-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KiOSd2LQ0fj0yMxqmo5oaN4Tv9eZOy9zJK8qZ5GNEHkm0n6I2TkUp6QHp0p5zmU0 OKJ00NO7xVj/9PxVlvKLOA== 0000950152-05-007533.txt : 20050908 0000950152-05-007533.hdr.sgml : 20050908 20050908130208 ACCESSION NUMBER: 0000950152-05-007533 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20050630 FILED AS OF DATE: 20050908 DATE AS OF CHANGE: 20050908 EFFECTIVENESS DATE: 20050908 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JPMorgan Institutional Trust CENTRAL INDEX KEY: 0001303608 IRS NUMBER: 201491791 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21638 FILM NUMBER: 051074739 BUSINESS ADDRESS: STREET 1: 522 5TH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: (212) 837-2524 MAIL ADDRESS: STREET 1: 522 5TH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 N-CSR 1 l15455anvcsr.txt JPMORGAN INSTITUTIONAL TRUST N-CSR 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: 811-21638 JPMorgan Institutional Trust (Exact name of registrant as specified in charter) 522 Fifth Avenue New York, NY 10036 (Address of principal executive offices) (Zip code) Stephen M. Benham 522 Fifth Avenue New York, NY 10036 (Name and Address of Agent for Service) Registrant's telephone number, including area code: (800) 480-4111 Date of fiscal year end: June 30, 2005 Date of reporting period: February 7, 2005 (commencement of operations) to June 30, 2005 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. The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). SEMI-ANNUAL REPORT SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) JPMorgan Funds SPECIALTY FUNDS U.S. Real Estate Fund [JPMORGAN LOGO] Asset Management 1 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- TABLE OF CONTENTS President's Letter.......................................... 2 Portfolio Performance Review................................ 3 Schedules of Portfolio Investments.......................... 9 Statements of Assets and Liabilities........................ 57 Statements of Operations.................................... 58 Statements of Changes in Net Assets......................... 59 Financial Highlights........................................ 60 Notes to Financial Statements............................... 62 Report of Independent Registered Public Accounting Firm..... 69 Trustees.................................................... 70 Officers.................................................... 71 Shareholder Expense Examples................................ 73 Tax Letter.................................................. 74
HIGHLIGHTS - - Despite soaring energy prices, the market was able to exert downward pressure on longer-term rates, and the yield curve flattened. - - Foreign investors seeking yield and domestic investors seeking quality helped keep rates on the downswing. - - The manufacturing sector appears to be showing signs of an impending rebound. - - Inflation reports have been much more benign than expected. 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. This report is intended for distribution only to accredited investors or financial intermediaries. Distribution of this document to anyone other than the intended user is expressly prohibited. This document may not be copied, faxed or otherwise distributed to the general public. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 2 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- PRESIDENT'S LETTER JULY 11, 2005 DEAR SHAREHOLDER: We are pleased to present this annual report containing detailed information on the JPMorgan Institutional Trust Funds for the since-inception period ended June 30, 2005. Inside you'll find in-depth information on the Institutional Trust Funds along with an update from the Portfolio Managers. MIXED ECONOMIC PICTURE The new year did not carry over the positive momentum of market gains from 2004. Fears of inflation and higher interest rates weighed on the economy, and the equity markets in particular, for much of the first half of 2005. While most major equity markets posted negative returns early in the year, the second quarter saw some gains, but still fell short of forecasts, struggling through the end of the period. With the consumer price index (CPI) and other inflation indicators contributing to low longer-term Treasury yields, the 10-year note fell to 3.91%, even as the Federal Reserve raised interest rates to 3.25% by late June. The spread between the 2-year and the 10-year yields narrowed to just 33 basis points, raising concerns that the curve could invert, typically a harbinger of recession. The short end of the Treasury yield curve rose for most of the period on expectations that the Fed would continue raising short-term rates. However, it declined during the spring as investors speculated that the Fed was nearing the end of its tightening cycle. The bond market viewed soaring energy prices as a constraint on economic growth rather than a driver of inflation. As a result, the market was able to exert downward pressure on longer-term rates, and the yield curve flattened. Furthermore, demand for U.S. fixed income securities from foreign investors seeking yield and domestic investors seeking quality helped keep rates on the downswing. OUTLOOK As we enter the second half of 2005, the economy continues on a path of moderate expansion. While rising labor costs and high commodity prices have emerged as potential obstacles to the economy's progress, the weak manufacturing sector appears to be showing signs of an impending rebound. Moreover, inflation reports have been much more benign than expected. We believe that the Federal Open Market Committee will continue its tightening cycle until evidence of a more decisive slowdown presents itself. On behalf of us all at JPMorgan Asset Management, thank you for the confidence and continued trust you have placed in us. We look forward to serving your investment needs for many years to come. Sincerely yours, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 3 JPMORGAN CORE BOND TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW HOW DID THE PORTFOLIO PERFORM? The JPMorgan Core Bond Trust, which seeks to provide maximum total return by investing primarily in a diversified Portfolio of intermediate - and long-term debt securities, was incepted on February 7, 2005. The Fund returned 1.89% compared with the 1.43% return of its benchmark, the Lehman Aggregate Bond Index, for the same period. WHY DID THE PORTFOLIO PERFORM IN THIS WAY? By late June the Federal Reserve raised its target rate for overnight lending a ninth consecutive time to 3.25%. While yields on the shorter end of the maturity spectrum moved higher, longer-term interest rates continued to decline. By the end of the period, the yield on the 10-year Treasury declined to 3.91%. Consequently, yield curve flattening continued to be the dominant trend in the fixed income market. Given the extent of yield curve flattening and the decline in longer-term interest rates, longer maturity securities were the best performers. The Fund's underweight in the very long end of the yield curve, the 20-plus year area, worked against relative returns. We continue to underweight this segment of the maturity spectrum since the pickup in yield for extending is minimal and does not compensate for the additional risk. Instead, we are focused on the 10-year to 20-year maturity range. U.S. Treasury strips in this part of the yield curve were strong performers and helped to offset some of the underweight in the very long end of the yield curve. The Core Bond Trust also benefited from an overweight in mortgage-backed securities (MBS) and security selection within the mortgage sector. At period end, the Fund held 53.5% in MBS compared with 34.4% in its benchmark. While the securitized sectors performed well on an excess return basis for the Fund, an overweight in asset backed securities was offset by an underweight in commercial mortgage-backed securities (CMBS). Our overweight in MBS was positive, and included a significant allocation to collateralized mortgage obligations (CMOs). Corporate bonds, particularly lower-rated and industrial credits, suffered in the wake of auto sector troubles. The Fund's