N-CSR 1 a2145914zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07841 --------------------------------------------- J.P. Morgan Mutual Fund Select Trust ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: August 31, 2004 -------------------------------------------------------- Date of reporting period: September 1, 2003 through August 31, 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 ANNUAL REPORT AUGUST 31 2004 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 professional to help provide you with a broad array of WEALTH SOLUTIONS. CONTENTS President's Letter 1 Fund Commentaries: 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 52 Notes to Financial Statements 59 Financial Highlights 78
HIGHLIGHTS - The economic recovery accelerated during the period and made the transition from being policy-dependent to becoming self-sustaining. - Consumer spending slowed in July, which was blamed mostly on higher energy prices. Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN TAX FREE FUNDS PRESIDENT'S LETTER AUGUST 31, 2004 [PHOTO OF GEORGE C.W. GATCH] "STRONG CORPORATE PROFITS BUOYED THE EQUITY MARKET AND SUPPORTED AN INCREASE IN CAPITAL SPENDING AND HIRING" DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Tax Free Funds for the one-year period ending August 31, 2004. Inside you'll find in-depth information on some of our tax-free funds along with an update from the portfolio management team. U.S. ECONOMY CONTINUES TO EXPAND The economic recovery accelerated during the period and made the transition from being policy-dependent to becoming self-sustaining. Strong corporate profits buoyed the equity market and supported an increase in capital spending and hiring. Consumer price inflation, however, continued to slow despite ongoing excess capacity and comparatively high unemployment. The Federal Reserve Board indicated that it would keep its monetary policy on hold until economic conditions warrant a change. In the early part of 2004, economic data was mixed. Although the corporate profit picture was brighter, improved earnings did not translate into new job creation. Consumer sentiment weakened, but consumer spending increased -- fueled by tax refunds and by the mortgage-refinancing boom. At the same time, consumer price inflation data turned discretely higher. Early in the period, little issuance and year-end pressures in the market drove up municipal yields. These historically rich levels remained unchanged in December as issuance slowed in the face of strong demand. New issuance and a lack of demand caused municipals to significantly underperform Treasuries for the first few months of 2004. FEDERAL RESERVE BOARD RAISES SHORT-TERM INTEREST RATES An uptick in inflation and sharply improved economic conditions during the second quarter altered expectations about the Fed's position on short-term interest rates -- keeping municipal investors on the sidelines. Supply was curtailed as municipalities issued fewer bonds because of rising rates and an increase in revenues of almost 8% compared to the same period in 2003. During June, the Fed raised short-term rates by a quarter-percent to 1.25%. Consumer spending slowed in July, which was blamed mostly on higher energy prices. Although the economic outlook weakened during July and August, the inflation data was friendly, ending the spring inflation scare. In July, reinvestment demand combined with light new issuance supply supported municipal prices. Two- to five- year municipal securities performed well through August. During the same month, the Fed raised short-term interest rates another quarter-percent to 1.50%. In the months ahead, you can rest assured that your portfolio managers will continue to work hard on your behalf. They will look for opportunities to obtain the highest possible yields while focusing on the preservation of your principal. IMPORTANT MERGER NEWS As you may know, J.P. Morgan Chase & Co. and Bank One Corp. merged in July 2004, as approved by both firms' shareholders. The combined company is called JPMorgan Chase & Co. The merger is compelling both strategically and financially. The new combined organization has top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we have an extraordinarily talented team that shares common values and a strong client orientation. In the coming months, you will receive proxy information regarding proposed changes to the JPMorgan Funds. Please refer to Note 1 of the financial statements in this report for more details on these proposals. For all of us here at JPMorgan Investment Management, thank you for the trust you have placed in us. 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 AUGUST 31, 2004 (Unaudited) FUND FACTS Fund Inception 12/23/96 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2004 (In Millions) $129.1 Primary Benchmark LEHMAN CALIFORNIA COMPETITIVE INTERMEDIATE BOND INDEX (1-17) Average Credit Quality AA+ Duration 5.1 YEARS Q: HOW DID THE FUND PERFORM? A: JPMorgan California Bond Fund, which seeks to provide current income exempt from federal and from California personal income taxes, had a total return of 5.8% (Institutional Shares) for the one-year period ended August 31, 2004. This compares with the 6.4% return of its benchmark index, the Lehman California Competitive Intermediate Bond Index (1-17). Q: WHY DID THE FUND PERFORM THIS WAY? A: Our overweight in the 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 remain 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: 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. When California spreads stabilized, we increased our weightings. Since then, spreads have tightened dramatically as the state and national economies have stabilized and municipal supply has fallen. CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS AAA 68.6% AA 12.5% AA- 4.8% A- 3.7% BBB+ 3.7% BBB 2.6% AA+ 2.3% Not Rated 0.9% A 0.6% A+ 0.2% BBB- 0.1%
2 ANNUAL REPORT AUGUST 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/23/96) ----------------------------------------- CLASS A SHARES Without Sales Charge 5.62% 4.14% 5.56% 5.22% With Sales Charge* 0.86% 2.56% 4.60% 4.59% ----------------------------------------- INSTITUTIONAL SHARES 5.76% 4.32% 5.71% 5.37% ----------------------------------------- SELECT SHARES 5.57% 4.09% 5.53% 5.20%
* Sales Charge for Class A Shares is 4.50%. [CHART] LIFE OF FUND PERFORMANCE (12/23/96 TO 08/31/04)
JPMORGAN CALIFORNIA LEHMAN CALIFORNIA COMPETITIVE LIPPER 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 $ 4,477,146 $ 4,574,664 $ 4,513,729 Mar-2004 $ 4,448,940 $ 4,558,653 $ 4,487,098 Apr-2004 $ 4,357,291 $ 4,464,288 $ 4,377,613 May-2004 $ 4,341,169 $ 4,454,913 $ 4,360,540 Jun-2004 $ 4,362,007 $ 4,483,870 $ 4,381,035 Jul-2004 $ 4,408,681 $ 4,533,641 $ 4,437,988 Aug-2004 $ 4,485,309 $ 4,617,060 $ 4,526,748
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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 August 31, 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 AUGUST 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2004 (In Millions) $1,489.7 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 YEAR MATURITIES) INDEX Average Credit Quality AA Duration 5.5 YEARS Q: HOW DID THE FUND PERFORM? A: JPMorgan Intermediate Tax Free Income Fund, which seeks to provide a high level of current income that is exempt from federal income tax, had a total return of 5.2% (Select Shares) for the one-year period ended August 31, 2004. This compares with the 6.0% return of its benchmark index, the Lehman Competitive Intermediate (1-17 Year Maturities) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: Detracting from performance was our position in the five-year part of the curve; we chose not to restructure the Fund because doing so would have resulted in huge capital gains. Also negative for performance was our high-quality bias at a time when lower quality issues performed better. 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 remain 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 overweight position to revenue bonds and our purchase of housing issues, which outperformed. Q: HOW WAS THE FUND MANAGED? A: We overweighted the eight-year part of the yield curve as well as the revenue sector of the market. Our focus remains on high-quality, liquid issues; we were underweight hospitals, airports, tobacco debt and other high-yield sectors. As spreads tightened, we removed our overweight to New York and purchased more high-quality general market issues, such as pre-refunded bonds (secured by an escrow fund of U.S. government obligations). We added housing issues, and we also started to unwind our overweight in California paper. CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS AAA 54.6% AA 13.8% AA- 12.0% AA+ 4.2% A 4.0% A- 4.0% BBB+ 3.4% A+ 1.8% BBB 1.1% BBB- 0.6% Not Rated 0.5%
4 ANNUAL REPORT AUGUST 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 6.16% 4.85% 5.87% 5.86% With Sales Charge* 1.34% 3.24% 4.90% 5.37% --------------------------------------- CLASS B SHARES Without Sales Charge 4.40% 4.26% 5.52% 5.68% With Sales Charge** (0.60%) 3.34% 5.19% 5.68% --------------------------------------- CLASS C SHARES Without Sales Charge 4.68% 4.36% 5.58% 5.71% With Sales Charge*** 3.68% 4.36% 5.58% 5.71% --------------------------------------- INSTITUTIONAL SHARES 5.26% 4.66% 5.76% 5.80% --------------------------------------- SELECT SHARES# 5.19% 4.53% 5.68% 5.76%
* 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 (08/31/94 TO 08/31/04)
JPMORGAN INTERMEDIATE TAX LEHMAN COMPETITIVE INTERMEDIATE LIPPER INTERMEDIATE MUNICIPAL FREE INCOME FUND (SELECT SHARES) (1-17 YEAR) MATURITIES INDEX DEBT FUNDS INDEX Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Sep-1994 $ 991,100 $ 989,200 $ 989,700 Oct-1994 $ 977,324 $ 977,527 $ 978,813 Nov-1994 $ 954,845 $ 963,451 $ 964,229 Dec-1994 $ 978,812 $ 978,770 $ 978,596 Jan-1995 $ 1,002,891 $ 999,813 $ 997,581 Feb-1995 $ 1,027,161 $ 1,023,709 $ 1,018,330 Mar-1995 $ 1,036,713 $ 1,035,277 $ 1,027,292 Apr-1995 $ 1,043,348 $ 1,037,347 $ 1,029,552 May-1995 $ 1,065,050 $ 1,065,563 $ 1,053,746 Jun-1995 $ 1,058,766 $ 1,061,195 $ 1,050,480 Jul-1995 $ 1,070,518 $ 1,073,717 $ 1,060,039 Aug-1995 $ 1,080,260 $ 1,086,601 $ 1,070,427 Sep-1995 $ 1,082,961 $ 1,092,578 $ 1,075,780 Oct-1995 $ 1,097,797 $ 1,103,503 $ 1,085,999 Nov-1995 $ 1,108,446 $ 1,117,187 $ 1,097,511 Dec-1995 $ 1,119,419 $ 1,124,672 $ 1,104,535 Jan-1996 $ 1,134,308 $ 1,135,244 $ 1,113,150 Feb-1996 $ 1,131,812 $ 1,131,043 $ 1,109,700 Mar-1996 $ 1,111,779 $ 1,119,620 $ 1,098,492 Apr-1996 $ 1,110,223 $ 1,117,157 $ 1,096,514 May-1996 $ 1,107,669 $ 1,116,040 $ 1,096,514 Jun-1996 $ 1,114,537 $ 1,125,526 $ 1,103,313 Jul-1996 $ 1,127,688 $ 1,135,205 $ 1,113,022 Aug-1996 $ 1,126,222 $ 1,135,659 $ 1,113,467 Sep-1996 $ 1,135,345 $ 1,146,675 $ 1,123,600 Oct-1996 $ 1,147,720 $ 1,159,059 $ 1,134,611 Nov-1996 $ 1,168,723 $ 1,178,300 $ 1,151,403 Dec-1996 $ 1,161,828 $ 1,174,529 $ 1,148,294 Jan-1997 $ 1,165,081 $ 1,178,993 $ 1,151,165 Feb-1997 $ 1,174,635 $ 1,188,778 $ 1,159,799 Mar-1997 $ 1,160,891 $ 1,175,107 $ 1,147,969 Apr-1997 $ 1,168,437 $ 1,182,863 $ 1,153,938 May-1997 $ 1,183,744 $ 1,198,122 $ 1,167,555 Jun-1997 $ 1,195,699 $ 1,209,504 $ 1,178,296 Jul-1997 $ 1,224,516 $ 1,237,927 $ 1,203,865 Aug-1997 $ 1,215,454 $ 1,228,767 $ 1,194,596 Sep-1997 $ 1,228,581 $ 1,241,792 $ 1,207,258 Oct-1997 $ 1,236,321 $ 1,248,621 $ 1,213,053 Nov-1997 $ 1,241,638 $ 1,254,115 $ 1,217,784 Dec-1997 $ 1,257,531 $ 1,269,917 $ 1,233,372 Jan-1998 $ 1,270,106 $ 1,282,616 $ 1,243,732 Feb-1998 $ 1,269,217 $ 1,283,643 $ 1,244,354 Mar-1998 $ 1,269,978 $ 1,284,413 $ 1,245,101 Apr-1998 $ 1,263,501 $ 1,279,147 $ 1,239,373 May-1998 $ 1,284,349 $ 1,297,310 $ 1,255,981 Jun-1998 $ 1,287,303 $ 1,301,981 $ 1,260,251 Jul-1998 $ 1,291,551 $ 1,305,496 $ 1,263,150 Aug-1998 $ 1,313,766 $ 1,324,165 $ 1,281,339 Sep-1998 $ 1,329,794 $ 1,339,657 $ 1,295,177 Oct-1998 $ 1,330,326 $ 1,341,801 $ 1,295,566 Nov-1998 $ 1,331,922 $ 1,345,558 $ 1,298,416 Dec-1998 $ 1,340,047 $ 1,349,729 $ 1,302,571 Jan-1999 $ 1,359,076 $ 1,367,006 $ 1,317,160 Feb-1999 $ 1,349,018 $ 1,360,991 $ 1,310,179 Mar-1999 $ 1,346,995 $ 1,361,671 $ 1,309,917 Apr-1999 $ 1,351,036 $ 1,365,620 $ 1,313,585 May-1999 $ 1,341,444 $ 1,359,065 $ 1,305,835 Jun-1999 $ 1,319,041 $ 1,341,533 $ 1,288,075 Jul-1999 $ 1,329,594 $ 1,348,643 $ 1,294,129 Aug-1999 $ 1,328,796 $ 1,344,732 $ 1,288,176 Sep-1999 $ 1,330,258 $ 1,348,229 $ 1,288,949 Oct-1999 $ 1,324,272 $ 1,340,813 $ 1,279,926 Nov-1999 $ 1,334,601 $ 1,352,747 $ 1,290,806 Dec-1999 $ 1,332,599 $ 1,346,930 $ 1,284,997 Jan-2000 $ 1,327,135 $ 1,344,505 $ 1,279,343 Feb-2000 $ 1,334,302 $ 1,354,186 $ 1,289,194 Mar-2000 $ 1,350,047 $ 1,374,769 $ 1,307,630 Apr-2000 $ 1,343,971 $ 1,370,233 $ 1,302,138 May-2000 $ 1,341,015 $ 1,365,711 $ 1,296,799 Jun-2000 $ 1,369,712 $ 1,395,620 $ 1,323,513 Jul-2000 $ 1,386,697 $ 1,411,530 $ 1,338,601 Aug-2000 $ 1,402,366 $ 1,429,315 $ 1,355,200 Sep-2000 $ 1,397,879 $ 1,425,170 $ 1,351,270 Oct-2000 $ 1,409,621 $ 1,438,139 $ 1,362,485 Nov-2000 $ 1,415,823 $ 1,446,624 $ 1,369,025 Dec-2000 $ 1,446,688 $ 1,476,136 $ 1,396,542 Jan-2001 $ 1,466,797 $ 1,494,882 $ 1,412,603 Feb-2001 $ 1,468,704 $ 1,498,769 $ 1,417,123 Mar-2001 $ 1,480,601 $ 1,510,759 $ 1,428,035 Apr-2001 $ 1,464,906 $ 1,498,371 $ 1,415,183 May-2001 $ 1,481,020 $ 1,513,505 $ 1,429,759 Jun-2001 $ 1,491,387 $ 1,522,132 $ 1,438,623 Jul-2001 $ 1,508,837 $ 1,540,397 $ 1,455,887 Aug-2001 $ 1,533,280 $ 1,563,349 $ 1,477,871 Sep-2001 $ 1,532,513 $ 1,563,036 $ 1,475,802 Oct-2001 $ 1,550,137 $ 1,578,823 $ 1,489,969 Nov-2001 $ 1,529,520 $ 1,565,245 $ 1,474,474 Dec-2001 $ 1,516,060 $ 1,554,289 $ 1,463,415 Jan-2002 $ 1,543,956 $ 1,579,934 $ 1,484,635 Feb-2002 $ 1,561,403 $ 1,598,736 $ 1,501,263 Mar-2002 $ 1,527,832 $ 1,569,159 $ 1,473,940 Apr-2002 $ 1,562,973 $ 1,601,170 $ 1,502,681 May-2002 $ 1,571,100 $ 1,610,296 $ 1,510,796 Jun-2002 $ 1,589,168 $ 1,628,010 $ 1,526,206 Jul-2002 $ 1,609,032 $ 1,647,057 $ 1,543,910 Aug-2002 $ 1,624,801 $ 1,664,846 $ 1,558,114 Sep-2002 $ 1,654,697 $ 1,695,479 $ 1,585,225 Oct-2002 $ 1,630,539 $ 1,671,912 $ 1,561,130 Nov-2002 $ 1,623,690 $ 1,665,057 $ 1,554,729 Dec-2002 $ 1,656,002 $ 1,698,025 $ 1,585,513 Jan-2003 $ 1,650,868 $ 1,695,138 $ 1,579,805 Feb-2003 $ 1,673,650 $ 1,717,853 $ 1,601,606 Mar-2003 $ 1,673,148 $ 1,718,712 $ 1,601,126 Apr-2003 $ 1,682,852 $ 1,729,024 $ 1,611,373 May-2003 $ 1,718,361 $ 1,765,334 $ 1,644,084 Jun-2003 $ 1,710,112 $ 1,758,096 $ 1,636,357 Jul-2003 $ 1,653,337 $ 1,706,056 $ 1,586,939 Aug-2003 $ 1,664,414 $ 1,718,340 $ 1,598,682 Sep-2003 $ 1,712,016 $ 1,765,766 $ 1,639,608 Oct-2003 $ 1,701,915 $ 1,754,818 $ 1,631,574 Nov-2003 $ 1,711,616 $ 1,767,804 $ 1,644,627 Dec-2003 $ 1,723,084 $ 1,780,355 $ 1,654,330 Jan-2004 $ 1,729,976 $ 1,788,367 $ 1,660,617 Feb-2004 $ 1,752,293 $ 1,814,298 $ 1,683,865 Mar-2004 $ 1,743,707 $ 1,805,590 $ 1,673,425 Apr-2004 $ 1,709,705 $ 1,767,853 $ 1,638,451 May-2004 $ 1,700,985 $ 1,763,787 $ 1,636,321 Jun-2004 $ 1,704,727 $ 1,769,784 $ 1,640,411 Jul-2004 $ 1,723,138 $ 1,790,136 $ 1,656,816 Aug-2004 $ 1,750,451 $ 1,822,359 $ 1,684,153
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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 8/31/94, 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. Returns for Class A, B and C shares prior to 12/31/03 (offering date of A, B and C shares) are calculated using the historical expenses of Select class 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 Year Maturities) Index, and Lipper Intermediate Municipal Debt Funds Index from August 31, 1994 to August 31, 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 AUGUST 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2004 (In Millions) $66.9 Primary Benchmark LEHMAN COMPETITIVE INTERMEDIATE (1-17 MATURITIES) INDEX Average Credit Quality AA+ Duration 5.9 YEARS Q: HOW DID THE FUND PERFORM? A: JPMorgan New Jersey Tax Free Income Fund, which seeks to provide a high level of after-tax income for New Jersey residents consistent with moderate risk of capital, had a total return of 5.9% (Select shares) for the one-year period ended August 31, 2004. This compares to the 6.0% return of its benchmark index, the Lehman 1-17 Competitive Intermediate Municipal Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: 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 insured paper and high-quality uninsured paper, and were underweight hospitals, airports, tobacco debt and other high-yield sectors. Although we added modestly to our holdings in state general obligations, municipalities continue to struggle with budget deficits and we remain concerned about the stability of these credits. Q: HOW WAS THE FUND MANAGED? A: We overweighted the 10- to 15-year part of the yield curve. We added modest positions in state general obligations but as municipalities continue to struggle with budget deficits, we remain concerned about the stability of these credits. We reduced our holdings in Puerto Rico and we purchased high-quality, essential service revenue issues. Taking advantage of strong retail demand, we sold issues that were appealing to the individual investor and we replaced them with quality names at attractive prices. Our focus remains on high-quality, liquid issues. CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS AAA 67.7% A+ 11.7% BBB+ 10.8% AA- 2.9% AA 2.8% AA+ 2.7% BBB 0.8% A- 0.6%
6 ANNUAL REPORT AUGUST 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 5.87% 4.55% 6.06% 5.58% With Sales Charge* 1.15% 2.95% 5.09% 5.09% --------------------------------------- CLASS B SHARES Without CDSC 5.14% 3.95% 5.69% 5.40% With CDSC** 0.17% 3.05% 5.37% 5.40% --------------------------------------- SELECT SHARES# 5.92% 4.76% 6.19% 5.64%
* 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 (08/31/94 TO 08/31/04)
JPMORGAN NEW JERSEY TAX FREE LEHMAN COMPETITIVE INTERMEDIATE LIPPER NEW JERSEY MUNICIPAL INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX DEBT FUNDS INDEX Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Sep-1994 $ 994,700 $ 989,200 $ 985,000 Oct-1994 $ 984,554 $ 977,527 $ 966,581 Nov-1994 $ 966,931 $ 963,451 $ 945,606 Dec-1994 $ 986,946 $ 978,770 $ 970,381 Jan-1995 $ 1,005,106 $ 999,813 $ 998,910 Feb-1995 $ 1,024,303 $ 1,023,709 $ 1,025,281 Mar-1995 $ 1,033,317 $ 1,035,277 $ 1,034,406 Apr-1995 $ 1,040,240 $ 1,037,347 $ 1,035,647 May-1995 $ 1,056,780 $ 1,065,563 $ 1,065,681 Jun-1995 $ 1,055,406 $ 1,061,195 $ 1,055,557 Jul-1995 $ 1,065,222 $ 1,073,717 $ 1,061,468 Aug-1995 $ 1,074,489 $ 1,086,601 $ 1,071,658 Sep-1995 $ 1,076,316 $ 1,092,578 $ 1,078,624 Oct-1995 $ 1,086,326 $ 1,103,503 $ 1,095,019 Nov-1995 $ 1,094,907 $ 1,117,187 $ 1,114,072 Dec-1995 $ 1,102,681 $ 1,124,672 $ 1,125,102 Jan-1996 $ 1,115,362 $ 1,135,244 $ 1,131,177 Feb-1996 $ 1,116,478 $ 1,131,043 $ 1,120,884 Mar-1996 $ 1,101,070 $ 1,119,620 $ 1,103,958 Apr-1996 $ 1,100,740 $ 1,117,157 $ 1,100,536 May-1996 $ 1,100,189 $ 1,116,040 $ 1,101,416 Jun-1996 $ 1,106,681 $ 1,125,526 $ 1,112,210 Jul-1996 $ 1,117,858 $ 1,135,205 $ 1,121,998 Aug-1996 $ 1,117,411 $ 1,135,659 $ 1,121,100 Sep-1996 $ 1,123,780 $ 1,146,675 $ 1,136,683 Oct-1996 $ 1,133,445 $ 1,159,059 $ 1,148,619 Nov-1996 $ 1,149,993 $ 1,178,300 $ 1,167,341 Dec-1996 $ 1,137,113 $ 1,174,529 $ 1,163,139 Jan-1997 $ 1,140,183 $ 1,178,993 $ 1,164,418 Feb-1997 $ 1,148,849 $ 1,188,778 $ 1,173,617 Mar-1997 $ 1,136,441 $ 1,175,107 $ 1,160,003 Apr-1997 $ 1,143,146 $ 1,182,863 $ 1,169,051 May-1997 $ 1,157,664 $ 1,198,122 $ 1,184,249 Jun-1997 $ 1,168,778 $ 1,209,504 $ 1,195,499 Jul-1997 $ 1,192,854 $ 1,237,927 $ 1,229,093 Aug-1997 $ 1,185,339 $ 1,228,767 $ 1,216,064 Sep-1997 $ 1,197,667 $ 1,241,792 $ 1,231,144 Oct-1997 $ 1,204,374 $ 1,248,621 $ 1,237,545 Nov-1997 $ 1,209,673 $ 1,254,115 $ 1,244,228 Dec-1997 $ 1,224,673 $ 1,269,917 $ 1,263,638 Jan-1998 $ 1,236,185 $ 1,282,616 $ 1,275,390 Feb-1998 $ 1,234,949 $ 1,283,643 $ 1,274,880 Mar-1998 $ 1,234,208 $ 1,284,413 $ 1,276,027 Apr-1998 $ 1,227,173 $ 1,279,147 $ 1,269,775 May-1998 $ 1,248,526 $ 1,297,310 $ 1,289,710 Jun-1998 $ 1,252,521 $ 1,301,981 $ 1,294,740 Jul-1998 $ 1,255,402 $ 1,305,496 $ 1,297,071 Aug-1998 $ 1,278,125 $ 1,324,165 $ 1,317,305 Sep-1998 $ 1,292,056 $ 1,339,657 $ 1,332,322 Oct-1998 $ 1,291,152 $ 1,341,801 $ 1,329,791 Nov-1998 $ 1,293,863 $ 1,345,558 $ 1,333,248 Dec-1998 $ 1,300,591 $ 1,349,729 $ 1,336,181 Jan-1999 $ 1,317,629 $ 1,367,006 $ 1,350,746 Feb-1999 $ 1,306,956 $ 1,360,991 $ 1,342,776 Mar-1999 $ 1,305,911 $ 1,361,671 $ 1,343,716 Apr-1999 $ 1,309,828 $ 1,365,620 $ 1,346,807 May-1999 $ 1,299,481 $ 1,359,065 $ 1,336,706 Jun-1999 $ 1,281,028 $ 1,341,533 $ 1,315,586 Jul-1999 $ 1,289,098 $ 1,348,643 $ 1,319,006 Aug-1999 $ 1,282,524 $ 1,344,732 $ 1,302,519 Sep-1999 $ 1,281,113 $ 1,348,229 $ 1,297,699 Oct-1999 $ 1,270,608 $ 1,340,813 $ 1,277,974 Nov-1999 $ 1,282,425 $ 1,352,747 $ 1,291,393 Dec-1999 $ 1,275,243 $ 1,346,930 $ 1,277,317 Jan-2000 $ 1,267,974 $ 1,344,505 $ 1,266,332 Feb-2000 $ 1,280,781 $ 1,354,186 $ 1,283,174 Mar-2000 $ 1,302,426 $ 1,374,769 $ 1,311,917 Apr-2000 $ 1,295,914 $ 1,370,233 $ 1,302,472 May-2000 $ 1,291,249 $ 1,365,711 $ 1,294,657 Jun-2000 $ 1,323,788 $ 1,395,620 $ 1,328,706 Jul-2000 $ 1,341,395 $ 1,411,530 $ 1,347,441 Aug-2000 $ 1,360,308 $ 1,429,315 $ 1,367,653 Sep-2000 $ 1,354,051 $ 1,425,170 $ 1,358,489 Oct-2000 $ 1,366,102 $ 1,438,139 $ 1,373,025 Nov-2000 $ 1,379,353 $ 1,446,624 $ 1,382,224 Dec-2000 $ 1,421,147 $ 1,476,136 $ 1,418,853 Jan-2001 $ 1,434,790 $ 1,494,882 $ 1,429,069 Feb-2001 $ 1,440,817 $ 1,498,769 $ 1,435,643 Mar-2001 $ 1,454,504 $ 1,510,759 $ 1,447,702 Apr-2001 $ 1,433,705 $ 1,498,371 $ 1,431,488 May-2001 $ 1,448,902 $ 1,513,505 $ 1,446,805 Jun-2001 $ 1,462,522 $ 1,522,132 $ 1,460,115 Jul-2001 $ 1,480,511 $ 1,540,397 $ 1,482,017 Aug-2001 $ 1,505,828 $ 1,563,349 $ 1,505,433 Sep-2001 $ 1,494,684 $ 1,563,036 $ 1,492,035 Oct-2001 $ 1,520,094 $ 1,578,823 $ 1,510,387 Nov-2001 $ 1,496,989 $ 1,565,245 $ 1,495,585 Dec-2001 $ 1,481,121 $ 1,554,289 $ 1,482,424 Jan-2002 $ 1,508,669 $ 1,579,934 $ 1,507,032 Feb-2002 $ 1,528,131 $ 1,598,736 $ 1,526,171 Mar-2002 $ 1,495,124 $ 1,569,159 $ 1,498,853 Apr-2002 $ 1,529,810 $ 1,601,170 $ 1,526,132 May-2002 $ 1,540,213 $ 1,610,296 $ 1,535,594 Jun-2002 $ 1,556,848 $ 1,628,010 $ 1,548,647 Jul-2002 $ 1,576,775 $ 1,647,057 $ 1,568,159 Aug-2002 $ 1,593,647 $ 1,664,846 $ 1,583,527 Sep-2002 $ 1,627,273 $ 1,695,479 $ 1,612,981 Oct-2002 $ 1,596,029 $ 1,671,912 $ 1,580,883 Nov-2002 $ 1,583,101 $ 1,665,057 $ 1,575,824 Dec-2002 $ 1,622,045 $ 1,698,025 $ 1,609,704 Jan-2003 $ 1,613,935 $ 1,695,138 $ 1,603,426 Feb-2003 $ 1,638,951 $ 1,717,853 $ 1,625,233 Mar-2003 $ 1,640,590 $ 1,718,712 $ 1,624,745 Apr-2003 $ 1,653,223 $ 1,729,024 $ 1,638,393 May-2003 $ 1,694,884 $ 1,765,334 $ 1,673,619 Jun-2003 $ 1,686,748 $ 1,758,096 $ 1,664,748 Jul-2003 $ 1,622,315 $ 1,706,056 $ 1,609,312 Aug-2003 $ 1,634,806 $ 1,718,340 $ 1,620,738 Sep-2003 $ 1,685,976 $ 1,765,766 $ 1,662,716 Oct-2003 $ 1,674,174 $ 1,754,818 $ 1,657,727 Nov-2003 $ 1,688,237 $ 1,767,804 $ 1,676,625 Dec-2003 $ 1,701,743 $ 1,780,355 $ 1,689,033 Jan-2004 $ 1,709,571 $ 1,788,367 $ 1,696,295 Feb-2004 $ 1,735,728 $ 1,814,298 $ 1,721,570 Mar-2004 $ 1,723,057 $ 1,805,590 $ 1,711,241 Apr-2004 $ 1,679,463 $ 1,767,853 $ 1,672,738 May-2004 $ 1,671,738 $ 1,763,787 $ 1,665,545 Jun-2004 $ 1,676,084 $ 1,769,784 $ 1,670,209 Jul-2004 $ 1,699,550 $ 1,790,136 $ 1,689,082 Aug-2004 $ 1,731,539 $ 1,822,359 $ 1,717,121
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND 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 THAT 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 08/31/94, 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 August 31, 1994 to August 31, 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 AUGUST 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2004 (In Millions) $677.9 Primary Benchmark LEHMAN NY COMPETITIVE INTERMEDIATE (1-17 YEAR MATURITIES) INDEX Average Credit Quality AA Duration 5.2 YEARS Q: HOW DID THE FUND PERFORM? A: JPMorgan New York Intermediate Tax Free Income Fund, which seeks to provide current income exempt from federal and from New York personal income taxes, had a total return of 5.6% (Select Shares) for the one-year period ended August 31, 2004. This compares with the 6.0% return of its benchmark index, the Lehman NY Competitive Intermediate (1-17 Year Maturities) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed during the period because it was overweight high-quality issues at a time when lower-quality sectors outperformed. We were overweight insured paper and high-quality uninsured paper, and were underweight hospitals, airports, tobacco debt and other high-yield sectors. We also made what we consider a prudent decision to avoid the risks specific to airport and tobacco debt. As municipalities continue to struggle with budget deficits, we remain concerned about the stability of these credits. We plan to maintain our high-quality bias. Q: HOW WAS THE FUND MANAGED? A: We overweighted the 10- to 15-year part of the yield curve. As spreads tightened on New York issues, we increased our holdings of Puerto Rico bonds and we 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. CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS AAA 62.6% AA 10.5% A- 6.1% A 5.5% AA- 4.5% BBB+ 4.4% BBB 2.5% AA+ 2.5% A+ 0.6% Not Rated 0.5% BBB- 0.3%
8 ANNUAL REPORT AUGUST 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 5.57% 4.25% 5.66% 5.60% With Sales Charge* 0.77% 2.65% 4.68% 5.12% --------------------------------------- CLASS B SHARES Without CDSC 4.73% 3.37% 5.06% 5.30% With CDSC** (0.27%) 2.43% 4.73% 5.30% --------------------------------------- CLASS C SHARES Without CDSC 4.73% 3.37% 5.05% 5.30% With CDSC*** 3.73% 3.37% 5.05% 5.30% --------------------------------------- INSTITUTIONAL SHARES 5.82% 4.48% 5.83% 5.69% --------------------------------------- SELECT SHARES# 5.60% 4.29% 5.72% 5.63%
* 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 (08/31/94 TO 08/31/04)
