 $ 1,056,834 Aug-1995 $ 1,074,293 $ 1,085,736 $ 1,067,191 Sep-1995 $ 1,076,978 $ 1,091,707 $ 1,072,527 Oct-1995 $ 1,091,733 $ 1,102,625 $ 1,082,716 Nov-1995 $ 1,102,323 $ 1,116,297 $ 1,094,193 Dec-1995 $ 1,113,236 $ 1,123,776 $ 1,101,195 Jan-1996 $ 1,128,042 $ 1,134,340 $ 1,109,785 Feb-1996 $ 1,125,560 $ 1,130,143 $ 1,106,344 Mar-1996 $ 1,105,638 $ 1,118,728 $ 1,095,170 Apr-1996 $ 1,104,090 $ 1,116,267 $ 1,093,199 May-1996 $ 1,101,550 $ 1,115,151 $ 1,093,199 Jun-1996 $ 1,108,380 $ 1,124,630 $ 1,099,977 Jul-1996 $ 1,121,459 $ 1,134,301 $ 1,109,657 Aug-1996 $ 1,120,001 $ 1,134,755 $ 1,110,100 Sep-1996 $ 1,129,073 $ 1,145,762 $ 1,120,202 Oct-1996 $ 1,141,380 $ 1,158,136 $ 1,131,180 Nov-1996 $ 1,162,267 $ 1,177,362 $ 1,147,922 Dec-1996 $ 1,155,410 $ 1,173,594 $ 1,144,822 Jan-1997 $ 1,158,645 $ 1,178,054 $ 1,147,685 Feb-1997 $ 1,168,146 $ 1,187,831 $ 1,156,292 Mar-1997 $ 1,154,479 $ 1,174,171 $ 1,144,498 Apr-1997 $ 1,161,983 $ 1,181,921 $ 1,150,449 May-1997 $ 1,177,205 $ 1,197,168 $ 1,164,025 Jun-1997 $ 1,189,094 $ 1,208,541 $ 1,174,734 Jul-1997 $ 1,217,752 $ 1,236,941 $ 1,200,225 Aug-1997 $ 1,208,740 $ 1,227,788 $ 1,190,984 Sep-1997 $ 1,221,795 $ 1,240,803 $ 1,203,608 Oct-1997 $ 1,229,492 $ 1,247,627 $ 1,209,385 Nov-1997 $ 1,234,779 $ 1,253,117 $ 1,214,102 Dec-1997 $ 1,250,584 $ 1,268,906 $ 1,229,643 Jan-1998 $ 1,263,090 $ 1,281,595 $ 1,239,972 Feb-1998 $ 1,262,206 $ 1,282,620 $ 1,240,592 Mar-1998 $ 1,262,963 $ 1,283,390 $ 1,241,336 Apr-1998 $ 1,256,522 $ 1,278,128 $ 1,235,626 May-1998 $ 1,277,254 $ 1,296,277 $ 1,252,183 Jun-1998 $ 1,280,192 $ 1,300,944 $ 1,256,441 Jul-1998 $ 1,284,417 $ 1,304,457 $ 1,259,330 Aug-1998 $ 1,306,509 $ 1,323,110 $ 1,277,465 Sep-1998 $ 1,322,448 $ 1,338,591 $ 1,291,261 Oct-1998 $ 1,322,977 $ 1,340,732 $ 1,291,649 Nov-1998 $ 1,324,565 $ 1,344,486 $ 1,294,490 Dec-1998 $ 1,332,645 $ 1,348,654 $ 1,298,633 Jan-1999 $ 1,351,568 $ 1,365,917 $ 1,313,177 Feb-1999 $ 1,341,567 $ 1,359,907 $ 1,306,218 Mar-1999 $ 1,339,554 $ 1,360,587 $ 1,305,956 Apr-1999 $ 1,343,573 $ 1,364,533 $ 1,309,613 May-1999 $ 1,334,033 $ 1,357,983 $ 1,301,886 Jun-1999 $ 1,311,755 $ 1,340,465 $ 1,284,181 Jul-1999 $ 1,322,249 $ 1,347,569 $ 1,290,216 Aug-1999 $ 1,321,456 $ 1,343,661 $ 1,284,281 Sep-1999 $ 1,322,909 $ 1,347,155 $ 1,285,052 Oct-1999 $ 1,316,956 $ 1,339,746 $ 1,276,056 Nov-1999 $ 1,327,229 $ 1,351,669 $ 1,286,903 Dec-1999 $ 1,325,238 $ 1,345,857 $ 1,281,112 Jan-2000 $ 1,319,804 $ 1,343,435 $ 1,275,475 Feb-2000 $ 1,326,931 $ 1,353,107 $ 1,285,296 Mar-2000 $ 1,342,589 $ 1,373,675 $ 1,303,676 Apr-2000 $ 1,336,547 $ 1,369,142 $ 1,298,200 May-2000 $ 1,333,607 $ 1,364,623 $ 1,292,878 Jun-2000 $ 1,362,146 $ 1,394,509 $ 1,319,511 Jul-2000 $ 1,379,037 $ 1,410,406 $ 1,334,554 Aug-2000 $ 1,394,620 $ 1,428,177 $ 1,351,102 Sep-2000 $ 1,390,157 $ 1,424,035 $ 1,347,184 Oct-2000 $ 1,401,834 $ 1,436,994 $ 1,358,365 Nov-2000 $ 1,408,002 $ 1,445,472 $ 1,364,886 Dec-2000 $ 1,438,697 $ 1,474,960 $ 1,392,320 Jan-2001 $ 1,458,695 $ 1,493,692 $ 1,408,331 Feb-2001 $ 1,460,591 $ 1,497,576 $ 1,412,838 Mar-2001 $ 1,472,422 $ 1,509,556 $ 1,423,717 Apr-2001 $ 1,456,814 $ 1,497,178 $ 1,410,904 May-2001 $ 1,472,839 $ 1,512,299 $ 1,425,436 Jun-2001 $ 1,483,149 $ 1,520,919 $ 1,434,274 Jul-2001 $ 1,500,502 $ 1,539,170 $ 1,451,485 Aug-2001 $ 1,524,810 $ 1,562,104 $ 1,473,402 Sep-2001 $ 1,524,048 $ 1,561,792 $ 1,471,339 Oct-2001 $ 1,541,574 $ 1,577,566 $ 1,485,464 Nov-2001 $ 1,521,071 $ 1,563,999 $ 1,470,016 Dec-2001 $ 1,507,686 $ 1,553,051 $ 1,458,990 Jan-2002 $ 1,535,427 $ 1,578,676 $ 1,480,146 Feb-2002 $ 1,552,778 $ 1,597,462 $ 1,496,723 Mar-2002 $ 1,519,393 $ 1,567,909 $ 1,469,483 Apr-2002 $ 1,554,339 $ 1,599,895 $ 1,498,138 May-2002 $ 1,562,421 $ 1,609,014 $ 1,506,228 Jun-2002 $ 1,580,389 $ 1,626,713 $ 1,521,591 Jul-2002 $ 1,600,144 $ 1,645,746 $ 1,539,242 Aug-2002 $ 1,615,826 $ 1,663,520 $ 1,553,403 Sep-2002 $ 1,645,557 $ 1,694,129 $ 1,580,432 Oct-2002 $ 1,621,532 $ 1,670,580 $ 1,556,410 Nov-2002 $ 1,614,721 $ 1,663,731 $ 1,550,028 Dec-2002 $ 1,646,854 $ 1,696,673 $ 1,580,719 Jan-2003 $ 1,641,749 $ 1,693,788 $ 1,575,028 Feb-2003 $ 1,664,405 $ 1,716,485 $ 1,596,764 Mar-2003 $ 1,663,906 $ 1,717,343 $ 1,596,285 Apr-2003 $ 1,673,556 $ 1,727,647 $ 1,606,501 May-2003 $ 1,708,868 $ 1,763,928 $ 1,639,113 Jun-2003 $ 1,700,666 $ 1,756,696 $ 1,631,409 Jul-2003 $ 1,644,204 $ 1,704,698 $ 1,582,140 Aug-2003 $ 1,655,220 $ 1,716,971 $ 1,593,848 Sep-2003 $ 1,702,559 $ 1,764,360 $ 1,634,651 Oct-2003 $ 1,692,514 $ 1,753,421 $ 1,626,641 Nov-2003 $ 1,702,161 $ 1,766,396 $ 1,639,654 Dec-2003 $ 1,713,566 $ 1,778,938 $ 1,649,328 Jan-2004 $ 1,720,420 $ 1,786,943 $ 1,655,595 Feb-2004 $ 1,741,861 $ 1,812,853 $ 1,678,774
Source: Lipper Analytical Services, Inc. Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 2/29/2004 (In Millions) $72.1 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 6.2 YEARS Q: HOW DID THE FUND PERFORM? A: The 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 6.17% (Select Shares) for the six-month period ended February 29, 2004. This compares with the 5.58% return of its benchmark index, the Lehman Competitive Intermediate (1-17 maturities) Index. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund outperformed its benchmark during the period. We overweighted the 10- to 15-year part of the yield curve, which helped performance as the curve flattened. Our high-quality bias hurt performance slightly when lower quality issues outperformed. We were overweight to insured paper and high-quality uninsured paper, and were underweight hospitals, airports, tobacco debt and other high-yield sectors. As municipalities continue to struggle with budget deficits, we remain concerned about the stability of these credits. Q: HOW WAS THE FUND MANAGED? A: The economic expansion quickened, beginning the transition from being policy-dependent to becoming self-sustaining. Strong profits supported the corporate sector's gradual increase in capital spending and hiring. Yet, with ongoing excess capacity and comparatively high unemployment, consumer price inflation continued to decelerate. The Federal Reserve Board continued to indicate that it would keep its monetary policy on hold until economic conditions warrant a change. The U.S. gross domestic product (GDP) grew at 4.1% during the fourth quarter, slightly below the market consensus of 4.5% to 5%. January and February economic data were mixed. Industrial production rose, and new orders were near the two-decade high recorded in December. Yields for municipals were attractive relative to Treasury yields, which ended the six-month period notably lower than the peak they reached in early September. When the Fed delayed rate increases, we overweighted the 10- to 15-year part of the yield curve, which aided performance. Toward quarter-end, we reduced our holdings in Puerto Rico and purchased high-quality, essential service revenue issues. As spreads widened dramatically, we added state general obligation bonds. 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. Our focus remains on high-quality, liquid issues. 6 SEMI - ANNUAL REPORT FEBRUARY 29 2004 AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 5.45% 6.23% 5.74% 5.61% With Sales Charge* 0.66% 4.59% 4.78% 5.12% CLASS B SHARES Without CDSC 5.03% 5.71% 5.43% 5.45% With CDSC** 0.07% 4.81% 5.10% 5.45% SELECT SHARES# 5.91% 6.40% 5.84% 5.66%
* 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] TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
JPMORGAN LIPPER NEW JERSEY NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE MUNICIPAL DEBT INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX FUNDS INDEX Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Mar-1994 $ 983,800 $ 968,400 $ 957,400 Apr-1994 $ 986,751 $ 976,922 $ 960,847 May-1994 $ 990,600 $ 983,760 $ 968,726 Jun-1994 $ 987,232 $ 980,514 $ 964,463 Jul-1994 $ 995,426 $ 995,124 $ 980,763 Aug-1994 $ 999,109 $ 999,204 $ 983,803 Sep-1994 $ 993,814 $ 988,412 $ 969,046 Oct-1994 $ 983,677 $ 976,749 $ 950,925 Nov-1994 $ 966,069 $ 962,684 $ 930,290 Dec-1994 $ 986,066 $ 977,990 $ 954,663 Jan-1995 $ 1,004,210 $ 999,017 $ 982,730 Feb-1995 $ 1,023,390 $ 1,022,894 $ 1,008,674 Mar-1995 $ 1,032,396 $ 1,034,452 $ 1,017,652 Apr-1995 $ 1,039,313 $ 1,036,521 $ 1,018,873 May-1995 $ 1,055,838 $ 1,064,715 $ 1,048,420 Jun-1995 $ 1,054,466 $ 1,060,349 $ 1,038,460 Jul-1995 $ 1,064,272 $ 1,072,862 $ 1,044,276 Aug-1995 $ 1,073,532 $ 1,085,736 $ 1,054,301 Sep-1995 $ 1,075,357 $ 1,091,707 $ 1,061,154 Oct-1995 $ 1,085,357 $ 1,102,625 $ 1,077,283 Nov-1995 $ 1,093,932 $ 1,116,297 $ 1,096,028 Dec-1995 $ 1,101,699 $ 1,123,776 $ 1,106,879 Jan-1996 $ 1,114,368 $ 1,134,340 $ 1,112,856 Feb-1996 $ 1,115,483 $ 1,130,143 $ 1,102,729 Mar-1996 $ 1,100,089 $ 1,118,728 $ 1,086,077 Apr-1996 $ 1,099,759 $ 1,116,267 $ 1,082,711 May-1996 $ 1,099,209 $ 1,115,151 $ 1,083,577 Jun-1996 $ 1,105,694 $ 1,124,630 $ 1,094,196 Jul-1996 $ 1,116,862 $ 1,134,301 $ 1,103,825 Aug-1996 $ 1,116,415 $ 1,134,755 $ 1,102,942 Sep-1996 $ 1,122,779 $ 1,145,762 $ 1,118,273 Oct-1996 $ 1,132,435 $ 1,158,136 $ 1,130,014 Nov-1996 $ 1,148,968 $ 1,177,362 $ 1,148,434 Dec-1996 $ 1,136,100 $ 1,173,594 $ 1,144,299 Jan-1997 $ 1,139,167 $ 1,178,054 $ 1,145,558 Feb-1997 $ 1,147,825 $ 1,187,831 $ 1,154,608 Mar-1997 $ 1,135,428 $ 1,174,171 $ 1,141,215 Apr-1997 $ 1,142,127 $ 1,181,921 $ 1,150,116 May-1997 $ 1,156,632 $ 1,197,168 $ 1,165,068 Jun-1997 $ 1,167,736 $ 1,208,541 $ 1,176,136 Jul-1997 $ 1,191,791 $ 1,236,941 $ 1,209,185 Aug-1997 $ 1,184,283 $ 1,227,788 $ 1,196,368 Sep-1997 $ 1,196,600 $ 1,240,803 $ 1,211,203 Oct-1997 $ 1,203,301 $ 1,247,627 $ 1,217,501 Nov-1997 $ 1,208,595 $ 1,253,117 $ 1,224,075 Dec-1997 $ 1,223,582 $ 1,268,906 $ 1,243,171 Jan-1998 $ 1,235,083 $ 1,281,595 $ 1,254,732 Feb-1998 $ 1,233,848 $ 1,282,620 $ 1,254,231 Mar-1998 $ 1,233,108 $ 1,283,390 $ 1,255,359 Apr-1998 $ 1,226,079 $ 1,278,128 $ 1,249,208 May-1998 $ 1,247,413 $ 1,296,277 $ 1,268,821 Jun-1998 $ 1,251,405 $ 1,300,944 $ 1,273,769 Jul-1998 $ 1,254,283 $ 1,304,457 $ 1,276,062 Aug-1998 $ 1,276,985 $ 1,323,110 $ 1,295,968 Sep-1998 $ 1,290,905 $ 1,338,591 $ 1,310,742 Oct-1998 $ 1,290,001 $ 1,340,732 $ 1,308,252 Nov-1998 $ 1,292,710 $ 1,344,486 $ 1,311,654 Dec-1998 $ 1,299,432 $ 1,348,654 $ 1,314,539 Jan-1999 $ 1,316,455 $ 1,365,917 $ 1,328,868 Feb-1999 $ 1,305,791 $ 1,359,907 $ 1,321,027 Mar-1999 $ 1,304,747 $ 1,360,587 $ 1,321,952 Apr-1999 $ 1,308,661 $ 1,364,533 $ 1,324,993 May-1999 $ 1,298,323 $ 1,357,983 $ 1,315,055 Jun-1999 $ 1,279,886 $ 1,340,465 $ 1,294,277 Jul-1999 $ 1,287,950 $ 1,347,569 $ 1,297,642 Aug-1999 $ 1,281,381 $ 1,343,661 $ 1,281,422 Sep-1999 $ 1,279,972 $ 1,347,155 $ 1,276,681 Oct-1999 $ 1,269,476 $ 1,339,746 $ 1,257,275 Nov-1999 $ 1,281,282 $ 1,351,669 $ 1,270,476 Dec-1999 $ 1,274,107 $ 1,345,857 $ 1,256,628 Jan-2000 $ 1,266,844 $ 1,343,435 $ 1,245,821 Feb-2000 $ 1,279,639 $ 1,353,107 $ 1,262,391 Mar-2000 $ 1,301,265 $ 1,373,675 $ 1,290,668 Apr-2000 $ 1,294,759 $ 1,369,142 $ 1,281,375 May-2000 $ 1,290,098 $ 1,364,623 $ 1,273,687 Jun-2000 $ 1,322,608 $ 1,394,509 $ 1,307,185 Jul-2000 $ 1,340,199 $ 1,410,406 $ 1,325,616 Aug-2000 $ 1,359,096 $ 1,428,177 $ 1,345,501 Sep-2000 $ 1,352,844 $ 1,424,035 $ 1,336,486 Oct-2000 $ 1,364,884 $ 1,436,994 $ 1,350,786 Nov-2000 $ 1,378,124 $ 1,445,472 $ 1,359,836 Dec-2000 $ 1,419,881 $ 1,474,960 $ 1,395,872 Jan-2001 $ 1,433,512 $ 1,493,692 $ 1,405,922 Feb-2001 $ 1,439,532 $ 1,497,576 $ 1,412,390 Mar-2001 $ 1,453,208 $ 1,509,556 $ 1,424,254 Apr-2001 $ 1,432,427 $ 1,497,178 $ 1,408,302 May-2001 $ 1,447,611 $ 1,512,299 $ 1,423,371 Jun-2001 $ 1,461,218 $ 1,520,919 $ 1,436,466 Jul-2001 $ 1,479,191 $ 1,539,170 $ 1,458,013 Aug-2001 $ 1,504,486 $ 1,562,104 $ 1,481,050 Sep-2001 $ 1,493,352 $ 1,561,792 $ 1,467,868 Oct-2001 $ 1,518,739 $ 1,577,566 $ 1,485,923 Nov-2001 $ 1,495,655 $ 1,563,999 $ 1,471,361 Dec-2001 $ 1,479,801 $ 1,553,051 $ 1,458,413 Jan-2002 $ 1,507,325 $ 1,578,676 $ 1,482,623 Feb-2002 $ 1,526,769 $ 1,597,462 $ 1,501,452 Mar-2002 $ 1,493,791 $ 1,567,909 $ 1,474,576 Apr-2002 $ 1,528,447 $ 1,599,895 $ 1,501,413 May-2002 $ 1,538,841 $ 1,609,014 $ 1,510,722 Jun-2002 $ 1,555,460 $ 1,626,713 $ 1,523,563 Jul-2002 $ 1,575,370 $ 1,645,746 $ 1,542,760 Aug-2002 $ 1,592,226 $ 1,663,520 $ 1,557,879 Sep-2002 $ 1,625,822 $ 1,694,129 $ 1,586,856 Oct-2002 $ 1,594,607 $ 1,670,580 $ 1,555,277 Nov-2002 $ 1,581,690 $ 1,663,731 $ 1,550,300 Dec-2002 $ 1,620,600 $ 1,696,673 $ 1,583,632 Jan-2003 $ 1,612,497 $ 1,693,788 $ 1,577,456 Feb-2003 $ 1,637,491 $ 1,716,485 $ 1,598,909 Mar-2003 $ 1,639,128 $ 1,717,343 $ 1,598,429 Apr-2003 $ 1,651,749 $ 1,727,647 $ 1,611,856 May-2003 $ 1,693,373 $ 1,763,928 $ 1,646,511 Jun-2003 $ 1,685,245 $ 1,756,696 $ 1,637,784 Jul-2003 $ 1,620,869 $ 1,704,698 $ 1,583,246 Aug-2003 $ 1,633,350 $ 1,716,971 $ 1,594,487 Sep-2003 $ 1,684,473 $ 1,764,360 $ 1,635,785 Oct-2003 $ 1,672,682 $ 1,753,421 $ 1,630,877 Nov-2003 $ 1,686,733 $ 1,766,396 $ 1,649,469 Dec-2003 $ 1,700,226 $ 1,778,938 $ 1,661,675 Jan-2004 $ 1,708,047 $ 1,786,943 $ 1,668,820 Feb-2004 $ 1,734,064 $ 1,812,853 $ 1,693,686
Source: Lipper Analytical Services, Inc. Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 2/29/2004 (In Millions) $750.3 Primary Benchmark LEHMAN NY COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA Duration 5.6 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 puposes and are exempt from New York State and New York City personal income taxes, had a total return of 5.70% (Select Shares) for the six-month period ended February 29, 2004. This compares with the 5.50% return of its benchmark index, the Lehman NY Competitive Intermediate (1-17 maturities) Index. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund outperformed its benchmark for the period. We overweighted the intermediate part of the yield curve, a position that outperformed. The Fund's overweight to high-quality issues hurt performance as lower-quality sectors outperformed. We were overweight to insured paper and high-quality uninsured paper, and were underweight hospitals, airports, tobacco debt and other high-yield sectors. As municipalities continue to struggle with budget deficits, we continue to be concerned about the stability of these credits. We also made what we consider a prudent decision to avoid the risks specific to airport and tobacco debt. We plan to maintain our high-quality bias. Q: HOW WAS THE FUND MANAGED? A: The economic expansion quickened, beginning the transition from being policy-dependent to becoming self-sustaining. Strong profits supported the corporate sector's gradual increase in capital spending and hiring. Yet, with ongoing excess capacity and comparatively high unemployment, consumer price inflation continued to decelerate. The Federal Reserve Board continued to indicate that it would keep its monetary policy on hold until economic conditions warrant a change. The U.S. gross domestic product (GDP) grew at 4.1% during the fourth quarter, slightly below the market consensus of 4.5% to 5%. January and February economic data were mixed. Industrial production rose, and new orders were near the two-decade high recorded in December. Yields for Municipals were attractive relative to Treasury yields, which ended the six-month period notably lower than the peak they reached in early September. When the Fed delayed rate increases, we overweighted the 10- to 15-year part of the yield curve, which aided performance. As spreads tightened on New York issues, we increased our holdings of Puerto Rico bonds and continued to sell our New York City holdings. The Fund was overweight insured paper and high-quality uninsured paper. Our focus remains on high-quality, liquid issues. 8 SEMI - ANNUAL REPORT FEBRUARY 29 2004 AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 4.83% 5.76% 5.25% 5.50% With Sales Charge* 0.05% 4.15% 4.28% 5.02% CLASS B SHARES Without CDSC 4.13% 4.95% 4.75% 5.25% With CDSC** (0.87%) 4.03% 4.42% 5.25% CLASS C SHARES Without CDSC 4.13% 4.90% 4.72% 5.24% With CDSC*** 3.13% 4.90% 4.72% 5.24% INSTITUTIONAL SHARES 5.22% 6.05% 5.42% 5.59% SELECT SHARES# 5.00% 5.85% 5.30% 5.53%
* 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] TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
JPMORGAN NEW YORK LIPPER NEW YORK INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE INTERMEDIATE MUNICIPAL DEBT FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX FUNDS AVERAGE Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Mar-1994 $ 972,700 $ 970,000 $ 967,400 Apr-1994 $ 969,782 $ 978,342 $ 973,204 May-1994 $ 975,407 $ 986,658 $ 981,185 Jun-1994 $ 971,603 $ 985,375 $ 977,947 Jul-1994 $ 984,428 $ 998,973 $ 990,953 Aug-1994 $ 989,055 $ 1,003,269 $ 993,926 Sep-1994 $ 973,823 $ 991,832 $ 981,900 Oct-1994 $ 958,437 $ 979,235 $ 968,153 Nov-1994 $ 934,380 $ 965,624 $ 950,339 Dec-1994 $ 956,151 $ 982,040 $ 967,730 Jan-1995 $ 973,553 $ 996,770 $ 986,117 Feb-1995 $ 1,002,760 $ 1,020,892 $ 1,010,179 Mar-1995 $ 1,011,684 $ 1,031,612 $ 1,018,260 Apr-1995 $ 1,017,855 $ 1,034,603 $ 1,020,296 May-1995 $ 1,046,050 $ 1,063,055 $ 1,045,498 Jun-1995 $ 1,035,903 $ 1,058,590 $ 1,041,734 Jul-1995 $ 1,046,573 $ 1,070,446 $ 1,051,110 Aug-1995 $ 1,055,783 $ 1,084,790 $ 1,062,777 Sep-1995 $ 1,062,118 $ 1,089,780 $ 1,066,603 Oct-1995 $ 1,076,031 $ 1,103,076 $ 1,077,056 Nov-1995 $ 1,093,033 $ 1,118,629 $ 1,088,796 Dec-1995 $ 1,103,963 $ 1,126,236 $ 1,095,655 Jan-1996 $ 1,110,366 $ 1,136,146 $ 1,103,763 Feb-1996 $ 1,107,590 $ 1,131,034 $ 1,098,354 Mar-1996 $ 1,090,976 $ 1,121,533 $ 1,087,700 Apr-1996 $ 1,086,503 $ 1,120,299 $ 1,084,872 May-1996 $ 1,086,720 $ 1,118,731 $ 1,083,462 Jun-1996 $ 1,094,654 $ 1,128,800 $ 1,091,805 Jul-1996 $ 1,108,884 $ 1,139,749 $ 1,101,194 Aug-1996 $ 1,107,553 $ 1,139,521 $ 1,099,983 Sep-1996 $ 1,118,850 $ 1,153,537 $ 1,111,093 Oct-1996 $ 1,130,151 $ 1,165,418 $ 1,121,204 Nov-1996 $ 1,149,476 $ 1,184,764 $ 1,138,694 Dec-1996 $ 1,138,441 $ 1,181,803 $ 1,134,595 Jan-1997 $ 1,142,312 $ 1,185,939 $ 1,136,297 Feb-1997 $ 1,152,136 $ 1,195,901 $ 1,145,160 Mar-1997 $ 1,139,347 $ 1,183,344 $ 1,133,136 Apr-1997 $ 1,148,120 $ 1,192,219 $ 1,140,048 May-1997 $ 1,163,390 $ 1,208,791 $ 1,154,527 Jun-1997 $ 1,173,512 $ 1,220,999 $ 1,165,264 Jul-1997 $ 1,203,671 $ 1,251,769 $ 1,192,997 Aug-1997 $ 1,190,792 $ 1,242,130 $ 1,183,095 Sep-1997 $ 1,202,700 $ 1,255,297 $ 1,194,689 Oct-1997 $ 1,209,796 $ 1,262,954 $ 1,200,185 Nov-1997 $ 1,216,691 $ 1,268,764 $ 1,204,986 Dec-1997 $ 1,234,455 $ 1,285,004 $ 1,220,651 Jan-1998 $ 1,244,948 $ 1,297,340 $ 1,231,148 Feb-1998 $ 1,244,699 $ 1,298,767 $ 1,232,010 Mar-1998 $ 1,244,823 $ 1,300,975 $ 1,232,256 Apr-1998 $ 1,237,852 $ 1,293,689 $ 1,224,740 May-1998 $ 1,258,772 $ 1,314,906 $ 1,243,601 Jun-1998 $ 1,262,171 $ 1,320,560 $ 1,247,705 Jul-1998 $ 1,267,472 $ 1,323,333 $ 1,249,826 Aug-1998 $ 1,290,413 $ 1,342,918 $ 1,268,823 Sep-1998 $ 1,307,963 $ 1,358,496 $ 1,283,795 Oct-1998 $ 1,304,431 $ 1,361,485 $ 1,283,282 Nov-1998 $ 1,305,997 $ 1,365,161 $ 1,285,206 Dec-1998 $ 1,314,094 $ 1,369,393 $ 1,289,962 Jan-1999 $ 1,332,228 $ 1,387,743 $ 1,305,183 Feb-1999 $ 1,322,636 $ 1,381,220 $ 1,297,483 Mar-1999 $ 1,320,785 $ 1,381,773 $ 1,296,185 Apr-1999 $ 1,324,219 $ 1,386,333 $ 1,299,426 May-1999 $ 1,314,817 $ 1,379,401 $ 1,291,369 Jun-1999 $ 1,292,202 $ 1,361,607 $ 1,272,128 Jul-1999 $ 1,301,247 $ 1,368,687 $ 1,277,852 Aug-1999 $ 1,295,392 $ 1,365,813 $ 1,271,591 Sep-1999 $ 1,297,076 $ 1,368,954 $ 1,272,100 Oct-1999 $ 1,287,348 $ 1,360,330 $ 1,259,633 Nov-1999 $ 1,299,835 $ 1,373,661 $ 1,272,355 Dec-1999 $ 1,295,675 $ 1,367,754 $ 1,265,230 Jan-2000 $ 1,290,881 $ 1,364,061 $ 1,259,537 Feb-2000 $ 1,303,016 $ 1,374,974 $ 1,270,621 Mar-2000 $ 1,321,649 $ 1,395,461 $ 1,293,365 Apr-2000 $ 1,316,362 $ 1,390,577 $ 1,285,992 May-2000 $ 1,311,623 $ 1,385,849 $ 1,279,948 Jun-2000 $ 1,339,692 $ 1,417,585 $ 1,310,539 Jul-2000 $ 1,356,304 $ 1,433,604 $ 1,326,266 Aug-2000 $ 1,374,886 $ 1,451,380 $ 1,344,435 Sep-2000 $ 1,367,874 $ 1,447,752 $ 1,338,520 Oct-2000 $ 1,380,732 $ 1,461,361 $ 1,351,637 Nov-2000 $ 1,389,568 $ 1,469,983 $ 1,358,936 Dec-2000 $ 1,424,308 $ 1,499,970 $ 1,391,143 Jan-2001 $ 1,441,257 $ 1,518,570 $ 1,406,863 Feb-2001 $ 1,443,851 $ 1,521,000 $ 1,408,551 Mar-2001 $ 1,454,824 $ 1,535,297 $ 1,420,524 Apr-2001 $ 1,439,694 $ 1,525,625 $ 1,406,603 May-2001 $ 1,456,826 $ 1,541,186 $ 1,421,653 Jun-2001 $ 1,467,753 $ 1,549,354 $ 1,429,757 Jul-2001 $ 1,482,724 $ 1,567,327 $ 1,446,914 Aug-2001 $ 1,507,782 $ 1,591,464 $ 1,469,775 Sep-2001 $ 1,495,870 $ 1,583,506 $ 1,458,899 Oct-2001 $ 1,512,624 $ 1,599,183 $ 1,473,050 Nov-2001 $ 1,496,439 $ 1,587,029 $ 1,458,909 Dec-2001 $ 1,483,270 $ 1,576,714 $ 1,447,092 Jan-2002 $ 1,510,563 $ 1,603,360 $ 1,470,824 Feb-2002 $ 1,528,991 $ 1,624,043 $ 1,489,209 Mar-2002 $ 1,498,259 $ 1,594,323 $ 1,460,765 Apr-2002 $ 1,530,022 $ 1,626,369 $ 1,489,104 May-2002 $ 1,532,623 $ 1,632,550 $ 1,495,358 Jun-2002 $ 1,549,941 $ 1,650,997 $ 1,510,462 Jul-2002 $ 1,567,611 $ 1,668,663 $ 1,526,623 Aug-2002 $ 1,583,287 $ 1,687,519 $ 1,543,569 Sep-2002 $ 1,615,586 $ 1,717,557 $ 1,572,742 Oct-2002 $ 1,590,383 $ 1,693,683 $ 1,548,208 Nov-2002 $ 1,577,819 $ 1,684,367 $ 1,538,454 Dec-2002 $ 1,613,004 $ 1,718,392 $ 1,571,223 Jan-2003 $ 1,607,036 $ 1,716,501 $ 1,562,581 Feb-2003 $ 1,630,820 $ 1,739,331 $ 1,584,926 Mar-2003 $ 1,627,069 $ 1,739,505 $ 1,582,232 Apr-2003 $ 1,638,296 $ 1,749,768 $ 1,593,149 May-2003 $ 1,675,813 $ 1,785,813 $ 1,627,243 Jun-2003 $ 1,667,434 $ 1,778,491 $ 1,616,828 Jul-2003 $ 1,606,573 $ 1,727,982 $ 1,564,766 Aug-2003 $ 1,620,068 $ 1,740,769 $ 1,577,597 Sep-2003 $ 1,668,670 $ 1,788,292 $ 1,619,246 Oct-2003 $ 1,655,821 $ 1,778,099 $ 1,608,883 Nov-2003 $ 1,669,233 $ 1,791,968 $ 1,623,041 Dec-2003 $ 1,680,417 $ 1,803,258 $ 1,632,942 Jan-2004 $ 1,687,643 $ 1,811,372 $ 1,636,207 Feb-2004 $ 1,712,333 $ 1,836,550 $ 1,659,932