underweight in corporate bonds, and Baa-rated and industrial credits was favorable. The Fund currently holds 13.6% in corporate bonds compared with 24.3% for its benchmark index. HOW WAS THE PORTFOLIO MANAGED? We expect to maintain a relatively neutral duration (sensitivity to interest rate changes) to minimize any potential interest rate risk. While we expect the Fed to continue to raise the fed funds target rate, much of this is already priced into the market. With no single area of the bond market offering particularly compelling valuations, we expect to focus on sub-sectors, segments of the yield curve and individual security analysis to find value. While spreads (the incremental yield earned for going outside of the Treasury market) are generally at expensive levels, we continue to find value in some areas including discount 15-year and seasoned MBS within the mortgage market. In the Treasury market, the 2012-2018 segment of the Treasury strip curve looks attractive and, in the corporate sector, we continue to favor financial over industrial credits. PORTFOLIO FACTS Portfolio Inception......................................... February 7, 2005 Fiscal Year End............................................. June 30 Net Assets as of 6/30/2005 (in Thousands)................... $2,841,627 Primary Benchmark........................................... Lehman Aggregate Bond Index
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 4 JPMORGAN CORE BOND TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED MATURITY DISTRIBUTION* Less than one year...........................16.1% Years 1-5....................................42.9% Years 6-10...................................25.5% Years 11-20..................................12.0% Over 20 Years.................................3.5% Average years to Maturity................5.7 years Duration.................................4.5 years
TOP FIVE SECTORS* 1. Residential Mortgage Backed Securities.........................44.8% 2. U.S. Treasury Securities..................21.6% 3. Corporate Notes & Bonds......... 11.9% 4. U.S. Government Agency Mortgages..................................5.6% 5. Asset Backed Securities....................2.0%
QUALITY BREAKDOWN* Government Agency............................68.1% AAA..........................................19.0% AA............................................2.2% A.............................................6.2% BBB...........................................4.2%
- --------------- * As of 6/30/05. Portfolio's composition subject to change. Percentages for Top Five Sectors are based on net assets. Percentages for Maturity Distribution and Quality Breakdown are based on market value of securities. TOTAL RETURN AS OF JUNE 30, 2005
- --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION - --------------------------------------------------------------------------------- Core Bond Trust 2/7/2005 1.89% - ---------------------------------------------------------------------------------
The quoted performance is past performance and not a guarantee of future returns. An absolute return strategy involves risk and is subject to fluctuation. For a more complete description of the risks involved, please refer to the Fund's Private Placement Memorandum. The past performance of any investment, investment strategy or investment style is not indicative of future performance. Results of an investment made today may differ substantially from the Fund's historical performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Total return figures include the reinvestment of dividends and capital gains. Please read carefully before investing or sending money. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 5 JPMORGAN EQUITY INDEX TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW HOW DID THE PORTFOLIO PERFORM? The JPMorgan Equity Index Trust, which commenced operations February 7, 2005, was consistent with the objectives of an index strategy that seeks to provide investors with a pure benchmark exposure and zero active risk. The Fund returned - -0.27% for the period ending June 30, 2005. By way of comparison within the same period, the Fund's benchmark, the S&P 500 Index, returned -0.21%. WHY DID THE PORTFOLIO PERFORM THIS WAY? For the period, the U.S. large-cap core equities asset class in general produced flat returns. The market was unable to establish any real direction -- neither bull nor bear won. The two best-performing sectors for the period were health services and REITs, while the two worst-performing sectors were process industries and non-energy minerals. The economic picture was mixed for the period. Corporate profits rose along with merger activity and business spending. Private employment increased and unemployment fell. Oil prices fluctuated throughout the period, rising to nearly $60 a barrel at the end of June. Despite higher energy prices, however, consumer spending remained resilient. Inflation increased slightly, fueled by economic growth and rising commodity prices. Regarding relative performance, the Fund achieved its objective of producing a total return that is comparable to that of its benchmark. HOW WAS THE PORTFOLIO MANAGED? The Fund was managed according to a full replication index strategy. Holdings in the Fund are in strict conformity to the benchmark weights. Fund exposures at the stock, sector, and factor levels are closely monitored to ensure that unintended active bets are not in place. Going forward, we will continue to seek returns that closely match those of the benchmark index, while exploring opportunities to trade index changes in a value-added manner. In addition, we will maintain our stringent risk management strategies and seek to minimize transaction costs. PORTFOLIO FACTS Portfolio Inception......................................... February 7, 2005 Fiscal Year End............................................. June 30 Net Assets as of 6/30/2005 (in Thousands)................... $400,097 Primary Benchmark........................................... S&P 500 Index
TOP TEN HOLDINGS* General Electric Co. .............. 3.4% Exxon Mobil Corp. ................. 3.4% Microsoft Corp. ................... 2.3% Citigroup, Inc. ................... 2.2% Pfizer, Inc. ...................... 1.9% Johnson & Johnson.................. 1.8% Bank of America Corp. ............. 1.7% Wal-Mart Stores, Inc. ............. 1.5% Intel Corp. ....................... 1.5% American International Group, Inc. ............................ 1.4% PORTFOLIO ALLOCATION* Common Stocks...................... 100% Investment Company................. 0.1% U.S. Treasuries.................... 0.0% Liabilities in Excess of Other Assets........................... (0.1)% TOP 5 INDUSTRIES* 1. Oil, Gas & Consumable Fuels..... 7.5% 2. Pharmaceuticals................. 7.1% 3. Commercial Banks................ 5.8% 4. Industrial Conglomerates........ 4.5% 5. Insurance....................... 4.4%
- --------------- * As of 6/30/05. Portfolio composition subject to change. Percentages are based on net assets. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 6 JPMORGAN EQUITY INDEX TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED TOTAL RETURN AS OF JUNE 30, 2005
- --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION - --------------------------------------------------------------------------------- Equity Index Trust 2/7/2005 (0.27)% - ---------------------------------------------------------------------------------