JPMORGAN NEW YORK INTERMEDIATE TAX LEHMAN NY COMPETITIVE INTERMEDIATE LIPPER NEW YORK INTERMEDIATE FREE INCOME FUND (SELECT SHARES) (1-17 MATURITIES) INDEX MUNICIPAL DEBT FUNDS AVERAGE Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Sep-1994 $ 984,600 $ 988,600 $ 987,900 Oct-1994 $ 969,043 $ 976,045 $ 974,069 Nov-1994 $ 944,720 $ 962,478 $ 956,147 Dec-1994 $ 966,732 $ 978,840 $ 973,644 Jan-1995 $ 984,327 $ 993,522 $ 992,143 Feb-1995 $ 1,013,857 $ 1,017,566 $ 1,016,352 Mar-1995 $ 1,022,880 $ 1,028,250 $ 1,024,482 Apr-1995 $ 1,029,120 $ 1,031,232 $ 1,026,531 May-1995 $ 1,057,626 $ 1,059,591 $ 1,051,887 Jun-1995 $ 1,047,367 $ 1,055,141 $ 1,048,100 Jul-1995 $ 1,058,155 $ 1,066,958 $ 1,057,533 Aug-1995 $ 1,067,467 $ 1,081,256 $ 1,069,271 Sep-1995 $ 1,073,872 $ 1,086,229 $ 1,073,121 Oct-1995 $ 1,087,939 $ 1,099,481 $ 1,083,637 Nov-1995 $ 1,105,129 $ 1,114,984 $ 1,095,449 Dec-1995 $ 1,116,180 $ 1,122,566 $ 1,102,350 Jan-1996 $ 1,122,654 $ 1,132,444 $ 1,110,508 Feb-1996 $ 1,119,847 $ 1,127,348 $ 1,105,066 Mar-1996 $ 1,103,050 $ 1,117,879 $ 1,094,347 Apr-1996 $ 1,098,527 $ 1,116,649 $ 1,091,502 May-1996 $ 1,098,747 $ 1,115,086 $ 1,090,083 Jun-1996 $ 1,106,768 $ 1,125,122 $ 1,098,476 Jul-1996 $ 1,121,156 $ 1,136,035 $ 1,107,923 Aug-1996 $ 1,119,810 $ 1,135,808 $ 1,106,705 Sep-1996 $ 1,131,232 $ 1,149,778 $ 1,117,882 Oct-1996 $ 1,142,658 $ 1,161,621 $ 1,128,055 Nov-1996 $ 1,162,197 $ 1,180,904 $ 1,145,653 Dec-1996 $ 1,151,040 $ 1,177,952 $ 1,141,528 Jan-1997 $ 1,154,954 $ 1,182,075 $ 1,143,241 Feb-1997 $ 1,164,886 $ 1,192,004 $ 1,152,158 Mar-1997 $ 1,151,956 $ 1,179,488 $ 1,140,060 Apr-1997 $ 1,160,826 $ 1,188,334 $ 1,147,015 May-1997 $ 1,176,265 $ 1,204,852 $ 1,161,582 Jun-1997 $ 1,186,499 $ 1,217,021 $ 1,172,384 Jul-1997 $ 1,216,992 $ 1,247,690 $ 1,200,287 Aug-1997 $ 1,203,970 $ 1,238,083 $ 1,190,325 Sep-1997 $ 1,216,009 $ 1,251,206 $ 1,201,990 Oct-1997 $ 1,223,184 $ 1,258,839 $ 1,207,519 Nov-1997 $ 1,230,156 $ 1,264,629 $ 1,212,349 Dec-1997 $ 1,248,116 $ 1,280,817 $ 1,228,110 Jan-1998 $ 1,258,725 $ 1,293,113 $ 1,238,672 Feb-1998 $ 1,258,474 $ 1,294,535 $ 1,239,539 Mar-1998 $ 1,258,599 $ 1,296,736 $ 1,239,786 Apr-1998 $ 1,251,551 $ 1,289,474 $ 1,232,224 May-1998 $ 1,272,702 $ 1,310,621 $ 1,251,200 Jun-1998 $ 1,276,139 $ 1,316,257 $ 1,255,329 Jul-1998 $ 1,281,499 $ 1,319,021 $ 1,257,463 Aug-1998 $ 1,304,694 $ 1,338,543 $ 1,276,577 Sep-1998 $ 1,322,438 $ 1,354,070 $ 1,291,640 Oct-1998 $ 1,318,867 $ 1,357,049 $ 1,291,123 Nov-1998 $ 1,320,450 $ 1,360,713 $ 1,293,060 Dec-1998 $ 1,328,636 $ 1,364,931 $ 1,297,844 Jan-1999 $ 1,346,972 $ 1,383,221 $ 1,313,159 Feb-1999 $ 1,337,273 $ 1,376,720 $ 1,305,411 Mar-1999 $ 1,335,401 $ 1,377,271 $ 1,304,106 Apr-1999 $ 1,338,873 $ 1,381,816 $ 1,307,366 May-1999 $ 1,329,367 $ 1,374,906 $ 1,299,261 Jun-1999 $ 1,306,502 $ 1,357,170 $ 1,279,902 Jul-1999 $ 1,315,648 $ 1,364,227 $ 1,285,661 Aug-1999 $ 1,309,727 $ 1,361,363 $ 1,279,361 Sep-1999 $ 1,311,430 $ 1,364,494 $ 1,279,873 Oct-1999 $ 1,301,594 $ 1,355,897 $ 1,267,330 Nov-1999 $ 1,314,220 $ 1,369,185 $ 1,280,130 Dec-1999 $ 1,310,014 $ 1,363,298 $ 1,272,962 Jan-2000 $ 1,305,167 $ 1,359,617 $ 1,267,233 Feb-2000 $ 1,317,436 $ 1,370,494 $ 1,278,385 Mar-2000 $ 1,336,275 $ 1,390,914 $ 1,301,268 Apr-2000 $ 1,330,930 $ 1,386,046 $ 1,293,851 May-2000 $ 1,326,138 $ 1,381,333 $ 1,287,770 Jun-2000 $ 1,354,518 $ 1,412,966 $ 1,318,547 Jul-2000 $ 1,371,314 $ 1,428,932 $ 1,334,370 Aug-2000 $ 1,390,101 $ 1,446,651 $ 1,352,651 Sep-2000 $ 1,383,011 $ 1,443,035 $ 1,346,699 Oct-2000 $ 1,396,012 $ 1,456,599 $ 1,359,897 Nov-2000 $ 1,404,946 $ 1,465,193 $ 1,367,240 Dec-2000 $ 1,440,070 $ 1,495,083 $ 1,399,644 Jan-2001 $ 1,457,207 $ 1,513,622 $ 1,415,460 Feb-2001 $ 1,459,830 $ 1,516,044 $ 1,417,158 Mar-2001 $ 1,470,924 $ 1,530,295 $ 1,429,204 Apr-2001 $ 1,455,627 $ 1,520,654 $ 1,415,198 May-2001 $ 1,472,949 $ 1,536,164 $ 1,430,341 Jun-2001 $ 1,483,996 $ 1,544,306 $ 1,438,494 Jul-2001 $ 1,499,133 $ 1,562,220 $ 1,455,756 Aug-2001 $ 1,524,468 $ 1,586,278 $ 1,478,757 Sep-2001 $ 1,512,425 $ 1,578,347 $ 1,467,814 Oct-2001 $ 1,529,364 $ 1,593,972 $ 1,482,052 Nov-2001 $ 1,513,000 $ 1,581,858 $ 1,467,824 Dec-2001 $ 1,499,685 $ 1,571,576 $ 1,455,934 Jan-2002 $ 1,527,279 $ 1,598,136 $ 1,479,812 Feb-2002 $ 1,545,912 $ 1,618,752 $ 1,498,309 Mar-2002 $ 1,514,839 $ 1,589,129 $ 1,469,692 Apr-2002 $ 1,546,954 $ 1,621,070 $ 1,498,204 May-2002 $ 1,549,584 $ 1,627,230 $ 1,504,496 Jun-2002 $ 1,567,094 $ 1,645,618 $ 1,519,692 Jul-2002 $ 1,584,959 $ 1,663,226 $ 1,682,299 Aug-2002 $ 1,600,808 $ 1,682,020 $ 1,700,972 Sep-2002 $ 1,633,465 $ 1,711,960 $ 1,733,121 Oct-2002 $ 1,607,983 $ 1,688,164 $ 1,706,084 Nov-2002 $ 1,595,280 $ 1,678,879 $ 1,695,336 Dec-2002 $ 1,630,855 $ 1,712,793 $ 1,731,446 Jan-2003 $ 1,624,820 $ 1,710,908 $ 1,721,923 Feb-2003 $ 1,648,868 $ 1,733,664 $ 1,746,547 Mar-2003 $ 1,645,075 $ 1,733,837 $ 1,743,578 Apr-2003 $ 1,656,426 $ 1,744,067 $ 1,755,608 May-2003 $ 1,694,359 $ 1,779,994 $ 1,793,178 Jun-2003 $ 1,685,887 $ 1,772,696 $ 1,781,702 Jul-2003 $ 1,624,352 $ 1,722,352 $ 1,724,331 Aug-2003 $ 1,637,996 $ 1,735,097 $ 1,738,471 Sep-2003 $ 1,687,136 $ 1,782,465 $ 1,784,366 Oct-2003 $ 1,674,145 $ 1,772,305 $ 1,772,946 Nov-2003 $ 1,687,706 $ 1,786,129 $ 1,788,548 Dec-2003 $ 1,699,014 $ 1,797,382 $ 1,799,458 Jan-2004 $ 1,706,319 $ 1,805,470 $ 1,803,057 Feb-2004 $ 1,731,402 $ 1,830,566 $ 1,829,202 Mar-2004 $ 1,717,897 $ 1,821,779 $ 1,812,922 Apr-2004 $ 1,678,729 $ 1,786,255 $ 1,774,850 May-2004 $ 1,674,029 $ 1,782,146 $ 1,772,188 Jun-2004 $ 1,678,549 $ 1,787,849 $ 1,776,264 Jul-2004 $ 1,697,181 $ 1,808,052 $ 1,794,382 Aug-2004 $ 1,729,561 $ 1,839,874 $ 1,822,913
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND 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 THAT 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 08/31/94, 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 August 31, 1994 to August 31, 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 AUGUST 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End AUGUST 31 Net Assets as of 8/31/2004 (In Millions) $657.0 Primary Benchmark LEHMAN MUNICIPAL BOND INDEX Average Credit Quality AA+ Duration 7.2 YEARS Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Free Income Fund, which seeks to provide current income that is exempt from federal income taxes, had a total return of 6.8% (Select Shares) for the one-year period ended August 31, 2004. This compares with a 7.0% return for its benchmark index, the Lehman Municipal Bond Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund underperformed during the period because it was overweight high-quality issues at a time when lower-quality sectors outperformed. We were overweight 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. Our holdings in specialty state paper performed well as demand grew during the July reinvestment period. We overweighted the intermediate part of the yield curve, a position that outperformed. Q: HOW WAS THE FUND MANAGED? A: We were overweight the 10- to 15-year part of the yield curve. Because of historically tight spreads, we sold callable paper and overweighted issues that could not be called. We also added specialty state paper, but our focus remains on high-quality, liquid issues. CREDIT QUALITY ALLOCATIONS AT AUGUST 31, 2004 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS AAA 56.0% A+ 10.8% AA- 10.0% AA 9.3% BBB+ 4.1% A 3.9% A- 3.2% Not Rated 1.3% AA+ 1.1% BBB 0.3% BBB- 0.0%
10 ANNUAL REPORT AUGUST 31 2004 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------- CLASS A SHARES Without Sales Charge 6.81% 4.85% 6.11% 5.95% With Sales Charge* 1.94% 3.25% 5.14% 5.47% --------------------------------------- CLASS B SHARES Without CDSC 5.88% 3.88% 5.45% 5.63% With CDSC** 0.88% 2.94% 5.13% 5.63% --------------------------------------- SELECT SHARES# 6.82% 4.84% 6.11% 5.95%
* 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 (08/31/94 TO 08/31/04)
JPMORGAN TAX FREE INCOME LEHMAN MUNICIPAL LIPPER GENERAL MUNICIPAL FUND (SELECT SHARES) BOND INDEX DEBT FUNDS INDEX Aug-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Sep-1994 $ 991,500 $ 985,300 $ 984,500 Oct-1994 $ 977,322 $ 967,762 $ 965,696 Nov-1994 $ 955,039 $ 950,245 $ 945,803 Dec-1994 $ 980,252 $ 971,151 $ 968,786 Jan-1995 $ 1,002,307 $ 998,925 $ 998,237 Feb-1995 $ 1,025,260 $ 1,027,994 $ 1,027,984 Mar-1995 $ 1,036,128 $ 1,039,816 $ 1,037,442 Apr-1995 $ 1,043,692 $ 1,041,064 $ 1,037,442 May-1995 $ 1,065,400 $ 1,074,274 $ 1,070,536 Jun-1995 $ 1,058,901 $ 1,064,928 $ 1,058,546 Jul-1995 $ 1,067,479 $ 1,075,044 $ 1,065,427 Aug-1995 $ 1,074,417 $ 1,088,698 $ 1,077,573 Sep-1995 $ 1,077,963 $ 1,095,556 $ 1,084,361 Oct-1995 $ 1,094,240 $ 1,111,442 $ 1,101,494 Nov-1995 $ 1,108,027 $ 1,129,892 $ 1,123,414 Dec-1995 $ 1,121,878 $ 1,140,739 $ 1,136,333 Jan-1996 $ 1,130,628 $ 1,149,408 $ 1,141,788 Feb-1996 $ 1,130,741 $ 1,141,592 $ 1,133,567 Mar-1996 $ 1,111,745 $ 1,126,980 $ 1,116,223 Apr-1996 $ 1,108,299 $ 1,123,825 $ 1,111,535 May-1996 $ 1,108,299 $ 1,123,375 $ 1,112,202 Jun-1996 $ 1,117,941 $ 1,135,620 $ 1,122,545 Jul-1996 $ 1,127,779 $ 1,145,954 $ 1,132,199 Aug-1996 $ 1,129,583 $ 1,145,725 $ 1,131,633 Sep-1996 $ 1,143,929 $ 1,161,765 $ 1,148,947 Oct-1996 $ 1,157,313 $ 1,174,893 $ 1,161,700 Nov-1996 $ 1,177,103 $ 1,196,393 $ 1,182,030 Dec-1996 $ 1,167,686 $ 1,191,369 $ 1,177,066 Jan-1997 $ 1,167,686 $ 1,193,632 $ 1,176,948 Feb-1997 $ 1,176,911 $ 1,204,614 $ 1,187,305 Mar-1997 $ 1,161,964 $ 1,188,592 $ 1,172,701 Apr-1997 $ 1,173,235 $ 1,198,576 $ 1,182,786 May-1997 $ 1,190,130 $ 1,216,555 $ 1,199,819 Jun-1997 $ 1,201,317 $ 1,229,572 $ 1,213,976 Jul-1997 $ 1,237,236 $ 1,263,631 $ 1,250,396 Aug-1997 $ 1,224,122 $ 1,251,753 $ 1,236,141 Sep-1997 $ 1,239,178 $ 1,266,649 $ 1,251,717 Oct-1997 $ 1,246,861 $ 1,274,756 $ 1,259,978 Nov-1997 $ 1,254,342 $ 1,282,277 $ 1,267,160 Dec-1997 $ 1,273,659 $ 1,300,998 $ 1,287,688 Jan-1998 $ 1,287,287 $ 1,314,398 $ 1,300,050 Feb-1998 $ 1,286,772 $ 1,314,792 $ 1,300,050 Mar-1998 $ 1,286,901 $ 1,315,976 $ 1,301,350 Apr-1998 $ 1,278,665 $ 1,310,054 $ 1,293,411 May-1998 $ 1,302,448 $ 1,330,753 $ 1,314,365 Jun-1998 $ 1,306,095 $ 1,335,943 $ 1,319,096 Jul-1998 $ 1,310,013 $ 1,339,283 $ 1,321,735 Aug-1998 $ 1,334,117 $ 1,360,041 $ 1,342,354 Sep-1998 $ 1,351,995 $ 1,377,042 $ 1,358,328 Oct-1998 $ 1,347,803 $ 1,377,042 $ 1,353,438 Nov-1998 $ 1,351,443 $ 1,381,862 $ 1,358,039 Dec-1998 $ 1,356,308 $ 1,385,316 $ 1,360,484 Jan-1999 $ 1,374,618 $ 1,401,801 $ 1,375,313 Feb-1999 $ 1,365,545 $ 1,395,634 $ 1,367,611 Mar-1999 $ 1,363,361 $ 1,397,587 $ 1,368,158 Apr-1999 $ 1,369,223 $ 1,401,081 $ 1,371,989 May-1999 $ 1,358,543 $ 1,392,955 $ 1,362,248 Jun-1999 $ 1,334,904 $ 1,372,897 $ 1,340,725 Jul-1999 $ 1,338,909 $ 1,377,839 $ 1,343,138 Aug-1999 $ 1,325,788 $ 1,366,816 $ 1,327,155 Sep-1999 $ 1,323,136 $ 1,367,363 $ 1,323,704 Oct-1999 $ 1,307,656 $ 1,352,595 $ 1,305,305 Nov-1999 $ 1,321,778 $ 1,366,933 $ 1,317,705 Dec-1999 $ 1,312,129 $ 1,356,681 $ 1,305,187 Jan-2000 $ 1,306,618 $ 1,350,847 $ 1,294,745 Feb-2000 $ 1,322,559 $ 1,366,517 $ 1,313,131 Mar-2000 $ 1,350,333 $ 1,396,444 $ 1,341,888 Apr-2000 $ 1,342,096 $ 1,388,205 $ 1,332,629 May-2000 $ 1,332,164 $ 1,380,986 $ 1,323,701 Jun-2000 $ 1,366,401 $ 1,417,582 $ 1,357,852 Jul-2000 $ 1,387,580 $ 1,437,287 $ 1,376,726 Aug-2000 $ 1,406,590 $ 1,459,421 $ 1,398,341 Sep-2000 $ 1,398,572 $ 1,451,832 $ 1,389,671 Oct-2000 $ 1,413,257 $ 1,467,657 $ 1,404,124 Nov-2000 $ 1,425,553 $ 1,478,811 $ 1,413,391 Dec-2000 $ 1,465,326 $ 1,515,338 $ 1,449,856 Jan-2001 $ 1,475,436 $ 1,530,340 $ 1,460,730 Feb-2001 $ 1,482,814 $ 1,535,237 $ 1,467,596 Mar-2001 $ 1,493,193 $ 1,549,054 $ 1,479,923 Apr-2001 $ 1,466,465 $ 1,532,324 $ 1,459,205 May-2001 $ 1,483,769 $ 1,548,873 $ 1,475,839 Jun-2001 $ 1,496,233 $ 1,559,251 $ 1,488,089 Jul-2001 $ 1,518,078 $ 1,582,327 $ 1,511,601 Aug-2001 $ 1,547,073 $ 1,608,436 $ 1,538,810 Sep-2001 $ 1,538,100 $ 1,602,967 $ 1,526,191 Oct-2001 $ 1,559,941 $ 1,622,042 $ 1,542,064 Nov-2001 $ 1,539,038 $ 1,608,417 $ 1,526,335 Dec-2001 $ 1,520,570 $ 1,593,137 $ 1,510,155 Jan-2002 $ 1,547,788 $ 1,620,699 $ 1,533,714 Feb-2002 $ 1,569,921 $ 1,640,309 $ 1,552,272 Mar-2002 $ 1,532,557 $ 1,608,159 $ 1,522,779 Apr-2002 $ 1,567,040 $ 1,639,518 $ 1,550,493 May-2002 $ 1,575,031 $ 1,649,519 $ 1,560,106 Jun-2002 $ 1,592,672 $ 1,667,004 $ 1,575,083 Jul-2002 $ 1,615,606 $ 1,688,508 $ 1,595,244 Aug-2002 $ 1,633,863 $ 1,708,771 $ 1,610,878 Sep-2002 $ 1,676,180 $ 1,746,193 $ 1,645,189 Oct-2002 $ 1,639,639 $ 1,717,206 $ 1,610,147 Nov-2002 $ 1,627,506 $ 1,709,994 $ 1,604,189 Dec-2002 $ 1,667,705 $ 1,746,074 $ 1,640,284 Jan-2003 $ 1,658,199 $ 1,741,709 $ 1,630,114 Feb-2003 $ 1,683,570 $ 1,766,093 $ 1,654,892 Mar-2003 $ 1,684,411 $ 1,767,153 $ 1,652,244 Apr-2003 $ 1,695,192 $ 1,778,816 $ 1,667,114 May-2003 $ 1,739,097 $ 1,820,440 $ 1,706,791 Jun-2003 $ 1,726,749 $ 1,812,612 $ 1,697,916 Jul-2003 $ 1,655,607 $ 1,749,171 $ 1,640,017 Aug-2003 $ 1,668,687 $ 1,762,290 $ 1,652,153 Sep-2003 $ 1,722,752 $ 1,814,101 $ 1,700,727 Oct-2003 $ 1,712,760 $ 1,805,031 $ 1,694,434 Nov-2003 $ 1,728,346 $ 1,823,803 $ 1,713,581 Dec-2003 $ 1,741,827 $ 1,838,940 $ 1,727,632 Jan-2004 $ 1,747,750 $ 1,849,422 $ 1,733,506 Feb-2004 $ 1,774,490 $ 1,877,349 $ 1,760,722 Mar-2004 $ 1,761,714 $ 1,870,778 $ 1,750,510 Apr-2004 $ 1,721,899 $ 1,826,441 $ 1,711,299 May-2004 $ 1,714,323 $ 1,819,865 $ 1,705,823 Jun-2004 $ 1,722,552 $ 1,826,417 $ 1,711,622 Jul-2004 $ 1,744,256 $ 1,850,343 $ 1,732,504 Aug-2004 $ 1,782,799 $ 1,887,350 $ 1,764,902
SOURCE: LIPPER, INC. THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND 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 THAT 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 08/31/94, 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 August 31, 1994 to August 31, 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 AUGUST 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- 93.8% STATE AND MUNICIPAL OBLIGATIONS -- 93.8% CALIFORNIA -- 79.6% $ 3,135 Anaheim Public Financing Authority, Distribution System, Second Lien, Rev., MBIA, 5.25%, 10/01/16 + $ 3,520 260 Burlingame Financing Authority, Rev., 4.75%, 10/15/11 + 285 140 California Educational Facilities Authority, Dominican University, Rev., 4.85%, 12/01/06 147 667 California Educational Facilities Authority, Rev., 1.73%, 05/01/28 + 666 750 California Educational Facilities Authority, Stanford University, Ser. P, Rev., 5.25%, 12/01/13 857 1,100 California Educational Facilities Authority, University of Southern California, Ser. A, Rev., 5.60%, 10/01/06 1,188 2,000 California Infrastructure & Economic Development Bank, Workers Compensation Relief, Ser. A, Rev., AMBAC, 5.00%, 10/01/09 2,224 1,460 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., 7.00%, 12/01/12 1,821 540 California State Department of Water Resources, Central Valley Project, Ser. J-3, Rev., (p), 7.00%, 12/01/12 687 3,235 California State Department of Water Resources, Rev., 5.50%, 12/01/08 3,654 100 California State Public Works Board, Department of Mental Health, Coalinga State Hospital, Ser. A, Rev., 5.25%, 06/01/12 111 4,148 California State University, California State Polytechnic University Pamona, Campus Energy Project, Tax Exempt Master Lease, Rev., 5.06%, 03/15/14 4,338 3,620 California State, Economic Recovery, Ser. B, GO, Adj., 5.00%, 07/01/23 3,909 120 California State, GO, (p), MBIA-IBC, 6.25%, 10/01/19 120 $ 1,435 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 07/01/09 $ 1,606 1,840 Calleguas-Las Virgines Public Financing Authority, Water District, Ser. B, Rev., MBIA, 5.25%, 07/01/13 2,085 490 Carson Redevelopment Agency, Redevelopment Project Area No. 1, Tax Allocation, MBIA, 5.50%, 10/01/14 566 150 Coachella Valley Recreation & Park District, Improvement Bond Act of 1915, Reassessment District 1, Special Assessment, MBIA, 4.63%, 09/02/10 165 1,000 Colton Public Financing Authority, Tax Allocation, Ser. A, Rev., MBIA, 5.00%, 08/01/18 1,064 1,500 Contra Costa Transportation Authority, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 03/01/06 1,597 2,505 Corona Community Facilities District, No. 97-2, Eagle Glen, Special Tax, 5.75%, 09/01/16 2,588 3,825 El Dorado Irrigation District & El Dorado Water Agency, COP, Ser. A, FGIC, 5.00%, 03/01/13 4,233 1,000 Fallbrook Union High School District, San Diego County, GO, FGIC, 5.38%, 09/01/12 1,144 1,000 Foothill Eastern Transportation Corridor Agency, California Toll Road, Senior Lien, Ser. A, Rev., (p), 6.00%, 01/01/07 1,097 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 07/01/10 114 100 Fullerton University Foundation, Ser. A, Rev., MBIA, 5.50%, 07/01/11 113 545 Golden West Schools Financing Authority, Ser. A, Rev., MBIA, 5.80%, 02/01/16 644 1,000 Long Beach, California, Long Beach Harbor, Rev., MBIA, 6.00%, 05/15/06 1,050
SEE NOTES TO FINANCIAL STATEMENTS. 12 ANNUAL REPORT AUGUST 31 2004
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 500 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/11 $ 569 1,395 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/13 1,575 1,000 Los Angeles County Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, AMBAC, 5.63%, 09/01/14 1,128 1,000 Los Angeles County Public Works Financing Authority, Multiple Capital Facilities Project, Ser. B, Rev., AMBAC, 6.00%, 12/01/07 1,127 1,405 Los Angeles Unified School District, COP, Ser. B, FSA, 5.00%, 10/01/06 1,499 125 Los Angeles Unified School District, Ser. A, GO, FGIC, 6.00%, 07/01/15 150 1,300 Los Angeles, California, American Academy of Dramatic Arts, COP, Ser. A, Adj., 4.70%, 11/01/30 1,348 1,000 Los Angeles, California, Ser. A, GO, 5.25%, 09/01/11 1,132 5,110 Los Angeles, California, Sonnenblick Del Rio, West Los Angeles, COP, AMBAC, 6.13%, 11/01/15 5,923 1,000 Los Angeles, California, Water & Power Systems, Ser. B, Rev., FSA, 5.13%, 07/01/16 @ 1,103 1,000 Modesto Irrigation District Financing Authority, Ser. A, Rev., MBIA, 5.45%, 10/01/07 1,096 1,385 Mountain View/Santa Clara County, Capital Projects, COP, 5.25%, 08/01/16 1,533 560 Northern California Power Agency, Public Power, Ser. A, Rev., AMBAC, 5.80%, 07/01/09 641 2,000 Orange County Public Financing Authority, Waste Management Systems, Rev., AMBAC, 5.75%, 12/01/09 2,268 $ 600 Pacifica, California, Street Improvement Project, COP, AMBAC, 5.75%, 11/01/19 $ 679 500 Pomona Public Financing Authority, Southwest Pomona Redevelopment Project, Ser. W, Rev., MBIA, 5.00%, 02/01/18 530 425 Port of Oakland, Ser. K, Rev., FGIC, 5.25%, 11/01/07 463 360 Rancho Water District Financing Authority, Ser. A, Rev., FSA, 5.50%, 08/01/10 411 1,210 Richmond, California, Taxable Limited Obligation Pension, Ser. A, GO, MBIA, 7.02%, 08/01/05 1,261 35 Richmond, California, Wastewater, Rev., FGIC, 5.20%, 08/01/11 39 1,250 Riverside County Transportation Commission, Sales Tax, Ser. A, Rev., FGIC, 6.00%, 06/01/09 1,440 250 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.25%, 12/01/12 278 150 Sacramento County Sanitation District, Financing Authority, Ser. A, Rev., 5.75%, 12/01/10 173 1,000 San Bernardino, California, Single Family Mortgage, Ser. A, Rev., (p), 7.50%, 05/01/23 1,317 1,200 San Diego County Regional Transportation Commission, Sales Tax, 2nd Ser., Ser. A, Rev., AMBAC, 6.00%, 04/01/06 1,282 1,000 San Francisco City & County Airports Commission, Issue 15-B, 2nd Ser., Rev., FSA, 5.50%, 05/01/06 1,062 1,170 San Francisco City & County Airports Commission, Issue 27-B, 2nd Ser., Adj., Rev., FGIC, 5.25%, 05/01/13 1,291 2,500 San Jose Financing Authority, Civic Center Project, Ser. D, Adj., Rev., AMBAC, 5.00%, 06/01/39 2,646 990 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, (p), MBIA, 6.00%, 08/01/15 1,202
SEE NOTES TO FINANCIAL STATEMENTS. 13
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,240 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 08/01/07 $ 1,380 2,010 San Jose Redevelopment Agency, Merged Area Redevelopment Project, Tax Allocation, MBIA, 6.00%, 08/01/15 2,407 4,000 San Marcos University Corp., Auxiliary Organization, Rev., Adj., 3.35%, 07/01/32 4,047 585 San Mateo County Community College District, Election of 2001, Ser. A, GO, FGIC, 5.38%, 09/01/19 644 250 San Mateo County Joint Powers Authority, Capital Projects Program, Rev., MBIA, 6.50%, 07/01/15 310 1,700 Santa Ana Financing Authority, Police Administration & Holding Facility, Ser. A, Rev., MBIA, 6.25%, 07/01/24 2,038 1,000 Santa Clara County Financing Authority, Ser. A, Rev., AMBAC, 5.75%, 11/15/13 1,177 2,505 South Bayside Waste Management Authority, Solid Waste System, Rev., AMBAC, 6.13%, 03/01/17 2,865 1,310 South Orange County Public Financing Authority, Foothill Area, Ser. A, Special Tax, FGIC, 5.25%, 08/15/18 1,448 5,000 South Orange County Public Financing Authority, Senior Lien, Ser. A, Special Tax, MBIA, 5.00%, 09/01/12 5,551 1,000 Turlock Irrigation District, Ser. A, Rev., MBIA, 6.00%, 01/01/07 1,092 1,000 University of California, UC Medical Center, Rev., AMBAC, 10.00%, 07/01/06 1,144 4,000 Walnut Valley Unified School District, Ser. A, GO, MBIA, 7.20%, 02/01/16 4,971 ------------------------------------------------------------------------------------- 105,833 ------------------------------------------------------------------------------------- CONNECTICUT -- 2.0% 2,040 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.20%, 12/15/09 2,626 MICHIGAN -- 1.6% $ 2,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.30%, 11/15/33 $ 2,139 NEW JERSEY -- 0.8% 1,000 Garden State Preservation Trust, Open Space & Farmland, Ser. A, Rev., FSA, 5.80%, 11/01/21 1,101 NEW YORK -- 0.8% 1,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 1,041 PUERTO RICO -- 8.0% 115 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/07 123 1,280 Puerto Rico Commonwealth, Public Improvement, GO, (p), MBIA-IBC, 3.00%, 07/01/06 1,285 2,500 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 2,696 3,000 Puerto Rico Electric Power Authority, Ser. BB, Rev., MBIA, 6.00%, 07/01/11 3,546 125 Puerto Rico Electric Power Authority, Ser. Z, Rev., 5.10%, 07/01/06 131 420 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 490 500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 5.75%, 08/01/13 570 1,500 Puerto Rico Public Finance Corp., Ser. A, Rev., (p), MBIA, 5.50%, 08/01/11 1,734 ------------------------------------------------------------------------------------- 10,575 ------------------------------------------------------------------------------------- SOUTH CAROLINA -- 0.7% 1,000 Charleston County, GO, MBIA-IBC, 3.00%, 09/01/14 947
SEE NOTES TO FINANCIAL STATEMENTS. 14
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED VIRGIN ISLANDS -- 0.3% $ 345 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 $ 372 ------------------------------------------------------------------------------------- Total State and Municipal Obligations 124,634 (Cost $117,098) ------------------------------------------------------------------------------------- SHARES ISSUER VALUE ------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENT -- 6.2% MONEY MARKET FUND -- 6.2% 8,173 JPMorgan Tax Free Money Market Fund (a) $ 8,173 (Cost $8,173) ------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 132,807 (COST $125,271) -------------------------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD) ----------------------------------------------------------------------------------------------------------- SHORT FUTURES OUTSTANDING (17) 10 Year Treasury Notes December, 2004 $ (1,909) $ (13) -----------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 15 JPMORGAN INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- 93.9% STATE AND MUNICIPAL OBLIGATIONS -- 93.9% ALABAMA -- 0.1% $ 1,000 Shelby County Board of Education, Capital Outlay School Warrants, AMBAC, 5.70%, 02/01/09 $ 1,037 ARIZONA -- 0.9% 2,085 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 07/01/09 + 2,244 4,360 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.75%, 07/01/17 + 5,117 2,375 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.75%, 07/01/18 + 2,766 3,860 Phoenix IDA, Single Family Mortgage, Ser. 2-A, Rev., Adj., 5.55%, 03/01/28 4,201 ------------------------------------------------------------------------------------- 14,328 ------------------------------------------------------------------------------------- CALIFORNIA -- 5.9% 1,840 California State Department of Water Resources, Central Valley Project, Ser. J-1, Rev., Adj., 7.00%, 12/01/12 2,295 500 California State Department of Water Resources, Central Valley Project, Ser. J-1, Rev., (p), 7.00%, 12/01/12 636 20,000 California State, Economic Recovery, Ser. A, GO, MBIA, 5.00%, 07/01/15 22,082 8,130 California Statewide Communities Development Authority, Catholic Healthcare West, COP, 6.00%, 07/01/09 9,099 10,435 Contra Costa Water District, Ser. K, Rev., FSA, 5.50%, 10/01/14 11,762 1,000 Los Angeles Community Redevelopment Agency, Tax Allocation, Hollywood Redevelopment Project, Ser. C, MBIA, 5.50%, 07/01/16 1,153 2,500 Los Angeles County Public Works Financing Authority, Ser. A, Rev., MBIA, 6.00%, 09/01/06 2,714 11,730 Los Angeles, California, Wastewater System, Sub Ser. A, Rev., MBIA, 4.20%, 06/01/16 11,973 $ 13,560 Los Angeles, California, Wastewater System, Sub Ser. A, Rev., MBIA, 4.20%, 06/01/17 $ 13,731 2,000 Solano County, COP, MBIA, 5.25%, 11/01/16 2,213 5,500 Southern California Public Power Authority, San Juan Power, Power Project, Ser. B, Rev., Adj., FSA, 5.25%, 01/01/20 6,110 5,000 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 01/01/13 5,722 ------------------------------------------------------------------------------------- 89,490 ------------------------------------------------------------------------------------- COLORADO -- 0.1% 1,610 Douglas County School District No. Re-1, Douglas & Elbert Counties, GO, FGIC, 5.75%, 12/15/17 1,887 CONNECTICUT -- 3.0% 7,000 Connecticut State Development Authority, PCR, Ser. A, Rev., Adj., AMBAC, 3.35%, 05/01/31 7,079 19,405 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.20%, 12/15/09 24,976 7,240 Connecticut State, Ser. B, GO, (p), 5.88%, 06/15/10 8,400 3,905 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/13 4,441 ------------------------------------------------------------------------------------- 44,896 ------------------------------------------------------------------------------------- DELAWARE-- 0.0% ^ 250 Wilmington, Delaware, GO, FGIC, 5.00%, 07/01/09 275 DISTRICT OF COLUMBIA -- 0.2% 770 District of Columbia, Ser. A, GO, (p), MBIA-IBC, 6.00%, 06/01/07 828 2,450 District of Columbia, Ser. A, GO, MBIA-IBC, 6.00%, 06/01/07 2,633 ------------------------------------------------------------------------------------- 3,461 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 16 ANNUAL REPORT AUGUST 31 2004