Source: Lipper Analytical Services, Inc. Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 2/29/2004 (In Millions) $707.3 Primary Benchmark LEHMAN MUNICIPAL BOND INDEX Average Credit Quality AA Duration 6.5 YEARS Q: HOW DID THE FUND PERFORM? A: The JPMorgan Tax Free Income Fund, which seeks to provide monthly dividends that are excluded from gross income for federal income tax purposes, and to protect the value of your investment by investing primarily in municipal obligations, had a total return of 6.35% (Select Shares) for the six-month period ended February 29, 2004. This compares with a 6.52% return for its benchmark index, the Lehman Municipal Bond Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed its benchmark this period. The Fund's overweight to high-quality issues hurt performance as lower quality sectors outperformed. We were overweight to insured paper and high-quality uninsured paper, and were underweight hospitals, airports, tobacco debt and other high-yield sectors. We plan to maintain our high-quality bias. We overweighted the intermediate part of the yield curve, a position that outperformed. Q: HOW WAS THE FUND MANAGED? A: The economic expansion quickened, beginning the transition from being policy-dependent to becoming self-sustaining. Strong profits supported the corporate sector's gradual increase in capital spending and hiring. Yet, with ongoing excess capacity and comparatively high unemployment, consumer price inflation continued to decelerate. The Federal Reserve Board continued to indicate that it would keep its monetary policy on hold until economic conditions warrant a change. The U.S. gross domestic product (GDP) grew at 4.1% during the fourth quarter, slightly below the market consensus of 4.5% to 5%. January and February economic data were mixed. Industrial production rose, and new orders were near the two-decade high recorded in December. Yields for Municipals were attractive relative to Treasury yields, which ended the six-month period notably lower than the peak they reached in early September. We were overweight to the 10- to 15-year part of the yield curve, which aided performance. Because of historically tight spreads, we sold callable paper and overweighted issues that could not be called. Our focus remains on high-quality, liquid issues. 10 SEMI - ANNUAL REPORT FEBRUARY 29 2004 AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 29, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS - ------------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 5.41% 6.19% 5.39% 5.81% With Sales Charge* 0.73% 4.59% 4.42% 5.33% CLASS B SHARES Without CDSC 4.49% 5.25% 4.83% 5.53% With CDSC** (0.51%) 4.34% 4.50% 5.53% SELECT SHARES# 5.41% 6.18% 5.39% 5.81%
* 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] TEN YEAR FUND PERFORMANCE (2/28/94 TO 2/29/04)
JPMORGAN TAX LEHMAN MUNICIPAL LIPPER GENERAL FREE INCOME FUND (SELECT SHARES) BOND INDEX MUNICIPAL DEBT FUNDS INDEX Feb-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Mar-1994 $ 977,300 $ 959,300 $ 958,200 Apr-1994 $ 974,466 $ 967,454 $ 961,362 May-1994 $ 978,559 $ 975,871 $ 969,822 Jun-1994 $ 974,938 $ 969,918 $ 963,712 Jul-1994 $ 984,590 $ 987,668 $ 980,288 Aug-1994 $ 991,088 $ 991,124 $ 983,425 Sep-1994 $ 982,664 $ 976,555 $ 968,182 Oct-1994 $ 968,612 $ 959,172 $ 949,690 Nov-1994 $ 946,527 $ 941,811 $ 930,126 Dec-1994 $ 971,516 $ 962,531 $ 952,728 Jan-1995 $ 993,375 $ 990,059 $ 981,691 Feb-1995 $ 1,016,123 $ 1,018,870 $ 1,010,945 Mar-1995 $ 1,026,894 $ 1,030,587 $ 1,020,246 Apr-1995 $ 1,034,390 $ 1,031,824 $ 1,020,246 May-1995 $ 1,055,906 $ 1,064,739 $ 1,052,792 Jun-1995 $ 1,049,465 $ 1,055,476 $ 1,041,001 Jul-1995 $ 1,057,965 $ 1,065,503 $ 1,047,767 Aug-1995 $ 1,064,842 $ 1,079,035 $ 1,059,712 Sep-1995 $ 1,068,356 $ 1,085,833 $ 1,066,388 Oct-1995 $ 1,084,488 $ 1,101,577 $ 1,083,237 Nov-1995 $ 1,098,153 $ 1,119,863 $ 1,104,793 Dec-1995 $ 1,111,880 $ 1,130,614 $ 1,117,498 Jan-1996 $ 1,120,552 $ 1,139,207 $ 1,122,862 Feb-1996 $ 1,120,664 $ 1,131,460 $ 1,114,778 Mar-1996 $ 1,101,837 $ 1,116,977 $ 1,097,722 Apr-1996 $ 1,098,422 $ 1,113,850 $ 1,093,111 May-1996 $ 1,098,422 $ 1,113,404 $ 1,093,767 Jun-1996 $ 1,107,978 $ 1,125,541 $ 1,103,939 Jul-1996 $ 1,117,728 $ 1,135,783 $ 1,113,433 Aug-1996 $ 1,119,516 $ 1,135,556 $ 1,112,876 Sep-1996 $ 1,133,734 $ 1,151,454 $ 1,129,903 Oct-1996 $ 1,146,999 $ 1,164,465 $ 1,142,445 Nov-1996 $ 1,166,613 $ 1,185,775 $ 1,162,438 Dec-1996 $ 1,157,280 $ 1,180,794 $ 1,157,556 Jan-1997 $ 1,157,280 $ 1,183,038 $ 1,157,440 Feb-1997 $ 1,166,422 $ 1,193,922 $ 1,167,625 Mar-1997 $ 1,151,609 $ 1,178,043 $ 1,153,264 Apr-1997 $ 1,162,779 $ 1,187,938 $ 1,163,182 May-1997 $ 1,179,523 $ 1,205,757 $ 1,179,932 Jun-1997 $ 1,190,611 $ 1,218,659 $ 1,193,855 Jul-1997 $ 1,226,210 $ 1,252,416 $ 1,229,670 Aug-1997 $ 1,213,212 $ 1,240,643 $ 1,215,652 Sep-1997 $ 1,228,135 $ 1,255,407 $ 1,230,969 Oct-1997 $ 1,235,749 $ 1,263,441 $ 1,239,094 Nov-1997 $ 1,243,164 $ 1,270,896 $ 1,246,157 Dec-1997 $ 1,262,308 $ 1,289,451 $ 1,266,344 Jan-1998 $ 1,275,815 $ 1,302,732 $ 1,278,501 Feb-1998 $ 1,275,305 $ 1,303,123 $ 1,278,501 Mar-1998 $ 1,275,432 $ 1,304,296 $ 1,279,780 Apr-1998 $ 1,267,270 $ 1,298,426 $ 1,271,973 May-1998 $ 1,290,841 $ 1,318,942 $ 1,292,579 Jun-1998 $ 1,294,455 $ 1,324,085 $ 1,297,232 Jul-1998 $ 1,298,338 $ 1,327,396 $ 1,299,827 Aug-1998 $ 1,322,228 $ 1,347,970 $ 1,320,104 Sep-1998 $ 1,339,946 $ 1,364,820 $ 1,335,813 Oct-1998 $ 1,335,792 $ 1,364,820 $ 1,331,004 Nov-1998 $ 1,339,399 $ 1,369,597 $ 1,335,530 Dec-1998 $ 1,344,220 $ 1,373,021 $ 1,337,934 Jan-1999 $ 1,362,367 $ 1,389,360 $ 1,352,517 Feb-1999 $ 1,353,376 $ 1,383,246 $ 1,344,943 Mar-1999 $ 1,351,210 $ 1,385,183 $ 1,345,481 Apr-1999 $ 1,357,021 $ 1,388,646 $ 1,349,248 May-1999 $ 1,346,436 $ 1,380,592 $ 1,339,669 Jun-1999 $ 1,323,008 $ 1,360,711 $ 1,318,502 Jul-1999 $ 1,326,977 $ 1,365,610 $ 1,320,875 Aug-1999 $ 1,313,972 $ 1,354,685 $ 1,305,157 Sep-1999 $ 1,311,345 $ 1,355,227 $ 1,301,764 Oct-1999 $ 1,296,002 $ 1,340,590 $ 1,283,669 Nov-1999 $ 1,309,999 $ 1,354,801 $ 1,295,864 Dec-1999 $ 1,300,436 $ 1,344,640 $ 1,283,553 Jan-2000 $ 1,294,974 $ 1,338,858 $ 1,273,285 Feb-2000 $ 1,310,772 $ 1,354,388 $ 1,291,365 Mar-2000 $ 1,338,299 $ 1,384,050 $ 1,319,646 Apr-2000 $ 1,330,135 $ 1,375,884 $ 1,310,541 May-2000 $ 1,320,292 $ 1,368,729 $ 1,301,760 Jun-2000 $ 1,354,224 $ 1,405,000 $ 1,335,345 Jul-2000 $ 1,375,214 $ 1,424,530 $ 1,353,907 Aug-2000 $ 1,394,054 $ 1,446,468 $ 1,375,163 Sep-2000 $ 1,386,108 $ 1,438,946 $ 1,366,637 Oct-2000 $ 1,400,663 $ 1,454,631 $ 1,380,850 Nov-2000 $ 1,412,848 $ 1,465,686 $ 1,389,964 Dec-2000 $ 1,452,267 $ 1,501,888 $ 1,425,825 Jan-2001 $ 1,462,287 $ 1,516,757 $ 1,436,519 Feb-2001 $ 1,469,599 $ 1,521,611 $ 1,443,270 Mar-2001 $ 1,479,886 $ 1,535,305 $ 1,455,394 Apr-2001 $ 1,453,396 $ 1,518,724 $ 1,435,018 May-2001 $ 1,470,546 $ 1,535,126 $ 1,451,377 Jun-2001 $ 1,482,899 $ 1,545,411 $ 1,463,424 Jul-2001 $ 1,504,549 $ 1,568,283 $ 1,486,546 Aug-2001 $ 1,533,286 $ 1,594,160 $ 1,513,304 Sep-2001 $ 1,524,393 $ 1,588,740 $ 1,500,895 Oct-2001 $ 1,546,039 $ 1,607,646 $ 1,516,504 Nov-2001 $ 1,525,322 $ 1,594,142 $ 1,501,036 Dec-2001 $ 1,507,018 $ 1,578,997 $ 1,485,125 Jan-2002 $ 1,533,994 $ 1,606,314 $ 1,508,293 Feb-2002 $ 1,555,930 $ 1,625,750 $ 1,526,543 Mar-2002 $ 1,518,899 $ 1,593,886 $ 1,497,539 Apr-2002 $ 1,553,074 $ 1,624,966 $ 1,524,794 May-2002 $ 1,560,995 $ 1,634,879 $ 1,534,247 Jun-2002 $ 1,578,478 $ 1,652,208 $ 1,548,976 Jul-2002 $ 1,601,208 $ 1,673,522 $ 1,568,803 Aug-2002 $ 1,619,302 $ 1,693,604 $ 1,584,177 Sep-2002 $ 1,661,242 $ 1,730,694 $ 1,617,920 Oct-2002 $ 1,625,027 $ 1,701,965 $ 1,583,459 Nov-2002 $ 1,613,001 $ 1,694,816 $ 1,577,600 Dec-2002 $ 1,652,843 $ 1,730,577 $ 1,613,096 Jan-2003 $ 1,643,421 $ 1,726,251 $ 1,603,095 Feb-2003 $ 1,668,566 $ 1,750,418 $ 1,627,462 Mar-2003 $ 1,669,400 $ 1,751,468 $ 1,624,858 Apr-2003 $ 1,680,084 $ 1,763,028 $ 1,639,481 May-2003 $ 1,723,598 $ 1,804,283 $ 1,678,501 Jun-2003 $ 1,711,361 $ 1,796,524 $ 1,669,773 Jul-2003 $ 1,640,853 $ 1,733,646 $ 1,612,834 Aug-2003 $ 1,653,816 $ 1,746,648 $ 1,624,769 Sep-2003 $ 1,707,399 $ 1,798,000 $ 1,672,537 Oct-2003 $ 1,697,496 $ 1,789,010 $ 1,666,348 Nov-2003 $ 1,712,943 $ 1,807,616 $ 1,685,178 Dec-2003 $ 1,726,304 $ 1,822,619 $ 1,698,997 Jan-2004 $ 1,732,174 $ 1,833,008 $ 1,704,773 Feb-2004 $ 1,759,379 $ 1,860,686 $ 1,731,538
Source: Lipper Analytical Services, Inc. Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 2/28/94, 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 February 28, 1994 to February 29, 2004. 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 FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 94.5% STATE AND MUNICIPAL OBLIGATIONS -- 94.5% CALIFORNIA-- 83.4% $ 260 Burlingame Financing Authority, Rev., 4.75%, 10/15/11 + $ 294 1,000 California Educational Facilities Authority, Claremont University Center, Ser. 1998-C, Rev., 1.73%, 05/01/28 + 1,000 140 California Educational Facilities Authority, Dominican University, Rev., 4.85%, 12/01/06 150 750 California Educational Facilities Authority, Stanford University, Ser. P, Rev., 5.25%, 12/01/13 + 887 1,100 California Educational Facilities Authority, University of Southern California, Ser. A, Rev., 5.60%, 10/01/06 + 1,221 2,000 California State Department of Transportation, Federal Highway, Ser. A, Rev., GAN, MBIA,, 4.00%, 02/01/10 + 2,167 1,460 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., 7.00%, 12/01/12 1,887 540 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., (p), 7.00%, 12/01/12 715 3,335 California State Department of Water Resources, Rev., 5.50%, 12/01/08 3,865 665 California State Department of Water Resources, Rev., (p), 5.50%, 12/01/08 776 4,461 California State University, California State Polytechnic University Pamona, Campus Energy Project, Tax Exempt Master Lease, Rev., 5.06%, 03/15/14 + 4,629 120 California State, GO, (p), MBIA-IBC, 6.25%, 10/01/19 122 3,000 California State, Ser. D-4, GO, FRDO, 1.98%, 02/03/05 3,000 1,675 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 07/01/09 1,879 1,840 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 07/01/13 2,148 $ 490 Carson Redevelopment Agency, Redevelopment Project Area No. 1, Tax Allocation, MBIA, 5.50%, 10/01/14 $ 580 150 Coachella Valley Recreation & Park District, Improvement Bond Act of 1915, Reassessment District 1, Special Assessment, MBIA, 4.63%, 09/02/10 169 1,500 Contra Costa Transportation Authority, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 03/01/06 1,638 2,505 Corona Community Facilities District, No. 97-2, Eagle Glen, Special Tax, 5.75%, 09/01/16 2,583 1,310 El Monte City School District, Ser. A, GO, FSA, 6.25%, 05/01/20 1,534 1,000 Fallbrook Union High School District, San Diego County, GO, FGIC, 5.38%, 09/01/12 1,179 1,540 Fontana Public Finance Authority, North Fontana Redevelopment Project, Tax Allocation, Ser. A, Rev., FSA, 5.50%, 09/01/10 1,813 1,000 Foothill Eastern Transportation Corridor Agency, California Toll Road, Senior Lien, Ser. A, Rev., (p), 6.00%, 01/01/07 1,128 1,000 Fremont-Newark Community College District, Ser. A, GO, MBIA, 5.50%, 08/01/13 1,164 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 07/01/10 118 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 07/01/11 117 545 Golden West Schools Financing Authority, Ser. A, Rev., MBIA, 5.80%, 02/01/16 660 1,000 Long Beach, California, Long Beach Harbor, Rev., MBIA, 6.00%, 05/15/06 1,075 500 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/11 589 1,395 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/13 1,616
SEE NOTES TO FINANCIAL STATEMENTS. 12 SEMI - ANNUAL REPORT FEBRUARY 29 2004
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,000 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/14 $ 1,165 1,000 Los Angeles County Public Works Financing Authority, Multiple Capital Facilities Project, Ser. B, Rev., AMBAC, 6.00%, 12/01/07 1,157 1,405 Los Angeles Unified School District, COP, Ser. B, FSA, 5.00%, 10/01/06 1,538 125 Los Angeles Unified School District, Ser. A, GO, FGIC, 6.00%, 07/01/15 154 1,300 Los Angeles, California, American Academy of Dramatic Arts, COP, Ser. A, Adj., 4.70%, 11/01/30 1,364 500 Los Angeles, California, Department of Water & Power Systems, Ser. A-A-1, Rev., 5.25%, 07/01/04 507 5,110 Los Angeles, California, Sonnenblick Del Rio, West Los Angeles, COP, AMBAC, 6.13%, 11/01/15 6,102 1,000 Los Angeles, California, Water & Power Systems, Ser. B, Rev. FSA, 5.13%, 07/01/16 1,125 1,000 Modesto Irrigation District Financing Authority, Ser. A, Rev., MBIA, 5.45%, 10/01/07 1,127 1,300 Mojave Unified School District School Facilities Improvement District No. 1, GO, FGIC, 5.25%, 08/01/18 1,448 1,385 Mountain View/Santa Clara County, Capital Projects, COP, 5.25%, 08/01/16 1,567 560 Northern California Power Agency, Public Power, Ser. A, Rev., AMBAC, 5.80%, 07/01/09 660 2,000 Oakland Redevelopment Agency, Center District Redevelopment, Tax Allocation, AMBAC, 5.50%, 02/01/14 2,328 2,000 Orange County Public Financing Authority, Waste Management Systems, Rev., AMBAC, 5.75%, 12/01/09 2,332 600 Pacifica, California, Street Improvement Project, COP, AMBAC, 5.75%, 11/01/19 698 $2,490 Pittsburg Redevelopment Agency, Tax Allocation, Los Medanos Community Development Project, Ser. A, MBIA, 5.25%, 08/01/15 $ 2,889 425 Port of Oakland, Ser. K, Rev., FGIC, 5.25%, 11/01/07 475 360 Rancho Water District Financing Authority, Ser. A, Rev., FSA, 5.50%, 08/01/10 424 1,210 Richmond, California, Taxable Limited Obligation Pension, Ser. A, GO, MBIA, 7.02%, 08/01/05 1,300 35 Richmond, California, Wastewater, Rev., FGIC, 5.20%, 08/01/11 40 1,250 Riverside County Transportation Commission, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 06/01/09 1,479 250 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.25%, 12/01/12 286 150 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.75%, 12/01/10 180 1,000 San Bernardino, California, Single Family Mortgage, Ser. A, Rev., (p), 7.50%, 05/01/23 1,363 1,200 San Diego County Regional Transportation Commission, Sales Tax, 2nd Ser., Ser. A, Rev., AMBAC, 6.00%, 04/01/06 1,316 1,000 San Francisco City & County Airports Commission, Issue 15-B, 2nd Ser., Rev., FSA, 5.50%, 05/01/06 1,090 1,170 San Francisco City & County Airports Commission, Issue 27-B, 2nd Ser., Adj., Rev., FGIC, 5.25%, 05/01/13 1,328 1,005 San Francisco City & County Redevelopment Financing Authority, San Francisco Redevelopment Project, Tax Allocation, Ser. C, FGIC, 5.25%, 08/01/15 1,144
SEE NOTES TO FINANCIAL STATEMENTS. 13
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 5,000 San Jose Financing Authority, Civic Center Project, Ser. D, Adj., Rev., AMBAC, 5.00%, 06/01/38 $ 5,384 1,240 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 08/01/07 1,418 3,000 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 08/01/15 3,690 4,000 San Marcos University Corp., Auxiliary Organization, Rev., Adj., 3.35%, 07/01/32 4,101 585 San Mateo County Community College District, Election of 2001, Ser. A, GO, FGIC, 5.38%, 09/01/19 657 250 San Mateo County Joint Powers Authority, Capital Projects Program, Rev., MBIA, 6.50%, 07/01/15 319 2,245 Santa Ana Financing Authority, Police Administration & Holding Facility, Ser. A, Rev., MBIA, 6.25%, 07/01/24 2,782 1,000 Santa Clara County Financing Authority, Ser. A, Rev., AMBAC, 5.75%, 11/15/13 1,214 2,600 Santa Clara Valley Transportation Authority, Authorized Sales Tax, Measure A, Adj, Rev., AMBAC, 4.00%, 04/01/36 2,760 2,605 South Bayside Waste Management Authority, Solid Waste System, Rev., AMBAC, 6.13%, 03/01/17 3,055 5,000 South Orange County Public Financing Authority, Special Tax, Senior Lien, Ser. A, MBIA, 5.00%, 09/01/12 5,755 1,000 Turlock Irrigation District, Ser. A, Rev., MBIA, 6.00%, 01/01/07 1,121 1,000 University of California, UC Medical Center, Rev., AMBAC, 10.00%, 07/01/06 1,193 4,000 Walnut Valley Unified School District, Ser. A, GO, MBIA, 7.20%, 02/01/16 5,135 ------------------------------------------------------------------- 115,873 ------------------------------------------------------------------- CONNECTICUT -- 2.0% 2,040 Connecticut State, Residual Certificate, Ser. 529-Y, GO, Inverse Floater, FRDO, 9.57%, 03/04/04 2,761 MICHIGAN -- 1.6% $ 2,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 $ 2,200 NEW YORK -- 0.7% 1,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 1,023 PUERTO RICO -- 6.5% 115 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/07 126 1,280 Puerto Rico Commonwealth, Public Improvement, GO, (p), MBIA-IBC, 3.00%, 07/01/06 1,287 2,500 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 2,756 3,000 Puerto Rico Electric Power Authority, Ser. BB, Rev., MBIA, 6.00%, 07/01/11 3,650 125 Puerto Rico Electric Power Authority, Ser. Z, Rev., 5.10%, 07/01/06 133 420 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 502 500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 5.75%, 08/01/13 587 ------------------------------------------------------------------- 9,041 ------------------------------------------------------------------- VIRGIN ISLANDS -- 0.3% 375 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 411 ------------------------------------------------------------------- Total State and Municipal Obligations (Cost $121,163) 131,309 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 14
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 5.5% MONEY MARKET FUND -- 5.5% 7,676 JPMorgan Tax Free Money Market Fund (a) (Cost $7,676) $ 7,676 ------------------------------------------------------------------- Total Short-Term Investments (Cost $7,676) 7,676 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $128,839) $ 138,985 -------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 2/29/04(USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------------------------ SHORT FUTURES OUTSTANDING (48) 10 Year Treasury Notes June, 2004 $ (5,466) $ (33)
SEE NOTES TO FINANCIAL STATEMENTS. 15 JPMORGAN INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.2% STATE AND MUNICIPAL OBLIGATIONS -- 98.2% ALABAMA -- 4.3% $ 28,675 Jefferson County, Sewer, Capital Improvements, Rev., (p), FGIC, 5.00%, 08/01/12 $ 32,932 6,650 Jefferson County, Sewer, Capital Improvements, Rev., (p), FGIC, 5.13%, 08/01/12 7,726 17,070 Jefferson County, Sewer, Capital Improvements, Ser. D, Rev., (p), FGIC, 5.00%, 08/01/12 19,605 5,000 Jefferson County, Sewer, Capital Improvements, Ser. D., Rev., FGIC, (p), 5.00%, 08/01/12 5,762 1,000 Shelby County Board of Education, Capital Outlay School Warrants, AMBAC, 5.70%, 02/01/09 1,059 ------------------------------------------------------------------- 67,084 ------------------------------------------------------------------- ARIZONA -- 0.8% 2,435 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 07/01/09 2,647 2,220 Phoenix Civic Improvement Corp., Excise Tax, Senior Lien, Rev., 5.00%, 07/01/21 2,390 2,330 Phoenix Civic Improvement Corp., Excise Tax, Senior Lien, Rev., 5.00%, 07/01/22 2,492 4,005 Phoenix IDA, Single Family Mortgage, Ser. 2-A, Adj., Rev, 5.55%, 03/01/28 4,301 ------------------------------------------------------------------- 11,830 ------------------------------------------------------------------- CALIFORNIA -- 7.8% 2,180 Anaheim Public Financing Authority, Electric System Generation, Ser. B, Rev., (p), FSA, 5.25%, 10/01/14 2,482 1,840 California State Department of Water Resources, Central Valley Project, Ser. J-1, Adj., Rev, 7.00%, 12/01/12 2,374 500 California State Department of Water Resources, Central Valley Project, Ser. J-1, Rev., (p), 7.00%, 12/01/12 662 1,000 California State, GO, 7.00%, 08/01/07 1,151 $ 2,500 California State, GO, 6.50%, 02/01/08 $ 2,858 12,000 California State, Various Purposes, GO, 5.13%, 11/01/11 13,387 9,485 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 07/01/09 10,639 10,435 Contra Costa Water District, Ser. K, Rev., FSA, 5.50%, 10/01/14 12,094 1,115 Gilroy Unified School District, Measure J Capital Projects, COP, MBIA, 5.50%, 09/01/11 1,327 1,000 Los Angeles Community Redevelopment Agency, Tax Allocation, Hollywood Redevelopment Project, Ser. C, MBIA, 5.50%, 07/01/16 1,181 2,500 Los Angeles County Public Works Financing Authority, Ser. A, Rev., MBIA, 6.00%, 09/01/06 2,784 1,015 Los Angeles Unified School District, Ser. A, GO, FGIC, 6.00%, 07/01/08 1,184 1,460 Pleasant Valley School District-Ventura County, Ser. A, GO, MBIA, 5.85%, 02/01/18 1,779 17,075 San Jose Financing Authority, Civic Center Project, Ser. D, Adj., Rev., AMBAC, 5.00%, 06/01/38 18,385 2,045 San Marcos Public Facilities Authority, Tax Allocation, Project Areas No. 1-2-3 Ser. A, FGIC, 5.25%, 08/01/17 2,320 4,195 Santa Clara Redevelopment Agency, Bay Shore North Project, Tax Allocation, AMBAC, 5.50%, 06/01/13 4,897 835 Solano County, COP, MBIA, 5.00%, 11/01/11 968 2,000 Solano County, COP, MBIA, 5.25%, 11/01/13 2,320 2,000 Solano County, COP, MBIA, 5.25%, 11/01/16 2,268 5,500 Southern California Public Power Authority, San Juan Power, Power Project, Ser. B, Adj., Rev., FSA, 5.25%, 01/01/20 6,264
SEE NOTES TO FINANCIAL STATEMENTS. 16 SEMI - ANNUAL REPORT FEBRUARY 29 2004
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 5,000 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 01/01/13 $ 5,889 1,295 Kaweah Delta Hospital, Ser. G, Rev., 6.40%, 06/01/14 (i) 1,295 20,000 University of California, Ser. A, Rev., AMBAC, 5.13%, 05/15/14 22,747 ------------------------------------------------------------------- 121,255 ------------------------------------------------------------------- CONNECTICUT -- 3.0% 7,000 Connecticut State Development Authority, PCR, Ser. A, Adj., Rev., AMBAC, 3.35%, 05/01/31 7,152 7,240 Connecticut State, Ser. B, GO, (p), 5.88%, 06/15/10 8,676 19,405 Connecticut State, Residual Certificate, Ser. 529-Y, GO, Inverse Floater, FRDO, 9.57%, 03/04/04 26,267 3,905 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/13 4,547 ------------------------------------------------------------------- 46,642 ------------------------------------------------------------------- DELAWARE -- 0.0% ^ 200 Delaware Transportation Authority, Transportation Systems, Motor Fuel Tax, Rev., FGIC, 5.50%, 07/01/08 228 250 Wilmington, Delaware, GO, FGIC, 5.00%, 07/01/09 282 ------------------------------------------------------------------- 510 ------------------------------------------------------------------- DISTRICT OF COLUMBIA -- 1.4% 770 District of Columbia, Ser. A, GO, (p), MBIA-IBC, 6.00%, 06/01/07 878 17,010 District of Columbia, Ser. A, GO, AMBAC, 5.00%, 06/01/22 17,835 2,450 District of Columbia, Ser. A, GO, MBIA-IBC, 6.00%, 06/01/07 2,775 ------------------------------------------------------------------- 21,488 ------------------------------------------------------------------- FLORIDA -- 3.3% 2,610 Coral Springs Improvement District, Water & Sewer, GO, MBIA, 6.00%, 06/01/10 2,900 $ 1,750 Dade County, Aviation, Ser. B, Rev., AMBAC, 6.40%, 10/01/06 $ 1,837 1,495 Florida State Board of Education, Capital Outlay, Public Education, Ser. B, GO, 5.25%, 06/01/12 1,736 2,000 Florida State Department of Corrections, Okeechobee Correctional, COP, AMBAC, 6.00%, 03/01/08 2,131 4,310 Florida State Governmental Utility Authority, Citrus Utilities Systems, Rev., AMBAC, 5.00%, 10/01/23 4,585 30,000 Orlando Utilities Commission, Water & Electric, Multi-Modal, Ser. A, Adj., Rev., 4.10%, 10/01/23 32,635 3,500 Tampa Bay Water, Florida Utility System, Regional Water Supply Authority, Rev., FGIC, 5.25%, 10/01/18 4,051 1,000 Tampa Bay Water, Florida Utility System, Regional Water Supply Authority, Rev., FGIC, 5.25%, 10/01/19 1,154 ------------------------------------------------------------------- 51,029 ------------------------------------------------------------------- GEORGIA -- 2.1% 1,720 Forsyth County School District, GO, 5.00%, 07/01/12 1,949 2,630 Fulton County School District, GO, 6.38%, 05/01/14 3,307 1,250 Georgia Municipal Electric Authority, Power, Ser. A, Rev., 6.50%, 01/01/12 1,484 5,000 Georgia Municipal Electric Authority, Power, Ser. DD, Rev., MBIA-IBC, 7.00%, 01/01/08 5,911 6,000 Georgia State, Ser. B, GO, 7.20%, 03/01/07 6,973 3,000 Georgia State, Ser. B, GO, 6.30%, 03/01/10 3,635 2,500 Gwinnette County School District, Ser. B, GO, 6.40%, 02/01/08 2,917 5,000 Metropolitan Atlanta Rapid Transportation Authority, Ser. P, Rev., AMBAC, 6.25%, 07/01/11 6,111 ------------------------------------------------------------------- 32,287 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 17