The quoted performance is past performance and not a guarantee of future returns. An absolute return strategy involves risk and is subject to fluctuation. For a more complete description of the risks involved, please refer to the Fund's Private Placement Memorandum. The past performance of any investment, investment strategy or investment style is not indicative of future performance. Results of an investment made today may differ substantially from the Fund's historical performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Total return figures include the reinvestment of dividends and capital gains. Please read carefully before investing or sending money. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 7 JPMORGAN INTERMEDIATE BOND TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW HOW DID THE PORTFOLIO PERFORM? The JPMorgan Intermediate Bond Trust, which commenced operations on February 7, 2005, seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity. The Fund had a since-inception return of 1.58% for the period ended June 30, 2005, compared with a 1.16% return of its benchmark, the Lehman Intermediate Government Credit Bond Index. WHY DID THE PORTFOLIO PERFORM IN THIS WAY? Since the Fund's inception, the Fund's underweight in corporate bonds and U.S. Treasuries in favor of other spread (non-Treasury) sectors helped performance. In particular, the Fund's mortgage-backed securities (MBS) turned in a strong performance. The Fund's small positions in commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) also helped relative performance. HOW WAS THE PORTFOLIO MANAGED? The Fund's diversification among the spread sectors worked well as corporate bonds underperformed and the securitized sectors outperformed comparable-duration Treasuries. In particular, lower-rated corporate credits suffered in the wake of auto sector troubles. The Fund benefited from an underweight position in BBB- and lower-rated credits: 5.6% exposure compared with 12.2% for the benchmark. Within the corporate arena, industrials underperformed other sub-sectors. The Fund was significantly underweighted in industrial credits at a 6.1% allocation versus 14.8% for the benchmark. While we expect the Fed to continue its "moderate" trajectory and raise the fed funds target rate, much of this activity is already priced into the market, and we have positioned the portfolio to reflect this. As of June 30, the Fund is at a slightly shorter duration than the benchmark. Despite the shorter duration, the Fund has a yield advantage, with a 4.60% yield-to-worst compared with 4.08% for its benchmark. With no single area of the bond market offering particularly compelling valuations, we expect to focus on sub-sectors, segments of the yield curve and individual security analysis to find value. In the credit market, we continue to favor finance companies to industrials. Corporate fundamentals are generally positive but many corporations are focusing on shareholder value over bondholder interest. Focus in MBS will be on those that offer option-adjusted spread and total-return advantage versus pass-throughs. PORTFOLIO FACTS Portfolio Inception........................................ February 7, 2005 Fiscal Year End............................................ June 30 Net Assets as of 6/30/2005 (in Thousands).................. $423,667 Primary Benchmark.......................................... Lehman Intermediate Government Credit Bond Index
MATURITY DISTRIBUTION* Less than one year...........................18.2% Years 1-5....................................44.8% Years 6-10...................................26.4% Years 11-20...................................8.6% Over 20 Years.................................2.0% Average years to Maturity................5.0 years Duration.................................4.0 years
TOP FIVE SECTORS* 1. Residential Mortgage Backed Securities.........................44.3% 2. Corporate Notes & Bonds.....................................19.0% 3. U.S. Treasury Securities..................18.7% 4. U.S. Government Agency Mortgages................................. 5.3% 5. Asset Backed Securities................... 2.8%
QUALITY BREAKDOWN* Government Agency............................69.6% AAA..........................................11.4% AA............................................2.9% A............................................10.3% BBB...........................................3.8%
- --------------- * As of 6/30/05. Portfolio composition subject to change. Percentages for Top Five Sectors are based on net assets. Percentages for Maturity Distribution and Quality Breakdown are based on market value of securities. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 8 JPMORGAN INTERMEDIATE BOND TRUST (UNAUDITED) - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED TOTAL RETURN AS OF JUNE 30, 2005
- --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION - --------------------------------------------------------------------------------- Intermediate Bond Trust 2/7/2005 1.58% - ---------------------------------------------------------------------------------
The quoted performance is past performance and not a guarantee of future returns. An absolute return strategy involves risk and is subject to fluctuation. For a more complete description of the risks involved, please refer to the Fund's Private Placement Memorandum. The past performance of any investment, investment strategy or investment style is not indicative of future performance. Results of an investment made today may differ substantially from the Fund's historical performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Total return figures include the reinvestment of dividends and capital gains. Please read carefully before investing or sending money. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 9 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2005 (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- LONG TERM INVESTMENTS (87.4%): Asset Backed Securities (2.0%): 1,496 American Express Credit Account Master Trust Series 2004-3, Class A, 4.35%, 12/15/11..... 1,510 AmeriCredit Automobile Receivables Trust 856 Series 2001-C, Class A4, 5.01%, 07/14/08..................... 860 1,915 Series 2001-D, Class A4, 4.41%, 11/12/08..................... 1,921 1,067 Series 2002-A, Class A4, 4.61%, 01/12/09..................... 1,072 880 Series 2002-D, Class A4, 3.40%, 04/13/09..................... 876 440 Series 2003-BX, Class A4A, 2.72%, 01/06/10.............. 434 490 Capital One Auto Finance Trust Series 2001-A, Class A4, 5.40%, 05/15/08.............. 491 1,056 Capital One Master Trust Series 2001-5, Class A, 5.30%, 06/15/09..................... 1,071 3,843 Citibank Credit Card Issuance Trust Series 2002-C2, Class C2, 6.95%, 02/18/14.......... 4,314 1,832 CNH Equipment Trust Series 2003-B, Class A4B, 3.38%, 02/15/11..................... 1,810 1,678 Conseco Finance Series 2001-B, Class 1M1, 7.27%, 06/15/32... 1,708 13,858 Countrywide Asset-Backed Certificates Series 2004-AB2, Class A2, FRN, 3.58%, 12/28/07..................... 13,884 657 Ford Credit Auto Owner Trust Series 2004-A, Class A3, 2.93%, 03/15/08.............. 650 1,188 GE Capital Mortgage Services, Inc. Series 1999-HE, Class M, 6.71%, 04/25/29.............. 1,216 583 Green Tree Financial Corp. Series 1995-4, Class A6, 7.30%, 06/15/25.............. 599 Household Automotive Trust 1,212 Series 2001-3, Class A4, 4.37%, 12/17/08..................... 1,216 1,225 Series 2005-1, Class A4, 4.35%, 06/18/12..................... 1,225
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- LONG TERM INVESTMENTS, CONTINUED: Asset Backed Securities, continued: MBNA Credit Card Master Note Trust 2,422 Series 2002-C1, Class C1, 6.80%, 07/15/14.............. 2,703 1,012 Series 2003-C1, Class C1, FRN, 4.92%, 07/15/05.............. 1,071 MBNA Master Credit Card Trust USA 1,760 Series 1999-J, Class C, 7.85%, 02/15/12 (e)................. 1,998 1,540 Series 2000-D, Class C, 8.40%, 09/15/09 (e)................. 1,651 Onyx Acceptance Grantor Trust 967 Series 2002-C, Class A4, 4.07%, 04/15/09..................... 967 722 Series 2002-D, Class A4, 3.10%, 07/15/09..................... 719 440 Series 2004-B, Class A3, 3.09%, 09/15/08..................... 437 743 Residential Asset Mortgage Products, Inc. Series 2001-RS3, Class AI4, SUB, 6.29%, 08/31/05.............. 744 2,762 Textron Financial Corp. Receivables Trust Series 2000-C, Class A3, 6.61%, 02/15/15 (e)................. 2,795 WFS Financial Owner Trust 1,251 Series 2002-1, Class A4A, 4.87%, 09/20/09.............. 1,257 1,830 Series 2002-2, Class A4, SUB, 4.50%, 02/20/10.............. 1,837 1,373 Series 2002-3, Class A4, 3.50%, 02/20/10..................... 1,369 1,430 Series 2002-4, Class A4A, 3.11%, 08/20/10.............. 1,414 245 Series 2003-1, Class A3, 2.03%, 08/20/07..................... 245 968 Series 2003-2, Class A4, 2.41%, 12/20/10..................... 