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED FLORIDA -- 2.6% $ 2,265 Coral Springs Improvement District, Water & Sewer, GO, MBIA, 6.00%, 06/01/10 $ 2,505 1,750 Dade County, Aviation, Ser. B, Rev., AMBAC, 6.40%, 10/01/06 1,791 1,495 Florida State Board of Education, Capital Outlay, Public Education, Ser. B, GO, 5.25%, 06/01/12 1,691 2,000 Florida State Department of Corrections, Okeechobee Correctional Facility, COP, AMBAC, 6.00%, 03/01/08 2,083 30,000 Orlando Utilities Commission, Water & Electric, Multi-Modal, Ser. A, Rev., Adj., 4.10%, 10/01/23 31,895 ------------------------------------------------------------------------------------- 39,965 ------------------------------------------------------------------------------------- GEORGIA -- 1.6% 1,720 Forsyth County School District, GO, 5.00%, 07/01/12 1,898 2,630 Fulton County School District, GO, 6.38%, 05/01/14 3,220 1,250 Georgia Municipal Electric Authority, Power, Ser. A, Rev., 6.50%, 01/01/12 1,449 5,000 Georgia Municipal Electric Authority, Power, Ser. DD, Rev., MBIA-IBC, 7.00%, 01/01/08 5,736 3,000 Georgia State, Ser. B, GO, 6.30%, 03/01/10 3,523 2,500 Gwinnette County School District, Ser. B, GO, 6.40%, 02/01/08 2,827 5,000 Metropolitan Atlanta Rapid Transportation Authority, Ser. P, Rev., AMBAC, 6.25%, 07/01/11 5,919 ------------------------------------------------------------------------------------- 24,572 ------------------------------------------------------------------------------------- HAWAII -- 0.1% 2,000 Honolulu City & County, Ser. A, GO, 7.35%, 07/01/06 2,197 ILLINOIS -- 4.7% $ 1,500 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 7.00%, 01/01/08 $ 1,725 10,000 Chicago Metropolitan Water Reclamation District, Capital Improvement Bonds, GO, (p), 5.50%, 12/01/12 11,415 10,025 Chicago Metropolitan Water Reclamation District, GO, 5.50%, 12/01/09 11,324 6,055 Chicago O'Hare International Airport, Passenger Facilities Charge, Ser. A, Rev., AMBAC, 5.38%, 01/01/07 6,426 1,245 Chicago Park District, Harbor Facilities, Rev., (p), 5.38%, 01/01/06 1,306 5,000 Chicago, Illinois, Ser. A, GO, (p), FGIC, 6.75%, 07/01/10 6,082 2,819 Illinois Development Finance Authority, IDR, Rev., 4.90%, 08/01/28 (i) 2,886 2,585 Illinois Finance Authority, DePaul University, Ser. A, Rev., 5.38%, 10/01/15 2,856 1,665 Illinois Health Facilities Authority, Rev., 6.63%, 02/15/12 1,896 3,770 Illinois Health Facilities Authority, Riverside Health Systems, Rev., 6.75%, 11/15/10 4,365 2,565 Illinois State, 1st Ser., GO, 5.50%, 08/01/06 2,742 4,000 Illinois State, 1st Ser., GO, 5.50%, 08/01/07 4,374 2,000 Illinois State, GO, (p), MBIA, 5.25%, 06/01/08 2,233 5,000 Illinois State, Ser. A, GO, 5.00%, 03/01/19 5,308 50 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., 8.50%, 06/15/06 56 1,330 Metropolitan Pier & Exposition Authority, Dedicated State Tax, Ser. A-2002, Rev., (p), 8.50%, 06/15/06 1,488
SEE NOTES TO FINANCIAL STATEMENTS. 17
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 1,000 Regional Transportation Authority, Ser. B, GO, AMBAC, 6.40%, 06/01/12 $ 1,201 2,810 Regional Transportation Authority, Ser. D, Rev., FGIC, 7.75%, 06/01/07 3,229 ------------------------------------------------------------------------------------- 70,912 ------------------------------------------------------------------------------------- INDIANA -- 1.4% 10,490 Indiana Housing Finance Authority, Single Family Mortgage, Ser. B-2, Rev., 4.00%, 01/01/34 11,074 10,285 Indiana Housing Finance Authority, Single Family Mortgage, Ser. D-2, Rev., 3.60%, 01/01/32 10,365 ------------------------------------------------------------------------------------- 21,439 ------------------------------------------------------------------------------------- IOWA -- 0.5% 2,095 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/15 2,335 2,385 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/16 2,642 2,440 Iowa Finance Authority, Hospital Facilities, Rev., 6.75%, 02/15/17 2,699 ------------------------------------------------------------------------------------- 7,676 ------------------------------------------------------------------------------------- KENTUCKY -- 0.4% 4,905 Kentucky Turnpike Authority, Economic Development, Revitalization Projects, Ser. B, Rev., FSA, 5.00%, 07/01/12 5,439 MARYLAND -- 1.3% 1,000 Maryland State Health & Higher Educational Facilities Authority, Lifebridge Health, Ser. A, Rev., 5.00%, 07/01/10 1,087 500 Maryland State Health & Higher Educational Facilities Authority, Lifebridge Health, Ser. A, Rev., 5.00%, 07/01/11 543 1,000 Maryland State Health & Higher Educational Facilities Authority, Lifebridge Health, Ser. A, Rev., 5.00%, 07/01/12 1,087 $ 1,250 Maryland State Health & Higher Educational Facilities Authority, Lifebridge Health, Ser. A, Rev., 5.25%, 07/01/20 $ 1,318 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.75%, 12/15/08 3,097 3,000 Maryland State Stadium Authority, Lease, Convention Center Expansion, Rev., AMBAC, 5.80%, 12/15/09 3,098 8,687 Maryland State, Tax Exempt Master Lease, 5.19%, 07/01/16 (i) 9,187 ------------------------------------------------------------------------------------- 19,417 ------------------------------------------------------------------------------------- MASSACHUSETTS -- 6.3% 5,650 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., 7.00%, 03/01/08 6,504 2,045 Massachusetts Bay Transportation Authority, General Transportation Systems, Ser. A, Rev., MBIA, 5.50%, 03/01/14 2,353 3,945 Massachusetts Health & Educational Facilities Authority, Boston College, Ser. K, Rev., 5.38%, 06/01/14 4,515 6,750 Massachusetts Health & Educational Facilities Authority, Harvard University, Ser. Z, Rev., 5.00%, 01/15/07 7,212 1,420 Massachusetts State College Building Authority, Ser. A, Rev., 7.50%, 05/01/11 1,783 10,000 Massachusetts State Turnpike Authority, Ser. A, Rev., (p), 5.00%, 01/01/13 10,970 9,500 Massachusetts State Water Pollution Abatement, MWRA Program, Sub Ser. A, Rev., 6.00%, 08/01/15 10,957 2,000 Massachusetts State Water Resources Authority, Ser. A, Rev., FSA, 5.50%, 08/01/13 2,300 3,000 Massachusetts State Water Resources Authority, Ser. C, Rev., FGIC, 5.25%, 12/01/15 3,418
SEE NOTES TO FINANCIAL STATEMENTS. 18
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 5,000 Massachusetts State, CONS, Ser. C, GO, (p), 5.75%, 10/01/10 $ 5,759 3,200 Massachusetts State, CONS, Ser. C, GO, (p), 5.25%, 08/01/13 3,639 18,545 Massachusetts State, Federal Highway, Ser. A, Rev., GAN, FSA, 5.75%, 12/15/12 21,068 1,210 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 05/01/09 1,270 1,000 Southeastern Massachusetts University Building Authority, Ser. A, Rev., AMBAC, 5.90%, 05/01/10 1,050 3,460 University of Massachusetts Building Authority, Ser. 04-1, Rev., AMBAC, 5.38%, 11/01/17 3,893 1,790 University of Massachusetts Building Authority, Ser. 04-1, Rev., AMBAC, 5.38%, 11/01/18 2,011 3,145 University of Massachusetts Building Authority, Ser. 04-1, Rev., AMBAC, 5.38%, 11/01/19 3,505 2,000 University of Massachusetts Building Authority, Ser. 04-1, Rev., AMBAC, 5.38%, 11/01/20 2,211 1,000 University of Massachusetts Building Authority, Ser. 04-1, Rev., AMBAC, 5.38%, 11/01/21 1,102 ------------------------------------------------------------------------------------- 95,520 ------------------------------------------------------------------------------------- MICHIGAN -- 6.1% 3,910 Grand Rapids, Michigan, Water Supply, Rev., FGIC, 5.75%, 01/01/13 4,486 13,050 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. A, Rev., (p), MBIA, 6.25%, 11/15/09 15,355 10,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.30%, 11/15/33 10,695 3,755 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/01/05 3,931 $ 4,160 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/01/11 $ 4,717 4,405 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 6.00%, 12/01/12 4,987 10,750 Michigan State Trunk Line, Ser. A, Rev., 5.25%, 11/01/13 12,155 3,565 Michigan State Underground Storage Tank Financial Assurance Authority, Ser. I, Rev., AMBAC, 5.75%, 05/01/10 3,815 16,000 Monroe County Economic Development Corp., Limited Obligation, Detroit Edison Co., Ser. CC, Rev., Adj. AMBAC, 4.65%, 10/01/24 17,297 10,000 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.25%, 12/01/06 10,666 3,780 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., MBIA, 5.50%, 12/01/07 4,127 ------------------------------------------------------------------------------------- 92,231 ------------------------------------------------------------------------------------- MINNESOTA -- 1.0% 5,000 University of Minnesota, Ser. A, Rev., 5.75%, 07/01/10 5,747 8,000 University of Minnesota, Ser. A, Rev., 5.75%, 07/01/15 9,426 ------------------------------------------------------------------------------------- 15,173 ------------------------------------------------------------------------------------- MISSISSIPPI -- 1.3% 4,000 Mississippi State, Capital Improvements Issue, Ser. I, GO, (p), 5.50%, 11/01/06 4,321 2,000 Mississippi State, GO, 5.75%, 12/01/12 2,323 10,745 Mississippi State, GO, (p), 6.20%, 02/01/08 11,953 ------------------------------------------------------------------------------------- 18,597 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 19
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED MISSOURI -- 2.7% $ 3,200 Clay County Public School District No. 53., Liberty, Missouri, Direct Deposit Program, GO, FSA, 5.25%, 03/01/22 $ 3,465 2,500 Clay County Public School District No. 53., Liberty, Missouri, Direct Deposit Program, GO, FSA, 5.25%, 03/01/23 2,691 9,670 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. B-1, Rev., Adj., 5.38%, 09/01/34 10,466 16,660 Missouri Housing Development Commission, Homeowner Loan Program, Single Family Mortgage, Ser. C-1, Rev., Adj., 4.80%, 09/01/34 17,705 1,105 Missouri State Environmental Improvement & Energy Resources Authority, State Revolving Funds Program, Ser. B, Rev., 5.50%, 07/01/12 1,271 3,730 Missouri State Health & Educational Facilities Authority, Park Lane Medical Center, Ser. A, Rev., (p), MBIA, 5.60%, 01/01/15 4,173 1,265 Missouri State Health & Educational Facilities Authority, University of Missouri, Columbia Arena Project, Rev., 5.00%, 11/01/11 1,411 ------------------------------------------------------------------------------------- 41,182 ------------------------------------------------------------------------------------- NEBRASKA -- 0.3% 4,725 NEBHELP, Inc., Sub Ser. A-5B, Rev., MBIA, 6.20%, 06/01/13 5,061 NEVADA -- 0.7% 8,200 Clark County School District, Ser. A, GO, MBIA, 7.00%, 06/01/11 10,066 NEW JERSEY -- 4.3% 3,245 Elizabeth, New Jersey, GO, AMBAC, 6.25%, 08/15/08 3,445 $ 8,000 Garden State Preservation Trust, Open Space & Farmland, Ser. A, Rev., FSA, 5.80%, 11/01/21 $ 8,808 8,000 Garden State Preservation Trust, Open Space & Farmland, Ser. A, Rev., FSA, 5.80%, 11/01/23 8,734 15,395 New Jersey Economic Development Authority, Motor Vehicles, Ser. A, Rev., MBIA, 5.25%, 07/01/16 17,125 3,225 New Jersey State Turnpike Authority, Rev., (p), 5.70%, 05/01/13 3,597 2,930 New Jersey State Turnpike Authority, Ser. G, Rev., (p), 5.75%, 01/01/09 3,157 10,000 New Jersey State, GO, 5.50%, 05/01/07 10,870 4,570 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 5,324 4,370 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 5.50%, 06/15/09 4,583 ------------------------------------------------------------------------------------- 65,643 ------------------------------------------------------------------------------------- NEW MEXICO -- 0.8% 5,500 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. A-2, Rev., 5.25%, 03/01/34 5,994 3,000 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. D, Rev., Adj., 6.13%, 09/01/33 3,292 3,125 New Mexico Mortgage Finance Authority, Single Family Mortgage, Ser. PG, Class C-2, Rev., 4.70%, 09/01/33 3,272 ------------------------------------------------------------------------------------- 12,558 ------------------------------------------------------------------------------------- NEW YORK -- 12.6% 12,405 Battery Park City Authority, Ser. A, Rev., 5.25%, 11/01/14 + 14,026 1,500 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/13 1,751
SEE NOTES TO FINANCIAL STATEMENTS. 20
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 22,630 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.50%, 07/01/17 $ 25,930 24,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/01/26 27,129 6,055 New York City, New York, Ser. B, GO, (p), 5.50%, 12/01/11 6,987 11,500 New York City, New York, Ser. G, GO, 5.50%, 08/01/09 12,778 6,300 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 6,559 5,035 New York State Dormitory Authority, City University Systems, 4th Generation, Ser. A, Rev., FGIC, 5.25%, 07/01/13 5,721 4,025 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 4,642 1,500 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FSA, 5.50%, 05/15/13 1,730 6,231 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 03/27/07 (i) 6,295 8,055 New York State Environmental Facilities Corp., New York City Municipal Project, Clean Water & Drinking, State Revolving Funds, Sub Ser. E, Rev., 5.38%, 07/15/19 8,824 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 3,772 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 5,640 $ 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 $ 7,310 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 8,622 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 9,202 2,125 New York State Environmental Facilities Corp., Solid Waste Disposal, Waste Management, Inc. Project, Ser. A, Rev., 4.45%, 07/01/17 2,165 4,115 New York State Housing Finance Agency, Housing Project Mortgage, Ser. A, Rev., FSA, 5.40%, 11/01/05 4,271 3,950 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 04/01/10 4,416 5,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.10%, 04/01/08 5,415 10,000 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 5.20%, 04/01/09 10,836 5,000 New York State, Ser. B, GO, 5.70%, 08/15/10 5,238 ------------------------------------------------------------------------------------- 189,259 ------------------------------------------------------------------------------------- NORTH CAROLINA -- 2.0% 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 04/01/11 2,297 2,000 Cabarrus County, Installment Financing Contract, COP, 5.75%, 04/01/12 2,326
SEE NOTES TO FINANCIAL STATEMENTS. 21
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NORTH CAROLINA -- CONTINUED $ 9,155 North Carolina Municipal Power Agency No. 1, Catawba Electric, Rev., AMBAC, 6.00%, 01/01/08 $ 10,206 8,900 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.13%, 01/01/06 9,338 6,275 North Carolina Municipal Power Agency No. 1, Catawba Electric, Ser. B, Rev., 6.25%, 01/01/07 6,786 ------------------------------------------------------------------------------------- 30,953 ------------------------------------------------------------------------------------- NORTH DAKOTA -- 0.5% 7,055 North Dakota State Housing Finance Agency, Housing Finance Program, Ser. C, Rev., 5.55%, 01/01/31 7,289 OHIO -- 2.7% 10,000 Butler County Transportation Improvement District, Ser. A, Rev., FSA, 5.13%, 04/01/17 10,683 6,000 Columbus, Ohio, Ser. 1, GO, 5.50%, 11/15/06 6,468 4,000 Montgomery County, Solid Waste, Rev., MBIA, 5.50%, 11/01/10 4,244 10,000 Ohio Housing Finance Agency, Residential Mortgage Backed Securities, Ser. A, Rev., 5.00%, 09/01/31 10,777 6,000 Ohio State Turnpike Commission, Ser. A, Rev., (p), MBIA, 5.40%, 02/15/06 6,444 1,855 Ohio State Water Development Authority, Rev., (p), 9.38%, 12/01/10 2,192 ------------------------------------------------------------------------------------- 40,808 ------------------------------------------------------------------------------------- OKLAHOMA -- 0.5% 6,990 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-1, Rev., Adj., 4.88%, 09/01/33 7,351 OREGON -- 0.4% $ 3,000 Oregon State Department of Transportation, Highway User Tax, Ser. A, Rev., 5.50%, 11/15/19 $ 3,468 3,000 Washington County, Union High School District No. 3, Hillsboro, GO, (p), MBIA, 6.00%, 11/01/05 3,153 ------------------------------------------------------------------------------------- 6,621 ------------------------------------------------------------------------------------- PENNSYLVANIA -- 1.7% 16,206 Pennsylvania Higher Education, 4.64%, 04/30/09 (i) 16,784 2,800 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 01/01/06 2,941 2,000 Pennsylvania State Higher Educational Facilities Authority, University of Pennsylvania, Health Services, Ser. A, Rev., 6.00%, 01/01/07 2,119 3,500 Philadelphia Authority, IDR, Rev., 2.15%, 01/01/18 (i) 3,471 ------------------------------------------------------------------------------------- 25,315 ------------------------------------------------------------------------------------- PUERTO RICO -- 0.4% 5,500 Puerto Rico Commonwealth, GO, MBIA-IBC, 5.50%, 07/01/09 6,210 SOUTH CAROLINA -- 4.1% 4,105 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/14 4,489 5,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/16 5,913 4,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/17 4,803
SEE NOTES TO FINANCIAL STATEMENTS. 22
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED SOUTH CAROLINA -- CONTINUED $ 2,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/18 $ 2,649 1,000 Piedmont Municipal Power Agency, Electric, Rev., (p), MBIA, 6.20%, 01/01/08 1,126 15,000 Piedmont Municipal Power Agency, Electric, Rev., FGIC, 6.75%, 01/01/20 @ 19,409 5,500 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.00%, 12/15/10 6,556 3,000 South Carolina Jobs & Economic Development Authority, Hospital Facilities Improvement, Palmetto Health Alliance, Ser. A, Rev., (p), 7.13%, 12/15/15 3,689 2,960 South Carolina State Housing Finance & Development Authority, Ser. A, Rev., AMBAC, 3.60%, 07/01/33 2,963 10,310 South Carolina State, State School Facilities, Ser. A, GO, 4.25%, 01/01/15 10,673 ------------------------------------------------------------------------------------- 62,270 ------------------------------------------------------------------------------------- SOUTH DAKOTA -- 1.0% 7,300 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. B, Rev., 5.00%, 11/01/27 7,696 6,465 South Dakota Housing Development Authority, Ser. E, Rev., 5.00%, 05/01/28 6,829 ------------------------------------------------------------------------------------- 14,525 ------------------------------------------------------------------------------------- TENNESSEE -- 0.9% 3,320 Knox County, Public Improvement, GO, (p), 6.00%, 05/01/08 3,787 3,500 Knox County, Public Improvement, GO, (p), 6.00%, 05/01/08 3,992 5,335 Tennergy Corp., Gas, Rev., MBIA, 5.00%, 06/01/09 5,856 ------------------------------------------------------------------------------------- 13,635 ------------------------------------------------------------------------------------- TEXAS -- 11.4% $ 3,205 Alvin Independent School District, 3.58%, 02/15/22 (i) + $ 3,212 3,375 Alvin Independent School District, 3.58%, 02/15/23 (i) + 3,383 3,550 Alvin Independent School District, 4.00%, 02/15/24 (i) + 3,618 3,735 Alvin Independent School District, 4.00%, 02/15/25 (i) + 3,807 2,945 Arlington Independent School District, GO, 4.75%, 02/15/21 + 2,986 2,000 Austin Independent School District, Public Property Finance Contractual Obligation, GO, MBIA, 5.25%, 02/01/08 + 2,185 5,255 Austin, Texas, Utility Systems, Rev., MBIA-IBC, 5.80%, 11/15/06 + 5,683 18,495 Beaumont Water & Sewer, Rev., 3.50%, 09/01/23 (i) + 18,860 1,305 Dallas County Flood Control District, GO, (p), 9.25%, 04/01/08 1,613 6,200 Dallas, Texas, Civic Center, Improvement, Rev., MBIA, 5.25%, 08/15/07 6,737 8,675 Houston, Texas, Ser. A, GO, 5.50%, 03/01/08 9,547 15,000 Houston, Texas, Utility System, First Lien, Ser. A, Rev., FSA, 5.25%, 05/15/22 16,138 5,000 Humble Independent School District, Ser. C, GO, 0.00%, 02/15/16 3,015 5,880 Humble Independent School District, Ser. C, GO, 0.00%, 02/15/17 3,355 1,520 Katy Independent School District, Ser. A, GO, 5.00%, 02/15/11 1,679 5,875 Lubbock Health Facilities Development Corp., St. Joseph Health Systems, Rev., 5.25%, 07/01/11 6,235 7,500 Pearland Independent School District, 4.27%, 02/15/25 (i) 7,583 7,500 Pearland Independent School District, Unlimited Tax, 4.27%, 02/15/24 (i) 7,432
SEE NOTES TO FINANCIAL STATEMENTS. 23
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- CONTINUED $ 2,505 Richardson Independent School District, GO, 5.00%, 02/15/22 $ 2,597 2,640 San Antonio, Texas, General Improvement, GO, FSA, 4.75%, 02/01/23 2,677 5,835 Texas Department of Housing & Community Affairs, Single Family Housing, Ser. B, Rev., MBIA, 5.35%, 03/01/33 6,127 10,000 Texas Department of Housing & Community Affairs, Single Family Mortgage, Ser. A, Rev., FSA, 5.00%, 03/01/35 10,627 10,360 Texas State Department of Housing & Community Affairs, Residential Mortgage, Ser. A, Rev., 4.75%, 01/01/25 10,988 7,500 Texas State, Ser. A, GO, 6.00%, 10/01/09 8,615 4,700 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.00%, 07/15/07 5,070 3,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.25%, 07/15/09 3,278 1,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.63%, 07/15/11 1,122 3,175 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. B, Rev., 5.25%, 07/15/08 3,452 7,385 Tomball Independent School District, Ser. B, 3.45%, 02/15/26 (i) 7,385 3,270 Tomball Independent School District, U.T. Schoolhouse, 2.68%, 02/15/23 (i) 3,293 ------------------------------------------------------------------------------------- 172,299 ------------------------------------------------------------------------------------- UTAH -- 0.5% 3,800 Intermountain Power Agency, Utah Power Supply, Ser. B, Rev., MBIA, 6.50%, 07/01/10 4,488 $ 10 Salt Lake City, Utah, GO, 5.50%, 06/15/11 $ 11 2,840 Salt Lake City, Utah, GO, (p), 5.50%, 06/15/11 3,239 ------------------------------------------------------------------------------------- 7,738 ------------------------------------------------------------------------------------- VERMONT -- 0.6% 4,100 Burlington, Vermont, Electric, Ser. A, Rev., MBIA, 6.38%, 07/01/09 + 4,760 3,510 Vermont State, Ser. A, GO, (p), 6.50%, 01/15/09 3,648 ------------------------------------------------------------------------------------- 8,408 ------------------------------------------------------------------------------------- VIRGIN ISLANDS -- 0.7% 2,500 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 2,699 5,000 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.50%, 10/01/06 5,279 3,070 Virgin Islands Water & Power Authority, Electric Systems, Rev., 5.25%, 07/01/07 3,259 ------------------------------------------------------------------------------------- 11,237 ------------------------------------------------------------------------------------- VIRGINIA -- 1.5% 20,355 Virginia Commonwealth Transportation Board, Federal Highway Reimbursement Anticipation Note, Rev., 5.50%, 10/01/08 22,799 WASHINGTON -- 4.0% 34,000 Energy Northwest, Washington Electric, Columbia Generating Station, Ser. B, Rev., MBIA, 5.50%, 07/01/18 38,138 13,995 Grant County Public Utility District No. 2, Electric, Ser. H, Rev., FSA, 5.38%, 01/01/15 15,564 115 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., 7.25%, 07/01/06 126
SEE NOTES TO FINANCIAL STATEMENTS. 24
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 1,885 Washington Public Power Supply System, Nuclear Project No. 2, Ser. A, Rev., (p), 7.25%, 07/01/06 $ 2,073 4,500 Washington State, Ser. B & AT-7, GO, 6.40%, 06/01/17 5,479 ------------------------------------------------------------------------------------- 61,380 ------------------------------------------------------------------------------------- WISCONSIN -- 2.1% 2,350 Milwaukee County, Corporate Purpose, Ser. A, GO, 5.63%, 09/01/10 2,625 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-C, Rev., 5.70%, 05/01/14 (i) 6,893 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999-D, Rev., 5.95%, 05/01/19 (i) 6,729 1,000 Wisconsin State, GO, 6.25%, 05/01/12 1,190 2,775 Wisconsin State, Ser. 1, GO, 5.00%, 11/01/07 3,007 6,275 Wisconsin State, Ser. 1, GO, 5.50%, 11/01/11 7,150 4,450 Wisconsin State, Ser. 3, GO, 5.20%, 11/01/09 4,943 ------------------------------------------------------------------------------------- 32,537 ------------------------------------------------------------------------------------- Total State and Municipal Obligations 1,423,656 (Cost $1,332,051) ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 6.1% MUNICIPAL SECURITIES-- 0.9% CALIFORNIA-- 0.0% ^ 200 Irvine Ranch Water District, Capital Improvement Project, COP, FRDO, 1.32%, 09/01/04 200 100 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 1.32%, 09/01/04 100 ------------------------------------------------------------------------------------- 300 ------------------------------------------------------------------------------------- MISSISSIPPI -- 0.1% 2,505 Mississippi Higher Education Assistance Corp., Ser. B, Rev., 5.60%, 09/01/04 2,505 MULTIPLE STATES -- 0.4% $ 3,798 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-34, FRDO, 1.56%, 09/01/04 $ 3,798 NEW YORK-- 0.0% ^ 100 Port Authority of New York & New Jersey, Special Obligation, Versatile Structure Obligation, Ser. 6, Rev., FRDO, 1.36%, 09/01/04 100 OREGON -- 0.2% 2,820 Oregon State Housing & Community Services Department, Mortgage, Ser. RR-II-R-288, Rev., FRDO, #, 18.78%, 01/01/05 3,633 PENNSYLVANIA -- 0.2% 3,000 Pennsylvania Housing Finance Agency, Ser. RR-II-R-266, Rev., FRDO, #, 16.40%, 09/02/04 3,653 ------------------------------------------------------------------------------------- Total Municipal Securities 13,989 (Cost $14,025) ------------------------------------------------------------------------------------- SHARES ------------------------------------------------------------------------------------------------------ MONEY MARKET FUND -- 5.2% 78,335 JPMorgan Tax Free Money Market Fund (a) 78,335 (Cost $78,335) ------------------------------------------------------------------------------------- Total Short-Term Investments 92,324 (Cost $92,360) ------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 1,515,980 (COST $1,424,411) -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 25 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD) ------------------------------------------------------------------------------------------------------------------------ SHORT FUTURES OUTSTANDING (387) 10 Year Treasury Notes December, 2004 $ (43,465) $ (292) ------------------------------------------------------------------------------------------------------------------------