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HAWAII -- 0.1% $ 2,000 Honolulu City & County, Ser. A, GO, 7.35%, 07/01/06 $ 2,262 ILLINOIS -- 4.2% 1,500 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 7.00%, 01/01/08 1,780 10,000 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 5.50%, 12/01/12 11,714 10,025 Chicago Metropolitan Water Reclamation District, GO, 5.50%, 12/01/09 11,641 6,055 Chicago O'Hare International Airport, Passenger Facilities Charge, Ser. A, Rev., AMBAC, 5.38%, 01/01/07 6,586 1,245 Chicago Park District, Harbor Facilities, Rev., (p), 5.38%, 01/01/06 1,337 4,150 Chicago, Wastewater Transmission, Second Lien, Rev., MBIA, 5.50%, 01/01/18 4,918 2,882 Illinois Development Finance Authority, IDR, Rev., 4.90%, 08/01/28 (i) 2,989 1,665 Illinois Health Facilities Authority, Rev., 6.63%, 02/15/12 1,927 3,770 Illinois Health Facilities Authority, Riverside Health Systems, Rev., 6.75%, 11/15/10 4,449 1,810 Illinois State, 1st Ser., GO, 5.25%, 08/01/05 1,913 2,565 Illinois State, 1st Ser., GO, 5.50%, 08/01/06 2,811 4,000 Illinois State, 1st Ser., GO, 5.50%, 08/01/07 4,490 770 Illinois State, GO, 5.50%, 08/01/06 799 2,000 Illinois State, GO, (p), MBIA, 5.25%, 06/01/08 2,289 $ 50 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., 8.50%, 06/15/06 $ 58 1,330 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., (p), 8.50%, 06/15/06 1,544 1,000 Regional Transportation Authority, Ser. B, GO, AMBAC, 6.40%, 06/01/12 1,235 2,810 Regional Transportation Authority, Ser. D, Rev., FGIC, 7.75%, 06/01/07 3,339 ------------------------------------------------------------------- 65,819 ------------------------------------------------------------------- INDIANA -- 2.1% 10,560 Indiana Housing Finance Authority, Single Family Mortgage, Ser. B-2, Rev., 4.00%, 01/01/34 11,229 10,590 Indiana Housing Finance Authority, Single Family Mortgage, Ser. D-2, Rev., 3.60%, 01/01/32 10,710 2,280 Ivy Technical State College, Student Fee, Ser. H, Rev., AMBAC, 5.25%, 07/01/18 2,631 3,985 Ivy Technical State College, Student Fee, Ser. H, Rev., AMBAC, 5.25%, 07/01/19 4,586 3,435 Ivy Technical State College, Student Fee, Ser. H, Rev., AMBAC, 5.25%, 07/01/20 3,937 ------------------------------------------------------------------- 33,093 ------------------------------------------------------------------- IOWA -- 0.5% 2,095 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/15 2,368 2,385 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/16 2,675 2,440 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/17 2,717 ------------------------------------------------------------------- 7,760 ------------------------------------------------------------------- MARYLAND -- 1.0% 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.75%, 12/15/08 3,165
SEE NOTES TO FINANCIAL STATEMENTS. 18
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MARYLAND -- CONTINUED $ 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.80%, 12/15/09 $ 3,166 8,967 State of Maryland, Tax Exempt Master Lease, 5.19%, 07/01/16 (i) 9,510 ------------------------------------------------------------------- 15,841 ------------------------------------------------------------------- MASSACHUSETTS -- 5.2% 5,650 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., 7.00%, 03/01/08 6,684 2,045 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., MBIA, 5.50%, 03/01/14 2,402 6,750 Massachusetts Health and Educational Facilities Authority, Harvard University, Ser. Z, Rev., 5.00%, 01/15/07 7,382 1,420 Massachusetts State College Building Authority, Ser. A, Rev., 7.50%, 05/01/11 1,843 10,000 Massachusetts State Turnpike Authority, Ser. A, Rev., (p), 5.00%, 01/01/13 11,283 9,500 Massachusetts State Water Pollution Abatement, MWRA Program, Sub Ser. A, Rev., 6.00%, 08/01/15 11,239 2,000 Massachusetts State Water Resources Authority, Ser. A, Rev., FSA, 5.50%, 08/01/13 2,363 3,000 Massachusetts State Water Resources Authority, Ser. C, Rev., FGIC, 5.25%, 12/01/15 3,486 5,000 Massachusetts State, CONS, Ser. C, GO, (p), 5.75%, 10/01/10 5,947 3,200 Massachusetts State, CONS, Ser. C, GO, (p), 5.25%, 08/01/13 3,704 18,545 Massachusetts State, Federal Highway, Ser. A, Rev., GAN, FSA, 5.75%, 12/15/12 21,816 $ 1,210 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 05/01/09 $ 1,297 1,000 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 05/01/10 1,072 ------------------------------------------------------------------- 80,518 ------------------------------------------------------------------- MICHIGAN -- 6.3% 3,910 Grand Rapids, Michigan, Water Supply, Rev., FGIC, 5.75%, 01/01/13 4,596 13,050 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 6.25%, 11/15/09 15,848 10,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 11,002 2,905 Michigan State Hospital Finance Authority, Mercy Health Services, Ser. T, Rev., 5.75%, 08/15/04 2,960 3,755 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/01/05 4,025 4,160 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/01/11 4,800 4,405 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/01/12 5,065 10,750 Michigan State Trunk Line, Ser. A, Rev., 5.25%, 11/01/13 12,458 3,565 Michigan State Underground Storage Tank Financial Assurance Authority, Ser. I, Rev., AMBAC, 5.75%, 05/01/10 3,912 16,000 Monroe County Economic Development Corp., Limited Obligation, Detroit Edison Co., Ser. CC, Rev., Adj. AMBAC, 4.65%, 10/01/24 17,749 10,000 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.25%, 12/01/06 10,973
SEE NOTES TO FINANCIAL STATEMENTS. 19
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 3,780 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.50%, 12/01/07 $ 4,261 ------------------------------------------------------------------- 97,649 ------------------------------------------------------------------- MINNESOTA -- 1.0% 5,000 University of Minnesota, Ser. A, Rev., 5.75%, 07/01/10 5,904 8,000 University of Minnesota, Ser. A, Rev., 5.75%, 07/01/15 9,611 ------------------------------------------------------------------- 15,515 ------------------------------------------------------------------- MISSISSIPPI -- 1.4% 2,505 Mississippi Higher Education Assistance Corp., Ser. B, Rev., 5.60%, 09/01/04 2,537 4,000 Mississippi State, Capital Improvements Issue, Ser. I, GO, (p), 5.50%, 11/01/06 4,432 2,000 Mississippi State, GO, 5.75%, 12/01/12 2,396 10,810 Mississippi State, GO, (p), 6.20%, 02/01/08 12,415 ------------------------------------------------------------------- 21,780 ------------------------------------------------------------------- MISSOURI -- 2.3% 3,730 Missouri Health & Educational Facilities Authority, Park Lane Medical Center, Ser. A, Rev., (p), MBIA, 5.60%, 01/01/15 4,300 9,670 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. B-1, Adj., Rev., 5.38%, 09/01/34 10,432 16,660 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. C-1, Adj., Rev., 4.80%, 09/01/34 17,906 1,105 Missouri State Environmental Improvement & Energy Resources Authority, State Revolving Funds Program, Ser. B, Rev., 5.50%, 07/01/12 1,308 $ 1,265 Missouri State Health & Educational Facilities Authority, University of Missouri, Columbia Arena Project, Rev., 5.00%, 11/01/11 $ 1,452 ------------------------------------------------------------------- 35,398 ------------------------------------------------------------------- NEBRASKA -- 0.3% 4,985 NEBHELP, Inc., Sub Ser. A-5B, Rev., MBIA, 6.20%, 06/01/13 5,414 NEVADA -- 0.7% 8,200 Clark County School District, Ser. A, GO, MBIA, 7.00%, 06/01/11 10,396 NEW JERSEY -- 3.2% 3,245 Elizabeth, New Jersey, GO, AMBAC, 6.25%, 08/15/08 3,535 3,490 New Jersey State Turnpike Authority, Rev., (p), 5.70%, 05/01/13 3,984 2,930 New Jersey State Turnpike Authority, Ser. G, Rev., (p), 5.75%, 01/01/09 3,247 10,000 New Jersey State, GO, 5.50%, 05/01/07 11,171 4,570 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 5,454 6,575 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 8,094 7,500 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., (p), MBIA, 6.00%, 12/15/11 9,233 4,370 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 5.50%, 06/15/09 4,685 ------------------------------------------------------------------- 49,403 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 20
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW MEXICO -- 0.8% $ 5,500 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. A-2, Rev., 5.25%, 03/01/34 $ 5,918 3,000 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. D, SUB, Rev., 3.25%, 09/01/33 3,326 3,125 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. PG, Class C-2, Rev., 4.70%, 09/01/33 3,241 ------------------------------------------------------------------- 12,485 ------------------------------------------------------------------- NEW YORK -- 11.0% 1,500 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/13 1,802 22,630 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.50%, 07/01/17 26,386 24,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/01/26 27,953 11,500 New York City, New York, Ser. G, GO, 5.50%, 08/01/09 13,103 6,300 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 6,443 5,035 New York State Dormitory Authority, City University Systems, 4th Generation, Ser. A, Rev., FGIC, 5.25%, 07/01/13 5,846 4,025 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 4,745 1,500 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FSA, 5.50%, 05/15/13 1,769 7,201 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 03/27/07 (i) 7,353 $ 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%, 06/15/13 $ 3,843 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%, 06/15/16 7,546 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%, 06/15/16 5,743 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%, 06/15/17 8,783 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%, 06/15/18 9,371 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%, 07/15/19 8,993 4,115 New York State Housing Finance Agency, Housing Project Mortgage, Ser. A, Rev., FSA, 5.40%, 11/01/05 4,359 3,950 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 04/01/10 4,544 5,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.10%, 04/01/08 5,537 10,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.20%, 04/01/09 11,056
SEE NOTES TO FINANCIAL STATEMENTS. 21
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 5,000 New York State, Ser. B, GO, 5.70%, 08/15/10 $ 5,359 ------------------------------------------------------------------- 170,534 ------------------------------------------------------------------- NORTH CAROLINA -- 2.0% 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 04/01/11 2,372 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 04/01/12 2,391 9,155 North Carolina Municipal Power Agency No. 1, Catawba Electric, Rev., AMBAC, 6.00%, 01/01/08 10,520 8,900 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.13%, 01/01/06 9,559 6,275 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.25%, 01/01/07 6,950 ------------------------------------------------------------------- 31,792 ------------------------------------------------------------------- NORTH DAKOTA -- 0.5% 7,985 North Dakota State Housing Finance Agency, Housing Finance Program, Ser. C, Rev., 5.55%, 01/01/31 8,298 OHIO -- 2.5% 6,000 Columbus, Ohio, Ser. 1, GO, 5.50%, 11/15/06 6,638 4,000 Montgomery County, Solid Waste, Rev., MBIA, 5.50%, 11/01/10 4,349 6,000 Ohio State Turnpike Commission, Ser. A, Rev., (p), MBIA, 5.40%, 02/15/06 6,592 17,000 Ohio State Turnpike Commission, Ser. A, Rev., (p), MBIA, 5.50%, 02/15/06 18,709 1,855 Ohio State Water Development Authority, Rev., (p), 9.38%, 12/01/10 2,276 ------------------------------------------------------------------- 38,564 ------------------------------------------------------------------- OKLAHOMA -- 0.5% $ 6,990 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-1, Adj, Rev., 4.88%, 09/01/33 $ 7,459 OREGON -- 0.4% 3,000 Oregon State Department of Transportation, Highway User Tax, Ser. A, Rev., 5.50%, 11/15/19 3,402 3,000 Washington County, Union High School District No. 3, Hillsboro, GO, (p), MBIA, 6.00%, 11/01/05 3,242 ------------------------------------------------------------------- 6,644 ------------------------------------------------------------------- PENNSYLVANIA -- 3.1% 17,631 Pennsylvania Higher Education, 4.64%, 04/30/09 (i) 18,366 11,985 Pennsylvania Housing Finance Agency, Single Family Housing, Ser. 73-A, Rev., 5.25%, 04/01/33 12,506 2,800 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 01/01/06 2,995 2,000 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 01/01/07 2,143 7,645 Pennsylvania State University, Rev., 5.00%, 03/01/07 8,395 3,500 Philadelphia Authority, IDR, Rev., 2.15%, 01/01/18 (i) 3,488 ------------------------------------------------------------------- 47,893 ------------------------------------------------------------------- PUERTO RICO -- 0.4% 5,500 Puerto Rico Commonwealth, GO, MBIA-IBC, 5.50%, 07/01/09 6,407 SOUTH CAROLINA -- 3.5% 1,000 Piedmont Municipal Power Agency, Electric, Rev., (p), MBIA, 6.20%, 01/01/08 1,157
SEE NOTES TO FINANCIAL STATEMENTS. 22
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SOUTH CAROLINA -- CONTINUED $ 15,000 Piedmont Municipal Power Agency, Electric, Rev., FGIC, 6.75%, 01/01/20 $ 19,637 5,500 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.00%, 12/15/10 6,800 3,000 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.13%, 12/15/10 3,857 3,110 South Carolina State Housing Finance & Development Authority, Ser. A, Rev., AMBAC, 3.60%, 07/01/33 3,122 10,310 South Carolina State, State School Facilities, Ser. A, GO, 4.25%, 01/01/15 10,807 7,500 South Carolina Transportation Infrastructure Bank, Ser. A, Rev., (p), AMBAC, 5.00%, 10/01/11 8,680 ------------------------------------------------------------------- 54,060 ------------------------------------------------------------------- SOUTH DAKOTA -- 0.5% 6,600 South Dakota Housing Development Authority, Ser. E, Rev., 5.00%, 05/01/28 7,032 TENNESSEE -- 0.9% 3,320 Knox County, Public Improvement, GO, (p), 6.00%, 05/01/08 3,890 3,500 Knox County, Public Improvement, GO, (p), 6.00%, 05/01/08 4,101 5,335 Tennergy Corp., Gas, Rev., MBIA, 5.00%, 06/01/09 5,985 ------------------------------------------------------------------- 13,976 ------------------------------------------------------------------- TEXAS -- 12.2% 3,205 Alvin Indepedent School District, 3.58%, 02/15/22, FRN (i) 3,236 3,375 Alvin Indepedent School District, 3.58%, 02/15/23, FRN (i) 3,408 $ 3,550 Alvin Indepedent School District, 4.00%, 02/15/24, FRN (i) + $ 3,659 3,735 Alvin Indepedent School District, 4.00%, 02/15/25, FRN (i) 3,851 2,000 Austin Independent School District, Public Property Finance Contractual Obligation, GO, MBIA, 5.25%, 02/01/08 2,242 5,000 Austin, Texas, Sub Lien, Rev., MBIA, 5.25%, 05/15/25 5,635 5,255 Austin, Texas, Utility Systems, Rev., MBIA-IBC, 5.80%, 11/15/06 5,849 18,495 Beaumont Water & Sewer, Rev., 3.50%, 09/01/23 (i) 18,994 1,305 Dallas County Flood Control District, GO, (p), 9.25%, 04/01/08 1,673 8,670 Dallas Independent School District, School Building, GO, 5.00%, 02/15/21 9,284 3,165 Dallas Independent School District, School Building, GO, 5.00%, 02/15/22 3,381 2,000 Dallas Independent School District, School Building, GO, 5.00%, 02/15/23 2,123 6,200 Dallas, Texas, Civic Center, Improvement, Rev., MBIA, 5.25%, 08/15/07 6,906 6,220 Harris County, GO, 5.88%, 10/01/07 7,097 8,675 Houston, Texas, Ser. A, GO, 5.50%, 03/01/08 9,849 5,000 Humble Independent School District, Ser. C, GO, 0.00%, 02/15/16 3,029 5,880 Humble Independent School District, Ser. C, GO, 0.00%, 02/15/17 3,365 1,520 Katy Independent School District, Ser. A, GO, 5.00%, 02/15/11 1,727 5,875 Lubbock Health Facilities Development Corp., St. Joseph Health Systems, Rev., 5.25%, 07/01/11 6,305 10,625 North East Independent School District, GO, 5.00%, 08/01/22 11,331 7,500 Pearland Independent School District, 4.27%, 02/15/25 (i) 7,681
SEE NOTES TO FINANCIAL STATEMENTS. 23
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- CONTINUED $ 7,500 Pearland Independent School District, Unlimited Tax, 4.27%, 02/15/24 (i) $ 7,510 5,835 Texas Department of Housing & Community Affairs, Single Family Housing, Ser. B, Rev., MBIA, 5.35%, 03/01/33 6,118 10,025 Texas Public Building Authority, Capital Appreciation, Rev., (p), MBIA, 0.00%, 08/01/06 9,675 10,375 Texas State Department of Housing & Community Affairs, Residential Mortgage, Ser. A, Rev., 4.75%, 01/01/25 11,084 7,500 Texas State, Ser. A, GO, 6.00%, 10/01/09 8,862 4,700 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.00%, 07/15/07 5,197 3,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.25%, 07/15/09 3,350 1,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.63%, 07/15/11 1,151 3,175 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. B, Rev., 5.25%, 07/15/08 3,527 7,385 Tomball Independent School District, Ser. B, 4.27%, 02/15/26 (i) 7,385 3,270 Tomball, Independent School District, U.T. Schoolhouse, 2.68%, 02/15/23 (i) 3,307 ------------------------------------------------------------------- 187,791 ------------------------------------------------------------------- UTAH -- 0.5% 3,800 Intermountain Power Agency, Utah Power Supply, Ser. B, Rev., MBIA, 6.50%, 07/01/10 4,662 10 Salt Lake City, Utah, GO, 5.50%, 06/15/11 12 2,840 Salt Lake City, Utah, GO, (p), 5.50%, 06/15/10 3,341 ------------------------------------------------------------------- 8,015 ------------------------------------------------------------------- VERMONT -- 0.5% $ 4,100 Burlington, Vermont, Electric, Ser. A, Rev., MBIA, 6.38%, 07/01/09 $ 4,921 3,510 Vermont State, Ser. A, GO, (p), 6.50%, 01/15/05 3,746 ------------------------------------------------------------------- 8,667 ------------------------------------------------------------------- VIRGIN ISLANDS -- 0.7% 2,500 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 2,739 5,000 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.50%, 10/01/06 5,394 3,070 Virgin Islands Water & Power Authority, Electric Systems, Rev., 5.25%, 07/01/07 3,328 ------------------------------------------------------------------- 11,461 ------------------------------------------------------------------- VIRGINIA -- 1.5% 20,355 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Anticipation Note, Rev., 5.50%, 10/01/08 23,459 WASHINGTON -- 3.6% 34,000 Energy Northwest, Washington Electric, Ser. B, Rev., MBIA, 5.50%, 07/01/18 39,234 2,290 Kennewick, Washington, Ser. B, GO, MBIA, 5.00%, 12/01/18 2,492 2,280 Kennewick, Washington, Ser. B, GO, MBIA, 5.00%, 12/01/22 2,431 4,010 King County School District No 408, Auburn, GO, FSA, 5.00%, 12/01/13 4,587 115 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., 7.25%, 07/01/06 130 1,885 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., (p), 7.25%, 07/01/06 2,140
SEE NOTES TO FINANCIAL STATEMENTS. 24
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 4,500 Washington State, Ser. B & AT-7, GO, 6.40%, 06/01/17 $ 5,644 ------------------------------------------------------------------- 56,658 ------------------------------------------------------------------- WISCONSIN -- 2.1% 2,350 Milwaukee County, Corporate Purpose, Ser. A, GO, 5.63%, 09/01/10 2,709 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-C, Rev., 5.70%, 05/01/14 (i) 6,951 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-D, Rev., 5.95%, 05/01/19 (i) 6,800 1,000 Wisconsin State, GO, 6.25%, 05/01/12 1,222 2,775 Wisconsin State, Ser. 1, GO, 5.00%, 11/01/07 3,086 6,275 Wisconsin State, Ser. 1, GO, 5.50%, 11/01/11 7,376 4,450 Wisconsin State, Ser. 3, GO, 5.20%, 11/01/09 5,090 ------------------------------------------------------------------- 33,234 ------------------------------------------------------------------- Total State and Municipal Obligations (Cost $1,409,082) 1,527,402 ------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 1.8% MUNICIPAL SECURITIES -- .40% CALIFORNIA -- 0.0% ^ 200 Irvine Ranch Water District, Capital Improvement Project, COP, FRDO, 0.97%, 03/01/04 200 100 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 0.97%, 03/01/04 100 ------------------------------------------------------------------- 300 ------------------------------------------------------------------- MULTIPLE STATES -- 0.2% 3,798 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-34, FRDO, #, 1.03%, 12/01/29 3,798 NEW JERSEY -- 0.1% $ 955 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., (p), MBIA, 5.80%, 07/01/04 $ 989 NEW YORK -- 0.1% 700 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. B, Rev., (p), FGIC, 6.00%, 04/01/04 717 100 Port Authority of New York & New Jersey, Special Obligation, Versatile Structure Obligation, Ser. 6, Rev., FRDO, 1.02%, 03/01/04 100 ------------------------------------------------------------------- 817 ------------------------------------------------------------------- Total Municipal Securities (Cost $5,848) 5,904 ------------------------------------------------------------------- SHARES - -------------------------------------------------------------------------------- MONEY MARKET FUND -- 1.4% 22,446 JPMorgan Tax Free Money Market Fund (a) (Cost $22,446) 22,446 ------------------------------------------------------------------- Total Short-Term Investments (Cost $28,294) 28,350 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $1,437,376) $ 1,555,752 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 25 JPMORGAN NEW JERSEY TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 94.4% STATE AND MUNICIPAL OBLIGATIONS -- 94.4% ARIZONA -- 0.2% $ 100 Phoenix Civic Improvement Corp., Water Systems, Junior Lien, Rev., (p), 5.50%, 07/01/06 $ 110 CONNECTICUT -- 2.6% 1,225 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, FRDO, 9.57%, 03/04/04 1,658 180 East Hartford, Connecticut, GO, FGIC, 5.25%, 05/01/15 209 ------------------------------------------------------------------- 1,867 ------------------------------------------------------------------- HAWAII -- 0.2% 125 Maui County, Ser. A, GO, (p), FGIC, 5.50%, 03/01/10 147 KANSAS -- 0.4% 275 Kansas Development Finance Authority, Department of Corrections, El Dorado Unit Project, Ser. H, Rev., MBIA, 5.20%, 08/01/11 319 MICHIGAN -- 1.6% 985 Anchor Bay School District, GO, 5.25%, 05/01/15 + 1,150 NEW JERSEY -- 70.0% 140 Atlantic City, New Jersey, Ser. B, GO, MBIA, 4.00%, 08/01/10 152 450 Atlantic County, Public Facilities Lease Agreement, COP, FGIC, 6.00%, 03/01/13 548 310 Audubon School District, GO, MBIA, 4.00%, 10/01/07 334 305 Audubon School District, GO, MBIA, 4.00%, 10/01/08 330 410 Bayonne, New Jersey, Ser. B, GO, FSA, 5.00%, 01/15/16 465 400 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/18 463 480 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/19 554 $ 505 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/20 $ 596 530 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/21 624 535 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/22 627 100 Cape May County Municipal Utilities Authority, Sewer, Ser. A, Rev., FSA, 6.00%, 01/01/09 117 200 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. A, Rev., FSA, 5.25%, 01/01/12 232 1,700 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,942 1,385 Ewing Township School District, School Bond Resource Fund, GO, (p), FGIC, 5.30%, 08/01/08 1,582 850 Freehold Regional High School District, GO, FGIC, 5.00%, 03/01/16 965 130 Freehold Township Board of Education, GO, MBIA, 5.00%, 02/15/11 148 100 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.35%, 08/01/09 115 145 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.55%, 08/01/12 166 200 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.70%, 08/01/15 234 500 Gloucester Township Board of Education, GO, MBIA, 4.50%, 08/01/10 557 1,720 Hillsborough Township School District, GO, FSA, 5.38%, 10/01/14 2,026 135 Howell Township, GO, MBIA, 5.00%, 01/01/09 152 1,425 Hudson County, COP, MBIA, 7.00%, 12/01/12 1,828