952 1,296 Series 2003-4, Class A4, 3.15%, 05/20/11..................... 1,282 603 Series 2004-1, Class A3, 2.19%, 06/20/08..................... 598 440 Series 2004-2, Class A3, 2.85%, 09/22/08..................... 436 ---------- Total Asset Backed Securities (Cost $57,406)......................... 57,332 ----------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 10 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS (44.8%): Agency CMO (36.2%): Federal Home Loan Mortgage Corp. 237 Series 11, Class D, 9.50%, 01/16/08..................... 236 60 Series 22, Class C, 9.50%, 02/16/08..................... 60 90 Series 23, Class F, 9.60%, 03/15/08..................... 90 2 Series 41, Class I, HB, 84.00%, 06/29/07..................... 2 14 Series 47, Class F, 10.00%, 01/12/08..................... 14 38 Series 99, Class Z, 9.50%, 04/06/08..................... 38 19 Series 134, Class B, IO, 9.00%, 05/11/07..................... 4 --(h) Series 204, Class E, IF, IO, HB, 1242.00%, 12/24/07....... --(h) --(h) Series 1045, Class G, IO, HB, 1066.21%, 02/18/06........... --(h) 43 Series 1065, Class J, 9.00%, 12/07/07..................... 43 --(h) Series 1072, Class A, IO, HB, 1008.50%, 05/15/06........... --(h) 14 Series 1079, Class S, IF, 22.95%, 09/06/07............. 14 88 Series 1084, Class F, FRN, 4.20%, 10/28/06.............. 88 61 Series 1084, Class S, IF, 30.60%, 10/28/06............. 63 --(h) Series 1098, Class M, IO, HB, 1008.00%, 6/15/06............ --(h) 74 Series 1116, Class I, 5.50%, 08/15/21..................... 74 53 Series 1144, Class KB, 8.50%, 12/08/07..................... 53 --(h) Series 1172, Class L, IO, HB, VAR, 1180.80%, 12/29/05...... 1 3 Series 1196, Class B, IF, IO, HB, 795.60%, 08/25/06........ 6 988 Series 1212, Class IZ, 8.00%, 02/15/22..................... 1,000 129 Series 1250, Class J, 7.00%, 05/15/22..................... 129 --(h) Series 1298, Class L, IO, HB, 981.87%, 10/10/05............ --(h) 148 Series 1343, Class LA, 8.00%, 05/03/08..................... 153 186 Series 1343, Class LB, 7.50%, 12/02/05..................... 191 387 Series 1370, Class JA, FRN, 4.40%, 07/15/05.............. 391
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 321 Series 1455, Class WB, IF, 3.05%, 07/15/05.............. 300 58 Series 1465, Class SA, IF, IO, 5.75%, 12/11/05.............. 2 1,525 Series 1466, Class PZ, 7.50%, 11/17/06..................... 1,597 27 Series 1470, Class F, FRN, 3.52%, 09/06/08.............. 27 17 Series 1473, Class HA, 7.00%, 01/15/08..................... 17 1,817 Series 1498, Class I, FRN, 4.40%, 07/15/05.............. 1,846 2,057 Series 1502, Class PX, 7.00%, 04/15/23..................... 2,149 284 Series 1505, Class Q, 7.00%, 05/15/23..................... 296 37 Series 1506, Class F, FRN, 4.16%, 01/09/06.............. 37 8 Series 1506, Class S, IF, 14.94%, 07/15/05............. 8 124 Series 1506, Class SD, IF, IO, 5.25%, 07/15/05.............. 5 2,200 Series 1512, Class J, 6.50%, 01/25/06..................... 2,246 492 Series 1513, Class N, 6.50%, 12/05/05..................... 501 712 Series 1518, Class G, IF, 5.87%, 11/22/08.............. 706 252 Series 1541, Class M, FRN, 17.60%, 07/15/05............. 309 687 Series 1541, Class O, FRN, 3.25%, 11/22/08.............. 675 176 Series 1544, Class J, IF, 9.67%, 02/12/06.............. 183 906 Series 1558, Class D, 6.50%, 07/15/23..................... 930 200 Series 1561, Class TA, PO, 08/15/08..................... 193 65 Series 1570, Class F, FRN, 4.02%, 11/14/08.............. 65 2,039 Series 1573, Class PZ, 7.00%, 09/15/23..................... 2,153 151 Series 1575, Class FB, FRN, 4.75%, 07/15/05.............. 153 63 Series 1575, Class SB, IF, 9.75%, 07/15/05.............. 65 1,431 Series 1591, Class PV, 6.25%, 01/01/09..................... 1,483 19 Series 1592, Class KB, IF, 12.28%, 04/25/08............. 19
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 11 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 211 Series 1595, Class D, 7.00%, 10/15/13..................... 218 631 Series 1596, Class D, 6.50%, 07/02/06..................... 655 31 Series 1602, Class SA, IF, 12.19%, 01/28/05............. 35 27 Series 1603, Class IF, FRN, 3.93%, 07/15/05.............. 27 237 Series 1604, Class SA, IF, 11.37%, 07/15/05............. 252 385 Series 1606, Class SC, IF, 15.81%, 12/02/04............. 428 83 Series 1607, Class SA, IF, 15.77%, 07/15/05............. 98 3,300 Series 1608, Class L, 6.50%, 09/15/23..................... 3,505 1,466 Series 1609, Class L, IF, 10.29%, 10/12/10............. 1,631 924 Series 1611, Class JA, FRN, 4.38%, 11/14/07.............. 934 880 Series 1611, Class JB, IF, 10.87%, 07/15/05............. 914 420 Series 1612, Class SD, IF, 11.63%, 07/15/05............. 449 191 Series 1625, Class SD, IF, 8.50%, 07/15/05.............. 204 2,200 Series 1642, Class PJ, 6.00%, 11/15/23..................... 2,271 129 Series 1659, Class SB, IF, 8.50%, 07/15/05.............. 134 38 Series 1671, Class QC, IF, 10.00%, 09/20/11............. 38 4 Series 1672, Class FB, FRN, 3.46%, 07/15/05.............. 4 124 Series 1685, Class Z, 6.00%, 11/15/23..................... 127 24 Series 1686, Class SH, FRN, 11.93%, 05/29/12............. 28 274 Series 1689, Class SD, IF, 10.10%, 09/13/05............. 291 440 Series 1695, Class EB, 7.00%, 02/03/07..................... 472 408 Series 1698, Class SC, IF, 10.89%, 04/02/07............. 451 175 Series 1699, Class FC, FRN, 3.85%, 09/03/06.............. 177 856 Series 1700, Class GA, PO, 02/15/24..................... 794 10 Series 1701, Class B, 6.50%, 03/15/09..................... 10
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,101 Series 1706, Class K, 7.00%, 03/15/24..................... 1,183 85 Series 1709, Class FA, FRN, 3.26%, 07/15/05.............. 84 258 Series 1745, Class D, 7.50%, 04/28/11..................... 262 2,234 Series 1798, Class F, 5.00%, 11/22/08..................... 2,240 345 Series 1807, Class A, 6.00%, 09/22/05..................... 351 44 Series 1807, Class G, 9.00%, 09/26/07..................... 46 607 Series 1829, Class ZB, 6.50%, 08/03/05..................... 633 86 Series 1844, Class E, 6.50%, 10/17/05..................... 88 637 Series 1863, Class Z, 6.50%, 07/17/07..................... 660 104 Series 1865, Class D, PO, 09/20/11..................... 86 397 Series 1890, Class H, 7.50%, 09/15/26..................... 415 1,111 Series 1899, Class ZE, 8.00%, 10/07/07..................... 1,172 342 Series 1900, Class T, PO, 02/09/06..................... 330 65 Series 1935, Class FL, FRN, 3.95%, 07/15/05.............. 66 913 Series 1963, Class Z, 7.50%, 08/05/07..................... 951 250 Series 1967, Class PC, PO, 10/15/08..................... 241 150 Series 1970, Class PG, 7.25%, 07/15/27..................... 152 1,369 Series 1981, Class Z, 6.00%, 05/15/27..................... 1,395 636 Series 1987, Class PE, 7.50%, 07/04/09..................... 662 2,910 Series 2004-S, Class A5, FRN, IF, 4.25%, 09/03/16.......... 2,403 108 Series 2017, Class SE, IF, 15.11%, 07/15/05............. 119 1,231 Series 2019, Class Z, 6.50%, 12/15/27..................... 1,284 1,067 Series 2025, Class PE, 6.30%, 10/03/08..................... 1,100 461 Series 2033, Class SN, IF, IO, 20.14%, 01/25/09............. 132 1,285 Series 2038, Class PN, IO, 7.00%, 10/22/08.............. 196