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------------ Interest Rate Swap with Morgan Stanley Capital Services, semi-annual payment of 3.057% and semi-annual receipt of weekly average BMA index 07/01/11 $ 17,250 $ 20 ------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 26 JPMORGAN NEW JERSEY TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- 93.9% STATE AND MUNICIPAL OBLIGATIONS -- 93.9% ARIZONA -- 0.2% $ 100 Phoenix Civic Improvement Corp., Water Systems, Junior Lien, Rev., (p), 5.50%, 07/01/06 $ 107 CONNECTICUT -- 2.6% 1,225 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.20%, 12/15/09 1,577 180 East Hartford, Connecticut, GO, FGIC, 5.25%, 05/01/15 206 ------------------------------------------------------------------------------------- 1,783 ------------------------------------------------------------------------------------- KANSAS -- 0.5% 275 Kansas Development Finance Authority, Department of Corrections, El Dorado Unit Project, Ser. H, Rev., MBIA, 5.20%, 08/01/11 309 MICHIGAN -- 1.7% 985 Anchor Bay School District, GO, 5.25%, 05/01/15 + 1,128 NEW JERSEY -- 68.0% 140 Atlantic City, New Jersey, Ser. B, GO, MBIA, 4.00%, 08/01/10 + 148 450 Atlantic County, Public Facilities Lease Agreement, COP, FGIC, 6.00%, 03/01/13 + 531 180 Audubon School District, GO, MBIA, 4.00%, 10/01/07 + 190 205 Audubon School District, GO, MBIA, 4.00%, 10/01/08 + 217 410 Bayonne, New Jersey, Ser. B, GO, FSA, 5.00%, 01/15/16 + 457 400 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/18 + 455 480 Bayonne, New Jersey, Ser. B, GO, FSA, 5.25%, 01/15/19 547 505 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/20 587 530 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/21 614 $ 485 Bayonne, New Jersey, Ser. B, GO, FSA, 5.50%, 01/15/22 $ 560 100 Cape May County Municipal Utilities Authority, Sewer, Ser. A, Rev., FSA, 6.00%, 01/01/09 114 200 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. A, Rev., FSA, 5.25%, 01/01/12 227 1,700 Delaware River Port Authority, Pennsylvania & New Jersey, Port District Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,896 1,385 Ewing Township School District, School Bond Resource Fund, GO, (p), FGIC, 5.30%, 08/01/08 1,539 1,010 Freehold Regional High School District, GO, FGIC, 5.00%, 03/01/16 1,127 130 Freehold Township Board of Education, GO, MBIA, 5.00%, 02/15/11 145 1,000 Garden State Preservation Trust, Open Space & Farmland, Ser. A, Rev., FSA, 5.80%, 11/01/21 1,101 100 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.35%, 08/01/09 112 175 Gloucester County Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.70%, 08/01/15 202 320 Gloucester County Improvement Authority, Ser. B, Rev., (p), FSA, 5.80%, 12/01/09 368 180 Gloucester County Improvement Authority, Ser. C, Rev., (p), FSA, 5.80%, 12/01/09 207 500 Gloucester Township Board of Education, GO, MBIA, 4.50%, 08/01/10 542 160 Gloucester Township Board of Education, GO, MBIA, 5.00%, 08/01/12 178 1,220 Hillsborough Township School District, GO, FSA, 5.38%, 10/01/14 1,406 110 Howell Township, GO, MBIA, 5.00%, 01/01/09 121 1,425 Hudson County, COP, MBIA, 7.00%, 12/01/12 1,767
SEE NOTES TO FINANCIAL STATEMENTS. 27
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,500 Hudson County, COP, MBIA, 6.25%, 12/01/14 $ 1,809 175 Irvington Township, Ser. B, GO, FSA, 5.00%, 08/01/08 192 200 Jersey City Municipal Utilities Authority, Rev., FSA, 5.25%, 12/01/12 226 210 Jersey City, New Jersey, School Improvement, School Board Fund, Ser. A, GO, 6.25%, 10/01/09 244 475 Jersey City, New Jersey, School Improvement, School Board Fund, Ser. B, GO, AMBAC, 5.25%, 03/01/14 539 170 Long Hill Township, GO, 5.15%, 08/15/07 184 380 Lopatcong Township Board of Education, GO, (p), FSA, 5.63%, 07/15/10 437 400 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 461 450 Lopatcong Township Board of Education, GO, (p), FSA, 5.70%, 07/15/10 519 55 Lower Township, General Improvement, GO, FSA, 4.25%, 07/15/11 59 100 Mainland Regional High School District, School Board Resource Fund, GO, 5.20%, 11/15/06 107 105 Mainland Regional High School District, School Board Resource Fund, GO, 5.20%, 11/15/07 115 60 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/08 67 110 Mainland Regional High School District, School Board Resource Fund, GO, 5.25%, 11/15/09 123 75 Merchantville Board of Education, GO, FSA, 5.00%, 01/15/08 81 225 Merchantville Board of Education, GO, FSA, 5.00%, 01/15/09 247 160 Middletown Township Board of Education, GO, (p), MBIA, 5.80%, 08/01/07 177 2,500 Middletown Township Board of Education, GO, (p), MBIA, 5.85%, 08/01/07 @ 2,765 $ 220 Midland Park Board of Education, GO, FSA, 4.13%, 08/15/06 $ 230 100 Monroe Township Board of Education Middlesex County, GO, FGIC, 5.00%, 09/15/10 111 100 Morris County, GO, 5.13%, 05/13/10 112 375 Mount Olive Township Board of Education, GO, MBIA, 4.00%, 07/15/08 398 185 Mount Olive Township Board of Education, GO, MBIA, 4.00%, 07/15/09 196 745 Mount Olive Township Board of Education, GO, MBIA, 4.00%, 07/15/10 789 1,800 New Jersey Economic Development Authority, Capital Appreciation, Motor Vehicles, Ser. R, Rev., MBIA, 0.00%, 07/01/18 963 1,060 New Jersey Economic Development Authority, New Jersey Performing Arts Center Project, Ser. A, Rev., AMBAC, 6.00%, 06/15/08 1,198 100 New Jersey Economic Development Authority, Rev., FSA, 5.50%, 11/15/09 113 220 New Jersey Economic Development Authority, Transportation Project, Sublease, Ser. B, Rev., FSA, 5.75%, 05/01/09 249 720 New Jersey State Educational Facilities Authority, Capital Improvement Fund, Ser. A, Rev., 5.00%, 09/01/08 789 600 New Jersey State Educational Facilities Authority, Drew University, Ser. C, Rev., FGIC, 5.25%, 07/01/18 683 1,545 New Jersey State Educational Facilities Authority, Drew University, Ser. C, Rev., MBIA, 5.25%, 07/01/13 1,692 500 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 508 1,050 New Jersey State Educational Facilities Authority, Higher Education Equipment Leasing Fund, Ser. A, Rev., 5.00%, 09/01/08 1,148
SEE NOTES TO FINANCIAL STATEMENTS. 28
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 1,000 New Jersey State Educational Facilities Authority, Princeton University, Ser. E, Rev., (p), 5.25%, 07/01/10 $ 1,128 135 New Jersey State Educational Facilities Authority, Rowan College, Ser. E, Rev., (p), AMBAC, 5.75%, 07/01/06 146 175 New Jersey State Transit Corp., COP, FSA, 5.00%, 10/01/09 193 220 New Jersey State Transit Corp., Federal Transporation Administration Grants, COP, Ser. A, AMBAC, 5.63%, 09/15/09 249 1,000 New Jersey State Transit Corp., Federal Transportation Administration Grants, COP, Ser. A, (p), AMBAC, 6.13%, 09/15/09 1,160 200 New Jersey State Turnpike Authority, Rev., (p), 6.75%, 01/01/09 215 250 New Jersey State Turnpike Authority, Rev., (p) MBIA, 6.75%, 01/01/09 268 275 New Jersey State Turnpike Authority, Ser. A, Rev., MBIA, 6.00%, 01/01/11 321 50 New Jersey State Turnpike Authority, Ser. C, Rev., 6.50%, 01/01/16 60 260 New Jersey State Turnpike Authority, Ser. C, Rev. (p), 6.50%, 01/01/16 319 335 New Jersey State Turnpike Authority, Ser. C, Rev., (p), MBIA-IBC, 6.50%, 01/01/16 411 105 New Jersey State Turnpike Authority, Ser. C, Rev., MBIA-IBC, 6.50%, 01/01/16 129 160 New Jersey State, GO, (p), 5.50%, 05/01/10 183 100 New Jersey State, Ser. D, GO, 6.00%, 02/15/11 116 100 New Jersey Transportation Trust Fund Authority, Ser. C, Rev., 5.00%, 12/15/06 107 1,320 New Jersey Transportation Trust Fund Authority, Ser. A, Rev. (p), 5.00%, 06/15/09 1,458 400 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.63%, 06/15/14 461 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/16 1,173 $ 100 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev. (p), 6.00%, 06/15/10 $ 116 270 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., (p), 6.00%, 06/15/16 315 270 New Jersey Wastewater Treatment Trust, Ser. C, Rev., 6.88%, 06/15/07 305 1,000 New Jersey Wastewater Treatment Trust, Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,217 500 Ocean County Utilities Authority, New Jersey Wastewater, GO, 6.00%, 01/01/07 545 275 Passaic County, GO, FSA, 5.00%, 05/01/12 307 100 Somerset County, GO, 5.10%, 09/15/07 109 100 South Brunswick Township Board of Education, GO, (p), FGIC, 5.63%, 12/01/09 114 215 Stony Brook Regional Sewage Authority, Rev., 5.00%, 12/01/14 241 35 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 40 1,005 Summit, New Jersey, School Board Resource Fund, GO, (p), 5.70%, 06/01/09 1,143 275 Winslow Township Board of Education, Winslow School District, GO, FGIC, 5.00%, 08/01/10 305 250 Winslow Township Board of Education, Winslow School District, GO, FGIC, 5.00%, 08/01/12 279 ------------------------------------------------------------------------------------- 46,022 ------------------------------------------------------------------------------------- NEW MEXICO -- 0.3% 185 New Mexico State Highway Commission, Senior Sub Lien, Ser. D, Rev., 5.00%, 06/15/12 208 NEW YORK -- 3.5% 530 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 628 1,500 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 1,725 ------------------------------------------------------------------------------------- 2,353 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED PUERTO RICO -- 17.1% $ 1,600 Puerto Rico Commonwealth, GO, 5.75%, 07/01/17 $ 1,778 250 Puerto Rico Commonwealth, GO, (p), 5.40%, 07/01/06 271 225 Puerto Rico Commonwealth, GO, MBIA-IBC, 7.00%, 07/01/10 275 110 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/06 116 250 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/14 292 205 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, FGIC, 5.25%, 07/01/12 234 235 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA, 5.50%, 07/01/16 275 140 Puerto Rico Electric Power Authority, Rev., MBIA, 5.00%, 07/01/19 157 200 Puerto Rico Electric Power Authority, Ser. NN, Rev., MBIA, 5.25%, 07/01/21 228 230 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/15 269 210 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/16 246 3,000 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 3,220 380 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/13 441 $ 1,200 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 $ 1,401 250 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., 5.50%, 07/01/13 285 150 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., FSA, 5.50%, 07/01/15 175 430 Puerto Rico Highway & Transportation Authority, Ser. Z, Rev., MBIA, 6.25%, 07/01/14 528 1,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. K, Rev., FRDO, 4.50%, 07/01/22 1,055 85 Puerto Rico Public Finance Corp., Commonwealth Appropriations, Ser. A, AMBAC, 5.38%, 06/01/17 98 170 University of Puerto Rico, Ser. O, Rev., MBIA, 5.75%, 06/01/17 194 ------------------------------------------------------------------------------------- 11,538 ------------------------------------------------------------------------------------- Total State and Municipal Obligations 63,448 (Cost $60,429) ------------------------------------------------------------------------------------- SHARES ------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENT -- 6.1% MONEY MARKET FUND -- 6.1% 4,131 JPMorgan Tax Free Money Market Fund (a) 4,131 (Cost $4,131) ------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 67,579 (COST $64,560) -------------------------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD) --------------------------------------------------------------------------------------------------------- SHORT FUTURES OUTSTANDING (15) 10 Year Treasury Notes December, 2004 $ (1,685) $ (8)
SEE NOTES TO FINANCIAL STATEMENTS. 30 JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- 96.2% STATE AND MUNICIPAL OBLIGATIONS -- 96.2% ARIZONA -- 0.6% $ 3,670 Arizona Health Facilities Authority, Catholic Healthcare West, Ser. A, Rev., 6.13%, 07/01/09 + $ 3,950 CALIFORNIA -- 0.2% 630 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/13 697 490 Lancaster Financing Authority, Tax Allocation, Redevelopment Projects, Project No. 5 & 6, MBIA, 5.00%, 02/01/14 542 ------------------------------------------------------------------------------------- 1,239 ------------------------------------------------------------------------------------- CONNECTICUT -- 2.0% 10,605 Connecticut State, Residual Certificates, Ser. 529-Y, GO, Inverse Floater, 9.20%, 12/15/09 13,649 DELAWARE -- 1.7% 3,185 New Castle County, GO, 4.00%, 10/01/07 3,367 7,485 New Castle County, GO, 5.00%, 10/01/10 8,363 ------------------------------------------------------------------------------------- 11,730 ------------------------------------------------------------------------------------- FLORIDA -- 0.2% 1,000 Sunrise Excise Tax & Special Assessment, Utilities Systems, Ser. A, Rev., AMBAC, 5.50%, 10/01/15 1,150 ILLINOIS -- 0.4% 2,819 Illinois Development Finance Authority, Riverside Health & Fitness Center Project, Ser. 1998-C, Rev., 5.20%, 08/01/28 (i) 3,017 KENTUCKY -- 0.1% 500 Kentucky State Turnpike Authority, Revitalization Projects, Rev., AMBAC, 6.50%, 07/01/07 559 MARYLAND -- 0.5% $ 3,265 Howard County, Consolidated Public Improvement Project, Ser. A, GO, 5.00%, 08/15/08 $ 3,593 MASSACHUSETTS -- 0.2% 1,000 Massachusetts State, Ser. A, GO, 6.00%, 11/01/11 1,171 MICHIGAN -- 0.3% 1,700 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.30%, 11/15/33 1,818 MISSOURI -- 1.3% 5,955 Kansas City School District Building Corp., Elementary Schools Project, Ser. B, Rev., FGIC, 5.00%, 02/01/13 6,625 1,925 St. Louis Municipal Finance Corp., Convention Center Project, Rev., AMBAC, 5.25%, 07/15/13 2,195 ------------------------------------------------------------------------------------- 8,820 ------------------------------------------------------------------------------------- NEBRASKA -- 0.5% 1,365 Lincoln, Nebraska, Highway Allocation Fund, GO, 5.00%, 11/15/10 1,524 1,810 Lincoln, Nebraska, Highway Allocation Fund, GO, 5.00%, 11/15/11 2,018 ------------------------------------------------------------------------------------- 3,542 ------------------------------------------------------------------------------------- NEW JERSEY -- 3.4% 540 Camden County Improvement Authority, County Guaranteed Lease, Ser. A, Rev., FGIC, 5.25%, 09/01/13 611 750 Gloucester Township Board of Education, GO, MBIA, 5.00%, 08/01/11 835 500 Gloucester Township Board of Education, GO, MBIA, 5.00%, 08/01/13 559 1,985 Mercer County Improvement Authority, Regional Sludge Project, Rev., FGIC, 5.00%, 12/15/08 2,185 3,500 New Jersey Economic Development Authority, Motor Vehicles, Ser. A, Rev., MBIA, 5.25%, 07/01/15 3,924
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 11,000 New Jersey Economic Development Authority, Motor Vehicles, Ser. A, Rev., MBIA, 5.25%, 07/01/17 $ 12,149 1,025 New Jersey State Educational Facilities Authority, Higher Education, Capital Improvement, Ser. B, Rev., 5.75%, 09/01/10 1,179 1,005 New Jersey State Educational Facilities Authority, Montclair State University, Ser. L, Rev., MBIA, 5.00%, 07/01/10 1,116 560 South Orange & Maplewood School District, GO, FSA, 5.00%, 09/01/15 627 ------------------------------------------------------------------------------------- 23,185 ------------------------------------------------------------------------------------- NEW YORK -- 74.9% 1,120 Allegany County IDA, Alfred University, Civic Facilities, Rev., MBIA, 5.25%, 08/01/11 + 1,242 1,175 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. A, Rev., AMBAC, 5.50%, 08/01/15 + 1,331 1,000 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.50%, 08/01/15 + 1,133 1,290 Amherst IDA, Civic Facilities, Faculty- Student Housing Corp., Ser. B, Rev., AMBAC, 5.75%, 08/01/15 + 1,482 150 Arkport Central School District, GO, FSA, 5.20%, 06/15/09 + 168 500 Attica Central School District, GO, FSA, 5.00%, 06/15/15 + 558 6,695 Babylon IDA, Civic Facilities, Winthrop S. Nassau University East, Inc. Project, Ser. A, Rev., AMBAC, 6.63%, 08/01/19 @ + 7,919 100 Battery Park City Authority, New York, Ser. A, Rev., (p), AMBAC, 5.50%, 11/01/06 + 110 1,040 Beacon City School District, GO, MBIA, 5.50%, 07/15/11 + 1,189 1,025 Beacon City School District, GO, MBIA, 5.50%, 07/15/14 + 1,172 $ 650 Brentwood Union Free School District, GO, FSA, 5.63%, 06/15/13 + $ 732 150 Bridgewater Leonardsville West Winfield Central School District, GO, FGIC, 5.00%, 06/15/06 + 159 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/13 + 1,914 1,100 Brockport Central School District, GO, FGIC, 5.50%, 06/15/14 + 1,276 1,660 Brockport Central School District, GO, FGIC, 5.50%, 06/15/15 + 1,938 685 Brockport Central School District, GO, FGIC, 5.75%, 06/15/17 + 819 450 Bronxville Union Free School District, GO, 5.25%, 10/15/10 505 145 Brookhaven, New York, GO, MBIA, 5.00%, 08/15/14 162 1,790 Brookhaven, New York, GO, MBIA, 5.00%, 08/15/15 1,996 835 Brookhaven, New York, GO, MBIA, 5.00%, 08/15/16 929 1,000 Brookhaven, New York, Public Improvement, GO, AMBAC, 5.30%, 11/15/11 1,125 1,000 Buffalo, New York, Fiscal Stability Authority Sales Tax & State Aid, Ser. A, Rev., 5.00%, 08/15/06 1,063 345 Buffalo, New York, School, Ser. B, GO, MBIA, 5.38%, 11/15/14 389 590 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.40%, 07/15/16 659 305 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/17 342 375 Burnt Hills-Ballston Lake Central School District, GO, FGIC, 5.50%, 07/15/18 420 250 Byram Hills Central School District, GO, 4.00%, 11/15/06 262 205 Byram Hills Central School District, GO, 4.00%, 11/15/07 216 100 Byram Hills Central School District, GO, 4.00%, 11/15/08 106
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,000 Canandaigua City School District, Ser. A, GO, FSA, 5.38%, 04/01/15 $ 1,130 100 Carthage Central School District, Ser. A, GO, FGIC, 4.40%, 06/15/15 109 250 Chenango Forks Central School District, GO, FGIC, 5.63%, 06/15/11 287 850 Chenango Forks Central School District, GO, FGIC, 5.70%, 06/15/12 977 290 Clarkstown Central School District, GO, FSA, 4.00%, 04/15/07 304 255 Clarkstown Central School District, GO, FSA, 4.00%, 04/15/08 269 545 Clarkstown Central School District, GO, FSA, 4.50%, 04/15/10 590 415 Clarkstown Central School District, GO, FSA, 4.75%, 04/15/11 455 585 Clarkstown Central School District, GO, FSA, 5.00%, 04/15/12 652 605 Clarkstown Central School District, GO, FSA, 5.00%, 04/15/13 674 630 Clarkstown Central School District, GO, FSA, 5.00%, 04/15/14 704 255 Clarkstown Central School District, GO, FSA, 5.25%, 04/15/15 288 1,500 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/13 1,687 1,655 Cleveland Hill Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/14 1,857 120 East Rochester Union Free School District, GO, FSA, 5.70%, 06/15/14 138 2,250 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/07 2,408 2,300 Eastport-South Manor Central School District, GO, FGIC, 4.50%, 06/15/08 2,492 2,200 Eastport-South Manor Central School District, GO, FGIC, 4.63%, 06/15/09 2,404 100 Eastport-South Manor Central School District, GO, FGIC, 4.63%, 06/15/11 111 1,130 Erie County Water Authority, Improvement & Extension, Rev., 5.75%, 12/01/08 1,214 $ 285 Fayetteville-Manlius Central School District, GO, FGIC, 5.00%, 06/15/12 $ 318 300 Gananda Central School District, GO, FSA, 4.70%, 06/15/11 330 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/16 1,178 1,050 Goshen Central School District, GO, FGIC, 5.00%, 06/15/17 1,176 1,000 Goshen Central School District, GO, FGIC, 5.00%, 06/15/19 1,113 690 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/08 754 1,480 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/09 1,633 1,545 Harborfields Central School District, Greenlawn, GO, FSA, 5.00%, 06/01/10 1,716 1,000 Ilion Central School District, Ser. B, GO, FGIC, 5.00%, 06/15/14 1,108 70 Irvington Union Free School District, GO, FSA, 5.00%, 04/01/12 77 1,070 Lindenhurst Union Free School District, GO, (p), FGIC, 5.25%, 07/15/12 1,186 1,460 Lindenhurst Union Free School District, GO, (p), FGIC, 5.25%, 07/15/17 1,587 1,295 Lindenhurst Union Free School District, GO, FGIC, 5.25%, 07/15/16 1,417 300 Long Island Power Authority, Electric Systems, Rev., MBIA, 5.00%, 04/01/07 322 5,250 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/12 6,094 1,875 Long Island Power Authority, Electric Systems, Ser. A, Rev., (p), FSA, 5.50%, 12/01/13 2,188 2,800 Long Island Power Authority, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/08 3,124 110 Longwood Central School District at Middle Island, GO, FSA, 4.80%, 06/15/13 122 525 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/14 591
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 280 Mahopac Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/15 $ 315 1,090 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/09 1,228 2,180 Massapequa Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/12 2,496 2,485 Massapequa Union Free School District, Ser. A, GO, FSA, 5.40%, 06/15/13 2,849 3,135 Massapequa Union Free School District, Ser. A, GO, FSA, 5.70%, 06/15/16 3,644 60 Metropolitan Transportation Authority, Commuter Facilites, Ser. E, Rev., (p), AMBAC, 5.00%, 07/01/13 68 340 Metropolitan Transportation Authority, Commuter Facilities, Ser. A, Rev., (p), FGIC, 6.10%, 07/01/06 374 100 Metropolitan Transportation Authority, Commuter Facilities, Ser. A, Rev., (p), FSA, 5.00%, 07/01/11 112 100 Metropolitan Transportation Authority, Commuter Facilities, Service Contract, Ser. Q, Rev., (p), AMBAC, 5.13%, 07/01/13 114 250 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), FGIC, 6.00%, 04/01/10 292 5,400 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. A, Rev., (p), MBIA, 6.25%, 04/01/11 6,448 11,920 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/16 13,940 2,330 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., 5.75%, 07/01/18 2,727 4,750 Metropolitan Transportation Authority, Service Contract, Ser. A, Rev., FSA, 5.75%, 01/01/18 5,634 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. A, Rev., (p), 6.00%, 07/01/09 116 $ 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. A, Rev., (p), 6.13%, 07/01/09 $ 116 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. B-1, Rev., (p), AMBAC, 5.00%, 01/01/12 112 100 Metropolitan Transportation Authority, Transportation Facilities, Ser. B-1, Rev., (p), AMBAC, 5.00%, 01/01/12 112 510 Metropolitan Transportation Authority, Transportation Facilities, Ser. C, Rev., (p), FSA, 5.25%, 07/01/10 568 300 Metropolitan Transportation Authority, Transportation Facilities, Ser. M, Rev., (p), FGIC, 5.40%, 07/01/07 328 100 Mexico Central School District, GO, MBIA, 4.20%, 06/15/07 106 170 Millbrook Central School District, GO, FSA, 4.00%, 11/15/06 178 205 Millbrook Central School District, GO, FSA, 4.00%, 11/15/07 217 65 Monroe County, Public Improvement, GO, AMBAC, 5.88%, 06/01/08 73 1,030 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/15 1,119 100 Monroe County, Public Improvement, GO, FGIC, 5.00%, 03/01/16 108 335 Monroe County, Public Improvement, GO, MBIA-IBC, 6.00%, 03/01/15 401 1,000 Monroe County, Public Improvement, GO, MBIA-IBC, 6.00%, 03/01/18 1,214 1,000 Monroe County, Public Improvement, GO, MBIA-IBC, 6.00%, 03/01/19 1,209 1,065 Monroe County, Public Improvement, Ser. P, GO, (p), AMBAC, 5.88%, 06/01/08 1,205 645 Monroe Woodbury Central School District, GO, FSA, 5.00%, 04/15/13 721 280 Monroe Woodbury Central School District, GO, FSA, 5.00%, 04/15/14 313 735 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 4.50%, 05/15/10 797
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,615 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 5.00%, 05/15/13 $ 1,806 1,005 Monroe Woodbury Central School District, Ser. A, GO, FGIC, 5.00%, 05/15/14 1,123 365 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/07 404 6,500 Municipal Assistance Corporation for the City of New York, Ser. G, Rev., 6.00%, 07/01/08 7,265 160 Municipal Assistance Corporation for the City of New York, Ser. I, Rev., 6.25%, 07/01/07 178 140 Municipal Assistance Corporation for the City of New York, Ser. M, Rev., 5.25%, 07/01/06 149 1,900 Municipal Assistance Corporation for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 2,096 215 Nassau County IDA, Civic Facilities, Hofstra University Project, Rev., MBIA, 5.25%, 07/01/14 245 450 New Rochelle City School District, Ser. A, GO, FSA, 5.00%, 12/15/10 501 3,605 New York City IDA, Civic Facilities, Nightingale-Bamford School, Rev., AMBAC, 5.00%, 01/15/10 3,980 3,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. A, Rev., FGIC, 5.75%, 06/15/31 3,260 5,500 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 6,080 1,000 New York City Transit Authority, Metropolitan Transportation Authority, Triborough, COP, Ser. A, AMBAC, 5.63%, 01/01/12 1,126 2,130 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 05/01/07 2,301 $ 1,405 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 08/01/08 $ 1,537 10,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 08/15/14 10,946 105 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.00%, 08/15/07 115 140 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.13%, 08/15/07 154 1,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 5.75%, 08/15/09 1,157 2,100 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), 6.00%, 08/15/09 2,453 1,635 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., (p), FGIC, 6.00%, 08/15/09 1,910 475 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 5.50%, 02/01/13 538 695 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 6.13%, 11/15/14 811 3,380 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 5.50%, 02/01/11 3,902 500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 6.00%, 05/15/10 590 3,305 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., (p), 6.13%, 05/15/10 3,922 3,500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., Adj., 5.25%, 02/01/29 3,868 2,500 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FSA, 6.00%, 11/15/10 2,920