SEE NOTES TO FINANCIAL STATEMENTS. 26 SEMI - ANNUAL REPORT FEBRUARY 29 2004
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,500 Hudson County, COP, MBIA, 6.25%, 12/01/14 $ 1,859 175 Irvington Township, Ser. B, GO, FSA, 5.00%, 08/01/08 196 200 Jersey City Municipal Utilities Authority, Rev., FSA, 5.25%, 12/01/12 233 210 Jersey City, New Jersey, School Improvement, School Board Fund, Ser. A, GO, 6.25%, 10/01/09 252 475 Jersey City, New Jersey, School Improvement, School Board Fund, Ser. B, GO, AMBAC, 5.25%, 03/01/14 551 170 Long Hill Township, GO, 5.15%, 08/15/07 189 380 Lopatcong Township Board of Education, GO, (p), FSA, 5.63%, 07/15/10 451 400 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 476 450 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 536 55 Lower Township, General Improvement, GO, FSA, 4.25%, 07/15/11 60 100 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%, 11/15/07 118 60 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/08 69 110 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/09 127 115 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/10 132 225 Merchantville Board of Education, GO, FSA, 5.00%, 01/15/07 + 246 225 Merchantville Board of Education, GO, FSA, 5.00%, 01/15/08 + 250 225 Merchantville Board of Education, GO, FSA, 5.00%, 01/15/09 + 253 $ 150 Middlesex County, General Improvement, GO, 5.30%, 01/15/09 $ 170 160 Middletown Township Board of Education, GO, (p), MBIA, 5.80%, 08/01/07 182 2,500 Middletown Township Board of Education, GO, (p), MBIA, 5.85%, 08/01/07 2,855 220 Midland Park Board of Education, GO, FSA, 4.13%, 08/15/06 235 100 Monroe Township Board of Education Middlesex County, GO, FGIC, 5.00%, 09/15/10 115 100 Morris County, GO, 5.13%, 05/13/10 115 1,320 New Jersey , Transportation Trust Fund Authority, Ser. A, Rev. (p), 5.00%, 06/15/09 1,502 1,060 New Jersey Economic Development Authority, New Jersey Performing Arts Center Project, Ser. A, Rev., AMBAC, 6.00%, 06/15/08 1,233 100 New Jersey Economic Development Authority, Rev., FSA, 5.50%, 11/15/09 116 220 New Jersey Economic Development Authority, Transportation Project, Sublease, Ser. B, Rev., FSA, 5.75%, 05/01/09 257 100 New Jersey Health Care Facilities Financing Authority, St. Elizabeth Hospital Obligation Group, Rev., 6.00%, 07/01/14 103 720 New Jersey State Educational Facilities Authority, Capital Improvement Fund, Ser. A, Rev., 5.00%, 09/01/08 805 600 New Jersey State Educational Facilities Authority, Drew University, Ser. C, Rev., FGIC, 5.25%, 07/01/18 696 2,545 New Jersey State Educational Facilities Authority, Drew University, Ser. C, Rev., MBIA, 5.25%, 07/01/13 2,859 115 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 4.88%, 07/01/04 116
SEE NOTES TO FINANCIAL STATEMENTS. 27
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,000 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 $ 1,029 1,050 New Jersey State Educational Facilities Authority, Higher Education Equipment Leasing Fund, Ser. A, Rev., 5.00%, 09/01/08 1,175 1,000 New Jersey State Educational Facilities Authority, Princeton University, Ser. E, Rev., (p), 5.25%, 07/01/10 1,163 135 New Jersey State Educational Facilities Authority, Rowan College, Ser. E, Rev., (p), AMBAC, 5.75%, 07/01/06 150 1,275 New Jersey State Transit Corp., COP, FSA, 5.00%, 10/01/09 1,440 270 New Jersey State Transit Corp., Federal Transporation Administration Grants, COP, Ser. A, AMBAC, 5.63%, 09/15/09 313 1,000 New Jersey State Transit Corp., Federal Transportation Administration Grants, COP, Ser. A, (p), AMBAC, 6.13%, 09/15/09 1,194 200 New Jersey State Turnpike Authority, Rev., (p), 6.75%, 01/01/09 222 250 New Jersey State Turnpike Authority, Rev., (p) MBIA, 6.75%, 01/01/09 277 50 New Jersey State Turnpike Authority, Ser. C, Rev., 6.50%, 01/01/16 62 260 New Jersey State Turnpike Authority, Ser. C, Rev. (p), 6.50%, 01/01/16 323 335 New Jersey State Turnpike Authority, Ser. C, Rev., (p), MBIA-IBC, 6.50%, 01/01/16 420 105 New Jersey State Turnpike Authority, Ser. C, Rev., MBIA-IBC, 6.50%, 01/01/16 132 160 New Jersey State, GO, (p), 5.50%, 05/01/10 188 350 New Jersey State, Ser. D, GO, 8.00%, 02/15/07 413 100 New Jersey State, Ser. D, GO, 6.00%, 02/15/11 120 1,270 New Jersey State, Ser.H, GO, 5.25%, 07/01/10 1,468 $ 100 New Jersey Transportation Trust Fund Authority, Ser. C, Rev., 5.00%, 12/15/06 $ 109 400 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.63%, 06/15/14 472 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/16 1,195 100 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev. (p), 6.00%, 06/15/10 121 270 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., (p), 6.00%, 06/15/16 325 270 New Jersey Wastewater Treatment Trust, Ser. C, Rev., 6.88%, 06/15/07 315 1,000 New Jersey Wastewater Treatment Trust, Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,253 500 Ocean County Utilities Authority, New Jersey Wastewater, GO, 6.00%, 01/01/07 561 100 Roxbury Township Board Of Education, GO, FSA, 4.00%, 09/01/07 108 100 Somerset County, GO, 5.10%, 09/15/07 112 100 South Brunswick Township Board of Education, GO, (p), FGIC, 5.63%, 12/01/09 118 215 Stony Brook Regional Sewage Authority, Rev., 5.00%, 12/01/14 246 1,005 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 1,177 35 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 41 450 Warren Township Sewage Authority, Rev., 3.00%, 12/01/08 468 275 Winslow Township Board of Education, Winslow School District, GO, FGIC, 5.00%, 08/01/10 314 250 Winslow Township Board of Education, Winslow School District, GO, FGIC, 5.00%, 08/01/12 287
SEE NOTES TO FINANCIAL STATEMENTS. 28
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,000 Winslow Township Board of Education, Winslow School District, GO, FGIC, 5.00%, 08/01/13 $ 1,145 ------------------------------------------------------------------- 50,680 ------------------------------------------------------------------- NEW MEXICO -- 0.3% 185 New Mexico State Highway Commission, Senior Sub Lien, Ser. D, Rev., 5.00%, 06/15/12 211 NEW YORK -- 3.4% 530 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 643 1,500 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 1,784 ------------------------------------------------------------------- 2,427 ------------------------------------------------------------------- PUERTO RICO -- 15.7% 250 Puerto Rico Commonwealth, GO, (p), 5.40%, 07/01/06 277 250 Puerto Rico Commonwealth, GO, MBIA-IBC, 7.00%, 07/01/10 316 1,600 Puerto Rico Commonwealth, GO, 5.75%, 07/01/17 1,834 110 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/06 118 250 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/14 298 205 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, FGIC, 5.25%, 07/01/12 239 235 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA, 5.50%, 07/01/16 281 140 Puerto Rico Electric Power Authority, Rev., MBIA, 5.00%, 07/01/19 160 200 Puerto Rico Electric Power Authority, Ser. NN, Rev., MBIA, 5.25%, 07/01/21 234 230 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/15 275 $ 210 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/16 $ 251 3,000 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 3,294 380 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/13 452 1,200 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 1,434 250 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., 5.50%, 07/01/13 289 150 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., FSA, 5.50%, 07/01/15 179 430 Puerto Rico Highway & Transportation Authority, Ser. Z, Rev., MBIA, 6.25%, 07/01/14 541 120 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, 6.25%, 07/01/08 141 130 Puerto Rico Public Finance Corp., Commonwealth Appropriations, Ser. A, AMBAC, 5.38%, 06/01/17 154 500 University of Puerto Rico, Ser. O, Rev., MBIA, 5.75%, 06/01/17 587 ------------------------------------------------------------------- 11,354 ------------------------------------------------------------------- Total State and Municipal Obligations (Cost $63,704) 68,265 ------------------------------------------------------------------- SHARES - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 5.6% MONEY MARKET FUND -- 5.6% 4,031 JPMorgan Tax Free Money Market Fund (a) (Cost $4,031) $ 4,031 ------------------------------------------------------------------- Total Short term investments (Cost $4,031) 4,031 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $67,735) $ 72,296 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.0% STATE AND MUNICIPAL OBLIGATIONS -- 97.0% ARIZONA -- 0.6% $ 4,280 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 07/01/09 + $ 4,652 CALIFORNIA -- 0.4% 630 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/13 716 650 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/14 735 1,040 Lancaster Redevelopment Agency, Tax Allocation, Redevelopment Project Areas, MBIA, 5.00%, 08/01/11 1,197 ------------------------------------------------------------------- 2,648 ------------------------------------------------------------------- CONNECTICUT -- 1.9% 10,605 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, FRDO, 9.57%, 03/04/04 14,355 FLORIDA -- 0.2% 1,000 Sunrise Excise Tax & Special Assessment, Utilities Systems, Ser. A, Rev., AMBAC, 5.50%, 10/01/15 1,176 ILLINOIS -- 0.4% 2,882 Illinois Development Finance Authority, Riverside Health & Fitness Center Project, Ser. 1998-C, Rev., 5.20%, 08/01/28 3,131 KENTUCKY-- 0.1% 500 Kentucky State Turnpike Authority, Revitalization Projects, Rev., AMBAC, 6.50%, 07/01/07 578 MARYLAND -- 0.5% 3,400 Howard County, Consolidated Public Improvement Project, Ser. A, GO, 5.00%, 08/15/08 3,840 MASSACHUSETTS-- 0.2% $ 1,000 Massachusetts State, Ser. A, GO, 6.00%, 11/01/11 $ 1,207 MICHIGAN -- 0.3% 1,800 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Adj., Rev., 5.30%, 11/15/33 1,980 MISSOURI -- 1.3% 6,055 Kansas City School District Building Corp., Elementary Schools Project, Ser. B, Rev., FGIC, 5.00%, 02/01/13 6,886 2,250 St. Louis Municipal Finance Corp., Convention Center Project, Rev., AMBAC, 5.25%, 07/15/13 2,626 ------------------------------------------------------------------- 9,512 ------------------------------------------------------------------- MULTIPLE STATES -- 0.1% 865 Koch Finance Tax Exempt Lease Trust, 5.21%, 07/01/04 (i) 867 NEW JERSEY -- 1.0% 540 Camden County Improvement Authority, County Guaranteed Lease, Ser. A, Rev., FGIC, 5.25%, 09/01/13 624 750 Gloucester Township Board Of Education, GO, MBIA, 5.00%, 08/01/11 858 500 Gloucester Township Board Of Education, GO, MBIA, 5.00%, 08/01/13 572 1,985 Mercer County Improvement Authority, Regional Sludge Project, Rev., FGIC, 5.00%, 12/15/08 2,246 1,025 New Jersey State Educational Facilities Authority, Higher Education, Capital Improvement, Ser. B, Rev., 5.75%, 09/01/10 1,211 1,005 New Jersey State Educational Facilities Authority, Montclair State University, Ser. L, Rev., MBIA, 5.00%, 07/01/10 1,149 560 South Orange & Maplewood School District, GO, FSA, 5.00%, 09/01/15 639 ------------------------------------------------------------------- 7,299 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30 SEMI - ANNUAL REPORT FEBRUARY 29 2004
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- 80.4% $ 1,120 Allegany County IDA, Alfred University, Civic Facilities, Rev., MBIA, 5.25%, 08/01/11 + $ 1,275 1,175 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. A, Rev., AMBAC, 5.50%, 08/01/15 + 1,365 1,000 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.50%, 08/01/15 + 1,162 1,290 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.75%, 08/01/15 + 1,523 150 Arkport Central School District, GO, FSA, 5.20%, 06/15/09 + 173 500 Attica Central School District, GO, FSA, 5.00%, 06/15/15 + 575 6,895 Babylon IDA, Civic Facilities, Winthrop S. Nassau University East, Inc. Project, Ser. A, Rev., AMBAC, 6.63%, 08/01/19 @ + 8,339 3,000 Babylon, New York, Waste Facilities, GO, FGIC, 9.00%, 08/01/11 + 4,199 200 Battery Park City Authority, New York, Ser. A, Rev., (p), AMBAC, 5.50%, 11/01/06 226 1,040 Beacon City School District, GO, MBIA, 5.50%, 07/15/11 1,224 1,025 Beacon City School District, GO, MBIA, 5.50%, 07/15/14 1,206 650 Brentwood Union Free School District, GO, FSA, 5.63%, 06/15/13 750 200 Bridgewater Leonardsville West Winfield Central School District, GO, FGIC, 5.00%, 06/15/06 217 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/13 1,957 1,100 Brockport Central School District, GO, FGIC, 5.50%, 06/15/14 1,303 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/15 1,974 685 Brockport Central School District, GO, FGIC, 5.75%, 06/15/17 839 450 Bronxville Union Free School District, GO, 5.25%, 10/15/10 519 $ 1,000 Brookhaven, New York, Public Improvement, GO, AMBAC, 5.30%, 11/15/11 $ 1,156 3,964 Buffalo, New York, State University of New York, 5.50%, 01/01/07 (i) 4,059 590 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.40%, 07/15/16 679 305 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/17 352 375 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/18 433 250 Byram Hills Central School District, GO, 4.00%, 11/15/06 267 255 Byram Hills Central School District, GO, 4.00%, 11/15/07 276 275 Byram Hills Central School District, GO, 4.00%, 11/15/08 299 260 Byram Hills Central School District, GO, 4.00%, 11/15/09 283 1,000 Canandaigua City School District, Ser. A, GO, FSA, 5.38%, 04/01/15 1,149 100 Carthage Central School District, Ser. A, GO, FGIC, 4.40%, 06/15/15 112 250 Chenango Forks Central School District, GO, FGIC, 5.63%, 06/15/11 295 850 Chenango Forks Central School District, GO, FGIC, 5.70%, 06/15/12 1,007 370 City of Buffalo, Buffalo School, Ser. B, GO, MBIA, 5.38%, 11/15/14 426 1,500 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/13 1,734 1,730 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/14 1,991 120 East Rochester Union Free School District, GO, FSA, 5.70%, 06/15/14 142 2,250 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/07 2,465 2,300 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/08 2,548 2,200 Eastport-South Manor Central School District, GO, FGIC, 4.63%, 06/15/09 2,468
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,130 Erie County Water Authority, Improvement & Extension, Rev., 5.75%, 12/01/08 $ 1,248 285 Fayetteville-Manlius Central School District, GO, FGIC, 5.00%, 06/15/12 325 300 Gananda Central School District, GO, FSA, 4.70%, 06/15/11 340 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/16 1,204 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/17 1,203 1,000 Goshen Central School District, GO, FGIC, 5.00%, 06/15/19 1,136 690 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/08 774 1,480 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/09 1,679 1,545 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/10 1,760 1,000 Ilion Central School District, Ser. B, GO, FGIC, 5.00%, 06/15/14 1,129 70 Irvington Union Free School District, GO, FSA, 5.00%, 04/01/12 79 1,070 Lindenhurst Union Free School District, GO, (p), FGIC, 5.25%, 07/15/12 1,208 1,460 Lindenhurst Union Free School District, GO, (p), FGIC, 5.25%, 07/15/17 1,620 1,295 Lindenhurst Union Free School District, GO, FGIC, 5.25%, 07/15/16 1,441 300 Long Island Power Authority, Electric Systems, Rev., MBIA, 5.00%, 04/01/07 329 5,250 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/12 6,302 1,875 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/13 2,253 3,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/08 3,440 $ 8,770 Long Island Power Authority, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/11 $ 10,310 160 Longwood Central School District at Middle Island, GO, FSA, 4.80%, 06/15/13 181 525 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/14 603 815 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/15 931 1,090 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/09 1,263 2,180 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/12 2,575 2,485 Massapequa Union Free School District, Ser. A, GO, FSA, 5.40%, 06/15/13 2,939 3,135 Massapequa Union Free School District, Ser. A, GO, FSA, 5.70%, 06/15/16 3,762 115 Metropolitan Transportation Authority, Commuter Facilites, Ser. E, Rev., (p), AMBAC, 5.00%, 07/01/13 133 340 Metropolitan Transportation Authority, Commuter Facilities, Ser. A, Rev., (p), FGIC, 6.10%, 07/01/06 385 100 Metropolitan Transportation Authority, Commuter Facilities, Ser. A, Rev., (p), FSA, 5.00%, 07/01/11 116 500 Metropolitan Transportation Authority, Commuter Facilities, Ser. B, Rev., (p), MBIA, 6.10%, 07/01/09 598 100 Metropolitan Transportation Authority, Commuter Facilities, Service Contract, Ser. Q, Rev., (p), AMBAC, 5.13%, 07/01/13 116 1,000 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., 5.00%, 11/15/05 + 1,061 115 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), FGIC, 5.00%, 10/01/15 133 250 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), FGIC, 6.00%, 04/01/10 301
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 5,500 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), MBIA, 6.25%, 04/01/11 $ 6,774 1,000 Metropolitan Transportation Authority, Ser. E, Rev., MBIA, 5.50%, 11/15/12 1,183 11,920 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/16 14,202 2,370 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/18 2,833 4,750 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., FSA, 5.75%, 01/01/18 5,767 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. A, Rev., (p), 6.00%, 07/01/09 119 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. A, Rev., (p), 6.13%, 07/01/09 120 250 Metropolitan Transportation Authority, Transportation Facilities, Ser. B-1, Rev., (p), AMBAC, 5.00%, 01/01/12 287 180 Metropolitan Transportation Authority, Transportation Facilities, Ser. B-1, Rev., (p), AMBAC, 5.00%, 01/01/12 206 510 Metropolitan Transportation Authority, Transportation Facilities, Ser. C, Rev., (p), FSA, 5.25%, 07/01/10 583 675 Metropolitan Transportation Authority, Transportation Facilities, Ser. M, Rev., (p), FGIC, 5.40%, 07/01/07 760 100 Mexico Central School District, GO, MBIA, 4.20%, 06/15/07 109 1,000 Monroe County, Public Improvement, GO, 6.00%, 03/01/18 1,198 1,000 Monroe County, Public Improvement, GO, 6.00%, 03/01/19 1,196 65 Monroe County, Public Improvement, GO, AMBAC, 5.88%, 06/01/08 75 1,030 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/15 1,136 $ 100 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/16 $ 110 360 Monroe County, Public Improvement, GO, MBIA-IBC, 6.00%, 03/01/15 439 400 Monroe County, Public Improvement, Ser. A, GO, 4.70%, 06/01/08 433 1,065 Monroe County, Public Improvement, Ser. P, GO, (p), AMBAC, 5.88%, 06/01/08 1,238 735 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 4.50%, 05/15/10 816 1,615 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 5.00%, 05/15/13 1,846 1,005 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 5.00%, 05/15/14 1,147 1,020 Monticello Central School District, GO, FGIC, 5.63%, 06/15/06 1,120 160 Municipal Assistance Corporation for the City of New York, Ser. I, Rev., 6.25%, 07/01/07 184 2,750 Municipal Assistance Corporation for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 3,113 365 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/07 416 6,500 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/08 7,457 140 Municipal Assistance Corporation for the City of New York, Ser. M, Rev., 5.25%, 07/01/06 153 4,740 Nassau County IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.25%, 07/01/09 5,431 4,360 Nassau County, Comb Sewer Districts, Ser. F, GO, MBIA, 5.35%, 07/01/09 5,008 450 New Rochelle City School District, Ser. A, GO, FSA, 5.00%, 12/15/10 515
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,000 New York City IDA, Civic Facilities, New School for Social Research, Ser. A, Rev., MBIA, 5.75%, 09/01/15 $ 1,084 1,260 New York City IDA, Civic Facilities, New York Blood Center, Inc. Project, Rev., (p), 7.20%, 05/01/04 1,273 3,605 New York City IDA, Civic Facilities, Nightingale-Bamford School, Rev., AMBAC, 5.00%, 01/15/10 4,081 3,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. A, Rev., FGIC, 5.75%, 06/15/31 3,394 5,500 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 6,246 1,000 New York City Transit Authority, Metropolitan Transportation Authority, Triborough, COP, Ser. A, AMBAC, 5.63%, 01/01/12 1,151 2,280 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 05/01/07 2,513 1,555 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 08/01/08 1,744 105 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.00%, 08/15/07 118 140 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.13%, 08/15/07 158 4,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.38%, 02/15/10 4,691 1,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.75%, 08/15/24 1,192 5,130 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.75%, 08/15/18 6,115 $ 2,100 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 6.00%, 08/15/09 $ 2,530 1,635 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), FGIC, 6.00%, 08/15/09 1,970 475 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 5.50%, 02/01/13 550 695 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 6.13%, 11/15/14 836 3,380 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 5.50%, 02/01/11 4,015 3,305 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 6.13%, 05/15/10 4,039 3,500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., Adj., 5.25%, 02/01/29 3,972 2,500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FSA, 6.00%, 11/15/10 3,005 1,215 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., TRAN, 5.50%, 02/01/11 1,415 100 New York City Transitional Finance Authority, Ser. A, Rev., (p), FGIC, 5.00%, 08/15/07 113 2,000 New York City Trust for Cultural Resources, Educational Broadcasting Corp., Ser. 1999, Rev., 4.60%, 01/01/08 2,011 1,000 New York City, New York, Ser. E, GO, MBIA-IBC, 5.75%, 08/01/11 1,192 670 New York City, New York, Capital Appreciation, Ser. E, GO, (p), 6.35%, 05/15/08 795 290 New York City, New York, Ser. A, GO, (p), 6.00%, 05/15/10 352 295 New York City, New York, Ser. A, GO, (p), MBIA, 6.00%, 05/15/10 358