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 12 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,210 Series 2040, Class PE, 7.50%, 07/10/14..................... 1,295 1,822 Series 2054, Class PV, 7.50%, 05/15/28..................... 1,919 1,445 Series 2055, Class OE, 6.50%, 04/27/08..................... 1,501 4,205 Series 2075, Class PH, 6.50%, 04/16/07..................... 4,370 2,090 Series 2075, Class PM, 6.25%, 08/15/28..................... 2,202 2,304 Series 2086, Class GB, 6.00%, 02/06/13..................... 2,377 1,616 Series 2089, Class PJ, IO, 7.00%, 11/07/08.............. 256 4,490 Series 2095, Class PE, 6.00%, 11/15/28..................... 4,700 825 Series 2097, Class PV, 6.00%, 09/15/09..................... 844 3,083 Series 2102, Class TC, 6.00%, 03/01/08..................... 3,195 1,985 Series 2102, Class TU, 6.00%, 07/20/09..................... 2,057 8,140 Series 2115, Class PE, 6.00%, 09/24/06..................... 8,429 1,928 Series 2125, Class JZ, 6.00%, 11/19/10..................... 1,996 1,052 Series 2130, Class QR, 6.00%, 02/15/28..................... 1,061 438 Series 2132, Class SB, IF, 17.07%, 12/05/12............. 526 350 Series 2134, Class PI, IO, 6.50%, 03/15/19.............. 55 220 Series 2135, Class UK, IO, 6.50%, 05/24/07.............. 29 229 Series 2141, IO, 7.00%, 11/08/08..................... 39 547 Series 2143, Class CD, 6.00%, 02/15/28..................... 555 472 Series 2163, Class PC, IO, 7.50%, 04/29/08.............. 82 1,760 Series 2169, Class TB, 7.00%, 06/15/29..................... 1,928 1,100 Series 2172, Class QC, 7.00%, 07/15/29..................... 1,201 1,377 Series 2176, Class OJ, 7.00%, 08/15/29..................... 1,454 756 Series 2189, Class SA, IF, 11.44%, 01/30/06............. 811 1,459 Series 2201, Class C, 8.00%, 08/02/08..................... 1,545
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,074 Series 2209, Class TC, 8.00%, 02/10/09..................... 1,157 1,502 Series 2210, Class Z, 8.00%, 12/25/08..................... 1,615 387 Series 2224, Class CB, 8.00%, 09/11/07..................... 407 1,336 Series 2230, Class Z, 8.00%, 04/15/30..................... 1,408 1,095 Series 2234, Class PZ, 7.50%, 05/15/30..................... 1,145 942 Series 2247, Class Z, 7.50%, 07/26/07..................... 962 1,320 Series 2256, Class MC, 7.25%, 12/09/12..................... 1,372 2,487 Series 2259, Class ZM, 7.00%, 12/10/07..................... 2,585 165 Series 2261, Class ZY, 7.50%, 10/15/30..................... 170 325 Series 2262, Class Z, 7.50%, 10/15/30..................... 335 2,588 Series 2271, Class PC, 7.25%, 08/03/09..................... 2,724 1,816 Series 2283, Class K, 6.50%, 01/14/14..................... 1,971 1,295 Series 2295, Class VB, 6.50%, 07/15/16..................... 1,305 1,637 Series 2296, Class PD, 7.00%, 03/02/08..................... 1,719 101 Series 2299, Class G, 7.00%, 11/04/06..................... 101 591 Series 2304, Class VB, 6.50%, 07/15/16..................... 597 406 Series 2306, Class K, PO, 01/31/09..................... 364 959 Series 2306, Class SE, IF, IO, 6.49%, 01/31/09.............. 150 1,512 Series 2313, Class LA, 6.50%, 05/15/31..................... 1,577 929 Series 2317, Class VG, 6.50%, 11/21/10..................... 938 1,100 Series 2323, Class VO, 6.00%, 09/25/07..................... 1,124 2,332 Series 2325, Class PM, 7.00%, 06/15/31..................... 2,519 1,320 Series 2335, Class VH, 7.00%, 05/15/14..................... 1,362 630 Series 2342, Class PW, 6.50%, 8/15/17...................... 633 8,054 Series 2344, Class QG, 6.00%, 08/15/16..................... 8,363
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 13 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 11,973 Series 2344, Class ZD, 6.50%, 12/22/05..................... 12,782 1,584 Series 2344, Class ZJ, 6.50%, 11/03/05..................... 1,647 1,731 Series 2345, Class NE, 6.50%, 09/19/05..................... 1,796 1,928 Series 2345, Class PQ, 6.50%, 08/15/16..................... 2,012 922 Series 2345, Class PV, 6.50%, 01/15/24..................... 933 1,650 Series 2349, Class NW, 6.50%, 10/15/16..................... 1,674 790 Series 2351, Class PZ, 6.50%, 08/15/31..................... 845 1,256 Series 2353, Class PC, 6.50%, 09/12/09..................... 1,261 2,740 Series 2353, Class TD, 6.00%, 06/15/13..................... 2,864 2,551 Series 2355, Class BP, 6.00%, 12/06/07..................... 2,650 617 Series 2357, Class VX, 6.50%, 12/15/17..................... 620 880 Series 2359, Class PM, 6.00%, 01/15/13..................... 918 1,265 Series 2359, Class ZB, 8.50%, 11/13/23..................... 1,483 5,033 Series 2360, Class PG, 6.00%, 10/20/06..................... 5,199 3,947 Series 2362, Class PD, 6.50%, 05/11/06..................... 4,046 1,237 Series 2362, Class PJ, 6.50%, 03/03/12..................... 1,257 1,096 Series 2363, Class PF, 6.00%, 04/05/06..................... 1,135 2,003 Series 2366, Class MD, 6.00%, 10/15/16..................... 2,080 1,848 Series 2367, Class ME, 6.50%, 10/15/31..................... 1,963 2,058 Series 2367, Class VD, 6.00%, 1/15/19...................... 2,060 1,673 Series 2371, Class VB, 6.00%, 08/15/15..................... 1,707 1,394 Series 2374, Class PV, 5.50%, 12/15/14..................... 1,408 270 Series 2382, Class TL, IO, 6.50%, 02/15/31.............. 18 1,349 Series 2391, Class QE, 5.50%, 11/18/05..................... 1,362 5,939 Series 2391, Class QR, 5.50%, 04/03/09..................... 6,164
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,064 Series 2391, Class VQ, 6.00%, 10/15/12..................... 1,107 2,200 Series 2392, Class PV, 6.00%, 06/06/10..................... 2,257 2,601 Series 2394, Class MC, 6.00%, 02/01/09..................... 2,707 2,200 Series 2399, Class OH, 6.50%, 01/15/32..................... 2,328 3,520 Series 2399, Class TH, 6.50%, 12/11/08..................... 3,716 336 Series 2405, Class P, 6.00%, 01/20/08..................... 336 4,399 Series 2410, Class NG, 6.50%, 02/15/32..................... 4,628 1,760 Series 2410, Class OE, 6.38%, 03/30/07..................... 1,827 3,190 Series 2410, Class QS, IF, 11.13%, 04/08/09............. 3,536 1,531 Series 2410, Class QX, IF, IO, 5.43%, 04/12/08.............. 133 734 Series 2412, Class SE, FRN, 9.64%, 10/07/05.............. 782 1,595 Series 2412, Class SP, IF, 9.66%, 07/15/05.............. 1,738 950 Series 2419, Class V, 6.50%, 04/07/08..................... 957 4,140 Series 2420, Class XK, 6.50%, 02/15/32..................... 4,390 3,119 Series 2423, Class MC, 7.00%, 08/23/11..................... 3,262 3,255 Series 2423, Class MT, 7.00%, 09/04/11..................... 3,405 2,250 Series 2425, Class OB, 6.00%, 12/09/05..................... 2,337 2,640 Series 2430, Class WF, 6.50%, 03/15/32..................... 2,833 3,080 Series 2434, Class TC, 7.00%, 12/08/08..................... 3,271 660 Series 2435, Class CJ, 6.50%, 04/15/32..................... 714 2,200 Series 2435, Class VH, 6.00%, 07/15/19..................... 2,312 3,783 Series 2436, Class MC, 7.00%, 04/07/13..................... 4,004 2,956 Series 2444, Class ES, IF, IO, 4.73%, 10/16/08.............. 230 1,554 Series 2450, Class GZ, 7.00%, 05/12/09..................... 1,634 2,365 Series 2450, Class SW, IF, IO, 4.78%, 10/16/08.............. 245
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 14 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,320 Series 2454, Class BG, 6.50%, 08/15/31..................... 1,354 4,428 Series 2455, Class GK, 6.50%, 05/15/32..................... 4,734 1,100 Series 2458, Class QE, 5.50%, 11/01/10..................... 1,148 2,633 Series 2460, Class VZ, 6.00%, 12/04/08..................... 2,744 3,026 Series 2461, Class VB, 6.50%, 4/15/18...................... 3,079 3,080 Series 2462, Class JG, 6.50%, 06/15/32..................... 3,253 2,244 Series 2466, Class PG, 6.50%, 04/15/32..................... 2,376 1,100 Series 2466, Class PH, 6.50%, 06/15/32..................... 1,192 2,200 Series 2474, Class NR, 6.50%, 07/15/32..................... 2,346 972 Series 2480, Class PV, 6.00%, 07/15/07..................... 1,012 1,914 Series 2484, Class LZ, 6.50%, 07/15/32..................... 2,062 122 Series 2496, Class LD, 8.50%, 11/15/15..................... 123 2,404 Series 2498, Class UD, 5.50%, 09/02/10..................... 2,452 2,420 Series 2500, Class GD, 5.50%, 08/02/10..................... 2,452 2,640 Series 2500, Class MC, 6.00%, 09/15/32..................... 2,792 2,200 Series 2500, Class TD, 5.50%, 09/01/10..................... 2,235 500 Series 2503, Class BH, 5.50%, 09/15/17..................... 521 1,320 Series 2512, Class PG, 5.50%, 10/15/22..................... 1,393 1,604 Series 2513, Class VA, 6.00%, 04/19/07..................... 1,616 4,179 Series 2513, Class YO, PO, 12/28/08..................... 3,797 4,399 Series 2515, Class DE, 4.00%, 04/11/10..................... 4,198 2,131 Series 2518, Class PX, 5.50%, 09/15/13..................... 2,206 774 Series 2519, Class BT, 8.50%, 10/28/06..................... 830 923 Series 2521, Class PU, 5.50%, 05/15/10..................... 946 2,865 Series 2527, Class VU, 5.50%, 04/27/08..................... 2,942