SEE NOTES TO FINANCIAL STATEMENTS. 35
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 100 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., (p), 4.75%, 05/01/08 $ 110 1,215 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., TRAN, 5.50%, 02/01/11 1,379 170 New York City Transitional Finance Authority, Ser. A, Rev., (p), FGIC, 5.00%, 08/15/07 186 2,000 New York City Trust for Cultural Resources, Educational Broadcasting Corp., Ser. 1999, Rev., 2.68%, 01/01/08 (i) 1,990 1,000 New York City, New York, Ser. E, GO, MBIA-IBC, 5.75%, 08/01/11 1,153 670 New York City, New York, Capital Appreciation, Ser. E, GO, (p), 6.35%, 05/15/08 773 290 New York City, New York, Ser. A, GO, (p), 6.00%, 05/15/10 342 295 New York City, New York, Ser. A, GO, (p), MBIA, 6.00%, 05/15/10 348 4,000 New York City, New York, Ser. B, GO, FGIC, 5.75%, 08/01/13 4,681 470 New York City, New York, Ser. C, GO, (p), 5.25%, 03/15/12 534 160 New York City, New York, Ser. D, GO, FGIC, 5.75%, 08/01/09 181 100 New York City, New York, Ser. D, GO, MBIA, 6.20%, 02/01/07 109 325 New York City, New York, Ser. F, GO, (p), 5.75%, 02/01/06 349 160 New York City, New York, Ser. F, GO, (p), 5.75%, 02/01/06 172 205 New York City, New York, Ser. I, GO, 5.00%, 08/01/10 224 3,000 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 3,123 1,475 New York Local Government Assistance Corp., Senior Lien, Ser. AA, Rev., 5.00%, 04/01/12 1,634 $ 2,000 New York Local Government Assistance Corp., Ser. E, Rev., FSA, 6.00%, 04/01/14 $ 2,367 1,680 New York Mortgage Agency, Home Owner Mortgage, Ser. 94, Rev., 5.35%, 04/01/23 1,778 440 New York Municipal Bond Bank Agency, Special Program, Ser. A, Rev., 6.88%, 03/15/06 441 190 New York State Dormitory Authority, State University Educational Facilities, Ser. B, GO, (p), FSA, 5.50%, 05/15/08 214 370 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.00%, 07/01/08 392 205 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.00%, 07/01/09 218 440 New York State Dormitory Authority, Barnard College, Rev., AMBAC, 4.50%, 07/01/10 478 515 New York State Dormitory Authority, Canisius College, Rev., 4.00%, 07/01/08 540 570 New York State Dormitory Authority, Canisius College, Rev., 4.50%, 07/01/10 609 645 New York State Dormitory Authority, Canisius College, Rev., 5.00%, 07/01/11 708 115 New York State Dormitory Authority, Canisius College, Rev., MBIA, 4.95%, 07/01/14 126 1,520 New York State Dormitory Authority, Child Care Facilities, Service Contract, Ser. A, Rev., 5.38%, 04/01/13 1,695 100 New York State Dormitory Authority, City University System, CONS, Ser. 1, Rev., (p), FSA, 5.63%, 01/01/08 113 140 New York State Dormitory Authority, City University System, CONS, Ser. 1, Rev., MBIA, (p), 5.13%, 01/01/08 156 3,565 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 4,186
SEE NOTES TO FINANCIAL STATEMENTS. 36
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,415 New York State Dormitory Authority, City University System, CONS, Ser. B, Rev., 6.00%, 07/01/14 $ 3,955 445 New York State Dormitory Authority, City University, 3rd Ser., Rev., (p), 6.00%, 07/01/06 481 2,000 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/12 2,262 1,545 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/13 1,736 2,880 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/14 3,214 345 New York State Dormitory Authority, Columbia University, Ser. A, Rev., 5.25%, 07/01/16 381 3,370 New York State Dormitory Authority, Concord Nursing Home, Inc., Rev., 6.25%, 07/01/16 3,709 110 New York State Dormitory Authority, Department of Health, Rev., (p), 5.75%, 07/01/06 120 470 New York State Dormitory Authority, FHA Insured Nursing Home, Ser. A, Rev., MBIA, 5.50%, 08/01/20 515 100 New York State Dormitory Authority, Good Samaritan Hospital, Rev., (p), 5.50%, 07/01/11 115 100 New York State Dormitory Authority, Long Island University, Rev., 5.00%, 09/01/12 108 1,895 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/09 2,112 1,770 New York State Dormitory Authority, Manhattan College, Rev., 5.50%, 07/01/10 1,986 1,295 New York State Dormitory Authority, Master Boces Program, Ser. A, Rev., FSA, 5.00%, 08/15/11 1,445 $ 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/09 $ 1,127 1,000 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.50%, 07/01/23 1,147 370 New York State Dormitory Authority, Memorial Sloan Kettering Cancer Center, Rev., MBIA, 5.75%, 07/01/19 441 2,340 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., 6.00%, 08/15/16 2,783 250 New York State Dormitory Authority, Mental Health Services Facilities Improvement, Ser. B, Rev., MBIA, 5.60%, 08/15/13 277 250 New York State Dormitory Authority, Mental Health, Ser. A, Rev., (p), MBIA, 5.75%, 02/15/10 288 500 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/14 580 1,455 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/18 1,695 2,900 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/23 3,326 1,570 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/24 1,795 2,280 New York State Dormitory Authority, New York University, Ser. 1, Rev., AMBAC, 5.50%, 07/01/25 2,590 8,360 New York State Dormitory Authority, New York University, Ser. A, Rev., AMBAC, 5.75%, 07/01/13 9,816 1,750 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/09 1,997
SEE NOTES TO FINANCIAL STATEMENTS. 37
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,000 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/15 $ 1,181 3,500 New York State Dormitory Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 4,144 2,530 New York State Dormitory Authority, North Shore University Hospital, Rev., MBIA, 5.50%, 11/01/10 2,885 3,450 New York State Dormitory Authority, Pratt Institute, Rev., 6.25%, 07/01/14 3,972 750 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/09 839 3,855 New York State Dormitory Authority, School Districts Financing Program, Ser. A, Rev., MBIA, 5.25%, 10/01/10 4,336 1,960 New York State Dormitory Authority, School Districts Financing Program, Ser. C, Rev., MBIA, 5.50%, 10/01/12 2,257 775 New York State Dormitory Authority, School Districts Financing Program, Ser. E, Rev., MBIA, 5.00%, 10/01/12 865 1,270 New York State Dormitory Authority, School Districts Financing Program, Ser. F, Rev., MBIA, 6.50%, 10/01/20 1,623 1,550 New York State Dormitory Authority, Ser. C, Rev., 7.38%, 05/15/10 1,799 225 New York State Dormitory Authority, Ser. C, Rev., (p), 7.38%, 05/15/09 272 1,345 New York State Dormitory Authority, Service Contract, Child Care Facility, Rev., 5.13%, 04/01/12 1,492 605 New York State Dormitory Authority, Special Act School Districts Program, Rev., MBIA, 5.30%, 07/01/11 675 340 New York State Dormitory Authority, State Service Contract, Albany County, Rev., 5.50%, 04/01/08 374 205 New York State Dormitory Authority, State University Dormitory Facilities, Rev., (p), 5.00%, 07/01/12 231 $ 415 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., 6.50%, 05/15/06 $ 447 6,725 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,756 1,050 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., MBIA-IBC, 5.25%, 05/15/21 1,181 800 New York State Dormitory Authority, State University Educational Facilities, Ser. A, Rev., MBIA-IBC, 5.50%, 05/15/10 907 415 New York State Dormitory Authority, State University Educational Facilities, Ser. I, Rev., (p), 5.13%, 05/15/08 462 21,847 New York State Dormitory Authority, State University of New York, Stoney Brook University, Rev., 3.92%, 03/27/07 (i) 22,069 3,463 New York State Dormitory Authority, State University of New York, University at Buffalo, 2.60%, 01/01/07 (i) 3,477 10,000 New York State Dormitory Authority, The City University of New York, CONS, Rev., AMBAC, 5.75%, 07/01/13 11,740 1,025 New York State Dormitory Authority, The City University of New York, Special Obligation, Ser. D, MBIA-IBC, 5.75%, 07/01/06 1,100 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 5,438 470 New York State Environmental Facilities Corp., Clean Water & Drinking, New York City Municipal Water Project, Revolving Funds, Ser. K, Rev., 5.50%, 06/15/15 547 2,000 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, New York City Municipal Project, Rev., 5.38%, 06/15/15 2,229
SEE NOTES TO FINANCIAL STATEMENTS. 38
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,205 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, Second Resolution, Rev., 5.00%, 06/15/13 $ 2,472 3,125 New York State Environmental Facilities Corp., Clean Water & Drinking, Revolving Funds, Second Resolution, Rev., 5.00%, 06/15/14 3,473 460 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/11 535 700 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., 5.75%, 06/15/12 820 1,590 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 1,859 2,950 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/11 3,448 1,000 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 1,177 4,100 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Rev., (p), 5.75%, 06/15/12 4,827 425 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. B, Rev., 5.20%, 05/15/14 483 100 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. B, Rev., (p), 4.95%, 05/15/07 108 300 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/11 353 5,315 New York State Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., MBIA, 6.00%, 06/15/12 6,314 1,000 New York State Environmental Facilities Corp., Solid Waste Disposal, Waste Management Project, Ser. A, Rev., Adj., 2.90%, 05/01/12 1,001 $ 2,125 New York State Environmental Facilities Corp., Solid Waste Disposal, Waste Management, Inc. Project, Ser. A, Rev., 4.45%, 07/01/17 $ 2,165 4,650 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., 5.70%, 07/15/14 5,294 460 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. B, Rev., (p), 5.70%, 07/15/09 530 1,800 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.50%, 06/15/13 2,069 3,220 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. L, Rev., 5.00%, 11/15/11 3,606 145 New York State Housing Finance Agency, Multi-Family Mortgage Housing, Ser. A, Rev., 6.95%, 08/15/12 146 440 New York State Medical Care Facilities Finance Agency, Hospital and Nursing Home, Insured Mortgage, Ser. C, Rev., (p), 5.75%, 02/15/08 492 865 New York State Thruway Authority, Highway & Bridge Trust Fund, Ser. B-1, Rev., (p), FGIC, 5.60%, 04/01/10 1,000 2,550 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., 6.00%, 04/01/11 2,816 3,765 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), 6.00%, 04/01/07 4,223 170 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., (p), AMBAC, 5.75%, 04/01/10 198 585 New York State Thruway Authority, Local Highway & Bridge, Service Contract, Rev., MBIA, 5.50%, 04/01/10 661 1,450 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.50%, 01/01/17 1,618
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 260 New York State Urban Development Corp., Correctional & Youth Facilities, Ser. A, Rev., 4.00%, 01/01/28 $ 270 350 New York State Urban Development Corp., Correctional Capital Facilities, Ser. 7, Rev., (p), 5.70%, 01/01/07 387 3,045 New York State Urban Development Corp., Correctional Capital Facilities, Ser. A, Rev., FSA, 5.25%, 01/01/14 3,449 120 New York State Urban Development Corp., Correctional Capital Facilities, Ser. A, Rev., FSA, 5.50%, 01/01/08 132 310 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. B, Rev., (p), AMBAC, 4.75%, 01/01/09 341 170 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. B, Rev., (p), AMBAC, 5.25%, 01/01/09 190 100 New York State Urban Development Corp., Correctional Facilities Service Contract, Ser. D, Rev., (p), FSA, 5.25%, 01/01/11 113 145 New York State Urban Development Corp., Correctional Facilities, Ser. A, Rev., (p), 5.00%, 01/01/08 161 115 New York State Urban Development Corp., Correctional Facilities, Ser. A, Rev., (p), FSA, 5.00%, 01/01/08 127 270 New York State Urban Development Corp., Correctional Facilities, Ser. B, Rev., (p), 5.00%, 01/01/09 300 110 New York State Urban Development Corp., Correctional Facilities, Ser. B, Rev., (p), 5.00%, 01/01/09 122 145 New York State Urban Development Corp., Correctional Facilitities Service Contract, Ser. C, Rev., (p), AMBAC, 6.00%, 01/01/09 167 375 New York State Urban Development Corp., Facilities, Rev., 5.75%, 04/01/11 426 $ 250 New York State Urban Development Corp., Personal Income Tax, Ser. C-1, Rev., 5.00%, 03/15/09 $ 274 1,000 New York State Urban Development Corp., State Facilities, Rev., 5.60%, 04/01/15 1,147 45 New York State Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.88%, 04/01/14 52 115 New York State Urban Development Corp., Youth Facilities, Ser. A, Rev., (p), 5.00%, 04/01/08 127 3,000 New York State, GO, 6.00%, 03/01/07 3,277 1,940 Niagara Falls Bridge Commission, Tolls, Ser. B, Rev., FGIC, 5.25%, 10/01/15 2,211 1,010 Oneida County, GO, FGIC, 5.50%, 03/15/11 1,152 1,000 Oneida-Herkimer Solid Waste Management Authority, Solid Waste Systems, Rev., FSA, 5.50%, 04/01/11 1,140 1,230 Onondaga County, GO, 5.25%, 05/15/13 1,410 1,280 Onondaga County, GO, 5.25%, 05/15/14 1,473 1,335 Onondaga County, GO, 5.25%, 05/15/15 1,528 785 Onondaga County, GO, 5.25%, 05/15/16 900 700 Onondaga County, Ser. A, GO, 5.00%, 05/01/12 779 445 Onondaga County, Ser. A, GO, 5.25%, 05/15/13 496 445 Onondaga County, Ser. A, GO, 5.25%, 05/15/14 496 515 Onondaga County, Ser. A, GO, 5.25%, 05/15/15 572 160 Onondaga County, Ser. A, GO, 5.25%, 05/15/16 176 100 Peru Central School District, GO, FGIC, 4.63%, 06/15/18 110 550 Phelps-Clifton Springs Central School District, Ser. B, GO, MBIA, 4.00%, 06/15/10 582 4,395 Port Authority of New York & New Jersey, 120th Ser., Rev., MBIA, 5.75%, 10/15/07 4,829
SEE NOTES TO FINANCIAL STATEMENTS. 40
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 775 Red Creek Central School District, GO, FSA, 5.50%, 06/15/14 $ 888 360 Rockland County, Various Purposes, Ser. A, GO, 4.50%, 10/01/09 388 195 Rondout Valley Central School District, GO, FSA, 5.13%, 03/01/17 220 865 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/18 983 930 Rondout Valley Central School District, GO, FSA, 5.25%, 03/01/19 1,057 1,050 Scotia Glenville Central School District, GO, FGIC, 5.40%, 06/15/12 1,193 1,050 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/13 1,198 1,025 Scotia Glenville Central School District, GO, FGIC, 5.50%, 06/15/14 1,169 275 Shenendehowa Central School District, Clifton Park, GO, FSA, 5.50%, 07/15/11 318 500 Stillwater Central School District, GO, MBIA, 5.20%, 06/15/11 559 1,250 Suffolk County Water Authority, Waterworks, Sub Lien, Rev., MBIA, 6.00%, 06/01/09 1,433 1,550 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/13 1,742 1,215 Suffolk County, Public Improvement, Ser. C, GO, MBIA, 5.25%, 07/15/14 1,355 3,225 Suffolk County, Southwest Sewer District, GO, MBIA, 6.00%, 02/01/08 3,602 500 The New York Power Authority, General Purpose, Rev., (p), 7.00%, 01/01/10 605 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. A, Rev., (p), 4.75%, 01/01/16 108 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. A, Rev., (p), 6.00%, 01/01/11 117 1,000 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., (p), 5.75%, 01/01/12 1,168 7,770 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.50%, 01/01/12 8,644 $ 9,125 Triborough Bridge & Tunnel Authority, General Purpose, Ser. Y, Rev., (p), 6.00%, 01/01/12 $ 10,565 1,480 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/07 1,576 1,000 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/08 1,075 1,980 Unadilla ETC Central School District, GO, FGIC, 4.50%, 06/15/09 2,142 565 Warwick Valley Central School District, GO, FSA, 5.50%, 01/15/14 633 600 Watertown City School District, GO, FSA, 5.63%, 06/15/16 688 1,365 Watertown City School District, GO, FSA, 5.63%, 06/15/17 1,565 1,245 Watertown City School District, GO, FSA, 5.63%, 06/15/18 1,427 2,870 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.20%, 11/01/16 3,135 8,115 Westchester County Healthcare Corp., Sub Ser. B, Rev., 5.25%, 11/01/12 9,023 1,700 Westchester County IDA, Civic Facilities, Children's Village Project, Ser. A, Rev., 5.30%, 03/15/14 1,840 1,150 Westchester County, GO, (p), 6.70%, 11/01/06 1,270 1,705 William Floyd Union Free School District of the Mastics-Moriches-Shirley, Ser. B, GO, MBIA, 4.63%, 06/15/08 1,841 1,000 Windsor Central School District, GO, FGIC, 5.50%, 06/15/13 1,141 1,170 Windsor Central School District, GO, FGIC, 5.50%, 06/15/14 1,335 650 Windsor Central School District, GO, FGIC, 5.50%, 06/15/15 742 ------------------------------------------------------------------------------------- 503,648 ------------------------------------------------------------------------------------- PENNSYLVANIA -- 0.1% 850 Upper Merion Area School District, Ser. 2004, GO, FSA, 5.35%, 09/01/13 974
SEE NOTES TO FINANCIAL STATEMENTS. 41
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED PUERTO RICO -- 9.0% $ 2,460 Puerto Rico Commonwealth, GO, FSA, 6.00%, 07/01/13 $ 2,941 1,120 Puerto Rico Commonwealth, Public Improvement, GO, FSA, 5.50%, 07/01/12 1,296 175 Puerto Rico Commonwealth, Public Improvement, GO, MBIA, 5.75%, 07/01/07 193 4,000 Puerto Rico Commonwealth, Public Improvement, GO, MBIA, 5.75%, 07/01/20 4,595 210 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, 5.50%, 07/01/18 239 1,000 Puerto Rico Commonwealth, Public Improvement, Ser. A, GO, MBIA, 5.50%, 07/01/14 1,167 2,695 Puerto Rico Electric Power Authority, Rev., MBIA, 5.00%, 07/01/18 3,021 535 Puerto Rico Electric Power Authority, Rev., MBIA, 5.00%, 07/01/20 596 1,270 Puerto Rico Electric Power Authority, Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,447 1,495 Puerto Rico Electric Power Authority, Ser. JJ, Rev., 5.38%, 07/01/16 1,723 210 Puerto Rico Electric Power Authority, Ser. JJ, Rev., MBIA, 5.25%, 07/01/15 241 475 Puerto Rico Electric Power Authority, Ser. KK, Rev., FSA, 5.25%, 07/01/13 542 625 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/06 658 7,165 Puerto Rico Highway & Transportation Authority, Rev., 5.00%, 07/01/07 7,693 685 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.50%, 07/01/16 801 600 Puerto Rico Highway & Transportation Authority, Ser. E, Rev., FSA, 5.50%, 07/01/13 697 8,430 Puerto Rico Highway & Transportation Authority, Ser. F, Rev., 5.00%, 07/01/07 9,052 1,500 Puerto Rico Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 1,752 $ 1,000 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., MBIA-IBC, 5.50%, 07/01/13 $ 1,162 1,050 Puerto Rico Highway & Transportation Authority, Ser. X, Rev., MBIA-IBC, 5.50%, 07/01/15 1,226 1,105 Puerto Rico Highway & Transportation Authority, Ser. Z, Rev., 6.25%, 07/01/16 1,366 1,400 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 1,620 4,725 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.00%, 07/01/07 5,074 4,500 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.25%, 07/01/08 4,930 1,470 Puerto Rico Public Buildings Authority, Government Facilities, Ser. C, Rev., 5.50%, 07/01/12 1,671 2,900 Puerto Rico Public Buildings Authority, Government Facilities, Ser. K, Rev., FRDO, 4.50%, 07/01/22 3,059 1,345 Puerto Rico Public Buildings Authority, Rev., MBIA-IBC, 5.50%, 07/01/15 1,571 ------------------------------------------------------------------------------------- 60,333 ------------------------------------------------------------------------------------- VIRGIN ISLANDS -- 0.7% 4,000 Virgin Islands Public Finance Authority, Gross Receipts, Tax Loan Notes, Ser. A, Rev., 6.38%, 10/01/19 4,516 VIRGINIA -- 0.1% 740 Virginia Resources Authority, Infrastructure, Pooled Loan Bond Project, Ser. B, Rev., 5.00%, 11/01/12 830 ------------------------------------------------------------------------------------- Total State and Municipal Obligations 647,724 (Cost $611,269) -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS -- 3.8% MUNICIPAL SECURITY -- 0.2% NEW YORK -- 0.2% $ 1,050 New York State Dormitory Authority, Lenox Hill Hospital Obligation Group, Rev., 5.00%, 07/01/05 $ 1,079 (Cost $1,057) SHARES ISSUER VALUE ------------------------------------------------------------------------------------------------------ MONEY MARKET FUND -- 3.6% 24,163 JPMorgan Tax Free Money Market Fund (a) $ 24,163 (Cost $24,163) Total Short-Term Investments 25,242 (Cost $25,220) ------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 672,966 (COST $636,489) -------------------------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD) --------------------------------------------------------------------------------------------------------- SHORT FUTURES OUTSTANDING (133) 5 Year Treasury Notes December, 2004 $ (14,719) $ (58) (87) 10 Year Treasury Notes December, 2004 (9,771) (66)
SEE NOTES TO FINANCIAL STATEMENTS. 43 JPMORGAN TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- 90.3% STATE AND MUNICIPAL OBLIGATIONS -- 90.3% ARIZONA -- 3.5% $ 2,290 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.25%, 07/01/11 + $ 2,576 4,280 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.25%, 07/01/12 + 4,827 4,360 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.75%, 07/01/17 + 5,117 2,375 Arizona School Facilities Board, State School Trust, Ser. A, Rev., AMBAC, 5.75%, 07/01/18 + 2,766 2,450 Arizona State Transportation Board, Highway, Sub Ser. A, Rev., 5.25%, 07/01/12 + 2,778 5,000 Arizona State Transportation Board, Ser. A, Rev., GAN, 5.00%, 07/01/13 + 5,563 ------------------------------------------------------------------------------------- 23,627 ------------------------------------------------------------------------------------- CALIFORNIA -- 12.4% 6,000 California Infrastructure & Economic Development Bank, State Revolving Fund, Clean Water, Rev., 5.00%, 10/01/15 + 6,577 5,750 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.13%, 05/01/18 6,232 3,500 California State, Economic Recovery, Ser. A, GO, FGIC, 5.25%, 07/01/14 3,973 20,000 California State, Economic Recovery, Ser. A, GO, MBIA, 5.00%, 07/01/15 22,084 750 California State, GO, MBIA-IBC, 6.50%, 11/01/09 885 5,605 California State, Various Purposes, GO, 5.13%, 11/01/11 6,234 750 California State, Veterans Bonds, Ser. AM, GO, 9.00%, 10/01/05 + 807 350 Chico Public Financing Authority, Merged Redevelopment Project Area, Tax Allocation, Rev., MBIA, 5.00%, 04/01/19 372 430 Chino Valley Unified School District, COP, Ser. A, GO, FSA, 5.38%, 08/01/18 479 $ 1,000 Fullerton University Foundation, Auxiliary Organization, Ser. A, Rev., MBIA, 5.75%, 07/01/30 $ 1,087 250 Los Angeles Department of Water & Power, Waterworks, Ser. C, Rev., MBIA, 5.25%, 07/01/17 279 3,970 Los Angeles Harbor Department, Rev., (p), 7.60%, 10/01/08 5,059 1,465 Orange County Development Agency, Tax Allocation, Santa Ana Heights Project Area, AMBAC, 5.25%, 09/01/15 1,628 1,965 Orange County Development Agency, Tax Allocation, Santa Ana Heights Project Area, AMBAC, 5.25%, 09/01/16 2,184 2,120 Orange County Development Agency, Tax Allocation, Santa Ana Heights Project Area, AMBAC, 5.25%, 09/01/17 2,341 2,510 Riverside, California, Electric, Rev., FSA, 5.25%, 10/01/15 2,781 4,135 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/19 2,054 2,985 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/20 1,389 5,010 Rocklin Unified School District, GO, FGIC, 0.00%, 08/01/22 2,044 2,000 San Jose Evergreen Community College District, Ser. A, GO, AMBAC, 5.25%, 09/01/17 2,237 360 San Mateo County Transportation District, Sales Tax, Ser. A, Rev., MBIA, 5.25%, 06/01/19 407 2,000 South Orange County Public Financing Authority, Foothill Area, Ser. A, Special Tax, FGIC, 5.25%, 08/15/17 2,227 3,880 South Orange County Public Financing Authority, Foothill Area, Ser. A, Special Tax, FGIC, 5.25%, 08/15/19 4,260 6,030 Southern California Public Power Authority, San Juan Unit 3, Power Project, Ser. A, Rev., FSA, 5.50%, 01/01/14 6,928 ------------------------------------------------------------------------------------- 84,548 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 44
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED COLORADO -- 1.2% $ 1,045 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/11 $ 1,163 2,000 Denver City & County, Airport, Ser. A, Rev., AMBAC, 6.00%, 11/15/17 2,223 2,000 Douglas County School District No. Re-1, Douglas & Elbert Counties, GO, FGIC, 5.75%, 12/15/19 2,318 2,550 Platte River Power Authority, Ser. DD, Rev., MBIA, 6.00%, 06/01/06 2,734 ------------------------------------------------------------------------------------- 8,438 ------------------------------------------------------------------------------------- CONNECTICUT -- 1.4% 1,375 Connecticut State Development Authority, PCR, Ser. A, Rev., Adj., AMBAC, 3.35%, 05/01/31 1,391 5,900 Connecticut State, Transportation Infrastructure, Special Tax Obligation, Ser. B, Rev., FSA, 5.50%, 11/01/07 6,497 1,425 Waterbury, Connecticut, Ser. A, GO, FSA, 5.50%, 04/01/14 1,609 ------------------------------------------------------------------------------------- 9,497 ------------------------------------------------------------------------------------- DELAWARE -- 0.9% 5,000 Delaware State Economic Development Authority, Osteopathic Hospital Association of Delaware, Ser. A, Rev., (p), 6.90%, 01/01/18 6,264 FLORIDA -- 2.5% 3,205 Hillsborough County Aviation Authority, Tampa International Airport, Ser. B, Rev., FGIC, 6.00%, 10/1/18 3,874 3,750 Lakeland, Florida, Electric & Water, First Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 4,516 3,760 Orange County Health Facilities Authority, Ser. A, Rev., (p), MBIA, 6.25%, 10/01/12 4,568 1,255 Orange County Health Facilities Authority, Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,494 $ 1,580 Orange County Health Facilities Authority, Ser. C, Rev., (p), MBIA, 6.25%, 10/01/12 $ 1,919 680 Orange County Health Facilities Authority, Ser. C, Rev., MBIA, 6.25%, 10/01/12 810 ------------------------------------------------------------------------------------- 17,181 ------------------------------------------------------------------------------------- GEORGIA -- 6.9% 10,000 Dalton Development Authority, Rev., MBIA, 5.50%, 08/15/26 11,119 7,125 De Kalb County Housing Authority, Apartment Development, Fox Hollow Apartments, Rev., (p), 7.00%, 05/15/07 7,982 1,000 De Kalb County, Water & Sewer Systems, Rev., 5.25%, 10/01/11 1,121 3,610 Fulton County, Water & Sewer, Rev., FGIC, 5.00%, 01/01/18 3,887 3,790 Fulton County, Water & Sewer, Rev., FGIC, 5.00%, 01/01/19 4,056 2,000 Fulton County, Water & Sewer, Rev., FGIC, 5.00%, 01/01/21 2,110 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 13,077 3,110 Savannah Economic Development Authority, College of Art & Design, Inc. Project, Rev., 6.60%, 10/01/15 3,703 ------------------------------------------------------------------------------------- 47,070 ------------------------------------------------------------------------------------- HAWAII -- 0.8% 4,500 Honolulu City & County, Ser. A, GO, 7.35%, 07/01/08 5,306 IDAHO-- 0.0% ^ 135 Nez Perce County School District No. 341, GO, 5.00%, 08/15/11 150