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 4,000 New York City, New York, Ser. B, GO, FGIC, 5.75%, 08/01/13 $ 4,697 470 New York City, New York, Ser. C, GO, (p), 5.25%, 03/15/12 547 160 New York City, New York, Ser. D, GO, FGIC, 5.75%, 08/01/09 187 200 New York City, New York, Ser. D, GO, MBIA, 6.20%, 02/01/07 225 50 New York City, New York, Ser. F, GO, 5.25%, 08/01/05 53 1,145 New York City, New York, Ser. F, GO, 5.75%, 02/01/12 1,241 160 New York City, New York, Ser. F, GO, (p), 5.75%, 02/01/06 176 3,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 3,068 1,475 New York Local Government Assistance Corp., Senior Lien, Ser. AA, Rev., 5.00%, 04/01/12 1,668 9,000 New York Local Government Assistance Corp., Ser. A, Rev., (p), 5.90%, 04/01/05 9,657 2,000 New York Local Government Assistance Corp., Ser. E, Rev., FSA, 6.00%, 04/01/14 2,419 1,860 New York Mortgage Agency, Home Owner Mortgage, Ser. 94, Rev., 5.35%, 04/01/23 1,988 635 New York Municipal Bond Bank Agency, Special Program, Ser. A, Rev., 6.88%, 03/15/06 638 190 New York State Dormitory Authority, State University Educational Facilities, Ser. B, GO, (p), FSA, 5.50%, 05/15/08 219 370 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.00%, 07/01/08 399 205 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.00%, 07/01/09 222 440 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.50%, 07/01/10 490 $ 565 New York State Dormitory Authority, Canisius College, Rev., 4.00%, 07/01/08 + $ 602 570 New York State Dormitory Authority, Canisius College, Rev., 4.50%, 07/01/10 + 624 645 New York State Dormitory Authority, Canisius College, Rev., 5.00%, 07/01/11 + 725 115 New York State Dormitory Authority, Canisius College, Rev., MBIA, 4.95%, 07/01/14 128 1,520 New York State Dormitory Authority, Child Care Facilities, Service Contract, Ser. A, Rev., 5.38%, 04/01/13 1,726 2,500 New York State Dormitory Authority, City University System, 3rd Generation Reserve, Rev., FSA, 5.38%, 07/01/13 2,834 100 New York State Dormitory Authority, City University System, CONS, Ser. 1, Rev., (p), FSA, 5.63%, 01/01/08 115 140 New York State Dormitory Authority, City University System, CONS, Ser. 1, Rev., MBIA, (p), 5.13%, 01/01/08 159 3,565 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 4,282 3,500 New York State Dormitory Authority, City University System, CONS, Ser. B, Rev., 6.00%, 07/01/14 4,138 320 New York State Dormitory Authority, City University, 3rd Ser., Rev., 6.00%, 07/01/06 352 445 New York State Dormitory Authority, City University, 3rd Ser., Rev., (p), 6.00%, 07/01/06 494 2,000 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/12 2,316 1,545 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/13 1,767
SEE NOTES TO FINANCIAL STATEMENTS. 35
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,880 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/14 $ 3,292 345 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/16 389 3,565 New York State Dormitory Authority, Concord Nursing Home, Inc., Rev., 6.25%, 07/01/16 3,967 110 New York State Dormitory Authority, Department of Health, Rev., (p), 5.75%, 07/01/06 124 470 New York State Dormitory Authority, FHA Insured Nursing Home, Ser. A, Rev., MBIA, 5.50%, 08/01/20 527 100 New York State Dormitory Authority, Good Samaritan Hospital, Rev., (p), 5.50%, 07/01/11 119 1,050 New York State Dormitory Authority, Lenox Hill Hospital Obligation Group, Rev., 5.00%, 07/01/05 1,101 190 New York State Dormitory Authority, Long Island University, Rev., 5.00%, 09/01/12 211 1,970 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/09 2,250 1,770 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/10 2,039 1,295 New York State Dormitory Authority, Master Boces Program, Ser. A, Rev., FSA, 5.00%, 08/15/11 1,476 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/09 1,153 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/23 1,171 445 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.75%, 07/01/19 542 $ 2,340 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., 6.00%, 08/15/16 $ 2,836 310 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., MBIA, 5.60%, 08/15/13 350 250 New York State Dormitory Authority, Mental Health, Ser. A, Rev., (p), MBIA, 5.75%, 02/15/10 296 400 New York State Dormitory Authority, Municipal Health Facilities Improvement Program, Ser. 1, Rev., FSA, 5.00%, 01/15/07 436 500 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/14 592 1,925 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/16 2,286 1,455 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/18 1,735 2,900 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 1,833 2,280 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 10,057 2,000 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/09 2,344 1,000 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/15 1,207
SEE NOTES TO FINANCIAL STATEMENTS. 36
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,500 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 $ 4,243 2,530 New York State Dormitory Authority, North Shore University Hospital, Rev., MBIA, 5.50%, 11/01/10 2,966 3,450 New York State Dormitory Authority, Pratt Institute, Rev., 6.25%, 07/01/14 4,066 1,150 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/09 1,319 3,855 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,454 1,960 New York State Dormitory Authority, School Districts Financing Program, Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,314 775 New York State Dormitory Authority, School Districts Financing Program, Ser. E, Rev., MBIA, 5.00%, 10/01/12 886 1,270 New York State Dormitory Authority, School Districts Financing Program, Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,663 4,850 New York State Dormitory Authority, Ser. B, Rev., FRDO, FGIC, 5.17%, 07/01/31 5,547 1,575 New York State Dormitory Authority, Ser. C, Rev., 7.38%, 05/15/10 1,891 425 New York State Dormitory Authority, Ser. C, Rev., (p), 7.38%, 05/15/09 532 1,345 New York State Dormitory Authority, Service Contract, Child Care Facility, Rev., 5.13%, 04/01/12 1,525 605 New York State Dormitory Authority, Special Act School Districts Program, Rev., MBIA, 5.30%, 07/01/11 693 1,865 New York State Dormitory Authority, State Service Contract, Albany County, Rev., 5.25%, 04/01/12 2,050 340 New York State Dormitory Authority, State Service Contract, Albany County, Rev., 5.50%, 04/01/08 383 $ 205 New York State Dormitory Authority, State University Dormitory Facilities, Rev., (p), 5.00%, 07/01/12 $ 237 500 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., 6.50%, 05/15/06 553 6,725 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,929 1,050 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., MBIA-IBC, 5.25%, 05/15/21 1,208 800 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., MBIA-IBC, 5.50%, 05/15/10 934 415 New York State Dormitory Authority, State University Educational Facilities, Ser. I, Rev., (p), 5.13%, 05/15/08 473 25,247 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 03/27/07 (i) 25,782 10,000 New York State Dormitory Authority, The City University of New York, CONS, Rev., AMBAC, 5.75%, 07/01/13 12,013 1,345 New York State Dormitory Authority, The City University of New York, Special Obligation, Ser. D, MBIA-IBC, 5.75%, 07/01/06 1,480 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 5,595 2,000 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, New York City Municipal Project, Rev., 5.38%, 06/15/15 2,280 2,205 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, Second Resolution, Rev., 5.00%, 06/15/13 2,524
SEE NOTES TO FINANCIAL STATEMENTS. 37
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,125 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, Second Resolution, Rev., 5.00%, 06/15/14 $ 3,537 460 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/11 551 700 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/12 841 2,950 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 3,554 1,590 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 1,916 4,130 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 4,994 1,000 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 1,209 425 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. B, Rev., 5.20%, 05/15/14 493 100 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. B, Rev., (p), 4.95%, 05/15/07 111 300 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/11 364 5,415 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,605 460 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., (p), 5.70%, 07/15/09 546 4,650 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., (p), 5.70%, 07/15/14 5,410 $ 1,800 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.50%, 06/15/13 $ 2,115 3,320 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. L, Rev., 5.00%, 11/15/11 3,811 185 New York State Housing Finance Agency, Multi-Family Mortgage Housing, Ser. A, Rev., 6.95%, 08/15/12 186 1,250 New York State Housing Finance Agency, State University Construction, Ser. A, Rev., (p), 8.00%, 05/01/11 1,587 440 New York State Medical Care Facilities Finance Agency, Hospital and Nursing Home, Insured Mortgage, Ser. C, Rev., (p), 5.75%, 02/15/08 505 865 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. B-1, Rev., (p), FGIC, 5.60%, 04/01/10 1,028 2,550 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 6.00%, 04/01/11 2,899 3,765 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), 6.00%, 04/01/07 4,343 170 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), AMBAC, 5.75%, 04/01/10 203 245 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), MBIA, 5.50%, 04/01/09 286 5,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), MBIA, 5.63%, 04/01/09 5,871 1,590 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., MBIA, 5.50%, 04/01/10 1,851 15,600 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 17,490
SEE NOTES TO FINANCIAL STATEMENTS. 38
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,500 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.50%, 01/01/17 $ 1,694 350 New York State Urban Development Corp., Correctional Capital Facilities, Ser. 7, Rev., (p), 5.70%, 01/01/07 397 3,045 New York State Urban Development Corp., Correctional Capital Facilities, Ser. A, Rev., FSA, 5.25%, 01/01/14 3,517 120 New York State Urban Development Corp., Correctional Capital Facilities, Ser. A, Rev., FSA, 5.50%, 01/01/08 135 260 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. B, Rev., (p), AMBAC, 4.75%, 01/01/09 293 170 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. B, Rev., (p), AMBAC, 5.25%, 01/01/09 195 100 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. D, Rev., (p), FSA, 5.25%, 01/01/11 116 145 New York State Urban Development Corp., Correctional Facilities, Ser. A, Rev., (p), 5.00%, 01/01/08 164 145 New York State Urban Development Corp., Correctional Facilities, Ser. A, Rev., (p), FSA, 5.00%, 01/01/08 164 110 New York State Urban Development Corp., Correctional Facilities, Ser. B, Rev., (p), 5.00%, 01/01/09 125 270 New York State Urban Development Corp., Correctional Facilities, Ser. B, Rev., (p), 5.00%, 01/01/09 307 145 New York State Urban Development Corp., Correctional Facilitities Service Contract, Ser. C, Rev., (p), AMBAC, 6.00%, 01/01/09 172 375 New York State Urban Development Corp., Facilities, Rev., 5.75%, 04/01/11 438 250 New York State Urban Development Corp., Personal Income Tax, Ser. C-1, Rev., 5.00%, 03/15/09 280 $ 1,000 New York State Urban Development Corp., State Facilities, Rev., 5.60%, 04/01/15 $ 1,169 45 New York State Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.88%, 04/01/14 53 115 New York State Urban Development Corp., Youth Facilities, Ser. A, Rev., (p), 5.00%, 04/01/08 130 1,000 New York State, GO, 2.75%, 07/01/04 1,005 3,000 New York State, GO, 6.00%, 03/01/07 3,383 100 New York State, Ser. C, GO, 5.00%, 04/15/09 112 1,940 Niagara Falls Bridge Commission, Tolls, Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,256 1,010 Oneida County, GO, FGIC, 5.50%, 03/15/11 1,186 1,000 Oneida-Herkimer Solid Waste Management Authority, Solid Waste Systems, Rev., FSA, 5.50%, 04/01/11 1,172 1,230 Onondaga County, GO, 5.25%, 05/15/13 1,431 1,280 Onondaga County, GO, 5.25%, 05/15/14 1,487 1,335 Onondaga County, GO, 5.25%, 05/15/15 1,553 785 Onondaga County, GO, 5.25%, 05/15/16 913 1,700 Onondaga County, Ser. A, GO, 5.00%, 05/01/12 1,930 445 Onondaga County, Ser. A, GO, 5.25%, 05/15/13 505 445 Onondaga County, Ser. A, GO, 5.25%, 05/15/14 505 515 Onondaga County, Ser. A, GO, 5.25%, 05/15/15 581 210 Onondaga County, Ser. A, GO, 5.25%, 05/15/16 236 100 Peru Central School District, GO, FGIC, 4.63%, 06/15/18 113 9,395 Port Authority of New York & New Jersey, 120th Ser., Rev., MBIA, 5.75%, 10/15/07 10,608 775 Red Creek Central School District, GO, FSA, 5.50%, 06/15/14 912 360 Rockland County, Various Purposes, Ser. A, GO, 4.50%, 10/01/09 398 195 Rondout Valley Central School District, GO, FSA, 5.13%, 03/01/17 226
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 865 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/18 $ 1,009 930 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/19 1,085 1,050 Scotia Glenville Central School District, GO, FGIC, 5.40%, 06/15/12 1,228 1,050 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/13 1,233 1,025 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/14 1,204 275 Shenendehowa Central School District, Clifton Park, GO, FSA, 5.50%, 07/15/11 327 500 Stillwater Central School District, GO, MBIA, 5.20%, 06/15/11 575 1,250 Suffolk County Water Authority, Waterworks, Sub Lien, Rev., MBIA, 6.00%, 06/01/09 1,476 1,550 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/13 1,775 1,215 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/14 1,395 3,275 Suffolk County, Southwest Sewer District, GO, MBIA, 6.00%, 02/01/08 3,767 500 The New York Power Authority, General Purpose, Rev., (p), 7.00%, 01/01/10 624 2,000 The New York Power Authority, Rev., 5.00%, 11/15/06 2,189 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. A, Rev., (p), 4.75%, 01/01/16 112 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. A, Rev., (p), 6.00%, 01/01/11 121 1,000 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., (p), 5.75%, 01/01/12 1,199 7,770 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.50%, 01/01/12 8,923 9,125 Triborough Bridge & Tunnel Authority, General Purpose, Ser. Y, Rev., (p), 6.00%, 01/01/12 10,912 $ 1,680 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/07 $ 1,834 1,000 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/08 1,102 1,980 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/09 2,199 675 Utica, New York, Public Improvement, GO, 6.00%, 01/15/12 759 295 Utica, New York, Public Improvement, GO, 6.10%, 01/15/13 327 565 Warwick Valley Central School District, GO, FSA, 5.50%, 01/15/14 649 600 Watertown City School District, GO, FSA, 5.63%, 06/15/16 708 1,365 Watertown City School District, GO, FSA, 5.63%, 06/15/17 1,611 1,245 Watertown City School District, GO, FSA, 5.63%, 06/15/18 1,470 2,870 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.20%, 11/01/16 3,197 8,115 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.25%, 11/01/12 9,231 1,700 Westchester County IDA, Civic Facilities, Children's Village Project, Ser. A, Rev., 5.30%, 03/15/14 1,862 1,150 Westchester County, GO, (p), 6.70%, 11/01/06 1,310 1,705 William Floyd Union Free School District of the Mastics-Moriches-Shirley, Ser. B, GO, MBIA, 4.63%, 06/15/08 1,888 1,000 Windsor Central School District, GO, FGIC, 5.50%, 06/15/13 1,174 1,170 Windsor Central School District, GO, FGIC, 5.50%, 06/15/14 1,374 650 Windsor Central School District, GO, FGIC, 5.50%, 06/15/15 763 ------------------------------------------------------------------- 605,599 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- PENNSYLVANIA -- 0.1% $ 850 Upper Merion Area School District, Ser. 2004, GO, FSA, 5.35%, 09/01/13 $ 998 PUERTO RICO -- 8.8% 100 Puerto Rico Commonwealth, GO, MBIA, 5.50%, 07/01/06 110 175 Puerto Rico Commonwealth, Public Improvement, GO, MBIA, 5.75%, 07/01/07 199 4,000 Puerto Rico Commonwealth, Public Improvement, GO, MBIA, 5.75%, 07/01/20 4,743 210 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, 5.50%, 07/01/18 241 1,000 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA, 5.50%, 07/01/14 1,194 2,460 Puerto Rico Commonwealth, GO, FSA, 6.00%, 07/01/13 3,013 3,500 Puerto Rico Commonwealth, Public Improvement, GO, 6.00%, 07/01/29 3,761 1,120 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/12 1,329 4,465 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 4,922 1,300 Puerto Rico Electric Power Authority, Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,528 1,495 Puerto Rico Electric Power Authority, Ser. JJ, Rev., 5.38%, 07/01/16 1,762 210 Puerto Rico Electric Power Authority, Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 246 1,475 Puerto Rico Electric Power Authority, Ser. KK, Rev., FSA, 5.25%, 07/01/13 1,724 1,825 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/06 1,963 7,165 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/07 7,870 885 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.50%, 07/01/16 1,059 600 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, Transportaion Revenue, Series E, 5.50%, 07/01/13 713 8,430 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 9,260 $ 1,500 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 $ 1,792 1,000 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., MBIA-IBC, 5.50%, 07/01/13 1,189 1,050 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., MBIA-IBC, 5.50%, 07/01/15 1,254 1,105 Puerto Rico Highway & Transportation Authority, Ser. Z, Rev., 6.25%, 07/01/16 1,398 1,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 1,790 4,725 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.00%, 07/01/07 5,190 4,500 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.25%, 07/01/08 5,046 1,470 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.50%, 07/01/12 1,701 1,345 Puerto Rico Public Buildings Authority, Rev., MBIA-IBC, 5.50%, 07/01/15 1,607 ------------------------------------------------------------------- 66,604 ------------------------------------------------------------------- VIRGIN ISLANDS -- 0.6% 4,000 Virgin Islands Public Finance Authority, Gross Receipts, Tax Loan Notes, Ser. A, Rev., 6.38%, 10/01/19 4,580 VIRGINIA -- 0.1% 740 Virginia Resources Authority, Infrastructure, Pooled Loan Bond Project, Ser. B, Rev., 5.00%, 11/01/12 851 ------------------------------------------------------------------- Total State and Municipal Obligations 729,877 (Cost $673,145) -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS (CONTINUED) AS OF FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 3.0% MONEY MARKET FUND -- 3.0% 22,695 JPMorgan Tax Free Money Market Fund (a) $ 22,695 (Cost $22,695) ------------------------------------------------------------------- Total Short-Term Investments 22,695 (Cost $22,695) ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 752,572 (COST $695,840) -------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 2/29/04 (USD) (DEPRECIATION) (USD) SHORT FUTURES OUTSTANDING (150) 5 Year Treasury Notes June, 2004 $ (1,686,094) $ (66)
SEE NOTES TO FINANCIAL STATEMENTS. 42 JPMORGAN TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF FEBRUARY 29, 2004 (Unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.5% STATE AND MUNICIPAL OBLIGATIONS -- 96.5% ALABAMA -- 0.6% $ 2,195 Jefferson County, Sewer, Ser. D, Rev., (p), 5.75%, 02/01/07 $ 2,477 1,805 Jefferson County, Sewer, Ser. D, Rev., (p), 5.75%, 02/01/07 2,037 ------------------------------------------------------------------- 4,514 ------------------------------------------------------------------- ARIZONA -- 0.8% 5,000 Arizona State Transportation Board, Ser. A, Rev., GAN, 5.00%, 07/01/13 + 5,710 CALIFORNIA -- 10.0% 6,000 California Infrastructure & Economic Development Bank, State Revolving Fund, Clean Water, Rev., 5.00%, 10/01/15 6,701 5,750 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.13%, 05/01/18 6,345 2,000 California State, GO, MBIA-IBC, 6.50%, 11/01/09 2,421 5,605 California State, Various Purposes, GO, 5.13%, 11/01/11 6,253 9,000 California State, Various Purposes, GO, 5.25%, 11/01/20 9,455 1,000 California State, Veterans Bonds, Ser. AM, GO, 9.00%, 10/01/05 1,111 1,000 Fullerton University Foundation, Auxiliary Organization, Ser. A, Rev., MBIA, 5.75%, 07/01/30 1,121 4,000 Los Angeles Harbor Department, Rev., (p), 7.60%, 10/01/18 5,255 3,000 Modesto Irrigation District Financing Authority, Ser. A, Rev., MBIA, 6.00%, 10/01/15 3,381 1,665 Orange County Development Agency, Tax Allocation, Santa Anna Heights Project Area, AMBAC, 5.25%, 09/01/15 1,897 1,965 Orange County Development Agency, Tax Allocation, Santa Anna Heights Project Area, AMBAC, 5.25%, 09/01/16 2,233 $ 2,120 Orange County Development Agency, Tax Allocation, Santa Anna Heights Project Area, AMBAC, 5.25%, 09/01/17 $ 2,398 2,510 Riverside, California, Electric, Rev., FSA, 5.25%, 10/01/15 2,843 4,135 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/19 2,055 2,985 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/20 1,393 5,010 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/22 2,051 5,500 Southern California Public Power Authority, San Juan Power, Power Project, Ser. B, Adj., Rev., FSA, 5.25%, 01/01/20 6,264 6,275 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 01/01/14 7,383 ------------------------------------------------------------------- 70,560 ------------------------------------------------------------------- COLORADO -- 1.4% 1,145 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/11 1,314 2,000 Denver City & County, Airport, Ser. A, Rev., AMBAC, 6.00%, 11/15/17 2,264 4,400 Platte River Power Authority, Ser. DD, Rev., MBIA, 6.00%, 06/01/06 4,854 1,445 Platte River Power Authority, Ser. DD, Rev., MBIA, 6.00%, 06/01/07 1,640 ------------------------------------------------------------------- 10,072 ------------------------------------------------------------------- CONNECTICUT -- 2.1% 7,000 Connecticut State Development Authority, PCR, Ser. A, Adj., Rev., AMBAC, 3.35%, 05/01/31 7,152 1,425 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/14 1,645 5,055 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/15 5,824 ------------------------------------------------------------------- 14,621 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED DELAWARE -- 0.9% $ 5,000 Delaware State Economic Development Authority, Osteopathic Hospital Association of Delaware, Ser. A, Rev., (p), 6.90%, 01/01/18 $ 6,472 FLORIDA -- 5.0% 2,080 Dade County, Special Obligation, Special Tax, Miami Beach Convention Center Project, (p), FGIC, 8.63%, 12/01/07 2,404 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 3,423 9,720 Florida State Division of Facilities Management, General Services, Ser. A, Rev., FSA, 5.25%, 09/01/16 11,289 3,205 Hillsborough County Aviation Authority, Tampa International Airport, Ser. B, Rev., FGIC, 6.00%, 10/01/18 3,928 3,800 Lakeland, Florida, Electric & Water, First Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 4,684 3,830 Orange County Health Facilities Authority, Ser. A, Rev., (p), MBIA, 6.25%, 10/01/12 4,785 1,295 Orange County Health Facilities Authority, Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,586 1,630 Orange County Health Facilities Authority, Ser. C, Rev., (p), MBIA, 6.25%, 10/01/12 2,036 680 Orange County Health Facilities Authority, Ser. C, Rev., MBIA, 6.25%, 10/01/12 833 495 Orange County, Tourist Development, Ser. A, Rev., (p), AMBAC, 6.50%, 10/01/10 502 ------------------------------------------------------------------- 35,470 ------------------------------------------------------------------- GEORGIA -- 5.5% 10,000 Dalton Development Authority, Rev., MBIA, 5.50%, 08/15/26 11,609 7,630 De Kalb County Housing Authority, Apartment Development, Fox Hollow Apartments, Rev., (p), 7.00%, 05/15/07 8,755 1,000 De Kalb County, Water & Sewer Systems, Rev., 5.25%, 10/01/11 1,155 $ 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 13,323 3,110 Savannah Economic Development Authority, College of Art & Design, Inc. Project, Rev., 6.60%, 10/01/15 3,501 ------------------------------------------------------------------- 38,358 ------------------------------------------------------------------- HAWAII -- 0.9% 5,000 Honolulu City & County, Ser. A, GO, 7.35%, 07/01/08 6,063 ILLINOIS -- 3.9% 3,990 Cook County Community High School District No. 219, Niles Township, GO, FGIC, 8.00%, 12/01/15 5,635 5,400 Cook County, Ser. B, GO, MBIA, 5.00%, 11/15/11 6,171 2,480 Illinois Housing Development Authority, Multi-Family Housing, Ser. 1991-A, Rev., 8.25%, 07/01/16 2,504 2,425 Regional Transportation Authority, Rev., MBIA, 6.25%, 07/01/15 3,018 9,000 State of Illinois, First Ser., GO, MBIA, 5.13%, 10/01/11 10,375 ------------------------------------------------------------------- 27,703 ------------------------------------------------------------------- IOWA -- 0.8% 5,000 Muscatine, Iowa, Electric, Ser. A, Rev., AMBAC, 5.50%, 01/01/11 5,831 KENTUCKY -- 1.2% 8,000 Louisville & Jefferson Counties Metropolitan Sewer District, Sewer & Drain System, Ser. A, Rev., (p), AMBAC, 6.50%, 11/15/04 8,471