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,980 Series 2535, Class BK, 5.50%, 11/06/13..................... 2,063 2,640 Series 2537, Class TE, 5.50%, 12/15/17..................... 2,776 1,320 Series 2541, Class GX, 5.50%, 05/19/06..................... 1,356 2,200 Series 2543, Class YX, 6.00%, 12/15/32..................... 2,337 2,860 Series 2544, Class HC, 6.00%, 12/15/32..................... 3,030 2,957 Series 2552, Class ME, 6.00%, 01/15/33..................... 3,137 2,640 Series 2565, Class MB, 6.00%, 05/09/07..................... 2,699 1,496 Series 2567, Class QD, 6.00%, 02/15/33..................... 1,584 950 Series 2571, Class SK, IF, 20.61%, 02/03/07............. 1,230 4,399 Series 2575, Class ME, 6.00%, 02/15/33..................... 4,668 3,966 Series 2586, Class WI, IO, 6.50%, 02/15/09.............. 679 2,240 Series 2594, Class VA, 6.00%, 08/20/05..................... 2,323 4,847 Series 2594, Class VP, 6.00%, 07/12/05..................... 5,010 4,135 Series 2594, Class VQ, 6.00%, 08/15/20..................... 4,314 1,612 Series 2596, Class QG, 6.00%, 03/15/33..................... 1,708 10,333 Series 2597, Class DS, IF, IO, 4.33%, 10/16/08.............. 926 14,286 Series 2599, Class DS, IF, IO, 3.78%, 12/01/08.............. 1,090 16,455 Series 2610, Class DS, IF, IO, 3.88%, 03/12/09.............. 1,350 16,044 Series 2611, Class SH, IF, IO, 4.43%, 05/18/08.............. 1,227 1,320 Series 2611, Class UH, 4.50%, 01/25/14..................... 1,303 1,760 Series 2617, Class GR, 4.50%, 05/19/14..................... 1,742 567 Series 2619, Class HR, 3.50%, 11/15/31..................... 549 2,429 Series 2619, Class IM, IO, 5.00%, 10/15/21.............. 335 1,008 Series 2624, Class IU, IO, 5.00%, 12/09/12.............. 160 15,171 Series 2626, Class NS, IF, IO, 3.33%, 05/02/09.............. 944
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 15 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,000 Series 2628 Class WA, 4.00%, 07/15/28..................... 971 16,000 Series 2630, Class KN, 2.50%, 06/01/07..................... 15,508 177 Series 2631, Class BS, IF, 5.97%, 07/15/05.............. 163 2,640 Series 2631, Class LC, 4.50%, 08/17/13..................... 2,613 930 Series 2633, Class EO, PO, 09/06/13..................... 733 1,348 Series 2636, Class Z, 4.50%, 06/15/18..................... 1,313 4,530 Series 2637, Class SA, IF, IO, 2.88%, 06/10/09.............. 240 197 Series 2638, Class DS, IF, 5.38%, 07/15/05.............. 185 922 Series 2638, Class IA, IO, 5.00%, 08/17/05.............. 18 6,241 Series 2638, Class SA, IF, IO, 3.88%, 07/15/05.............. 466 968 Series 2640, Class UG, IO, 5.00%, 06/26/13.............. 259 1,710 Series 2640, Class UR, IO, 4.50%, 12/15/07.............. 193 1,466 Series 2643, Class HI, IO, 4.50%, 11/30/07.............. 167 5,456 Series 2643, Class KG, 4.00%, 07/19/05..................... 5,450 2,398 Series 2651, Class VZ, 4.50%, 07/15/18..................... 2,334 3,103 Series 2656, Class SH, IF, 11.94%, 05/08/08............. 3,385 4,033 Series 2668, Class SB, IF, 4.34%, 01/16/10.............. 3,850 2,200 Series 2672, Class ME, 5.00%, 08/06/13..................... 2,245 813 Series 2672, Class SJ, IF, 4.29%, 04/19/10.............. 768 22 Series 2672, Class WD, 5.00%, 04/03/10..................... 22 6,599 Series 2675, Class CK, 4.00%, 08/31/14..................... 6,296 3,293 Series 2682, Class YS, IF, 4.33%, 06/27/16.............. 2,570 576 Series 2683, Class VA, 5.50%, 11/19/07..................... 593 1,373 Series 2684, Class KO, PO, 06/15/32..................... 1,327 3,520 Series 2684, Class TO, PO, 09/19/14..................... 2,457
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,760 Series 2686, Class GB, 5.00%, 10/25/09..................... 1,790 6,256 Series 2686, Class NS, IF, IO, 4.38%, 07/19/08.............. 466 2,426 Series 2691, Class WS, IF, 4.17%, 01/06/16.............. 1,948 2,000 Series 2695, Class DE, 4.00%, 01/15/17..................... 1,955 771 Series 2696, Class CO, PO, 10/15/18..................... 562 1,407 Series 2702, Class PC, 5.00%, 02/11/13..................... 1,433 1,634 Series 2705, Class SC, IF, 4.17%, 07/26/15.............. 1,334 3,085 Series 2705, Class SD, IF, 6.11%, 07/26/15.............. 2,713 2,000 Series 2715, Class OG, 5.00%, 08/12/13..................... 2,040 3,520 Series 2716, Class UN, 4.50%, 11/28/15..................... 3,447 1,760 Series 2720, Class PC, 5.00%, 09/23/13..................... 1,792 6,303 Series 2721, Class PI, IO, 5.00%, 11/04/06.............. 502 9,019 Series 2727, Class BS, IF, 4.25%, 04/24/20.............. 6,770 552 Series 2727, PO, 07/03/15...... 430 880 Series 2733, Class GF, FRN, PO, 11/20/12..................... 813 1,994 Series 2739, Class S, IF, 5.56%, 08/20/14.............. 1,789 1,533 Series 2744, Class FE, PO, 06/03/15..................... 1,234 880 Series 2744, Class PC, 5.50%, 04/12/08..................... 908 1,991 Series 2744, Class PE, 5.50%, 02/15/34..................... 2,090 3,891 Series 2744, Class TU, 5.50%, 03/12/13..................... 3,973 4,750 Series 2749, Class PK, IO, 5.00%, 09/03/06.............. 342 1,601 Series 2753, Class S, IF, 5.56%, 03/22/15.............. 1,424 4,872 Series 2755, Class SA, IF, 7.76%, 06/26/10.............. 4,867 1,372 Series 2766, Class SX, IF, 7.17%, 07/15/05.............. 1,254 1,458 Series 2769, PO, 03/09/14...... 1,161 683 Series 2771, Class FG, FRN, PO, 07/15/05..................... 544
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 16 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,483 Series 2778, Class BS, IF, 7.70%, 11/23/08.............. 1,430 1,225 Series 2780, Class JG, 4.50%, 12/09/09..................... 1,191 443 Series 2827, Class SQ, IF, 7.50%, 01/15/19.............. 450 484 Series 2841, Class GO, PO, 08/15/34..................... 417 2,640 Series 2846, PO, 02/02/13...... 2,274 779 Series 2849, PO, 08/15/34...... 671 314 Series 2874, Class ZD, 5.25%, 07/16/05..................... 314 1,090 Series 2888, Class SL, IF, 5.96%, 07/15/05.............. 1,075 363 Series 2925, Class MZ, 5.00%, 09/25/10..................... 358 773 Series 2925, Class ZM, 5.00%, 10/02/05..................... 773 650 Series 2933, Class HZ, 4.50%, 02/15/20..................... 650 834 Series 2958, Class KB, 5.50%, 04/15/35..................... 843 Federal Home Loan Mortgage Corp. Structured Pass Through Securities 2,543 Series T-41, Class 3A, 7.50%, 10/25/06..................... 2,711 1,666 Series T-51, Class 2A, VAR, 7.50%, 05/08/07.............. 1,754 1,046 Series T-54, Class 2A, 6.50%, 09/27/07..................... 909 2,688 Series T-54, Class 3A, 7.00%, 06/14/06..................... 2,842 7,800 Series T-58, Class A, PO, 07/31/08..................... 8,122 Federal Home Loan Mortgage Corp.-Government National Mortgage Association 1,538 Series 8, Class ZA, 7.00%, 03/25/23..................... 1,611 717 Series 29, Class J, 7.00%, 09/25/23..................... 726 3,749 Series 55, Class GL, IF, IO, 0.60%, 07/25/05.............. 28
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: Federal National Mortgage Association 34 Series 23, Class 2, IO, 10.00%, 01/15/06..................... 8 3 Series 50, Class 2, IO, 10.50%, 03/01/19..................... 1 111 Series 218, Class 2, IO, 7.50%, 04/01/23..................... 20 87 Series 265, Class 2, 9.00%, 10/12/05..................... 92 2,166 Series 329, Class 1, PO, 12/01/32..................... 1,822 2,307 Series 340, Class 1, PO, 08/12/11..................... 1,847 35 Series 1988-7, Class Z, 9.25%, 03/20/08..................... 38 99 Series 1989-70, Class G, 8.00%, 11/15/07..................... 106 38 Series 1989-78, Class H, 9.40%, 11/25/19..................... 41 73 Series 1989-83, Class H, 8.50%, 11/25/19..................... 79 72 Series 1989-89, Class H, 9.00%, 05/17/07..................... 78 60 Series 1990-1, Class D, 8.80%, 01/25/20..................... 65 13 Series 1990-60, Class K, 5.50%, 12/30/07..................... 14 20 Series 1990-63, Class H, 9.50%, 06/25/20..................... 22 26 Series 1990-93, Class G, 5.50%, 02/09/08..................... 26 1 Series 1990-94, Class H, HB, IO, 504.00%, 08/25/20........ 7 --(h) Series 1990-95, Class J, IO, HB, 1118.04%, 01/29/08....... 11 93 Series 1990-102, Class J, 6.50%, 01/04/08.............. 96 161 Series 1990-120, Class H, 9.00%, 10/25/20.............. 171 15 Series 1990-134, Class SC, IF, 16.58%, 02/18/07............. 18 1 Series 1990-140, Class K, IO, HB, 652.15%, 10/13/06........ 16 --(h) Series 1991-4, Class N, IO, HB, 758.75%, 1/25/06............. --(h) --(h) Series 1991-7, Class K, IO, HB, 908.50%, 08/21/07............ 3 78 Series 1991-24, Class Z, 5.00%, 03/25/21..................... 78