SEE NOTES TO FINANCIAL STATEMENTS. 45
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED ILLINOIS -- 3.0% $ 3,990 Cook County Community High School District No. 219, Niles Township, GO, FGIC, 8.00%, 12/01/15 $ 5,489 2,120 Illinois Housing Development Authority, Multi-Family Housing, Ser. 1991-A, Rev., 8.25%, 07/01/16 2,154 2,425 Regional Transportation Authority, Rev., MBIA, 6.25%, 07/01/15 2,960 9,000 State of Illinois, First Ser., GO, MBIA, 5.13%, 10/01/11 10,072 ------------------------------------------------------------------------------------- 20,675 ------------------------------------------------------------------------------------- LOUISIANA -- 3.3% 1,500 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/15 1,674 2,000 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/18 2,199 1,040 Louisiana State, Gas & Fuels Tax, Ser. A, Rev., AMBAC, 5.38%, 06/01/19 1,137 1,825 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/15 2,013 2,635 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/16 2,891 2,745 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/17 2,996 2,860 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/18 3,098 2,955 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/19 3,181 3,110 Saint Bernard Parish, Louisiana, Sales & Use Tax, Rev., FSA, 5.00%, 03/01/20 3,328 ------------------------------------------------------------------------------------- 22,517 ------------------------------------------------------------------------------------- MASSACHUSETTS -- 3.7% 1,075 Auburn, Massachusetts, GO, AMBAC, 5.13%, 06/01/17 + 1,183 1,125 Auburn, Massachusetts, GO, AMBAC, 5.13%, 06/01/18 + 1,234 1,340 Auburn, Massachusetts, GO, AMBAC, 5.13%, 06/01/22 + 1,431 1,400 Auburn, Massachusetts, GO, AMBAC, 5.13%, 06/01/23 + 1,486 $ 6,725 Massachusetts State Port Authority, Ser. B, Rev., FSA, 5.50%, 07/01/13 $ 7,313 6,640 Massachusetts State, CONS, Ser. C, GO, 5.25%, 12/01/07 7,258 2,775 Massachusetts State, CONS, Ser. C, GO, (p), MBIA, 5.75%, 10/01/10 3,196 1,000 New England Education Loan Marketing Corp., Student Loan, Sub-Issue H, Rev., 6.90%, 11/01/09 1,134 1,245 Pittsfield, Massachusetts, GO, MBIA, 5.13%, 04/15/22 1,319 ------------------------------------------------------------------------------------- 25,554 ------------------------------------------------------------------------------------- MICHIGAN -- 1.0% 5,000 Michigan Strategic Fund, Detroit Edison Co., Ser. CC, Rev., Adj., AMBAC, 4.85%, 09/01/30 5,374 1,000 Rochester Community School District, Ser. I, GO, (p), FGIC, 5.75%, 05/01/10 1,155 ------------------------------------------------------------------------------------- 6,529 ------------------------------------------------------------------------------------- MISSOURI -- 0.4% 1,705 Jackson County Public Building Corp., Capital Improvements Project, Rev., 5.00%, 12/01/28 1,727 1,105 Sikeston, Missouri, Electric, Rev., MBIA, 6.00%, 06/01/16 1,333 ------------------------------------------------------------------------------------- 3,060 ------------------------------------------------------------------------------------- NEW HAMPSHIRE -- 1.0% 1,010 Manchester, New Hampshire, GO, 5.25%, 06/01/14 1,147 1,015 Manchester, New Hampshire, GO, 5.25%, 06/01/15 1,154 1,020 Manchester, New Hampshire, GO, 5.25%, 06/01/16 1,160 1,020 Manchester, New Hampshire, GO, 5.25%, 06/01/17 1,159 2,040 Manchester, New Hampshire, GO, 5.25%, 06/01/18 2,314 ------------------------------------------------------------------------------------- 6,934 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NEW JERSEY -- 8.6% $ 2,070 Essex County Improvement Authority, County Correctional Facility Improvements, Ser. A, Rev., FGIC, 5.00%, 10/01/13 $ 2,314 4,200 Freehold Regional High School District, GO, (p), FGIC, 5.60%, 03/01/10 4,800 9,000 Garden State Preservation Trust, Open Space & Farmland, Ser. A, Rev., FSA, 5.80%, 11/01/22 9,863 4,200 New Jersey Economic Development Authority, Capital Appreciation, Motor Vehicles, Ser. R, Rev., MBIA, 0.00%, 07/01/18 2,246 10,000 New Jersey Economic Development Authority, Motor Vehicles, Ser. A, Rev., MBIA, 5.25%, 07/01/17 11,046 1,400 New Jersey State Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 1,423 5,000 New Jersey State Highway Authority, Garden State Parkway, Rev., (p), 6.20%, 01/01/10 5,691 1,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 1,165 3,125 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 6.50%, 06/15/10 3,707 15,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. C, Rev., 5.50%, 06/15/20 16,574 ------------------------------------------------------------------------------------- 58,829 ------------------------------------------------------------------------------------- NEW MEXICO -- 0.2% 1,515 Los Alamos County, Inc., Utility System, Ser. A, Rev., FSA, 5.00%, 07/01/13 1,693 NEW YORK -- 19.5% 2,850 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., 5.75%, 06/15/30 3,091 $ 10,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., Adj., 5.50%, 11/01/26 $ 11,304 8,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., 5.50%, 11/01/24 8,626 9,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., (p), 5.50%, 05/01/10 10,376 18,140 New York City, New York, Ser. F, GO, 6.00%, 01/15/18 20,814 2,900 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 3,019 5,000 New York State Dormitory Authority, City University System, CONS, Ser. A, Rev., FSA, 5.75%, 07/01/13 5,871 2,000 New York State Dormitory Authority, Pratt Institute, Rev., 6.00%, 07/01/28 2,192 9,345 New York State Environmental Facilities Corp., State Water Revolving Fund, Ser. D, Rev., 5.38%, 06/15/19 10,343 7,270 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/15/17 8,031 7,135 New York State Environmental Facilities Corp., State Water Revolving Fund, Sub Ser. E, Rev., 5.38%, 06/05/18 7,862 175 New York State Urban Development Corp., Correctional Capital Facilities, Ser. 7, Rev., (p), MBIA-IBC, 5.70%, 01/01/07 193 26,000 Port Authority of New York & New Jersey, CONS, 93rd Ser., Rev., 6.13%, 06/01/94 29,895 7,960 Triborough Bridge & Tunnel Authority, Convention Center Project, Ser. E, Rev., 7.25%, 01/01/10 9,012 2,000 Utica IDA, Civic Facilities, Munson-Williams-Proctor Institute Project, Ser. A, Rev., 5.38%, 07/15/19 2,180 ------------------------------------------------------------------------------------- 132,809 -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED NORTH DAKOTA -- 0.9% $ 5,000 Mercer County, PCR, Antelope Valley Station, Rev., AMBAC, 7.20%, 06/30/13 $ 6,157 OHIO -- 0.4% 1,745 Chillicothe City School District, School Improvement, GO, FGIC, 5.25%, 12/01/25 1,855 1,000 Cleveland Municipal School District, GO, FSA, 5.25%, 12/01/23 1,074 ------------------------------------------------------------------------------------- 2,929 ------------------------------------------------------------------------------------- OKLAHOMA -- 0.9% 890 Oklahoma Housing Finance Agency, Single Family Mortgage, Ser. B-2, Rev., 6.80%, 09/01/26 924 5,000 Tulsa Metropolitan Utility Authority, Rev., MBIA, 5.75%, 09/01/19 5,292 ------------------------------------------------------------------------------------- 6,216 ------------------------------------------------------------------------------------- OREGON -- 0.9% 5,000 Washington County Unified Sewer Agency, Senior Lien, Ser. A, Rev., FGIC, 5.75%, 10/01/10 5,764 PENNSYLVANIA -- 1.1% 6,500 Pennsylvania IDA, Economic Development, Rev., AMBAC, 5.50%, 07/01/18 7,254 PUERTO RICO -- 7.6% 5,655 Puerto Rico Commonwealth, GO, MBIA, 6.00%, 07/01/16 6,884 6,900 Puerto Rico Commonwealth, Ser. C, GO, Adj., 5.00%, 07/01/18 7,442 10,000 Puerto Rico Electric Power Authority, Ser. KK, Rev., MBIA, 5.50%, 07/01/15 11,659 4,460 Puerto Rico Electric Power Authority, Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,055 5,000 Puerto Rico Highway & Transportation Authority, Ser. B, Rev., (p), 6.00%, 07/01/10 5,897 $ 2,400 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 $ 2,778 3,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, 6.25%, 07/01/11 3,592 5,235 Puerto Rico Public Buildings Authority, Government Facilities, Ser. F, Rev., 5.25%, 07/01/20 5,782 2,800 Puerto Rico Public Buildings Authority, Government Facilities, Ser. K, Rev., FRDO, 4.50%, 07/01/22 2,953 ------------------------------------------------------------------------------------- 52,042 ------------------------------------------------------------------------------------- SOUTH CAROLINA -- 3.4% 5,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/16 5,913 4,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/17 4,803 2,500 Charleston Educational Excellence Finance Corp., Charleston County School District Project, Rev., 5.00%, 12/01/18 2,649 5,000 South Carolina State Public Service Authority, Ser. A, Rev., AMBAC, 6.25%, 01/01/22 5,374 4,000 South Carolina State Public Service Authority, Ser. A, Rev., FSA, 5.00%, 01/01/16 4,382 ------------------------------------------------------------------------------------- 23,121 ------------------------------------------------------------------------------------- SOUTH DAKOTA -- 0.5% 2,750 Heartland Consumers Power District, Rev., (p), 7.00%, 01/01/16 3,275 TENNESSEE -- 0.5% 3,000 Metropolitan Government of Nashville & Davidson County, Water & Sewer, Rev., FGIC, 5.20%, 01/01/13 3,378
SEE NOTES TO FINANCIAL STATEMENTS. 48
PRINCIPAL AMOUNT ISSUER VALUE ------------------------------------------------------------------------------------------------------ LONG-TERM INVESTMENTS -- CONTINUED TEXAS -- 0.4% $ 1,160 Austin, Texas, Public Improvements, GO, MBIA, 5.00%, 09/01/15 $ 1,276 1,295 Austin, Texas, Public Improvements, GO, MBIA, 5.00%, 09/01/16 1,418 ------------------------------------------------------------------------------------- 2,694 ------------------------------------------------------------------------------------- VIRGINIA -- 1.4% 1,105 Lynchburg, Virginia, Public Improvement, GO, 5.00%, 06/01/16 1,208 1,110 Lynchburg, Virginia, Public Improvement, GO, 5.00%, 06/01/17 1,206 1,205 Lynchburg, Virginia, Public Improvement, GO, 5.00%, 06/01/18 1,300 5,500 Virginia State Public School Authority, 1997 Resolution, Ser. A, Rev., 5.00%, 08/01/18 5,919 ------------------------------------------------------------------------------------- 9,633 ------------------------------------------------------------------------------------- WASHINGTON -- 2.0% 7,000 Energy Northwest, Washington Electric, Columbia Generating Station, Ser. B, Rev., MBIA, 5.50%, 07/01/18 7,852 5,000 Energy Northwest, Washington Electric, Project No. 1, Ser. A, Rev., MBIA, 5.50%, 07/01/16 5,564 15 Washington Public Power Supply System, Nuclear Project No. 1, Ser. B, Rev., 7.25%, 07/01/09 17 195 Washington Public Power Supply System, Nuclear Project No. 1, Ser. B, Rev., (p), 7.25%, 07/01/09 222 ------------------------------------------------------------------------------------- 13,655 ------------------------------------------------------------------------------------- Total State and Municipal Obligations 616,799 (Cost $575,901) ------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 9.7% MUNICIPAL SECURITIES -- 1.0% KENTUCKY -- 0.2% $ 1,000 Louisville & Jefferson Counties Metropolitan Sewer District, Sewer & Drain System, Ser. A, Rev., (p), AMBAC, 6.50%, 11/15/04 @ $ 1,031 NEW JERSEY -- 0.8% 5,215 New Jersey Economic Development Authority, Educational Testing Service, Ser. B, Rev., (p), MBIA, 6.25%, 05/15/05 5,496 NEW YORK-- 0.0% ^ 115 New York State Housing Finance Agency, Health Facilities, Monroe County, Ser. A, Rev., 7.63%, 05/01/05 116 PUERTO RICO -- 0.0% ^ 5 Puerto Rico Urban Renewal & Housing Corp., Rev., 7.88%, 10/01/04 5 ------------------------------------------------------------------------------------- Total Municipal Securities 6,648 (Cost $6,461) ------------------------------------------------------------------------------------- SHARES ------------------------------------------------------------------------------------------------------ MONEY MARKET FUND -- 8.7% 59,305 JPMorgan Tax Free Money Market Fund (a) 59,305 (Cost $59,305) ------------------------------------------------------------------------------------- Total Short-Term Investments 65,953 (Cost $65,766) ------------------------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 682,752 (COST $641,667) -------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 8/31/04 (USD) (DEPRECIATION) (USD) --------------------------------------------------------------------------------------------------------- SHORT FUTURES OUTSTANDING (87) 10 Year Treasury Notes December, 2004 $ (9,771) $ (66)
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 $ (442)
SEE NOTES TO FINANCIAL STATEMENTS. 50 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 August 31, 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 August 31, 2004. FSA -- Financial Security Assurance. GAN -- Grant Anticipation Note. GO -- General Obligation Bond. IBC -- Insured Bond Certificates. IDA -- Industrial Development Authority. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Investors Assurance Corp. PCR -- Pollution Control Revenue. Rev. -- Revenue Bond. Ser. -- Series. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 51 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF AUGUST 31, 2004 (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: Investments in non-affiliates, at value $ 124,634 $ 1,437,645 $ 63,448 $ 648,803 $ 623,447 Investments in affiliates, at value 8,173 78,335 4,131 24,163 59,305 -------------------------------------------------------------------------------------------------------------------- Total investment securities, at value 132,807 1,515,980 67,579 672,966 682,752 -------------------------------------------------------------------------------------------------------------------- Cash -- -- 2 -- -- Receivables: Investment securities sold -- -- -- 190 12,203 Fund shares sold 259 807 1 407 41 Interest and dividends 1,625 17,663 670 7,047 7,092 Unrealized appreciation on open swap contracts -- 20 -- -- -- Expense reimbursements -- -- 2 -- -- -------------------------------------------------------------------------------------------------------------------- Total Assets 134,691 1,534,470 68,254 680,610 702,088 -------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Unrealized depreciation on open swap contracts -- -- -- -- 442 Dividends 266 3,831 171 1,200 1,844 Investment securities purchased 5,230 39,731 1,041 -- 42,207 Fund shares redeemed 2 144 --^ 888 15 Variation margin 7 163 6 80 37 Accrued liabilities: Investment advisory fees 32 375 17 172 166 Administration fees 2 103 6 80 83 Shareholder servicing fees 6 256 5 93 132 Distribution fees -- --^ 1 16 3 Custodian fees 11 31 10 19 18 Trustees' fees - deferred compensation plan 2 35 4 19 43 Other 70 124 52 124 113 -------------------------------------------------------------------------------------------------------------------- Total Liabilities 5,628 44,793 1,313 2,691 45,103 -------------------------------------------------------------------------------------------------------------------- TOTAL NET ASSETS $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985 --------------------------------------------------------------------------------------------------------------------
^ 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 NET ASSETS Paid in capital 120,694 1,394,787 63,088 632,299 605,834 Accumulated undistributed (overdistributed) net investment income (87) (260) --^ (80) (176) Accumulated net realized gain (loss) on investments, futures, and swaps transactions 933 3,853 842 9,347 10,750 Net unrealized appreciation (depreciation) of investments, futures, and swaps 7,523 91,297 3,011 36,353 40,577 -------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985 -------------------------------------------------------------------------------------------------------------------- Class A $ 17,070 $ 726 $ 1,184 $ 84,947 $ 52,436 Class B $ -- $ 22 $ 786 $ 22,699 $ 4,515 Class C $ -- $ 82 $ -- $ 1,922 $ -- Institutional $ 71,759 $ 384,851 $ -- $ 174,207 $ -- Select $ 40,234 $ 1,103,996 $ 64,971 $ 394,144 $ 600,034 -------------------------------------------------------------------------------------------------------------------- Total $ 129,063 $ 1,489,677 $ 66,941 $ 677,919 $ 656,985 -------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 1,586 65 118 11,482 7,970 Class B -- 2 79 3,062 685 Class C -- 7 -- 259 -- Institutional 6,764 35,015 -- 23,497 -- Select 3,736 100,399 6,469 53,152 91,270 Net Asset Value: Class A (and redemption price) $ 10.77 $ 11.11 $ 10.04 $ 7.40 $ 6.58 Class B* $ -- $ 10.98 $ 9.99 $ 7.41 $ 6.59 Class C* $ -- $ 11.01 $ -- $ 7.41 $ -- Institutional (and redemption price) $ 10.61 $ 10.99 $ -- $ 7.41 $ -- Select (and redemption price) $ 10.77 $ 11.00 $ 10.04 $ 7.42 $ 6.57 Class A Maximum Public Offering Price Per Share (net asset value per share/95.5%) $ 11.28 $ 11.63 $ 10.51 $ 7.75 $ 6.89 -------------------------------------------------------------------------------------------------------------------- Cost of investments $ 125,271 $ 1,424,411 $ 64,560 $ 636,489 $ 641,667 --------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 53 STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2004 (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 $ 5,520 $ 67,304 $ 2,710 $ 29,270 $ 31,598 Dividend income from affiliated investments* 56 442 25 180 263 -------------------------------------------------------------------------------------------------------------------- Total investment income 5,576 67,746 2,735 29,450 31,861 -------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 408 4,654 212 2,173 2,079 Administration fees 204 2,327 106 1,087 1,039 Shareholder servicing fees 219 3,237 177 1,509 1,732 Distribution fees 50 1 10 430 164 Custodian and accounting fees 60 170 59 120 97 Interest expense --^ --^ -- -- --^ Printing and postage fees 9 62 3 47 29 Professional fees 63 93 59 73 65 Registration expenses 27 72 16 60 37 Transfer agent fees 59 115 37 195 107 Trustees' fees 2 23 1 11 10 Other 10 33 7 26 31 -------------------------------------------------------------------------------------------------------------------- Total expenses 1,111 10,787 687 5,731 5,390 -------------------------------------------------------------------------------------------------------------------- Less amounts waived 357 1,208 126 711 210 Less earnings credits --^ 2 --^ 1 1 Less expense reimbursements -- 23 22 -- -- -------------------------------------------------------------------------------------------------------------------- Net expenses 754 9,554 539 5,019 5,179 -------------------------------------------------------------------------------------------------------------------- Net investment income 4,822 58,192 2,196 24,431 26,682 --------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54
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 2,248 8,150 1,138 12,303 13,868 Futures 705 5,532 --^ 346 3,087 Swaps -- (21) -- -- (185) Change in net unrealized appreciation (depreciation) of: Investments 357 10,392 875 2,950 4,185 Futures (118) (1,703) (8) (431) (702) Swaps -- 20 -- -- (697) Net realized and unrealized gain (loss) on investments, futures, and swaps 3,192 22,370 2,005 15,168 19,556 -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 8,014 $ 80,562 $ 4,201 $ 39,599 $ 46,238 -------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 10 $ 74 $ 5 $ 32 $ 46 --------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 55 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
INTERMEDIATE CALIFORNIA BOND FUND TAX FREE INCOME FUND ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 4,822 $ 7,324 $ 58,192 $ 66,096 Net realized gain (loss) on investments, futures, and swaps 2,953 1,461 13,661 7,624 Change in net unrealized appreciation/ depreciation of investments, futures, and swaps 239 (4,823) 8,709 (28,647) -------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 8,014 3,962 80,562 45,073 -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (4,864) (7,271) (58,063) (66,147) Net realized gain on investment transactions (3,118) (864) (11,468) (11,597) -------------------------------------------------------------------------------------------------------- Total distributions to shareholders (7,982) (8,135) (69,531) (77,744) -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (36,033) (48,934) (164,627) (120,582) -------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (36,001) (53,107) (153,596) (153,253) -------------------------------------------------------------------------------------------------------- Beginning of period 165,064 218,171 1,643,273 1,796,526 -------------------------------------------------------------------------------------------------------- End of period $ 129,063 $ 165,064 $ 1,489,677 $ 1,643,273 -------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (87) $ (45) $ (260) $ (389) --------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
NEW JERSEY NEW YORK INTERMEDIATE TAX FREE INCOME FUND TAX FREE INCOME FUND ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 2,196 $ 2,670 $ 24,431 $ 30,664 Net realized gain (loss) on investments, futures, and swaps 1,138 2,099 12,649 7,886 Change in net unrealized appreciation/ depreciation of investments, futures, and swaps 867 (2,621) 2,519 (17,506) -------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 4,201 2,148 39,599 21,044 -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,163) (2,656) (24,333) (30,687) Net realized gain on investment transactions (2,309) (1,343) (10,733) (212) -------------------------------------------------------------------------------------------------------- Total distributions to shareholders (4,472) (3,999) (35,066) (30,899) -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (8,083) (6,022) (81,069) (135,478) -------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (8,354) (7,873) (76,536) (145,333) -------------------------------------------------------------------------------------------------------- Beginning of period 75,295 83,168 754,455 899,788 -------------------------------------------------------------------------------------------------------- End of period $ 66,941 $ 75,295 $ 677,919 $ 754,455 -------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ --^ $ (33) $ (80) $ (162) --------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 57
TAX FREE INCOME FUND ---------------------------- YEAR ENDED YEAR ENDED 8/31/04 8/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 26,682 $ 32,553 Net realized gain (loss) on investments, futures, and swaps 16,770 7,747 Change in net unrealized appreciation/ depreciation of investments, futures, and swaps 2,786 (20,086) -------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 46,238 20,214 -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (26,623) (32,728) Net realized gain on investment transactions (9,765) (6,328) -------------------------------------------------------------------------------------------------------- Total distributions to shareholders (36,388) (39,056) -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) from capital share transactions (74,267) $ (122,669) -------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (64,417) (141,511) -------------------------------------------------------------------------------------------------------- Beginning of period 721,402 862,913 -------------------------------------------------------------------------------------------------------- End of period $ 656,985 $ 721,402 -------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (176) $ (235) --------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 58 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan Series Trust ("JPMST") and J.P. Morgan Mutual Fund Select Trust ("JPMFST") (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 JPMFST were organized on August 15, 1996 and October 1, 1996, respectively. JPMFST 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 JPMFST. 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 year ended August 31, 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. On August 19, 2004, the Boards of Trustees of both Funds approved management's proposal to merge the One Group Intermediate Tax-Free Bond Fund (the "Target Fund") into the JPMorgan Intermediate Tax Free Income Fund. Also on August 19, 2004, the Boards of Trustees of both Funds approved management's proposal to merge the JPMorgan Tax Free Income Fund (the "Target Fund") into the One Group Tax Free Bond Fund. Each proposed merger is contingent upon, among other things, approval by the respective Target Fund's shareholders and regulatory review and receipt of an opinion of counsel to the effect that the merger will qualify as a tax-free 59 reorganization for Federal income tax purposes. If approved, the mergers are expected to occur on February 18, 2005, or such later date as the parties to each such merger transaction may agree. 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. A. VALUATION OF INVESTMENTS -- Purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. Fixed income securities, other than convertible bonds, with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. 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 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 Fund's credit risk is limited to failure of the exchange or board of trade. As of August 31, 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 periodic amounts of interest 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. 60 As of August 31, 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. 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. 61 The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS CBF $ -- $ -- $ -- ITFI -- -- -- NJTFI -- -- -- NYTFI 25 (16) (9) TFI -- -- --