SEE NOTES TO FINANCIAL STATEMENTS. 44
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED LOUISIANA -- 1.4% $ 1,500 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/15 $ 1,722 2,000 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/18 2,243 1,040 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/19 1,158 2,000 Orleans Parish School Board, Defeased, Rev., (p), MBIA, 8.85%, 02/01/06 2,285 2,000 Orleans Parish School Board, Defeased, Rev., (p), MBIA, 8.90%, 02/01/07 2,413 ------------------------------------------------------------------- 9,821 ------------------------------------------------------------------- MASSACHUSETTS -- 2.8% 8,450 Massachusetts State Port Authority, Ser. B, Rev., FSA, 5.50%, 07/01/13 9,333 8,140 Massachusetts State, CONS, Ser. C, GO, 5.25%, 12/01/07 9,124 1,000 New England Education Loan Marketing Corp., Student Loan, Sub-Issue H, Rev., 6.90%, 11/01/09 1,158 ------------------------------------------------------------------- 19,615 ------------------------------------------------------------------- MICHIGAN -- 0.8% 5,000 Michigan Strategic Fund, Detroit Edison Co., Ser. CC, Rev., Adj., AMBAC, 4.85%, 09/01/30 5,661 MISSOURI -- 0.2% 1,105 Sikeston, Missouri, Electric, Rev., MBIA, 6.00%, 06/01/16 1,367 NEVADA -- 0.0% ^ 10 Nevada Housing Division, Single Family Housing, Ser. A-3, Rev., 8.20%, 10/01/19 10 NEW HAMPSHIRE -- 0.5% 3,240 Manchester Housing & Redevelopment Authority, Ser. A, Rev., 6.75%, 01/01/15 3,684 NEW JERSEY -- 7.3% $ 4,200 Freehold Regional High School District, GO, (p), FGIC, 5.60%, 03/01/10 $ 4,933 5,215 New Jersey Economic Development Authority, Educational Testing Service, Ser. B, Rev., (p), MBIA, 6.25%, 05/15/05 5,645 1,500 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 1,544 5,000 New Jersey State Highway Authority, Garden State Parkway, Rev., (p), 6.20%, 01/01/10 5,880 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 1,194 1,875 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., (p), MBIA, 6.50%, 06/15/10 2,315 3,125 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 6.50%, 06/15/10 3,809 22,955 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. C, Rev., 5.50%, 06/15/20 25,839 ------------------------------------------------------------------- 51,159 ------------------------------------------------------------------- NEW MEXICO -- 0.8% 5,000 Bernalillo County, Gross Receipts, Ser. B, Rev., 5.70%, 04/01/27 5,889 NEW YORK -- 29.4% 2,850 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., 5.75%, 06/15/30 3,220 13,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/01/26 15,141 8,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., 5.50%, 11/01/24 8,878 9,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., (p), 5.50%, 05/01/10 10,666
SEE NOTES TO FINANCIAL STATEMENTS. 45
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,000 New York City, New York, Ser. A, GO, 5.38%, 08/01/15 $ 2,156 11,000 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/08 12,361 2,450 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/09 2,718 2,525 New York City, New York, Ser. B, GO, 5.50%, 08/01/12 2,903 3,775 New York City, New York, Ser. B, GO, MBIA, 6.50%, 08/15/10 4,602 18,140 New York City, New York, Ser. F, GO, 6.00%, 01/15/18 20,802 2,900 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 2,966 5,000 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 6,006 2,000 New York State Dormitory Authority, Pratt Institute, Rev., 6.00%, 07/01/28 2,261 6,000 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp., Ser. A, Rev., FGIC, 7.20%, 07/01/29 6,236 95 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. D-02, Rev., 6.85%, 11/15/11 101 9,345 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.38%, 06/15/19 10,505 7,270 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/15/17 8,261 7,135 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/05/18 8,020 165 New York State Housing Finance Agency, Health Facilities, Monroe County, Ser. A, Rev., 7.63%, 05/01/05 167 $ 2,060 New York State Medical Care Facilities Finance Agency, Hospital and Nursing Home, Insured Mortgage, Ser. C, Rev., 6.25%, 08/15/12 $ 2,109 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 2,024 5,000 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.50%, 01/01/17 5,648 22,500 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 25,225 405 New York State Urban Development Corp., Correctional Capital Facilities, Ser. 7, Rev., (p), MBIA-IBC, 5.70%, 01/01/07 460 26,000 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 30,923 7,960 Triborough Bridge & Tunnel Authority, Convention Center Project, Ser. E, Rev., 7.25%, 01/01/10 9,327 2,000 Utica IDA, Civic Facilities, Munson- Williams-Proctor Institute Project, Ser. A, Rev., 5.38%, 07/15/19 2,201 ------------------------------------------------------------------- 205,887 ------------------------------------------------------------------- NORTH DAKOTA -- 0.9% 5,000 Mercer County, PCR, Antelope Valley Station, Rev., AMBAC, 7.20%, 06/30/13 6,340 OHIO -- 1.7% 11,000 Cleveland, Ohio, Public Power System, First Mortgage, Ser. A, Rev., (p), MBIA, 7.00%, 1/15/04 @ 11,685 OKLAHOMA -- 0.9% 1,005 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-2, Rev., 6.80%, 09/01/26 1,014 5,000 Tulsa Metropolitan Utility Authority, Rev., MBIA, 5.75%, 09/01/19 5,421 ------------------------------------------------------------------- 6,435 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OREGON -- 1.6% $ 5,780 Oregon State, Higher Education Building, Ser. A, GO, (p), 6.45%, 08/01/04 $ 5,969 5,000 Washington County Unified Sewer Agency, Senior Lien, Ser. A, Rev., FGIC, 5.75%, 10/01/10 5,950 ------------------------------------------------------------------- 11,919 ------------------------------------------------------------------- PENNSYLVANIA -- 1.1% 6,500 Pennsylvania IDA, Economic Development, Rev., AMBAC, 5.50%, 07/01/18 7,401 PUERTO RICO -- 7.9% 4,000 Puerto Rico Commonwealth, GO, FGIC, 5.25%, 07/01/09 4,609 5,655 Puerto Rico Commonwealth, GO, MBIA, 6.00%, 07/01/16 7,047 12,400 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 13,670 10,000 Puerto Rico Electric Power Authority, Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,948 5,000 Puerto Rico Electric Power Authority, Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,855 5,000 Puerto Rico Highway & Transportation Authority, Ser. B, Rev., (p), 6.00%, 07/01/10 6,094 2,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 2,983 3,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, 6.25%, 07/01/11 3,700 5 Puerto Rico Urban Renewal & Housing Corp., Rev., 7.88%, 10/01/04 5 ------------------------------------------------------------------- 55,911 ------------------------------------------------------------------- SOUTH CAROLINA -- 0.8% 5,000 South Carolina State Public Service Authority, Ser. A, Rev., AMBAC, 6.25%, 01/01/22 5,518 SOUTH DAKOTA -- 0.5% 2,750 Heartland Consumers Power District, Rev., (p), 7.00%, 01/01/16 3,387 TENNESSEE -- 0.5% $ 3,000 Metropolitan Government of Nashville & Davidson County, Water & Sewer, Rev., FGIC, 5.20%, 01/01/13 $ 3,454 TEXAS -- 1.4% 2,115 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/08 2,177 2,945 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/09 3,031 2,000 Dallas-Fort Worth Regional Airport, Ser. A, Rev., FGIC, 7.38%, 11/01/11 2,059 2,000 Houston, Texas, Water Conveyance System, COP, Ser. F, AMBAC, 7.20%, 12/15/06 2,306 ------------------------------------------------------------------- 9,573 ------------------------------------------------------------------- VIRGINIA -- 0.9% 5,500 Virginia State Public School Authority, 1997 Resolution, Ser. A, Rev., 5.00%, 08/01/18 6,006 WASHINGTON -- 2.0% 5,000 Energy Northwest, Washington Electric, Project Number 1, Ser. A, Rev., MBIA, 5.50%, 07/01/16 5,672 7,000 Energy Northwest, Washington Electric, Ser. B, Rev., MBIA, 5.50%, 07/01/18 8,078 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%, 07/01/09 275 ------------------------------------------------------------------- 14,042 ------------------------------------------------------------------- Total State and Municipal Obligations 678,609 (Cost $619,737) SHARES - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 3.5% MONEY MARKET FUND -- 3.5% 24,784 JPMorgan Tax Free Money Market Fund (a) 24,784 (Cost $24,784) ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 703,393 (COST $644,521) -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47 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 $ (474)
SEE NOTES TO FINANCIAL STATEMENTS. 48 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%. + -- 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 amended 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 February 29, 2004. AMBAC -- American Municipal Bond Assurance Corp. CONS -- Consolidated Bonds. COP -- Certificates of Participation. FGIC -- Financial Guaranty Insurance Co. FHA -- Federal Housing Authority. 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 February 29, 2004. FRN -- Floating Rate Note. The rate shown is the rate in effect as of February 29, 2004. FSA -- Financial Securities Assurance. 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. SUB -- Step-up Bond. The rate shown is the rate in effect as of February 29, 2004. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 49 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF FEBRUARY 29, 2004 (Unaudited) (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 $ 138,985 $ 1,555,752 $ 72,296 $ 752,572 $ 703,393 Cash 10 330 -- 45 1 Receivables: Investment securities sold -- 516 -- 447 10 Fund shares sold 135 930 82 255 6 Interest and dividends 1,778 17,954 704 7,895 8,384 Expense reimbursements -- -- 1 -- -- - ------------------------------------------------------------------------------------------------------------------------ Total Assets 140,908 1,575,482 73,083 761,214 711,794 - ------------------------------------------------------------------------------------------------------------------------ LIABILITIES Payables: Dividends 245 3,463 162 1,249 2,112 Investment securities purchased 2,174 9,598 747 8,534 -- Fund shares redeemed 15 402 3 506 1,253 Variation margin 21 -- -- 47 -- Unrealized depreciation on open swap contracts -- -- -- -- 474 Accrued liabilities: Investment advisory fees 33 372 17 179 169 Administration fees 4 99 9 88 84 Shareholder servicing fees 5 251 5 88 134 Distribution fees --^ --^ 1 16 3 Custodian fees 19 70 20 46 35 Trustees' fees - deferred compensation plan 4 88 10 49 114 Other 59 128 46 146 117 - ------------------------------------------------------------------------------------------------------------------------ Total Liabilities 2,579 14,471 1,020 10,948 4,495 - ------------------------------------------------------------------------------------------------------------------------ NET ASSETS $ 138,329 $ 1,561,011 $ 72,063 $ 750,266 $ 707,299 - ------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 50 SEMI - ANNUAL REPORT FEBRUARY 29 2004
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 127,713 1,434,128 66,953 690,493 645,136 Accumulated undistributed (overdistributed) net investment income (126) 61 (4) (180) 16 Accumulated net realized gain (loss) on investments, futures and swaps 629 8,446 553 3,287 3,749 Net unrealized appreciation (depreciation) of investments, futures and swaps 10,113 118,376 4,561 56,666 58,398 - ------------------------------------------------------------------------------------------------------------------------ Total Net Assets $ 138,329 $ 1,561,011 $ 72,063 $ 750,266 $ 707,299 - ------------------------------------------------------------------------------------------------------------------------ Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 1,951 1 116 13,590 7,349 Class B -- 1 86 3,311 826 Class C -- 4 -- 336 -- Institutional 7,594 37,782 -- 27,438 -- Select 3,210 101,303 6,850 54,751 97,831 Net Asset Value: Class A (and redemption price) $ 10.94 $ 11.23 $ 10.22 $ 7.53 $ 6.68 Class B* $ -- $ 11.23 $ 10.17 $ 7.55 $ 6.69 Class C* $ -- $ 11.22 $ -- $ 7.54 $ -- Institutional (and redemption price) $ 10.78 $ 11.22 $ -- $ 7.55 $ -- Select (and redemption price) $ 10.94 $ 11.22 $ 10.22 $ 7.55 $ 6.67 Class A Maximum Public Offering Price Per Share (net asset value per share/95.50%) $ 11.46 $ 11.76 $ 10.70 $ 7.88 $ 6.99 - ------------------------------------------------------------------------------------------------------------------------ Cost of investments $ 128,839 $ 1,437,376 $ 67,735 $ 695,840 $ 644,521 - ------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contigent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 51 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004 (Unaudited) (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 $ 2,919 $ 34,557 $ 1,427 $ 15,281 $ 16,507 Dividend income from affiliated investments* 34 152 12 95 145 - ------------------------------------------------------------------------------------------------------------------------ Total investment income 2,953 34,709 1,439 15,376 16,652 - ------------------------------------------------------------------------------------------------------------------------ EXPENSES Investment advisory fees 216 2,407 110 1,123 1,076 Administration fees 108 1,204 55 562 538 Shareholder servicing fees 114 1,660 92 773 897 Distribution fees 27 --^ 5 218 83 Custodian and accounting fees 30 104 31 69 54 Printing and postage fees 3 16 1 14 7 Professional fees 29 51 27 39 32 Registration expenses 13 36 7 34 18 Transfer agent fees 31 45 18 100 57 Trustees' fees 1 12 1 6 5 Other 7 33 5 24 21 - ------------------------------------------------------------------------------------------------------------------------ Total expenses 579 5,568 352 2,962 2,788 - ------------------------------------------------------------------------------------------------------------------------ Less amounts waived 183 641 61 380 107 Less earnings credits --^ --^ --^ --^ --^ Less expense reimbursements -- -- 10 -- -- - ------------------------------------------------------------------------------------------------------------------------ Net expenses 396 4,927 281 2,582 2,681 - ------------------------------------------------------------------------------------------------------------------------ Net investment income 2,557 29,782 1,158 12,794 13,971 - ------------------------------------------------------------------------------------------------------------------------
^ 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 2,081 12,915 847 6,158 7,256 Futures 567 5,339 2 422 2,513 Change in net unrealized appreciation/depreciation of: Investments 2,967 37,199 2,417 23,205 21,972 Futures (138) (1,411) -- (373) (636) Swaps -- -- -- -- (729) Net realized and unrealized gain (loss) on investments, futures and swaps 5,477 54,042 3,266 29,412 30,376 - ------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets from operations $ 8,034 $ 83,824 $ 4,424 $ 42,206 $ 44,347 - ------------------------------------------------------------------------------------------------------------------------ * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 6 $ 25 $ 2 $ 17 $ 26 - ------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 53 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Unaudited) (Amounts in thousands)
INTERMEDIATE CALIFORNIA BOND FUND TAX FREE INCOME FUND --------------------------------- --------------------------------- 9/1/03 THROUGH YEAR ENDED 9/1/03 THROUGH YEAR ENDED 2/29/04 8/31/03 2/29/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 2,557 $ 7,324 $ 29,782 $ 66,096 Net realized gain on investments and futures 2,648 1,461 18,254 7,624 Change in net unrealized appreciation/ depreciation of investments and futures 2,829 (4,823) 35,788 (28,647) - --------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 8,034 3,962 83,824 45,073 - --------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,638) (7,271) (29,332) (66,147) Net realized gain on investment transactions (3,117) (864) (11,468) (11,597) - --------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (5,755) (8,135) (40,800) (77,744) - --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (29,014) (48,934) (125,286) (120,582) - --------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (26,735) (53,107) (82,262) (153,253) - --------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 165,064 218,171 1,643,273 1,796,526 - --------------------------------------------------------------------------------------------------------------------- End of period $ 138,329 $ 165,064 $ 1,561,011 $ 1,643,273 - --------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (126) $ (45) $ 61 $ (389) - ---------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54
NEW JERSEY NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND --------------------------------- --------------------------------- 9/1/03 THROUGH YEAR ENDED 9/1/03 THROUGH YEAR ENDED 2/29/04 8/31/03 2/29/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 1,158 $ 2,670 $ 12,794 $ 30,664 Net realized gain (loss) on investments and futures 849 2,099 6,580 7,886 Change in net unrealized appreciation/ depreciation of investments and futures 2,417 (2,621) 22,832 (17,506) - --------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 4,424 2,148 42,206 21,044 - --------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (1,129) (2,656) (12,812) (30,687) Net realized gain on investment transactions (2,309) (1,343) (10,733) (212) - --------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (3,438) (3,999) (23,545) (30,899) - --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (4,218) (6,022) (22,850) (135,478) - --------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (3,232) (7,873) (4,189) (145,333) - --------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 75,295 83,168 754,455 899,788 - --------------------------------------------------------------------------------------------------------------------- End of period $ 72,063 $ 75,295 $ 750,266 $ 754,455 - --------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (4) $ (33) $ (180) $ (162) - ---------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55