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 17 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: --(h) Series 1991-33, Class J, IO, HB, 1008.25%, 1/25/12........ --(h) 93 Series 1992-38, Class Z, 7.50%, 03/05/06..................... 96 14 Series 1992-101, Class J, 7.50%, 05/07/08.............. 14 406 Series 1992-136, Class PK, 6.00%, 08/25/22.............. 420 291 Series 1992-143, Class MA, 5.50%, 09/25/22.............. 299 109 Series 1992-152, Class N, IO, 8.00%, 08/25/07.............. 6 896 Series 1992-156, Class K, 7.50%, 09/25/07.............. 918 658 Series 1992-163, Class M, 7.75%, 09/25/22.............. 705 1,152 Series 1992-188, Class PZ, 7.50%, 12/10/07.............. 1,226 13 Series 1992-201, Class SB, IF, 15.13%, 07/25/05............. 14 201 Series 1993-8, Class H, 7.00%, 07/11/05..................... 205 505 Series 1993-21, Class KA, 7.70%, 03/25/23.............. 541 709 Series 1993-25, Class J, 7.50%, 08/11/05..................... 756 200 Series 1993-27, Class SA, IF, 15.50%, 07/25/05............. 258 578 Series 1993-55, Class K, 6.50%, 05/25/08..................... 592 249 Series 1993-59, Class FA, FRN, 4.09%, 07/25/05.............. 251 321 Series 1993-62, Class SA, IF, 14.67%, 04/25/23............. 386 71 Series 1993-72, Class F, FRN, 3.41%, 01/14/06.............. 70 37 Series 1993-107, Class F, FRN, 3.36%, 07/25/05.............. 37 505 Series 1993-164, Class SC, IF, 13.07%, 07/25/05............. 547 146 Series 1993-165, Class SD, IF, 9.52%, 12/14/08.............. 156 318 Series 1993-165, Class SK, IF, 12.50%, 07/25/05............. 388 886 Series 1993-167, Class GA, 7.00%, 08/12/07.............. 917 140 Series 1993-175, Class SA, IF, 13.19%, 03/04/06............. 154 225 Series 1993-179, Class SB, IF, 18.75%, 10/25/23............. 285
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 150 Series 1993-179, Class SC, IF, 10.50%, 07/25/05............. 172 13 Series 1993-185, Class A, IO, 6.50%, 09/25/22.............. --(h) 143 Series 1993-186, Class SA, IF, 9.25%, 07/25/05.............. 149 425 Series 1993-190, Class S, IF, 11.37%, 10/11/05............. 452 139 Series 1993-196, Class FA, 3.41%, 03/16/06.............. 138 78 Series 1993-196, Class SB, IF, 9.25%, 03/16/06.............. 82 181 Series 1993-197, Class SB, IF, 11.22%, 07/25/05............. 192 824 Series 1993-199, Class FA, FRN, 3.89%, 07/25/05.............. 832 413 Series 1993-205, Class H, PO, 09/25/23..................... 366 738 Series 1993-220, Class SG, IF, 9.31%, 10/04/05.............. 786 479 Series 1993-221, Class FH, FRN, 4.44%, 07/25/05.............. 485 233 Series 1993-221, Class SE, FRN, 9.50%, 07/25/05.............. 248 339 Series 1993-225, Class UB, 6.50%, 12/25/23.............. 353 98 Series 1993-225, Class VO, IF, 9.68%, 12/25/23.............. 100 132 Series 1993-230, Class FA, FRN, 3.94%, 12/17/06.............. 134 532 Series 1993-233, Class SB, IF, 13.30%, 07/25/05............. 580 666 Series 1993-247, Class FE, FRN, 4.34%, 07/25/05.............. 679 309 Series 1993-247, Class SU, IF, 10.43%, 07/25/05............. 346 1,415 Series 1993-250, Class Z, 7.00%, 06/29/06.............. 1,478 5,065 Series 1993-257, Class C, PO, 08/18/07..................... 4,663 61 Series 1994-12, Class FC, FRN, 3.57%, 07/25/05.............. 61 68 Series 1994-13, Class SK, IF, 15.16%, 12/08/05............. 75 14 Series 1994-33, Class F, FRN, 3.74%, 07/25/05.............. 14 260 Series 1994-33, Class FA, FRN, 3.52%, 07/25/05.............. 258 1,557 Series 1994-34, Class DZ, 6.00%, 11/24/05.............. 1,591
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 18 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 2,200 Series 1994-37, Class L, 6.50%, 04/24/14..................... 2,305 6,387 Series 1994-40, Class Z, 6.50%, 03/25/24..................... 6,826 402 Series 1994-55, Class G, 6.75%, 12/25/23..................... 407 315 Series 1995-2, Class Z, 8.50%, 1/25/25...................... 340 293 Series 1995-19, Class Z, 6.50%, 11/25/23..................... 323 2,688 Series 1996-14, Class SE, IF, IO, 6.64%, 03/26/09.......... 475 208 Series 1996-20, Class L, PO, 03/01/06..................... 199 695 Series 1996-24, Class B, PO, 12/30/05..................... 670 303 Series 1996-24, Class E, PO, 03/25/09..................... 289 90 Series 1996-27, Class FC, FRN, 3.84%, 07/25/05.............. 91 792 Series 1996-32, Class PH, 7.00%, 01/25/26.............. 813 812 Series 1996-39, Class J, PO, 09/25/08..................... 775 29 Series 1996-46, Class PE, PO, 09/25/06..................... 29 237 Series 1996-59, Class J, 6.50%, 8/25/22...................... 248 3,320 Series 1997-20, IO, FRN, 1.84%, 02/05/08..................... 189 184 Series 1997-27, Class J, 7.50%, 12/08/07..................... 197 295 Series 1997-29, Class J, 7.50%, 04/20/27..................... 311 1,826 Series 1997-39, Class PD, 7.50%, 05/20/27.............. 1,923 1,365 Series 1997-42, Class EN, 7.25%, 07/18/27.............. 1,415 283 Series 1997-42, Class ZC, 6.50%, 07/18/27.............. 295 285 Series 1997-51, Class PM, IO, 7.00%, 05/18/12.............. 25 3,996 Series 1997-61, Class ZC, 7.00%, 02/25/23.............. 4,234 39 Series 1997-70, PO, 09/25/22... 39 796 Series 1997-81, Class PI, IO, 7.00%, 09/28/08.............. 139 124 Series 1998-4, Class C, PO, 04/25/23..................... 111 460 Series 1998-27, Class B, PO, 12/25/08..................... 439
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 2,828 Series 1998-36, Class ZB, 6.00%, 08/02/05.............. 2,907 980 Series 1998-43, Class SA, IF, IO, 13.27%, 10/07/08......... 337 1,243 Series 1998-66, Class SB, IO, IF, 4.84%, 07/25/05.......... 136 638 Series 1999-17, Class C, 6.35%, 04/25/29..................... 670 1,377 Series 1999-18, Class Z, 5.50%, 04/18/29..................... 1,314 1,807 Series 1999-38, Class SK, IF, IO, 4.74%, 07/25/05.......... 177 417 Series 1999-52, Class NS, IF, 14.10%, 07/25/05............. 498 1,052 Series 1999-62, Class PB, 7.50%, 12/18/29.............. 1,124 3,674 Series 2000-2, Class ZE, 7.50%, 02/25/30..................... 3,912 1,400 Series 2000-20, Class SA, IF, IO, 5.79%, 07/25/30.......... 180 291 Series 2000-52, IO, 8.50%, 05/05/08..................... 61 1,694 Series 2001-4, Class PC, 7.00%, 03/25/21..................... 1,797 1,730 Series 2001-5, Class OW, 6.00%, 01/06/08..................... 1,788 1,546 Series 2001-7, Class PF, 7.00%, 03/02/06..................... 1,624 2,212 Series 2001-7, Class PR, 6.00%, 03/25/16..................... 2,382 2,594 Series 2001-10, Class PR, 6.00%, 04/25/16.............. 2,785 810 Series 2001-28, Class VB, 6.00%, 07/21/07.............. 818 1,804 Series 2001-30, Class PM, 7.00%, 07/25/31.............. 1,883 1,128 Series 2001-31, Class VD, 6.00%, 08/01/11.............. 1,178 4,672 Series 2001-33, Class ID, IO, 6.00%, 08/08/09.............. 825 2,860 Series 2001-36, Class DE, 7.00%, 04/20/10.............. 3,074 4,512 Series 2001-44, Class MY, 7.00%, 09/25/31.............. 4,881 1,199 Series 2001-44, Class PD, 7.00%, 04/27/06.............. 1,258 1,661 Series 2001-44, Class PU, 7.00%, 06/01/08.............. 1,739