The reclassifications for NYTFI relates primarily to the character for tax purposes of market discount. H. OTHER EXPENSES -- Other expenses in the Statement of Operations 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, J.P. Morgan Investment Management ("JPMIM" or the "Advisor") acts as the investment advisor to the Funds. JPMIM is a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JPMorgan Chase & Co. 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. 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, B, and C Shares of the Funds 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
62 In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from redemptions of Class B and Class C shares. The Distributor waived fees as outlined in Note 3.F. On August 19, 2004, the Board of Trustees approved management's proposal to enter into a Distribution Agreement with One Group Dealer Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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 (%):
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT 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
On August 19, 2004, the Board of Trustees approved management's proposal to replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing Agent. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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 the Trusts 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, JPMFST 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. 63 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, Advisor, and Distributor have contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C INSTITUTIONAL SELECT FUND CBF 0.60 n/a n/a 0.50 0.65 ITFI 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
The contractual expense limitation agreements were in effect for the year ended August 31, 2004 for the Funds. The expense limitation percentages in the table above are due to expire December 31, 2006. The Administrator waived fees and/or reimbursed expenses as outlined in Note 3.F. On August 19, 2004, the Board of Trustees approved management's proposal to enter into an Administration Agreement with One Group Administrative Services, Inc., ("OGA") an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. The Administrative fees charged to the Funds will be subject to the same fee structure as those paid to the current Administrator. JPMCB will begin to provide sub-administrative services to the Funds in 2005. For such services, JPMCB will receive a portion of the fees payable to OGA as Administrator. F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2004, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). Neither the funds service providers nor the Administrator expect the Funds to repay any such waived fees and reimbursed expenses in future years.
CONTRACTUAL WAIVERS ------------------------------------------- SHAREHOLDER CONTRACTUAL ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS CBF $ 157 $ 150 $ 50 $ 357 $ -- ITFI 1,108 99 1 1,208 23 NJTFI 8 118 -- 126 22 NYTFI 52 426 233 711 -- TFI -- 85 125 210 -- Total $ 1,325 $ 878 $ 409 $ 2,612 $ 45
G. OTHER -- Certain officers of the Trust(s) are officers of JP 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 year ended August 31, 2004, there were no brokerage commissions with broker/dealers affiliated with JPMCB. 64 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. 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended August 31, 2004 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT CBF Class A $ 50 $ 50 $ 25 Institutional 81 -- 15 Select 88 -- 19 --------------------------------------------------------------------------- Total $ 219 $ 50 $ 59 --------------------------------------------------------------------------- ITFI Class A $ 1 $ 1 $ 18 Class B --^ --^ 1 Class C --^ --^ 5 Institutional 428 -- 33 Select 2,808 -- 58 --------------------------------------------------------------------------- Total $ 3,237 $ 1 $ 115 --------------------------------------------------------------------------- NJTFI Class A $ 4 $ 4 $ 15 Class B 2 6 9 Select 171 -- 13 --------------------------------------------------------------------------- Total $ 177 $ 10 $ 37 --------------------------------------------------------------------------- NYTFI Class A $ 233 $ 233 $ 109 Class B 61 181 28 Class C 5 16 3 Institutional 201 -- 20 Select 1,009 -- 35 --------------------------------------------------------------------------- Total $ 1,509 $ 430 $ 195 --------------------------------------------------------------------------- TFI Class A $ 125 $ 125 $ 88 Class B 13 39 9 Select 1,594 -- 10 --------------------------------------------------------------------------- Total $ 1,732 $ 164 $ 107 ---------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 65 5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the years ended August 31, 2004 and August 31, 2003 are as follows (amounts in thousands):
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN CBF Class A $ 698 $ 454 $ 819 $ 87 Institutional 2,941 1,893 4,961 605 Select 1,225 771 1,491 172 --------------------------------------------------------------------------------------------------- Total $ 4,864 $ 3,118 $ 7,271 $ 864 --------------------------------------------------------------------------------------------------- ITFI Class A $ 8 $ -- $ -- $ -- Class B --^ -- -- -- Class C 1 -- -- -- Institutional 16,465 3,309 $ 21,900 $ 3,975 Select 41,589 8,159 44,247 7,622 --------------------------------------------------------------------------------------------------- Total $ 58,063 $ 11,468 $ 66,147 $ 11,597 --------------------------------------------------------------------------------------------------- NJTFI Class A $ 41 $ 58 $ 22 $ 3 Class B 19 27 10 1 Select 2,103 2,224 2,624 1,339 --------------------------------------------------------------------------------------------------- Total $ 2,163 $ 2,309 $ 2,656 $ 1,343 --------------------------------------------------------------------------------------------------- NYTFI Class A $ 3,067 $ 1,288 $ 3,558 $ 25 Class B 606 357 631 6 Class C 55 31 11 -- Institutional 7,149 3,163 10,346 70 Select 13,456 5,894 16,141 111 --------------------------------------------------------------------------------------------------- Total $ 24,333 $ 10,733 $ 30,687 $ 212 --------------------------------------------------------------------------------------------------- TFI Class A $ 1,922 $ 674 $ 2,396 $ 462 Class B 156 75 180 42 Select 24,545 9,016 30,152 5,824 --------------------------------------------------------------------------------------------------- Total $ 26,623 $ 9,765 $ 32,728 $ 6,328 ---------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 66 6. INVESTMENT TRANSACTIONS For the year ended August 31, 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 $ 52,806 $ 93,985 $ 4,093 $ 4,166 ITFI 984,776 1,199,034 -- -- NJTFI 36,817 47,420 -- -- NYTFI 206,940 313,195 -- -- TFI 312,420 417,076 -- --
7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation(depreciation) in value of the investment securities at August 31, 2004, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) CBF $ 125,271 $ 7,537 $ (1) $ 7,536 ITFI 1,424,411 92,216 (647) 91,569 NJTFI 64,560 3,101 (82) 3,019 NYTFI 636,489 37,281 (804) 36,477 TFI 641,667 41,149 (64) 41,085
The tax characters of distributions paid during the years ended August 31, 2004 and August 31, 2003 were as follows (amounts in thousands):
TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTIONS YEAR ENDED AUGUST 31, 2004 CBF $ 4,857 $ 449 $ 2,676 $ 7,982 ITFI 58,037 2,894 8,600 69,531 NJTFI 2,143 87 2,242 4,472 NYTFI 24,258 626 10,182 35,066 TFI 26,610 1,602 8,176 36,388
67
TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTIONS YEAR ENDED AUGUST 31, 2003 CBF $ 7,232 $ 410 $ 493 $ 8,135 ITFI 65,928 6,432 5,384 77,744 NJTFI 2,652 469 878 3,999 NYTFI 30,645 42 212 30,899 TFI 32,626 3,265 3,165 39,056
At August 31, 2004, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
CBF ITFI NJTFI Current distributable tax exempt income $ 182 $ 3,602 $ 174 Current distributable ordinary income 1,939 -- 295 Plus/Less: cumulative timing differences (268) (3,862) (174) Undistributed ordinary income or overdistribution of ordinary income $ 1,853 $ (260) $ 295 Current distributable long-term capital gain or tax basis capital loss carryover $ -- $ 3,561 $ 538 Plus/Less: cumulative timing differences (1,020) -- -- Undistributed long-term gains/ accumulated capital loss (1,020) 3,561 538 Unrealized appreciation (depreciation) $ 7,536 $ 91,589 $ 3,020
NYTFI TFI Current distributable tax exempt income $ 1,138 $ 1,711 Current distributable ordinary income 1,233 1,023 Plus/Less: cumulative timing differences (1,218) (1,887) Undistributed ordinary income or overdistribution of ordinary income $ 1,153 $ 847 Current distributable long-term capital gain or tax basis capital loss carryover $ 7,990 $ 9,662 Plus/Less: cumulative timing differences -- -- Undistributed long-term gains/ accumulated capital loss 7,990 9,662 Unrealized appreciation (depreciation) $ 36,477 $ 40,642
For the Funds, the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to mark to market of futures. The cumulative timing difference account primarily consists of dividends payable, and deferred compensation, except the California Bond Fund where the difference account primarily consists of dividends payable, deferred compensation, and post-October loss deferrals. Capital losses incurred after October 31, within a Fund's fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The California Bond Fund incurred $1,020 in post-October realized losses (amount in thousands). 68 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, and has been extended to April 14, 2005. The Funds had no borrowings outstanding at August 31, 2004, nor at anytime during the year 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 19.4% 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 Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 10. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the holding company changed to JPMorgan Chase &Co. Effective November 15, 2004, the name of the bank will change to JPMorgan Chase Bank, National Association. 69 11. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (Amounts in thousands):
CALIFORNIA BOND FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 1,783 $ 4,386 Shares issued in reinvestment of distributions 572 448 Shares redeemed (6,954) (5,714) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (4,599) $ (880) ------------------------------------------------------------------------------------ SHARES Shares sold 165 401 Shares issued in reinvestment of distributions 53 41 Shares redeemed (649) (516) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (431) (74) ------------------------------------------------------------------------------------ INSTITUTIONAL SHARES AMOUNT Shares sold $ 9,521 $ 32,544 Shares issued in reinvestment of distributions 1,860 1,830 Shares redeemed (46,861) (73,815) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (35,480) $ (39,441) ------------------------------------------------------------------------------------ SHARES Shares sold 898 2,989 Shares issued in reinvestment of distributions 175 168 Shares redeemed (4,377) (6,788) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (3,304) (3,631) ------------------------------------------------------------------------------------ SELECT SHARES AMOUNT Shares sold $ 13,425 $ 12,521 Shares issued in reinvestment of distributions 814 730 Shares redeemed (10,193) (21,864) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 4,046 $ (8,613) ------------------------------------------------------------------------------------ SHARES Shares sold 1,257 1,130 Shares issued in reinvestment of distributions 75 66 Shares redeemed (946) (1,980) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 386 (784) ------------------------------------------------------------------------------------
70
INTERMEDIATE TAX FREE INCOME FUND --------------------- YEAR ENDED AUGUST 31, 2004 CLASS A SHARES* AMOUNT Shares sold $ 778 Shares issued in reinvestment of distributions 8 Shares redeemed (64) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 722 ------------------------------------------------------------------------------------ SHARES Shares sold 70 Shares issued in reinvestment of distributions 1 Shares redeemed (6) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 65 ------------------------------------------------------------------------------------ CLASS B SHARES* AMOUNT Shares sold $ 22 Shares issued in reinvestment of distributions --^ Shares redeemed -- ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 22 ------------------------------------------------------------------------------------ SHARES Shares sold 2 Shares issued in reinvestment of distributions --^ Shares redeemed -- ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 2 ------------------------------------------------------------------------------------ CLASS C SHARES* AMOUNT Shares sold $ 82 Shares issued in reinvestment of distributions 1 Shares redeemed -- ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 83 ------------------------------------------------------------------------------------ SHARES Shares sold 7 Shares issued in reinvestment of distributions --^ Shares redeemed -- ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding 7 ------------------------------------------------------------------------------------
* Commencement of offering of class of shares on December 31, 2003. ^ Amounts rounds to less than one thousand 71
INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) --------------------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003 INSTITUTIONAL SHARES AMOUNT Shares sold $ 66,252 $ 135,433 Subscription in-kind 512 -- Shares issued in reinvestment of distributions 7,558 9,531 Shares redeemed (176,652) (293,878) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (102,330) $ (148,914) ------------------------------------------------------------------------------------ SHARES Shares sold 6,052 12,144 Subscription in-kind 46 -- Shares issued in reinvestment of distributions 685 856 Shares redeemed (16,038) (26,319) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (9,255) (13,319) ------------------------------------------------------------------------------------ SELECT SHARES AMOUNT Shares sold $ 151,252 $ 368,766 Subscription in-kind -- -- Shares issued in reinvestment of distributions 14,722 16,184 Shares redeemed (229,098) (356,618) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (63,124) $ 28,332 ------------------------------------------------------------------------------------ SHARES Shares sold 13,750 33,010 Subscription in-kind -- -- Shares issued in reinvestment of distributions 1,334 1,457 Shares redeemed (20,767) (31,918) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (5,683) 2,549 ------------------------------------------------------------------------------------
72
NEW JERSEY TAX FREE INCOME FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 209 $ 1,811 Shares issued in reinvestment of distributions 82 22 Shares redeemed (924) (23) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (633) $ 1,810 ------------------------------------------------------------------------------------ SHARES Shares sold 21 175 Shares issued in reinvestment of distributions 8 2 Shares redeemed (91) (2) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (62) 175 ------------------------------------------------------------------------------------ CLASS B SHARES AMOUNT Shares sold $ 192 $ 839 Shares issued in reinvestment of distributions 31 9 Shares redeemed (235) (88) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (12) $ 760 ------------------------------------------------------------------------------------ SHARES Shares sold 19 82 Shares issued in reinvestment of distributions 3 1 Shares redeemed (23) (9) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (1) 74 ------------------------------------------------------------------------------------ SELECT SHARES AMOUNT Shares sold $ 2,791 $ 5,191 Shares issued in reinvestment of distributions 2,026 1,186 Shares redeemed (12,255) (14,969) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (7,438) $ (8,592) ------------------------------------------------------------------------------------ SHARES Shares sold 276 504 Shares issued in reinvestment of distributions 202 117 Shares redeemed (1,212) (1,453) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (734) (832) ------------------------------------------------------------------------------------
73
NEW YORK INTERMEDIATE TAX FREE INCOME FUND ------------------------------------------ YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003^ CLASS A SHARES AMOUNT Shares sold $ 30,340 $ 26,999 Shares issued in reinvestment of distributions 3,582 2,726 Shares redeemed (37,421) (47,172) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,499) $ (17,447) ------------------------------------------------------------------------------------- SHARES Shares sold 4,074 3,598 Shares issued in reinvestment of distributions 484 364 Shares redeemed (5,079) (6,318) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (521) (2,356) ------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 1,662 $ 7,435 Shares issued in reinvestment of distributions 661 428 Shares redeemed (4,539) (3,541) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,216) $ 4,322 ------------------------------------------------------------------------------------- SHARES Shares sold 223 988 Shares issued in reinvestment of distributions 89 57 Shares redeemed (617) (471) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (305) 574 ------------------------------------------------------------------------------------- CLASS C SHARES AMOUNT Shares sold $ 837 $ 1,937 Shares issued in reinvestment of distributions 74 10 Shares redeemed (784) (93) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 127 $ 1,854 ------------------------------------------------------------------------------------- SHARES Shares sold 112 257 Shares issued in reinvestment of distributions 10 1 Shares redeemed (108) (13) ------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 14 245 -------------------------------------------------------------------------------------
^ For Class C shares, from commencement of offering on January 31, 2003. 74
NEW YORK INTERMEDIATE TAX FREE INCOME FUND (CONTINUED) ------------------------------------------------------ YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003^ INSTITUTIONAL SHARES AMOUNT Shares sold $ 17,319 $ 28,180 Shares issued in reinvestment of distributions 4,492 4,650 Shares redeemed (77,985) (98,854) -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (56,174) $ (66,024) -------------------------------------------------------------------------------------------- SHARES Shares sold 2,321 3,755 Shares issued in reinvestment of distributions 606 620 Shares redeemed (10,526) (13,177) -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (7,599) (8,802) -------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 54,532 $ 78,597 Shares issued in reinvestment of distributions 7,446 4,113 Shares redeemed (81,285) (140,893) -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (19,307) $ (58,183) -------------------------------------------------------------------------------------------- SHARES Shares sold 7,371 10,472 Shares issued in reinvestment of distributions 1,005 549 Shares redeemed (10,985) (18,786) -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,609) (7,765) --------------------------------------------------------------------------------------------
^ For Class C shares, from commencement of offering on January 31, 2003. 75
TAX FREE INCOME FUND ---------------------------------- YEAR ENDED YEAR ENDED AUGUST 31, 2004 AUGUST 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 24,637 $ 97,661 Shares issued in reinvestment of distributions 1,989 2,131 Shares redeemed (27,592) (107,439) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (966) $ (7,647) ------------------------------------------------------------------------------------ SHARES Shares sold 3,785 14,710 Shares issued in reinvestment of distributions 303 321 Shares redeemed (4,198) (16,156) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (110) (1,125) ------------------------------------------------------------------------------------ CLASS B SHARES AMOUNT Shares sold $ 170 $ 1,104 Shares issued in reinvestment of distributions 160 144 Shares redeemed (1,424) (1,632) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (1,094) $ (384) ------------------------------------------------------------------------------------ SHARES Shares sold 26 165 Shares issued in reinvestment of distributions 25 22 Shares redeemed (218) (246) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (167) (59) ------------------------------------------------------------------------------------ SELECT SHARES AMOUNT Shares sold $ 33,408 $ 24,525 Shares issued in reinvestment of distributions 8,521 5,617 Shares redeemed (114,136) (144,780) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (72,207) $ (114,638) ------------------------------------------------------------------------------------ SHARES Shares sold 5,113 3,681 Shares issued in reinvestment of distributions 1,301 855 Shares redeemed (17,477) (21,767) ------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding (11,063) (17,231) ------------------------------------------------------------------------------------
76 THIS PAGE IS INTENTIONALLY LEFT BLANK 77 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.80 0.37 0.22 0.59 0.38 0.24 0.62 Year Ended 8/31/03 $ 11.07 0.39 (0.22) 0.17 0.40 0.04 0.44 9/10/01* Through 8/31/02 $ 10.90 0.40 0.17 0.57 0.40 -- 0.40 INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 11.10 0.27@ 0.01 0.28 0.27 -- 0.27 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 $ 10.07 0.28 0.29 0.57 0.28 0.32 0.60 Year Ended 8/31/03 $ 10.36 0.30 (0.10) 0.20 0.32 0.17 0.49 4/1/02* Through 8/31/02 $ 9.84 0.12 0.53 0.65 0.13 -- 0.13 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.35 0.25 0.15 0.40 0.24 0.11 0.35 Year Ended 8/31/03 $ 7.45 0.26@ (0.10) 0.16 0.26 --! 0.26 Year Ended 8/31/02 $ 7.37 0.26@ 0.10 0.36 0.27 0.01 0.28 2/16/01* Through 8/31/01 $ 7.22 0.15 0.15 0.30 0.15 -- 0.15 TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.49 0.25@ 0.18 0.43 0.25 0.09 0.34 Year Ended 8/31/03 $ 6.66 0.26@ (0.12) 0.14 0.26 0.05 0.31 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.27 -- 0.27 2/16/01* Through 8/31/01 $ 6.44 0.15 0.13 0.28 0.15 -- 0.15
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 78
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.77 5.62% $ 17 0.60% 3.47% 1.19% Year Ended 8/31/03 $ 10.80 1.51% $ 22 0.60% 3.56% 1.16% 9/10/01* Through 8/31/02 $ 11.07 5.33% $ 23 0.60% 3.70% 1.23% INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 11.11 2.55% $ 1 0.73% 3.52% 9.03% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 $ 10.04 5.87% $ 1 1.00% 2.89% 2.22% Year Ended 8/31/03 $ 10.07 1.92% $ 2 1.00% 2.87% 3.13% 4/1/02* Through 8/31/02 $ 10.36 6.67% --(b) 1.00% 3.16% 33.81%!! NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.40 5.57% $ 85 0.75% 3.32% 1.12% Year Ended 8/31/03 $ 7.35 2.15% $ 88 0.75% 3.45% 1.07% Year Ended 8/31/02 $ 7.45 5.06% $ 107 0.75% 3.58% 1.09% 2/16/01* Through 8/31/01 $ 7.37 4.26% $ 117 0.75% 4.10% 1.21% TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.58 6.81% $ 52 0.75% 3.84% 1.17% Year Ended 8/31/03 $ 6.49 2.15% $ 52 0.75% 3.94% 1.14% Year Ended 8/31/02 $ 6.66 5.64% $ 61 0.75% 4.21% 1.15% 2/16/01* Through 8/31/01 $ 6.57 4.46% $ 59 0.75% 4.55% 1.23% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/04 2.88% 43% Year Ended 8/31/03 3.00% 49% 9/10/01* Through 8/31/02 3.07% 65% INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 (4.78%) 65% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 1.67% 54% Year Ended 8/31/03 0.74% 59% 4/1/02* Through 8/31/02 (29.67%)!! 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 2.95% 30% Year Ended 8/31/03 3.13% 38% Year Ended 8/31/02 3.24% 75% 2/16/01* Through 8/31/01 3.64% 33% TAX FREE INCOME FUND Year Ended 8/31/04 3.42% 47% Year Ended 8/31/03 3.55% 36% Year Ended 8/31/02 3.81% 94% 2/16/01* Through 8/31/01 4.07% 57%
(a) Not annualized for periods less than one year. (b) Amount rounds to less than one million. (1) Total returns figures do not include the effects of any front-end sales load. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 79 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 11.10 0.21@ (0.12) 0.09 0.21 -- 0.21 NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 $ 10.04 0.24 0.26 0.50 0.23 0.32 0.55 Year Ended 8/31/03 $ 10.34 0.26 (0.12) 0.14 0.27 0.17 0.44 4/1/02* Through 8/31/02 $ 9.84 0.11 0.50 0.61 0.11 -- 0.11 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.36 0.20 0.15 0.35 0.19 0.11 0.30 Year Ended 8/31/03 $ 7.46 0.20@ (0.10) 0.10 0.20 --! 0.20 Year Ended 8/31/02 $ 7.38 0.21@ 0.08 0.29 0.20 0.01 0.21 2/16/01* Through 8/31/01 $ 7.22 0.12 0.16 0.28 0.12 -- 0.12 TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.50 0.19@ 0.19 0.38 0.20 0.09 0.29 Year Ended 8/31/03 $ 6.68 0.20@ (0.12) 0.08 0.21 0.05 0.26 Year Ended 8/31/02 $ 6.58 0.25@ 0.05 0.30 0.20 -- 0.20 2/16/01* Through 8/31/01 $ 6.44 0.12 0.14 0.26 0.12 -- 0.12