TAX FREE INCOME FUND --------------------------------- 9/1/03 THROUGH YEAR ENDED 2/29/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 13,971 $ 32,553 Net realized gain (loss) on investments and futures 9,769 7,747 Change in net unrealized appreciation/ depreciation of investments, futures and swaps 20,607 (20,086) - --------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 44,347 20,214 - --------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (13,720) (32,728) Net realized gain on investment transactions (9,765) (6,328) - --------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (23,485) (39,056) - --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (34,965) (122,669) - --------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (14,103) (141,511) - --------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of period 721,402 862,913 - --------------------------------------------------------------------------------------------------------------------- End of period $ 707,299 $ 721,402 - --------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 16 $ (235) - ---------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS (Unaudited) 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, (the "1940 Act"), 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 2, 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") Class A, Class B, Class C, 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. On December 31, 2003, ITFI commenced offerings of Class A, Class B, and 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. During the six months ended February 29, 2004, ITFI Institutional Class received a contribution of securities (Subscription in-kind) in exchange for shares of Institutional Share Class. The securities were transferred at a market value of (in thousands) $512, which resulted in no unrealized gain or loss carrying over to ITFI. Additional information regarding the subscription in-kind is included in note 11. 2. 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. 57 A. VALUATION OF INVESTMENTS -- Fixed income securities, other than convertible bonds, with a maturity of 61 days or more at the purchase date 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 bid-side quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. All short-term securities with a remaining maturity of sixty days or less are valued using the amortized cost method, which approximates market value. 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. 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, at which time a realized gain or loss is recognized. 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 related 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 may 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 Funds' credit risk is limited to failure of the exchange or board of trade. As of February 29, 2004 the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. SWAPS -- The Funds may engage in various swap transactions, including forward rate agreements, interest rate, fixed income, index and total return swaps, primarily to manage duration and curve risk, or as alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in value of swaps, including the periodic amounts of 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 payment or receipt of a periodic payment or 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 February 29, 2004, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. Swap transactions present risk of loss in excess of the related amounts included in the Statement of Assets & Liabilities. 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 method adjusted for amortization of premiums and accretion of discounts. 58 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 Fund's policy 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. H. OTHER EXPENSES -- Other expenses in the Statement of Operation include fees related to line of credit, insurance, pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. Prior to September 1, 2003, pursuant to separate Advisory agreements, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM") and JPMIM, served as the Advisors to the Funds. JPMFAM acted as Advisor for ITFI, NJTFI, NYTFI and TFI. JPMIM acted as Advisor for CBF. On September 1, 2003, JPMFAM and Robert Fleming Inc. merged into JPMIM. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment advisory services and personnel providing investment advice have not changed as a result of the merger and ownership change. Neither the merger nor the ownership change constituted an assignment under the 1940 Act or the Investment Advisers Act of 1940. The Advisor supervises the investments of each respective Fund and for such services is 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. 59 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 ITFI 0.25 0.75 0.75 NJTFI 0.25 0.75 n/a NYTFI 0.25 0.75 0.75 TFI 0.25 0.75 n/a
In addition, JPMFD is entitled to receive the contingent deferred sales charges ("CDSC") from redemptions of Class B and Class C shares. The Distributor waived fees as outlined in Note 3.F. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JP Morgan Chase Bank ("JPMCB"), under which JPMCB provides account administration and personal account maintenance services to the shareholders. For performing these services, JPMCB receives 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 (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND CBF 0.25 n/a n/a 0.10 0.25 ITFI 0.25 0.25 0.25 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
60 JPMCB may enter into services contracts with certain entities under which it will pay all or a portion of the annual fee to such entities for performing shareholding and administrative services. 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 3.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and accounting 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. 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 (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND CBF 0.60 n/a n/a 0.50 0.65 ITFI 0.75 1.50 1.50 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
61 The contractual expense limitation agreements were in effect for the six months ended February 29, 2004 for the Funds. The expense limitation percentages in the table above are due to expire December 31, 2004. The Administrator waived fees and/or reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended February 29, 2004, 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 CBF $ 75 $ 81 $ 27 $ 183 $ -- ITFI 589 52 -- 641 -- NJTFI -- 61 -- 61 10 NYTFI 37 226 117 380 -- TFI -- 44 63 107 -- Total $ 701 $ 464 $ 207 $ 1,372 $ 10
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase & Co.or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisor. The Funds may use related party broker dealers. For the six months ended February 29, 2004, there were no brokerage commissions with broker/dealers affiliated with JPMorgan. The SEC has granted an exemptive order permitting each fund to engage in principal transactions with J.P Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 62 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended February 29, 2004 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT CBF Class A $ 26 $ 27 $ 13 Institutional 44 -- 8 Select 44 -- 10 - -------------------------------------------------------------------------------------------------------------- Total $ 114 $ 27 $ 31 ITFI Class A $ --^ $ --^ $ --^ Class B --^ --^ --^ Class C --^ --^ --^ Institutional 231 -- 16 Select 1,429 -- 29 - -------------------------------------------------------------------------------------------------------------- Total $ 1,660 $ --^ $ 45 NJTFI Class A $ 2 $ 2 $ 8 Class B 1 3 4 Select 89 -- 6 - -------------------------------------------------------------------------------------------------------------- Total $ 92 $ 5 $ 18 NYTFI Class A $ 117 $ 117 $ 56 Class B 31 93 15 Class C 3 8 1 Institutional 109 -- 11 Select 513 -- 17 - -------------------------------------------------------------------------------------------------------------- Total $ 773 $ 218 $ 100 TFI Class A $ 63 $ 63 $ 45 Class B 7 20 5 Select 827 -- 7 - -------------------------------------------------------------------------------------------------------------- Total $ 897 $ 83 $ 57
^ Amount rounds to less than one thousand. 63 5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended February 29, 2004 and the year ended August 31, 2003 are as follows (amounts in thousands):
SIX MONTHS ENDED FEBRUARY 29, 2004 YEAR ENDED AUGUST 31, 2003 ------------------------------------ ------------------------------------ NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN CBF Class A $ 383 $ 454 $ 819 $ 87 Institutional 1,633 1,892 4,961 605 Select 622 771 1,491 172 - --------------------------------------------------------------------------------------------------------------- Total $ 2,638 $ 3,117 $ 7,271 $ 864 ITFI Class A $ --^ $ -- $ -- $ -- Class B --^ -- -- -- Class C --^ -- -- -- Institutional 8,691 3,309 21,900 3,975 Select 20,641 8,159 44,247 7,622 - --------------------------------------------------------------------------------------------------------------- Total $ 29,332 $ 11,468 $ 66,147 $ 11,597 NJTFI Class A $ 24 $ 58 $ 22 $ 3 Class B 10 27 10 1 Select 1,095 2,224 2,624 1,339 - --------------------------------------------------------------------------------------------------------------- Total $ 1,129 $ 2,309 $ 2,656 $ 1,343 NYTFI Class A $ 1,571 $ 1,288 $ 3,558 $ 25 Class B 318 357 631 6 Class C 27 31 11 -- Institutional 3,924 3,163 10,346 70 Select 6,972 5,894 16,141 111 - --------------------------------------------------------------------------------------------------------------- Total $ 12,812 $ 10,733 $ 30,687 $ 212 TFI Class A $ 963 $ 674 $ 2,396 $ 462 Class B 81 75 180 42 Select 12,676 9,016 30,152 5,824 - --------------------------------------------------------------------------------------------------------------- Total $ 13,720 $ 9,765 $ 32,728 $ 6,328 - ---------------------------------------------------------------------------------------------------------------
^ Amounts round to less than one thousand. 64 6. INVESTMENT TRANSACTIONS For the six months ended February 29, 2004, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S OF U.S GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT CBF $ 27,604 $ 59,001 $ -- $ -- ITFI 446,412 552,239 -- -- NJTFI 24,389 28,474 -- -- NYTFI 132,519 164,422 -- -- TFI 105,578 141,725 -- --
7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation(depreciation) in value of the investment securities at February 29, 2004 are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) CBF $ 128,839 $ 10,146 $ -- $ 10,146 ITFI 1,437,376 118,540 (164) 118,376 NJTFI 67,735 4,572 (11) 4,561 NYTFI 695,840 56,745 (13) 56,732 TFI 644,521 58,925 (53) 58,872
8. 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 expired on April 15, 2004. On April 15, 2004 the Line of Credit Agreement was extended to April 14, 2005. Prior to April 17, 2003, the Funds could borrow money for temporary or emergency purposes. 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 65 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 February 29, 2004, nor at anytime during the period then ended. 9. 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 29.4% 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 Funds' 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. 10. CORPORATE EVENT On January 14, 2004, J. P. Morgan Chase & Co. and Bank One Corp. announced they have entered into an agreement and plan of merger. The merger is subject to the approval of the shareholders of both institutions as well as U.S. federal and state and foreign regulatory authorities. Completion of the transaction is expected to occur in mid-2004. 66 NOTES TO FINANCIAL STATEMENTS 11. CAPITAL SHARE TRANSACTIONS (Unaudited) Capital share transactions were as follows for the periods presented (Amounts in thousands):
CALIFORNIA BOND FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 1,513 $ 4,386 Shares issued in reinvestment of distributions 449 448 Shares redeemed (2,703) (5,714) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (741) $ (880) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 139 401 Shares issued in reinvestment of distributions 42 41 Shares redeemed (247) (516) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (66) (74) - ----------------------------------------------------------------------------------------------------------------- INSTITUTIONAL CLASS AMOUNT Shares sold $ 3,026 $ 32,544 Shares issued in reinvestment of distributions 1,472 1,830 Shares redeemed (31,256) (73,815) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (26,758) $ (39,441) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 280 2,989 Shares issued in reinvestment of distributions 138 168 Shares redeemed (2,892) (6,788) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,474) (3,631) - ----------------------------------------------------------------------------------------------------------------- SELECT CLASS AMOUNT Shares sold $ 2,073 $ 12,521 Shares issued in reinvestment of distributions 616 730 Shares redeemed (4,204) (21,864) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,515) $ (8,613) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 189 1,130 Shares issued in reinvestment of distributions 57 66 Shares redeemed (386) (1,980) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (140) (784) - -----------------------------------------------------------------------------------------------------------------
67 Capital share tranactions were as follows for the periods presented (Amounts in thousands):
INTERMEDIATE TAX FREE INCOME FUND --------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 CLASS A SHARES AMOUNT Shares sold $ 15 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 15 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1 - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 15 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 15 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1 - ----------------------------------------------------------------------------------------------------------------- CLASS C SHARES AMOUNT Shares sold $ 40 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 40 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 4 Shares issued in reinvestment of distributions --^ Shares redeemed -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4 - -----------------------------------------------------------------------------------------------------------------
^ Amounts rounds to less than one thousand 68
INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) --------------------------------------------- SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003 INSTITUTIONAL CLASS AMOUNT Shares sold $ 28,420 $ 135,433 Subscription in-kind 512 -- Shares issued in reinvestment of distributions 4,665 9,531 Shares redeemed (105,808) (293,878) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (72,211) $ (148,914) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,568 12,144 Subscription in-kind 46 -- Shares issued in reinvestment of distributions 420 856 Shares redeemed (9,522) (26,319) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (6,488) (13,319) - ----------------------------------------------------------------------------------------------------------------- SELECT CLASS* AMOUNT Shares sold $ 65,536 $ 368,766 Shares issued in reinvestment of distributions 10,857 16,184 Shares redeemed (129,538) (356,618) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (53,145) $ 28,332 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 5,891 33,010 Shares issued in reinvestment of distributions 980 1,457 Shares redeemed (11,650) (31,918) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (4,779) 2,549 - -----------------------------------------------------------------------------------------------------------------
* Effective September 10, 2001 the share class was renamed from Institutional to Select in connection with the Fund re-organization. ^ Amounts rounds to less than one thousand 69
NEW JERSEY TAX FREE INCOME FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 102 $ 1,811 Shares issued in reinvestment of distributions 77 22 Shares redeemed (834) (23) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (655) $ 1,810 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 10 175 Shares issued in reinvestment of distributions 8 2 Shares redeemed (82) (2) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (64) 175 - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 126 $ 839 Shares issued in reinvestment of distributions 26 9 Shares redeemed (86) (88) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 66 $ 760 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 12 82 Shares issued in reinvestment of distributions 3 1 Shares redeemed (9) (9) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 6 74 - ----------------------------------------------------------------------------------------------------------------- SELECT CLASS* AMOUNT Shares sold $ 1,935 $ 5,191 Shares issued in reinvestment of distributions 1,994 1,186 Shares redeemed (7,558) (14,969) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,629) $ (8,592) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 190 504 Shares issued in reinvestment of distributions 199 117 Shares redeemed (742) (1,453) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (353) (832) - -----------------------------------------------------------------------------------------------------------------
* Effective September 10, 2001 the share class was renamed from Institutional to Select in connection with the Fund re-organization. 70
NEW YORK INTERMEDIATE TAX FREE INCOME FUND ------------------------------------------ SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003^ CLASS A SHARES AMOUNT Shares sold $ 25,103 $ 26,999 Shares issued in reinvestment of distributions 2,370 2,726 Shares redeemed (15,662) (47,172) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 11,811 $ (17,447) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 3,359 3,598 Shares issued in reinvestment of distributions 318 364 Shares redeemed (2,090) (6,318) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,587 (2,356) - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 1,229 $ 7,435 Shares issued in reinvestment of distributions 460 428 Shares redeemed (2,099) (3,541) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (410) $ 4,322 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 164 988 Shares issued in reinvestment of distributions 62 57 Shares redeemed (282) (471) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (56) 574 - ----------------------------------------------------------------------------------------------------------------- CLASS C SHARES AMOUNT Shares sold $ 767 $ 1,937 Shares issued in reinvestment of distributions 50 10 Shares redeemed (137) (93) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 680 $ 1,854 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 102 257 Shares issued in reinvestment of distributions 7 1 Shares redeemed (18) (13) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 91 245 - -----------------------------------------------------------------------------------------------------------------
^ For Class C shares, from commencement of offering on January 31, 2003. 71
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) ------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003 INSTITUTIONAL CLASS AMOUNT Shares sold $ 14,190 $ 28,180 Shares issued in reinvestment of distributions 3,109 4,650 Shares redeemed (44,659) (98,854) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (27,360) $ (66,024) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,893 3,755 Shares issued in reinvestment of distributions 417 620 Shares redeemed (5,968) (13,177) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,658) (8,802) - ----------------------------------------------------------------------------------------------------------------- SELECT CLASS* AMOUNT Shares sold $ 25,562 $ 78,597 Shares issued in reinvestment of distributions 6,112 4,113 Shares redeemed (39,245) (140,893) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,571) $ (58,183) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 3,410 10,472 Shares issued in reinvestment of distributions 823 549 Shares redeemed (5,243) (18,786) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,010) (7,765) - -----------------------------------------------------------------------------------------------------------------
* Effective September 10, 2001 the share class was renamed from Institutional to Select in connection with the Fund re-organization. 72
TAX FREE INCOME FUND ---------------------------------------- SIX MONTHS ENDED YEAR ENDED FEBRUARY 29, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 16,097 $ 97,661 Shares issued in reinvestment of distributions 1,247 2,131 Shares redeemed (22,238) (107,439) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (4,894) $ (7,647) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,448 14,710 Shares issued in reinvestment of distributions 189 321 Shares redeemed (3,368) (16,156) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (731) (1,125) - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 136 $ 1,104 Shares issued in reinvestment of distributions 110 144 Shares redeemed (419) (1,632) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (173) $ (384) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 20 165 Shares issued in reinvestment of distributions 17 22 Shares redeemed (63) (246) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (26) (59) - ----------------------------------------------------------------------------------------------------------------- SELECT SHARES* AMOUNT Shares sold $ 16,871 $ 24,525 Shares issued in reinvestment of distributions 8,435 5,617 Shares redeemed (55,204) (144,780) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (29,898) $ (114,638) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,561 3,681 Shares issued in reinvestment of distributions 1,288 855 Shares redeemed (8,351) (21,767) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (4,502) (17,231) - -----------------------------------------------------------------------------------------------------------------
* Effective September 10, 2001 the share was renamed from Institutional to Select in connection with the Fund re-organization. 73 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS (Unaudited) CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.80 0.19 0.39 0.58 Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17 9/10/01* Through 8/31/02 $ 10.90 0.40 0.17 0.57 INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.10 0.06 0.13 0.19 NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 10.07 0.15 0.46 0.61 Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20 4/1/02* Through 8/31/02 $ 9.84 0.12 0.53 0.65 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.35 0.13 0.29 0.42 Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16 Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36 2/16/01* Through 8/31/01 $ 7.22 0.15 0.15 0.30 TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 6.49 0.13 0.28 0.41 Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 2/16/01* Through 8/31/01 $ 6.44 0.15 0.13 0.28 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 0.20 0.24 0.44 Year Ended 8/31/03 0.40 0.04 0.44 9/10/01* Through 8/31/02 0.40 -- 0.40 INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 0.06 -- 0.06 NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.14 0.32 0.46 Year Ended 8/31/03 0.32 0.17 0.49 4/1/02* Through 8/31/02 0.13 -- 0.13 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.13 0.11 0.24 Year Ended 8/31/03 0.26 --! 0.26 Year Ended 8/31/02 0.27 0.01 0.28 2/16/01* Through 8/31/01 0.15 -- 0.15 TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.13 0.09 0.22 Year Ended 8/31/03 0.26 0.05 0.31 Year Ended 8/31/02 0.27 -- 0.27 2/16/01* Through 8/31/01 0.15 -- 0.15
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total returns figures do not include the effects of any front-end or deferred sales load. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 74