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 80
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 10.98 0.85% $ --(b) 1.50% 2.86% 13.40% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 $ 9.99 5.14% $ 1 1.50% 2.38% 2.75% Year Ended 8/31/03 $ 10.04 1.31% $ 1 1.50% 2.44% 4.96% 4/1/02* Through 8/31/02 $ 10.34 6.20% $ --(b) 1.50% 2.72% 36.90%!! NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.41 4.73% $ 23 1.55% 2.52% 1.62% Year Ended 8/31/03 $ 7.36 1.34% $ 25 1.55% 2.64% 1.57% Year Ended 8/31/02 $ 7.46 4.08% $ 21 1.57% 2.74% 1.59% 2/16/01* Through 8/31/01 $ 7.38 3.91% $ 12 1.64% 3.21% 1.72% TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.59 5.88% $ 5 1.64% 2.96% 1.67% Year Ended 8/31/03 $ 6.50 1.11% $ 6 1.64% 3.04% 1.64% Year Ended 8/31/02 $ 6.68 4.69% $ 6 1.64% 3.31% 1.65% 2/16/01* Through 8/31/01 $ 6.58 4.13% $ 7 1.64% 3.66% 1.74% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 (9.04%) 65% NEW JERSEY TAX FREE INCOME FUND Year Ended 8/31/04 1.13% 54% Year Ended 8/31/03 (1.02%) 59% 4/1/02* Through 8/31/02 (32.68%)!! 75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 2.45% 30% Year Ended 8/31/03 2.62% 38% Year Ended 8/31/02 2.72% 75% 2/16/01* Through 8/31/01 3.13% 33% TAX FREE INCOME FUND Year Ended 8/31/04 2.93% 47% Year Ended 8/31/03 3.04% 36% Year Ended 8/31/02 3.30% 94% 2/16/01* Through 8/31/01 3.56% 57%
(a) Not annualized for periods less than one year. (b) Amount rounds to less than one million. (1) Total return figures do not include the effect of any deferred sales loads. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 81 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 11.10 0.21@ (0.09) 0.12 0.21 -- 0.21 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.36 0.19 0.16 0.35 0.19 0.11 0.30 1/31/03* Ended 8/31/03 $ 7.46 0.10@ (0.09) 0.01 0.11 --! 0.11
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 82
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 $ 11.01 1.13% $ --(b) 1.50% 2.83% 14.81% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.41 4.73% $ 2 1.55% 2.52% 1.61% 1/31/03* Ended 8/31/03 $ 7.36 0.17% $ 2 1.55% 2.40% 1.57% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) INTERMEDIATE TAX FREE INCOME FUND 12/31/03* Through 8/31/04 (10.48%) 65% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 2.46% 30% 1/31/03* Ended 8/31/03 2.38% 38%
(b) Amount rounds to less than one million. (1) Total return figures do not include the effect of any deferred sales loads. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 83 INSTITUTIONAL SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.64 0.39 0.21 0.60 0.39 0.24 0.63 Year Ended 8/31/03 $ 10.90 0.41 (0.23) 0.18 0.40 0.04 0.44 Year Ended 8/31/02 $ 10.73 0.42 0.16 0.58 0.41 -- 0.41 5/1/01 Through 8/31/01(d) $ 10.36 0.14 0.40 0.54 0.14 0.03 0.17 Year Ended 4/30/01 $ 10.03 0.46 0.33 0.79 0.46 -- 0.46 Year Ended 4/30/00 $ 10.40 0.42 (0.36) 0.06 0.42 0.01 0.43 INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 10.93 0.43@ 0.14 0.57 0.43 0.08 0.51 Year Ended 8/31/03 $ 11.15 0.43 (0.15) 0.28 0.43 0.07 0.50 9/10/01* Through 8/31/02 $ 10.94 0.44 0.25 0.69 0.44 0.04 0.48 NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.36 0.26 0.16 0.42 0.26 0.11 0.37 Year Ended 8/31/03 $ 7.46 0.28@ (0.10) 0.18 0.28 --! 0.28 9/10/01* Through 8/31/02 $ 7.33 0.27@ 0.15 0.42 0.28 0.01 0.29
* Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 84
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.61 5.76% $ 72 0.50% 3.62% 0.70% Year Ended 8/31/03 $ 10.64 1.67% $ 107 0.50% 3.72% 0.66% Year Ended 8/31/02 $ 10.90 5.57% $ 149 0.50% 3.84% 0.71% 5/1/01 Through 8/31/01(d) $ 10.73 5.31% $ 137 0.50% 3.99% 0.59% Year Ended 4/30/01 $ 10.36 7.97% $ 126 0.50% 4.40% 0.59% Year Ended 4/30/00 $ 10.03 0.70% $ 85 0.50% 4.19% 0.70% INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 10.99 5.26% $ 385 0.50% 3.87% 0.59% Year Ended 8/31/03 $ 10.93 2.60% $ 484 0.50% 3.89% 0.59% 9/10/01* Through 8/31/02 $ 11.15 6.43% $ 642 0.50% 4.02% 0.58% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.41 5.82% $ 174 0.50% 3.57% 0.61% Year Ended 8/31/03 $ 7.36 2.40% $ 229 0.50% 3.70% 0.60% 9/10/01* Through 8/31/02 $ 7.46 5.89% $ 298 0.50% 3.85% 0.62% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/04 3.42% 43% Year Ended 8/31/03 3.56% 49% Year Ended 8/31/02 3.63% 65% 5/1/01 Through 8/31/01(d) 3.90% 29% Year Ended 4/30/01 4.31% 55% Year Ended 4/30/00 3.99% 87% INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 3.78% 65% Year Ended 8/31/03 3.80% 56% 9/10/01* Through 8/31/02 3.94% 71% NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 3.46% 30% Year Ended 8/31/03 3.60% 38% 9/10/01* Through 8/31/02 3.73% 75%
(d) The Fund changed its fiscal year end from April 30 to August 31. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 85 SELECT SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.80 0.36 0.22 0.58 0.37 0.24 0.61 Year Ended 8/31/03 $ 11.07 0.39 (0.23) 0.16 0.39 0.04 0.43 Year Ended 8/31/02 $ 10.91 0.40 0.16 0.56 0.40 -- 0.40 5/1/01 Through 8/31/01(d) $ 10.53 0.14 0.41 0.55 0.14 0.03 0.17 Year Ended 4/30/01 $ 10.20 0.45 0.33 0.78 0.45 -- 0.45 Year Ended 4/30/00 $ 10.57 0.41 (0.36) 0.05 0.41 0.01 0.42 INTERMEDIATE TAX FREE INCOME FUND** Year Ended 8/31/04 $ 10.93 0.41@ 0.15 0.56 0.41 0.08 0.49 Year Ended 8/31/03 $ 11.15 0.42 (0.15) 0.27 0.42 0.07 0.49 Year Ended 8/31/02 $ 10.98 0.43 0.21 0.64 0.43 0.04 0.47 Year Ended 8/31/01 $ 10.46 0.44 0.52 0.96 0.44 -- 0.44 Year Ended 8/31/00 $ 10.42 0.46 0.10 0.56 0.46 0.06 0.52 NEW JERSEY TAX FREE INCOME FUND* Year Ended 8/31/04 $ 10.09 0.31 0.27 0.58 0.31 0.32 0.63 Year Ended 8/31/03 $ 10.34 0.34 (0.08) 0.26 0.34 0.17 0.51 Year Ended 8/31/02 $ 10.33 0.37 0.20 0.57 0.37 0.19 0.56 Year Ended 8/31/01 $ 9.73 0.42 0.60 1.02 0.42 -- 0.42 Year Ended 8/31/00 $ 9.61 0.44 0.12 0.56 0.44 -- 0.44
* Formerly Institutional. ** Effective September 10, 2001, the share class was re-named from Institutional to Select in connection with the Fund's re-organization. @ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 86
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS CALIFORNIA BOND FUND Year Ended 8/31/04 $ 10.77 5.57% $ 40 0.65% 3.42% 0.88% Year Ended 8/31/03 $ 10.80 1.45% $ 36 0.65% 3.51% 0.84% Year Ended 8/31/02 $ 11.07 5.31% $ 46 0.65% 3.63% 0.88% 5/1/01 Through 8/31/01(d) $ 10.91 5.31% $ 31 0.65% 3.84% 0.78% Year Ended 4/30/01 $ 10.53 7.77% $ 33 0.65% 4.25% 0.78% Year Ended 4/30/00 $ 10.20 0.60% $ 14 0.65% 3.99% 0.85% INTERMEDIATE TAX FREE INCOME FUND** Year Ended 8/31/04 $ 11.00 5.19% $ 1,104 0.66% 3.71% 0.73% Year Ended 8/31/03 $ 10.93 2.44% $ 1,159 0.66% 3.73% 0.74% Year Ended 8/31/02 $ 11.15 5.99% $ 1,155 0.66% 3.88% 0.74% Year Ended 8/31/01 $ 10.98 9.35% $ 728 0.74% 4.10% 0.75% Year Ended 8/31/00 $ 10.46 5.54% $ 694 0.57% 4.49% 0.66% NEW JERSEY TAX FREE INCOME FUND* Year Ended 8/31/04 $ 10.04 5.92% $ 65 0.75% 3.12% 0.93% Year Ended 8/31/03 $ 10.09 2.58% $ 72 0.75% 3.35% 0.90% Year Ended 8/31/02 $ 10.34 5.82% $ 83 0.75% 3.64% 0.89% Year Ended 8/31/01 $ 10.33 10.69% $ 82 0.75% 4.18% 0.93% Year Ended 8/31/00 $ 9.73 6.08% $ 73 0.59% 4.67% 0.82% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) CALIFORNIA BOND FUND Year Ended 8/31/04 3.19% 43% Year Ended 8/31/03 3.32% 49% Year Ended 8/31/02 3.40% 65% 5/1/01 Through 8/31/01(d) 3.71% 29% Year Ended 4/30/01 4.12% 55% Year Ended 4/30/00 3.79% 87% INTERMEDIATE TAX FREE INCOME FUND** Year Ended 8/31/04 3.64% 65% Year Ended 8/31/03 3.65% 56% Year Ended 8/31/02 3.80% 71% Year Ended 8/31/01 4.09% 43% Year Ended 8/31/00 4.40% 60% NEW JERSEY TAX FREE INCOME FUND* Year Ended 8/31/04 2.94% 54% Year Ended 8/31/03 3.20% 59% Year Ended 8/31/02 3.50% 75% Year Ended 8/31/01 4.00% 48% Year Ended 8/31/00 4.44% 48%
(a) Not annualized for periods less than one year. (d) The Fund changed its fiscal year end from April 30 to August 31. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 87 SELECT SHARES*
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.37 0.25 0.16 0.41 0.25 0.11 0.36 Year Ended 8/31/03 $ 7.46 0.26@ (0.09) 0.17 0.26 --! 0.26 Year Ended 8/31/02 $ 7.38 0.26@ 0.09 0.35 0.26 0.01 0.27 Year Ended 8/31/01 $ 7.01 0.29 0.37 0.66 0.29 -- 0.29 Year Ended 8/31/00 $ 6.91 0.31 0.10 0.41 0.31 -- 0.31 TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.48 0.25@ 0.18 0.43 0.25 0.09 0.34 Year Ended 8/31/03 $ 6.65 0.26@ (0.12) 0.14 0.26 0.05 0.31 Year Ended 8/31/02 $ 6.57 0.28@ 0.08 0.36 0.28 -- 0.28 Year Ended 8/31/01 $ 6.25 0.29 0.32 0.61 0.29 -- 0.29 Year Ended 8/31/00 $ 6.19 0.30 0.06 0.36 0.30 -- 0.30
* Formerly Institutional. @ Calculated based upon average shares outstanding. ! Rounds to less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 88
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------- -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (1)(a) (IN MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 $ 7.42 5.60% $ 394 0.72% 3.35% 0.76% Year Ended 8/31/03 $ 7.37 2.32% $ 410 0.72% 3.48% 0.75% Year Ended 8/31/02 $ 7.46 4.99% $ 474 0.72% 3.63% 0.76% Year Ended 8/31/01 $ 7.38 9.68% $ 302 0.75% 4.10% 0.79% Year Ended 8/31/00 $ 7.01 6.13% $ 277 0.58% 4.48% 0.70% TAX FREE INCOME FUND Year Ended 8/31/04 $ 6.57 6.82% $ 600 0.74% 3.86% 0.74% Year Ended 8/31/03 $ 6.48 2.14% $ 663 0.75% 3.95% 0.75% Year Ended 8/31/02 $ 6.65 5.61% $ 796 0.75% 4.23% 0.75% Year Ended 8/31/01 $ 6.57 10.00% $ 798 0.74% 4.56% 0.76% Year Ended 8/31/00 $ 6.25 6.11% $ 753 0.57% 4.98% 0.66% RATIOS/SUPPLEMENTAL DATA: ---------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------- NET INVESTMENT INCOME WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (a) NEW YORK INTERMEDIATE TAX FREE INCOME FUND Year Ended 8/31/04 3.31% 30% Year Ended 8/31/03 3.45% 38% Year Ended 8/31/02 3.59% 75% Year Ended 8/31/01 4.06% 33% Year Ended 8/31/00 4.36% 46% TAX FREE INCOME FUND Year Ended 8/31/04 3.86% 47% Year Ended 8/31/03 3.95% 36% Year Ended 8/31/02 4.23% 94% Year Ended 8/31/01 4.54% 57% Year Ended 8/31/00 4.89% 35%
(a) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 89 JPMORGAN FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of J.P. Morgan Series Trust and J.P. Morgan Mutual Fund Select Trust In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan California Bond Fund (a separate portfolio of J.P. Morgan Series Trust), and JPMorgan Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund, and JPMorgan Tax Free Income Fund (separate portfolios of J.P. Morgan Mutual Fund Select Trust), (hereafter referred to as the "Funds") at August 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York October 19, 2004 90 SCHEDULE OF SHAREHOLDER EXPENSES Hypothetical $1,000 Investment at Beginning of Period August 31, 2004 (Unaudited) As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees: and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, March 1, 2004, and continued to hold your shares at the end of the reporting period, August 31, 2004. ACTUAL EXPENSES For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. 91
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO CALIFORNIA BOND FUND CLASS A Actual period return $ 1,000 $ 1,002 $ 3.02 0.60% Hypothetical $ 1,000 $ 1,022 $ 3.05 0.60% INSTITUTIONAL Actual period return $ 1,000 $ 1,002 $ 2.52 0.50% Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50% SELECT Actual period return $ 1,000 $ 1,001 $ 3.27 0.65% Hypothetical $ 1,000 $ 1,022 $ 3.30 0.65% INTERMEDIATE TAX FREE INCOME FUND CLASS A Actual period return $ 1,000 $ 1,008 $ 3.79 0.73% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.73% CLASS B Actual period return $ 1,000 $ 992 $ 7.51 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50% CLASS C Actual period return $ 1,000 $ 996 $ 7.53 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50% INSTITUTIONAL Actual period return $ 1,000 $ 999 $ 2.51 0.50% Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50% SELECT Actual period return $ 1,000 $ 999 $ 3.32 0.66% Hypothetical $ 1,000 $ 1,022 $ 3.35 0.66%
92
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO NEW JERSEY TAX FREE INCOME FUND CLASS A Actual period return $ 1,000 $ 996 $ 5.02 1.00% Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00% CLASS B Actual period return $ 1,000 $ 994 $ 7.52 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50% SELECT Actual period return $ 1,000 $ 998 $ 3.77 0.75% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75% NEW YORK INTERMEDIATE TAX FREE INCOME FUND CLASS A Actual period return $ 1,000 $ 999 $ 3.77 0.75% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75% CLASS B Actual period return $ 1,000 $ 994 $ 7.77 1.55% Hypothetical $ 1,000 $ 1,017 $ 7.86 1.55% CLASS C Actual period return $ 1,000 $ 995 $ 7.77 1.55% Hypothetical $ 1,000 $ 1,017 $ 7.86 1.55% INSTITUTIONAL Actual period return $ 1,000 $ 999 $ 2.51 0.50% Hypothetical $ 1,000 $ 1,022 $ 2.54 0.50% SELECT Actual period return $ 1,000 $ 999 $ 3.62 0.72% Hypothetical $ 1,000 $ 1,021 $ 3.66 0.72%
93
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO ANNUALIZED MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* EXPENSE RATIO TAX FREE INCOME FUND CLASS A Actual period return $ 1,000 $ 1,004 $ 3.78 0.75% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75% CLASS B Actual period return $ 1,000 $ 1,000 $ 8.24 1.64% Hypothetical $ 1,000 $ 1,017 $ 8.31 1.64% SELECT Actual period return $ 1,000 $ 1,004 $ 3.73 0.74% Hypothetical $ 1,000 $ 1,021 $ 3.76 0.74%
* Expenses are equal to the Class' annualized expense ratio in the table above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). 94 TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
NUMBER OF POSITIONS PORTFOLIOS IN OTHER HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX ------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 70 None 522 Fifth Avenue, New are a series of JPMST President and York, NY 10036; 1941 since 2001 and Fund Treasurer of that are a series of Ingersoll-Rand MFST since 1996. Company (manufacturer of industrial equipment) (1972 - 2000) Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 70 Director, 522 Fifth Avenue, are a series of JPMST Janel Hydro, Inc. New York, NY 10036; since 2001 and Fund (Automotive) 1932 that are a series of (1993-present) MFST since 1996. Ann Maynard Gray; Trustee Since 2001 Vice President of 70 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Corporation (1997- New York, NY 10036; Inc. (communications) present); Director of Elan 1945** (1986-1998) Corporation, Plc (pharmaceuticals) (2001- present); Director of The Phoenix Companies (wealth management services) (2002-present) Matthew Healey; Trustee Trustee of Funds that Retired; Chief 70 None 522 Fifth Avenue, are a series of JPMST Executive Officer of New York, NY 10036; since 2001 and Fund certain J.P. Morgan 1937 that are a series of Fund Trusts MFST since 1996. (1982-2001) Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 70 Trustee of Morgan 522 Fifth Avenue, Chairman of are a series of JPMST Lumelite Stanley Funds (209 New York, NY 10036; the Board of since 2001 and Fund Corporation (plastics portfolios) (1995- 1932 Trustees that are a series of manufacturing) present) MFST since 1996. (2003 -Present) Chairman and CEO of Lumelite Corporation (1985-2002) James J. Schonbachler; Trustee Since 2001 Retired; Managing 70 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1943 (financial services) (1968-1998)
95
NUMBER OF POSITIONS PORTFOLIOS IN OTHER HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX ------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) Robert J. Higgins; Trustee Since 2002 Director of 70 Director of Providian 522 Fifth Avenue, Administration of Financial Corp. New York, NY 10036; the State of Rhode (banking) (2002- 1945 Island (2003- present) Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 70 Director of National 522 Fifth Avenue, City University of Financial Partners New York, NY 10036; New York, since (financial services 1941 September 1, 1999; distributor) (2003- President, Adelphi present); Trustee of University (New Bronx-Lebanon Hospital York) (1998-1999). Center (1992-present); Director of New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000-present); Director of Lincoln Center Institute for the Arts in Education (1999- present). William G. Morton, Jr.; Trustee Since 2003 Chairman Emeritus 79 Director of Radio Shack 522 Fifth Avenue, (2001 - 2002), and Corporation New York, NY 10036; Chairman and Chief (electronics) (1987- 1937 Executive Officer, present); Director of Boston Stock The Griswold Company Exchange (1985 - (securities brokerage) 2001). (2002-2004); Director of The National Football Foundation and College Hall of Fame (1994- present); Trustee of the Berklee College of Music (1998-present); Trustee of the Stratton Mountain School (2001- present).
96
NUMBER OF POSITIONS PORTFOLIOS IN OTHER HELD WITH PRINCIPAL JPMORGAN FUND DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX ------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Funds that Retired; Chief 70 None 522 Fifth Avenue, are a series of JPMST Executive Officer of New York, NY 10036; since 2001 and Fund Chase Mutual Funds 1935 that are a series of (investment MFST since 1998. company) (1989-1998); President and Chief Executive Officer of Vista Capital Management (investment management) (1990-1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990-1998).
* Mr. Spalding is deemed to be an "interested person" due to his ownership of JPMorgan Chase & Co stock. ** Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004. (1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 13 investment companies. 97
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------------------------------- George C.W. Gatch; President Since 2001 Managing Director, JPMIM; Head of J.P. Morgan Fleming's 522 Fifth Avenue, U.S. Mutual Funds and Financial Intermediaries Business New York, NY 10036; ("FFI"); he has held numerous positions throughout the firm 1962 in business management, marketing and sales. Robert L. Young; Senior Vice President Since 2004 Mr. Young joined Banc One Investment Advisors Corporation 522 Fifth Avenue, in 1996 and in 1999 he became Vice President and Treasurer New York, NY 10036; of One Group Administrative Services, Inc. and One Group 1963 Dealer Services, Inc. and in 2001, Mr. Young became COO of the One Group Mutual Funds. Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM, head of FFI and U.S. Institutional 522 Fifth Avenue, Administrative Officer Funds Administration and Board Liaison. Prior to joining New York, NY 10036; JPMorgan in 2001, she was the Vice President of Finance for 1960 the Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, JPMIM, since 522 Fifth Avenue, Assistant September 2002; Mr. Chan was an associate at the law firm New York, NY 10036; Secretary of Shearman and Sterling from May 2001 through 1965 September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One Group 522 Fifth Avenue, Administrative Services, since January 2004; Ms. Dorsey New York, NY 10036; worked for Bank One Corporation from January 2003 to 1969 January 2004; Prior to joining Bank One Corporation, she held various positions at PricewaterhouseCoopers LLP from September 1992. Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various attorney 522 Fifth Avenue, positions for Bank One Corporation (now known as New York, NY 10036; JPMorgan Chase & Co.) 1963 Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual Fund 522 Fifth Avenue, Administration, One Group Administrative Services, Inc. and New York, NY 10036; Senior Project Manager, Mutual Funds, One Group Dealer 1949 Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund Services, Inc.; 3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of Alliance Columbus, OH 43219 Capital Management, L.P. 1967 Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. Columbus, OH 43219 1963 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund Services, 3435 Stelzer Rd. Inc. since June 2001; formerly Section Manager of Northern Columbus, OH 43219 Trust Company and Accounting Supervisor at Allstate 1966 Insurance Company.
98
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------------------------------- Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all aspects of 522 Fifth Avenue, institutional and retail mutual fund administration and New York, NY 10036; vendor relationships within the mutual funds, 1965 commingled/Erisa funds, 3C-7 funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments. Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the Budgeting and 522 Fifth Avenue, Expense Group of Funds Administration Group. New York, NY 10036; 1954 Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held numerous 522 Fifth Avenue, financial and operations positions supporting the J.P. New York, NY 10036; Morgan Chase organization complex. 1955 Stephen M. Ungerman Chief Compliance Officer Since 2004 Vice President, JPMIM; Fund Administration - Pooled 522 Fifth Avenue, Vehicles; prior to joining JPMorgan Chase in 2000, he held New York, NY 10036; a number of positions in Prudential Financial's asset 1953 management business, including Assistant General Counsel, Tax Director and Co-head of Fund Administration; Mr. Ungerman also served as Assistant Treasurer for all mutual funds managed by Prudential.
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 99 JPMORGAN FUNDS TAX LETTER (UNAUDITED) JPMORGAN CALIFORNIA BOND FUND ("CBF") JPMORGAN INTERMEDIATE TAX FREE INCOME FUND ("ITFI") JPMORGAN NEW JERSEY TAX FREE INCOME FUND ("NJTFI") JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND ("NYTFI") JPMORGAN TAX FREE INCOME FUND ("TFI") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2004. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. The information necessary to complete your income tax returns for the calendar year ending December 31, 2004 will be received under separate cover. For the fiscal year ended August 31, 2004: - The dividends paid from net investment income are 99.84%, 99.95%. 99.06%, 99.69 and 99.95% exempt from Federal income tax for CBF, ITFI, NJTFI, NYTFI and TFI, respectively. - The Long-Term Capital gain designation is $2,676,354, $8,599,624, $2,241,968, $10,182,071 and $8,175,779 for CBF, ITFI, NJTFI, NYTFI, and TFI, respectively. - For shareholders who are subject to the Alternative Minimum Tax, the percentage of income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 3.79%, 11.39%, 0.00%, 1.96%, and 2.99% for CBF, ITFI, NJTFI, NYTFI and TFI, respectively. 100 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 Intrepid 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. 101 THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. No sooner than 30 days after the end of each month, the Fund will make available upon request a complete uncertified schedule of its portfolio holdings as of the last day of that month. Not later than 60 days after the end of each fiscal quarter, the Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, the Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov. Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional 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 www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to JPMIM. A copy of the Fund's voting record for the 12-month period ended June 30, 2004 is available on the SEC's website at www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal. JPMorgan Funds Fulfillment Center PRSRT STD 6112 W. 73rd Street U.S. POSTAGE Bedford Park, IL 60638 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2004 All rights reserved. August 2004. AN-TF-804 ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. (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. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $199,548 in 2003 and $187,125 in 2004. (b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant during the Reporting Periods. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor 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 investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit Committee were $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by the Auditor were not required to be pre-approved). (c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $26,400 in 2003 and $27,200 in 2004. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns. There were no fees billed for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee for the period May 6, 2003 through December 31, 2003. (d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant, or services provided to Service Affiliates which were required to be pre-approved on or after May 6, 2003 until December 31, 2003, other than the services reported above. (e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to pre-approving any services to be provided by the Auditor to the Registrant, the Audit Committee considers and approves any non-audit services to be provided to the Service Affiliates by the Auditor and the fees to be charged for such non-audit services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. The Chairman of the Audit Committee has been given the authority to pre-approve permissible non-audit services. (g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $46.4 million in 2002 and $28.3 million in 2003. (h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required. 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. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. NOT APPLICABLE. 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. THE COMMITTEE SHALL REVIEW NOMINEES RECOMMENDED TO THE BOARD BY SHAREHOLDERS AND SHALL EVALUATE SUCH NOMINEES IN THE SAME MANNER AS IT EVALUATES NOMINEES IDENTIFIED BY THE COMMITTEE. 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. - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(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/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date November 5, 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/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date November 5, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date November 9, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. --------------------------------------------------------------------------------