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(1)(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.94 5.46% Year Ended 8/31/03 $ 10.80 1.51% 9/10/01* Through 8/31/02 $ 11.07 5.33% INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.23 1.75% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 10.22 6.26% Year Ended 8/31/03 $ 10.07 1.92% 4/1/02* Through 8/31/02 $ 10.36 6.67% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.53 5.69% Year Ended 8/31/03 $ 7.35 2.15% Year Ended 8/31/02 $ 7.45 5.06% 2/16/01* Through 8/31/01 $ 7.37 4.26% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 6.68 6.35% Year Ended 8/31/03 $ 6.49 2.15% Year Ended 8/31/02 $ 6.66 5.64% 2/16/01* Through 8/31/01 $ 6.57 4.46% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 21 0.60% 3.47% 1.19% 2.88% Year Ended 8/31/03 $ 22 0.60% 3.56% 1.16% 3.00% 9/10/01* Through 8/31/02 $ 23 0.60% 3.70% 1.23% 3.07% INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ --(b) 0.75% 3.62% 1.32% 3.05% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 1 1.00% 2.95% 2.05% 1.90% Year Ended 8/31/03 $ 2 1.00% 2.87% 3.13% 0.74% 4/1/02* Through 8/31/02 $ --(b) 1.00% 3.16% 33.81%!! (29.67%)!! NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 102 0.75% 3.36% 1.12% 2.99% Year Ended 8/31/03 $ 88 0.75% 3.45% 1.07% 3.13% Year Ended 8/31/02 $ 107 0.75% 3.58% 1.09% 3.24% 2/16/01* Through 8/31/01 $ 117 0.75% 4.10% 1.21% 3.64% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 49 0.75% 3.90% 1.17% 3.48% Year Ended 8/31/03 $ 52 0.75% 3.94% 1.14% 3.55% Year Ended 8/31/02 $ 61 0.75% 4.21% 1.15% 3.81% 2/16/01* Through 8/31/01 $ 59 0.75% 4.55% 1.23% 4.07% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 20% Year Ended 8/31/03 49% 9/10/01* Through 8/31/02 65% INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 28% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 34% Year Ended 8/31/03 59% 4/1/02* Through 8/31/02 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 18% Year Ended 8/31/03 38% Year Ended 8/31/02 75% 2/16/01* Through 8/31/01 33% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 15% Year Ended 8/31/03 36% Year Ended 8/31/02 94% 2/16/01* Through 8/31/01 57%
(b) Amount rounds to less than one million. # Short periods have been annualized. ! Rounds to less than .005. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 75 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.10 0.05 0.13 0.18 NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 10.04 0.12 0.45 0.57 Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14 4/1/02* Through 8/31/02 $ 9.84 0.11 0.50 0.61 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.36 0.10 0.30 0.40 Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10 Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29 2/16/01* Through 8/31/01 $ 7.22 0.12 0.16 0.28 TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 6.50 0.10 0.28 0.38 Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08 Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30 2/16/01* Through 8/31/01 $ 6.44 0.12 0.14 0.26 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 0.05 -- 0.05 NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.12 0.32 0.44 Year Ended 8/31/03 0.27 0.17 0.44 4/1/02* Through 8/31/02 0.11 -- 0.11 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.10 0.11 0.21 Year Ended 8/31/03 0.20 --! 0.20 Year Ended 8/31/02 0.20 0.01 0.21 2/16/01* Through 8/31/01 0.12 -- 0.12 TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.10 0.09 0.19 Year Ended 8/31/03 0.21 0.05 0.26 Year Ended 8/31/02 0.20 -- 0.20 2/16/01* Through 8/31/01 0.12 -- 0.12
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total returns figures do not include the effects of any front-end or deferred sales load. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 76
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(1)(a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.23 1.63% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 10.17 5.80% Year Ended 8/31/03 $ 10.04 1.31% 4/1/02* Through 8/31/02 $ 10.34 6.20% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.55 5.41% Year Ended 8/31/03 $ 7.36 1.34% Year Ended 8/31/02 $ 7.46 4.08% 2/16/01* Through 8/31/01 $ 7.38 3.91% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 6.69 5.88% Year Ended 8/31/03 $ 6.50 1.11% Year Ended 8/31/02 $ 6.68 4.69% 2/16/01* Through 8/31/01 $ 6.58 4.13% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ --(b) 1.50% 2.84% 1.82% 2.52% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 1 1.50% 2.42% 2.55% 1.37% Year Ended 8/31/03 $ 1 1.50% 2.44% 4.96% (1.02%) 4/1/02* Through 8/31/02 $ --(b) 1.50% 2.72% 36.90%!! (32.68%)!! NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 25 1.55% 2.56% 1.62% 2.49% Year Ended 8/31/03 $ 25 1.55% 2.64% 1.57% 2.62% Year Ended 8/31/02 $ 21 1.57% 2.74% 1.59% 2.72% 2/16/01* Through 8/31/01 $ 12 1.64% 3.21% 1.72% 3.13% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 6 1.64% 3.00% 1.67% 2.97% Year Ended 8/31/03 $ 6 1.64% 3.04% 1.64% 3.04% Year Ended 8/31/02 $ 6 1.64% 3.31% 1.65% 3.30% 2/16/01* Through 8/31/01 $ 7 1.64% 3.66% 1.74% 3.56% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 28% NEW JERSEY TAX FREE INCOME FUND 9/1/03 Through 2/29/04 34% Year Ended 8/31/03 59% 4/1/02* Through 8/31/02 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 18% Year Ended 8/31/03 38% Year Ended 8/31/02 75% 2/16/01* Through 8/31/01 33% TAX FREE INCOME FUND 9/1/03 Through 2/29/04 15% Year Ended 8/31/03 36% Year Ended 8/31/02 94% 2/16/01* Through 8/31/01 57%
(b) Amount rounds to less than one million. # Short periods have been annualized. ! Rounds to less than .005. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 77 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.10 0.05 0.12 0.17 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.36 0.10 0.29 0.39 1/31/03* Ended 8/31/03 $ 7.46 0.10@ (0.09) 0.01 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 0.05 -- 0.05 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.10 0.11 0.21 1/31/03* Ended 8/31/03 0.11 --! 0.11
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total returns figures do not include the effects of any front end load or deffered sales load. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 78
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(1)(a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ 11.22 1.54% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.54 5.27% 1/31/03* Ended 8/31/03 $ 7.36 0.17% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 $ --(b) 1.50% 2.53% 1.82% 2.21% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 3 1.55% 2.54% 1.62% 2.47% 1/31/03* Ended 8/31/03 $ 2 1.55% 2.40% 1.57% 2.38% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 2/29/04 28% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 18% 1/31/03* Ended 8/31/03 38%
(b) Amount rounds to less than one million. # Short periods have been annualized. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 79 INSTITUTIONAL CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.64 0.20 0.38 0.58 Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18 Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58 5/1/01 Through 8/31/01(d) $ 10.36 0.14 0.40 0.54 Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79 Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06 INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 10.93 0.21 0.37 0.58 Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28 9/10/01(d) Through 8/31/02 $ 10.94 0.44 0.25 0.69 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.36 0.14 0.29 0.43 Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18 9/10/01* Through 8/31/02 $ 7.33 0.27@ 0.15 0.42 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 0.20 0.24 0.44 Year Ended 8/31/03 0.40 0.04 0.44 Year Ended 8/31/02 0.41 -- 0.41 5/1/01 Through 8/31/01(d) 0.14 0.03 0.17 Year Ended 4/30/01 0.46 -- 0.46 Year Ended 4/30/00 0.42 0.01 0.43 INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.21 0.08 0.29 Year Ended 8/31/03 0.43 0.07 0.50 9/10/01(d) Through 8/31/02 0.44 0.04 0.48 NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 0.13 0.11 0.24 Year Ended 8/31/03 0.28 --! 0.28 9/10/01* Through 8/31/02 0.28 0.01 0.29
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 80
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.78 5.57% Year Ended 8/31/03 $ 10.64 1.67% Year Ended 8/31/02 $ 10.90 5.57% 5/1/01 Through 8/31/01(d) $ 10.73 5.31% Year Ended 4/30/01 $ 10.36 7.97% Year Ended 4/30/00 $ 10.03 0.70% INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 11.22 5.35% Year Ended 8/31/03 $ 10.93 2.60% 9/10/01(d) Through 8/31/02 $ 11.15 6.43% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 7.55 5.95% Year Ended 8/31/03 $ 7.36 2.40% 9/10/01* Through 8/31/02 $ 7.46 5.89% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 82 0.50% 3.64% 0.69% 3.45% Year Ended 8/31/03 $ 107 0.50% 3.72% 0.66% 3.56% Year Ended 8/31/02 $ 149 0.50% 3.84% 0.71% 3.63% 5/1/01 Through 8/31/01(d) $ 137 0.50% 3.99% 0.59% 3.90% Year Ended 4/30/01 $ 126 0.50% 4.40% 0.59% 4.31% Year Ended 4/30/00 $ 85 0.50% 4.19% 0.70% 3.99% INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 424 0.50% 3.83% 0.59% 3.74% Year Ended 8/31/03 $ 484 0.50% 3.89% 0.59% 3.80% 9/10/01(d) Through 8/31/02 $ 642 0.50% 4.02% 0.58% 3.94% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 $ 207 0.50% 3.61% 0.61% 3.50% Year Ended 8/31/03 $ 229 0.50% 3.70% 0.60% 3.60% 9/10/01* Through 8/31/02 $ 298 0.50% 3.85% 0.62% 3.73% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 20% Year Ended 8/31/03 49% Year Ended 8/31/02 65% 5/1/01 Through 8/31/01(d) 29% Year Ended 4/30/01 55% Year Ended 4/30/00 87% INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 28% Year Ended 8/31/03 56% 9/10/01(d) Through 8/31/02 71% NEW YORK INTERMEDIATE TAX FREE INCOME FUND 9/1/03 Through 2/29/04 18% Year Ended 8/31/03 38% 9/10/01* Through 8/31/02 75%
(d) The Fund changed its fiscal year end from April 30 to August 31. # Short periods have been annualized. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 81 SELECT CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.80 0.19 0.38 0.57 Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16 Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56 5/1/01 Through 8/31/01(d) $ 10.53 0.14 0.41 0.55 Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78 Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05 Year Ended 4/30/99 $ 10.35 0.40 0.26 0.66 INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 10.93 0.20 0.37 0.57 Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27 Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64 Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96 Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56 Year Ended 8/31/99 $ 10.93 0.52 (0.39) 0.13 NEW JERSEY TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 10.09 0.16 0.45 0.61 Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26 Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57 Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02 Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56 Year Ended 8/31/99 $ 10.24 0.49 (0.45) 0.04 PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 0.19 0.24 0.43 Year Ended 8/31/03 0.39 0.04 0.43 Year Ended 8/31/02 0.40 -- 0.40 5/1/01 Through 8/31/01(d) 0.14 0.03 0.17 Year Ended 4/30/01 0.45 -- 0.45 Year Ended 4/30/00 0.41 0.01 0.42 Year Ended 4/30/99 0.40 0.04 0.44 INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 0.20 0.08 0.28 Year Ended 8/31/03 0.42 0.07 0.49 Year Ended 8/31/02 0.43 0.04 0.47 Year Ended 8/31/01 0.44 -- 0.44 Year Ended 8/31/00 0.46 0.06 0.52 Year Ended 8/31/99 0.52 0.12 0.64 NEW JERSEY TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 0.16 0.32 0.48 Year Ended 8/31/03 0.34 0.17 0.51 Year Ended 8/31/02 0.37 0.19 0.56 Year Ended 8/31/01 0.42 -- 0.42 Year Ended 8/31/00 0.44 -- 0.44 Year Ended 8/31/99 0.49 0.18 0.67
** Effective September 10, 2001 the share class was renamed from Institutional to Select in connection with the Fund's re-organization. (a) Not annualized for periods less than one year. (d) The Fund changed its fiscal year end from April 30 to August 31. SEE NOTES TO FINANCIAL STATEMENTS. 82
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 10.94 5.43% Year Ended 8/31/03 $ 10.80 1.45% Year Ended 8/31/02 $ 11.07 5.31% 5/1/01 Through 8/31/01(d) $ 10.91 5.31% Year Ended 4/30/01 $ 10.53 7.77% Year Ended 4/30/00 $ 10.20 0.60% Year Ended 4/30/99 $ 10.57 6.43% INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 11.22 5.26% Year Ended 8/31/03 $ 10.93 2.44% Year Ended 8/31/02 $ 11.15 5.99% Year Ended 8/31/01 $ 10.98 9.35% Year Ended 8/31/00 $ 10.46 5.54% Year Ended 8/31/99 $ 10.42 1.15% NEW JERSEY TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 10.22 6.17% Year Ended 8/31/03 $ 10.09 2.58% Year Ended 8/31/02 $ 10.34 5.82% Year Ended 8/31/01 $ 10.33 10.69% Year Ended 8/31/00 $ 9.73 6.08% Year Ended 8/31/99 $ 9.61 0.37% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 $ 35 0.65% 3.43% 0.87% 3.21% Year Ended 8/31/03 $ 36 0.65% 3.51% 0.84% 3.32% Year Ended 8/31/02 $ 46 0.65% 3.63% 0.88% 3.40% 5/1/01 Through 8/31/01(d) $ 31 0.65% 3.84% 0.78% 3.71% Year Ended 4/30/01 $ 33 0.65% 4.25% 0.78% 4.12% Year Ended 4/30/00 $ 14 0.65% 3.99% 0.85% 3.79% Year Ended 4/30/99 $ 17 0.65% 3.76% 0.87% 3.54% INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 1,137 0.66% 3.67% 0.74% 3.59% Year Ended 8/31/03 $ 1,159 0.66% 3.73% 0.74% 3.65% Year Ended 8/31/02 $ 1,155 0.66% 3.88% 0.74% 3.80% Year Ended 8/31/01 $ 728 0.74% 4.10% 0.75% 4.09% Year Ended 8/31/00 $ 694 0.57% 4.49% 0.66% 4.40% Year Ended 8/31/99 $ 729 0.03% 4.81% 0.50% 4.34% NEW JERSEY TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 70 0.75% 3.18% 0.91% 3.02% Year Ended 8/31/03 $ 72 0.75% 3.35% 0.90% 3.20% Year Ended 8/31/02 $ 83 0.75% 3.64% 0.89% 3.50% Year Ended 8/31/01 $ 82 0.75% 4.18% 0.93% 4.00% Year Ended 8/31/00 $ 73 0.59% 4.67% 0.82% 4.44% Year Ended 8/31/99 $ 68 0.04% 4.94% 0.63% 4.35% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) CALIFORNIA BOND FUND 9/1/03 Through 2/29/04 20% Year Ended 8/31/03 49% Year Ended 8/31/02 65% 5/1/01 Through 8/31/01(d) 29% Year Ended 4/30/01 55% Year Ended 4/30/00 87% Year Ended 4/30/99 40% INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 28% Year Ended 8/31/03 56% Year Ended 8/31/02 71% Year Ended 8/31/01 43% Year Ended 8/31/00 60% Year Ended 8/31/99 62% NEW JERSEY TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 34% Year Ended 8/31/03 59% Year Ended 8/31/02 75% Year Ended 8/31/01 48% Year Ended 8/31/00 48% Year Ended 8/31/99 24%
# Short periods have been annualized. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 83 SELECT CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS NEW YORK INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 7.37 0.13 0.29 0.42 Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17 Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35 Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66 Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41 Year Ended 8/31/99 $ 7.29 0.35 (0.31) 0.04 TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 6.48 0.13 0.28 0.41 Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61 Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36 Year Ended 8/31/99 $ 6.60 0.34 (0.37) (0.03) PER SHARE OPERATING PERFORMANCE: ------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS NEW YORK INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 0.13 0.11 0.24 Year Ended 8/31/03 0.26 --! 0.26 Year Ended 8/31/02 0.26 0.01 0.27 Year Ended 8/31/01 0.29 -- 0.29 Year Ended 8/31/00 0.31 -- 0.31 Year Ended 8/31/99 0.35 0.07 0.42 TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 0.13 0.09 0.22 Year Ended 8/31/03 0.26 0.05 0.31 Year Ended 8/31/02 0.28 -- 0.28 Year Ended 8/31/01 0.29 -- 0.29 Year Ended 8/31/00 0.30 -- 0.30 Year Ended 8/31/99 0.34 0.04 0.38
** Effective September 10, 2001 the share class was renamed from Institutional to Select in connection with the Fund's re-organization. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 84
PER SHARE OPERATING PERFORMANCE: ------------------------------------------ NET ASSET VALUE, END TOTAL OF PERIOD RETURN(a) NEW YORK INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 7.55 5.70% Year Ended 8/31/03 $ 7.37 2.32% Year Ended 8/31/02 $ 7.46 4.99% Year Ended 8/31/01 $ 7.38 9.68% Year Ended 8/31/00 $ 7.01 6.13% Year Ended 8/31/99 $ 6.91 0.38% TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 6.67 6.35% Year Ended 8/31/03 $ 6.48 2.14% Year Ended 8/31/02 $ 6.65 5.61% Year Ended 8/31/01 $ 6.57 10.00% Year Ended 8/31/00 $ 6.25 6.11% Year Ended 8/31/99 $ 6.19 (0.63%) RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------------------------------- NET INVESTMENT NET ASSETS, NET EXPENSES INCOME END OF INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PERIOD NET INCOME REIMBURSEMENTS REIMBURSEMENTS (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS NEW YORK INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 413 0.72% 3.39% 0.76% 3.35% Year Ended 8/31/03 $ 410 0.72% 3.48% 0.75% 3.45% Year Ended 8/31/02 $ 474 0.72% 3.63% 0.76% 3.59% Year Ended 8/31/01 $ 302 0.75% 4.10% 0.79% 4.06% Year Ended 8/31/00 $ 277 0.58% 4.48% 0.70% 4.36% Year Ended 8/31/99 $ 295 0.04% 4.85% 0.53% 4.36% TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 $ 652 0.75% 3.91% 0.75% 3.91% Year Ended 8/31/03 $ 663 0.75% 3.95% 0.75% 3.95% Year Ended 8/31/02 $ 796 0.75% 4.23% 0.75% 4.23% Year Ended 8/31/01 $ 798 0.74% 4.56% 0.76% 4.54% Year Ended 8/31/00 $ 753 0.57% 4.98% 0.66% 4.89% Year Ended 8/31/99 $ 744 0.03% 5.25% 0.50% 4.78% RATIOS/SUPPLEMENTAL DATA: ------------------------ PORTFOLIO TURNOVER RATE(a) NEW YORK INTERMEDIATE TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 18% Year Ended 8/31/03 38% Year Ended 8/31/02 75% Year Ended 8/31/01 33% Year Ended 8/31/00 46% Year Ended 8/31/99 39% TAX FREE INCOME FUND** 9/1/03 Through 2/29/04 15% Year Ended 8/31/03 36% Year Ended 8/31/02 94% Year Ended 8/31/01 57% Year Ended 8/31/00 35% Year Ended 8/31/99 39%
# Short periods have been annualized. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 85 JPMORGAN FAMILY OF FUNDS U.S. EQUITY FUNDS CAPITAL GROWTH FUND DISCIPLINED EQUITY 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 UNDISCOVERED MANAGERS FUNDS BEHAVIORAL GROWTH FUND BEHAVIORAL VALUE FUND REIT FUND SMALL CAP GROWTH FUND FUNDS MAY BE REGISTERED UNDER SEPARATE REGISTRANTS. 86 [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. The financial information in this report has been taken from the books and records of the Funds without examination by independent auditors, who express no opinion thereon. Investors should carefully read the fund prospectus which includes information on the Fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. A list of portfolio holdings is available fifteen days after month end upon request. Please contact yourJPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at http://www.sec.gov. JPMorgan Funds Fulfillment Center PRSRT STD 600 North Bedford Street U.S. POSTAGE East Bridgewater, MA 02333 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 All rights reserved. April 2004. SAN-TF-204 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. NOT APPLICABLE. 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. (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)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. 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. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. 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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). 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 any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. 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 11. 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. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (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 RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date April 29, 2004 ---------------------------------------------------------------------------- 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date April 29, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date April 29, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 a2135383zex-99_cert.txt EX-99.CERT Exhibit 99.Cert CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of J.P. Morgan Mutual Fund Select Trust (the "Registrant"); 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 Registrant as of, and for, the periods presented in this report; 4. The Registrant's 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) for the Registrant 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 Registrant, 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) Evaluated the effectiveness of the Registrant's 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 c) Disclosed in this report any change 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 has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's 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 Registrant's 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 Registrant's internal control over financial reporting. /s/ George C.W. Gatch - --------------------------- George C.W. Gatch President April 29, 2004 - --------------------------- Date CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, Patricia A. Maleski, certify that: 1 I have reviewed this report on Form N-CSR of J.P. Morgan Mutual Fund Select Trust (the "Registrant"); 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 Registrant as of, and for, the periods presented in this report; 4. The Registrant's 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) for the Registrant 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 Registrant, 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) Evaluated the effectiveness of the Registrant's 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 c) Disclosed in this report any change 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 has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's 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 Registrant's 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 Registrant's internal control over financial reporting. /s/ Patricia A. Maleski - --------------------------- Patricia A. Maleski Treasurer April 29, 2004 - --------------------------- Date EX-99.906CERT 3 a2135383zex-99_906cert.txt EX-99.906CERT Exhibit 99.906Cert CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof the 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, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant. /s/ George C.W. Gatch - --------------------------- George C.W. Gatch President April 29, 2004 - --------------------------- 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 RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof the J.P. Morgan Mutual Fund Select Trust (the "Registrant"). I, Patricia A. Maleski, 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, 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 Registrant. /s/ Patricia A. Maleski - --------------------------- Patricia A. Maleski Treasurer April 29, 2004 - --------------------------- 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-----