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 19 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,621 Series 2001-49, Class DQ, 6.00%, 01/02/07.............. 1,654 1,249 Series 2001-49, Class Z, 6.50%, 09/25/31..................... 1,300 880 Series 2001-50, Class VB, 6.50%, 12/25/16.............. 904 832 Series 2001-52, Class KB, 6.50%, 10/25/31.............. 866 1,142 Series 2001-52, Class XM, 6.50%, 11/25/10.............. 1,175 3,482 Series 2001-52, Class XN, 6.50%, 06/23/13.............. 3,636 2,200 Series 2001-61, Class VB, 7.00%, 02/24/08.............. 2,331 880 Series 2001-61, Class VQ, 6.50%, 08/25/15.............. 908 3,247 Series 2001-61, Class Z, 7.00%, 10/15/13..................... 3,517 1,367 Series 2001-71, Class JW, 6.00%, 08/25/21.............. 1,387 1,320 Series 2001-71, Class MB, 6.00%, 12/25/16.............. 1,382 3,947 Series 2001-71, Class QE, 6.00%, 09/27/12.............. 4,099 815 Series 2001-72, Class SX, IF, 9.75%, 10/18/07.............. 858 2,640 Series 2001-74, Class MB, 6.00%, 09/06/12.............. 2,817 1,760 Series 2001-78, Class VB, 6.00%, 10/13/12.............. 1,779 2,630 Series 2001-80, Class PE, 6.00%, 07/25/29.............. 2,732 1,076 Series 2002-1, Class HC, 6.50%, 07/26/09..................... 1,126 1,064 Series 2002-1, Class SA, IF, 14.42%, 10/13/07............. 1,276 666 Series 2002-1, Class UD, IF, 12.80%, 06/19/07............. 758 4,047 Series 2002-2, Class UC, 6.00%, 02/25/17..................... 4,180 8,139 Series 2002-3, Class OG, 6.00%, 02/25/17..................... 8,585 3,959 Series 2002-4, Class VC, 6.50%, 03/25/24..................... 4,086 1,760 Series 2002-7, Class O, 6.00%, 03/25/17..................... 1,854 643 Series 2002-7, Class QM, 6.00%, 04/10/10..................... 649 4,565 Series 2002-7, Class TG, 6.00%, 03/25/17..................... 4,833
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,219 Series 2002-8, Class SR, IF, 9.43%, 08/16/05.............. 1,306 502 Series 2002-9, Class VE, 6.50%, 04/07/08..................... 513 1,012 Series 2002-11, Class QG, 5.50%, 03/23/11.............. 1,061 8,032 Series 2002-13, Class SJ, IF, IO, 1.60%, 02/20/09.......... 341 148 Series 2002-13, Class ST, IF, 10.00%, 10/14/07............. 169 7,859 Series 2002-18, Class PC, 5.50%, 09/12/10.............. 8,232 2,200 Series 2002-19, Class PE, 6.00%, 04/09/08.............. 2,301 405 Series 2002-21, Class LO, PO, 04/25/32..................... 350 3,080 Series 2002-21, Class PE, 6.50%, 04/25/32.............. 3,227 1,320 Series 2002-24, Class AJ, 6.00%, 04/25/17.............. 1,377 6,159 Series 2002-28, Class PK, 6.50%, 05/25/32.............. 6,504 483 Series 2002-36, Class HZ, 7.00%, 09/28/05.............. 492 2,681 Series 2002-37, Class Z, 6.50%, 11/07/06..................... 2,786 880 Series 2002-42, Class C, 6.00%, 07/25/17..................... 945 4,399 Series 2002-48, Class GH, 6.50%, 08/25/32.............. 4,734 792 Series 2002-55, Class QE, 5.50%, 12/07/10.............. 825 13,198 Series 2002-56, Class UC, 5.50%, 11/22/10.............. 13,759 1,131 Series 2002-59, Class VA, 6.50%, 06/20/06.............. 1,134 5,191 Series 2002-59, Class VB, 6.50%, 11/17/08.............. 5,299 2,508 Series 2002-61, Class PE, 5.50%, 05/25/16.............. 2,556 895 Series 2002-73, Class S, IF, 7.96%, 11/22/05.............. 905 3,520 Series 2002-74, Class LD, 5.00%, 09/21/10.............. 3,572 4,939 Series 2002-74, Class PD, 5.00%, 09/22/10.............. 5,009 4,091 Series 2002-74, Class VA, 6.00%, 07/01/07.............. 4,160 5,499 Series 2002-74, Class VB, 6.00%, 12/19/05.............. 5,738
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 20 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 2,937 Series 2002-77, Class S, IF, 8.41%, 09/29/09.............. 3,041 5,265 Series 2002-83, Class CS, 6.88%, 08/25/23.............. 5,556 797 Series 2002-91, Class UH, IO, 5.50%, 02/13/08.............. 119 880 Series 2002-93, Class PD, 3.50%, 02/25/29.............. 860 3,629 Series 2002-94, Class BK, 5.50%, 01/25/18.............. 3,830 2,905 Series 2003-8, Class SB, IF, IO, 4.34%, 01/31/07.......... 199 3,735 Series 2003-16, Class PI, IO, 5.00%, 03/18/06.............. 209 2,948 Series 2003-22, Class UD, 4.00%, 07/18/22.............. 2,622 748 Series 2003-27, Class DW, 4.50%, 03/02/12.............. 744 2,053 Series 2003-34, Class AX, 6.00%, 05/25/33.............. 2,168 1,771 Series 2003-34, Class ED, 6.00%, 05/25/33.............. 1,896 1,540 Series 2003-39, Class LW, 5.50%, 05/25/23.............. 1,625 1,662 Series 2003-39, IO, VAR, 6.00%, 10/09/09..................... 266 2,200 Series 2003-41, Class PE, 5.50%, 03/02/15.............. 2,334 858 Series 2003-42, Class GB, 4.00%, 05/25/33.............. 794 880 Series 2003-47, Class PE, 5.75%, 06/25/33.............. 926 4,395 Series 2003-52, Class PA, 6.50%, 01/12/09.............. 4,643 1,871 Series 2003-52, Class SX, IF, 13.01%, 02/05/07............. 2,166 915 Series 2003-64, Class SX, IF, 5.97%, 07/25/05.............. 778 1,232 Series 2003-65, Class CI, IO, 4.50%, 03/23/09.............. 185 771 Series 2003-67, Class VQ, 7.00%, 04/06/08.............. 817 774 Series 2003-68, Class QP, 3.00%, 08/18/08.............. 737 2,428 Series 2003-71, Class DS, IF, 3.32%, 07/25/05.............. 2,019 6,936 Series 2003-73, Class GA, 3.50%, 05/25/31.............. 6,690 687 Series 2003-74, Class SH, IF, 4.20%, 05/12/11.............. 590
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 18,810 Series 2003-80, Class SY, IF, IO, 4.34%, 04/24/09.......... 1,660 1,442 Series 2003-81, Class LC, 4.50%, 03/15/14.............. 1,428 5,719 Series 2003-83, Class PG, 5.00%, 07/30/13.............. 5,828 2,119 Series 2003-91, Class SD, IF, 6.98%, 12/01/11.............. 2,159 1,035 Series 2003-92, Class SH, IF, 5.25%, 10/28/10.............. 965 2,640 Series 2003-106, Class US, IF, 4.10%, 12/28/14.............. 2,115 619 Series 2003-106, Class WS, IF, 5.32%, 07/25/05.............. 576 15,497 Series 2003-116, Class SB, IF, IO, 4.29%, 12/20/08.......... 1,161 1,760 Series 2003-122, Class TE, 5.00%, 08/04/13.............. 1,793 1,320 Series 2003-128, Class KE, 4.50%, 04/08/11.............. 1,331 2,184 Series 2003-130, Class SX, IF, 6.55%, 09/25/07.............. 2,199 1,760 Series 2003-132, Class OA, PO, 04/03/10..................... 1,486 9,480 Series 2004-4, Class QI, IF, IO, 3.79%, 06/22/10.......... 734 896 Series 2004-4, Class QM, IF, 7.57%, 06/25/33.............. 909 5,365 Series 2004-10, Class SC, IF, 15.34%, 01/18/10............. 6,347 2,730 Series 2004-14, Class SD, IF, 4.10%, 07/22/15.............. 2,243 2,189 Series 2004-21, Class CO, PO, 04/07/15..................... 1,553 962 Series 2004-22, Class A, 4.00%, 09/13/09..................... 910 1,320 Series 2004-25, Class PC, 5.50%, 03/11/15.............. 1,384 8,964 Series 2004-25, Class SA, IF, 10.41%, 02/08/09............. 9,528 880 Series 2004-36, Class PC, 5.50%, 02/25/34.............. 904 6,326 Series 2004-36, Class SA, IF, 10.41%, 09/28/08............. 6,743 3,023 Series 2004-36, Class SN, IF, 7.57%, 07/25/33.............. 3,115 3,272 Series 2004-51, Class SY, IF, 7.61%, 04/02/11.............. 3,285 1,100 Series 2004-53, Class NC, 5.50%, 02/25/14.............. 1,159
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 21 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 340 Series 2004-58, Class ST, IF, 4.38%, 03/03/06.............. 335 262 Series 2004-61, Class SK, FRN, 8.50%, 03/14/08.............. 300 880 Series 2004-76, Class CL, 4.00%, 10/25/19.............. 839 440 Series 2004-81, Class AC, 4.00%, 11/25/19.............. 418 1,540 Series 2004-92, Class JO, PO, 07/29/10..................... 1,313 2,300 Series 2989, PO, 06/15/23(f).................. 1,918 3 Series G-17, Class S, FRN, HB, 738.00%, 07/25/05............ 55 206 Series G-28, Class S, IF, 11.76%, 07/25/05............. 237 166 Series G-35, Class M, 8.75%, 10/25/21..................... 182 68 Series G-51, Class SA, IF, 19.25%, 07/25/05............. 91 376 Series G92-15, Class Z, 7.00%, 04/16/06..................... 389 --(h) Series G92-27, Class SQ, FRN, HB, 7815.60%, 5/25/22........ 8 877 Series G92-35, Class E, 7.50%, 07/25/22..................... 927 1 Series G92-35, Class G, IO, HB, 1184.78%, 07/25/22........... 19 112 Series G92-42, Class Z, 7.00%, 03/02/09..................... 118 4,685 Series G92-44, Class ZQ, 8.00%, 08/11/08..................... 5,079 132 Series G92-52, Class FD, FRN, 3.36%, 07/25/05.............. 131 1,147 Series G92-54, Class ZQ, 7.50%, 08/02/05..................... 1,225 146 Series G92-59, Class F, FRN, 3.22%, 07/25/05.............. 145 55 Series G92-61, Class FJ, FRN, 3.62%, 07/25/05.............. 55 222 Series G92-61, Class Z, 7.00%, 05/14/11..................... 236 219 Series G92-62, Class B, PO, 03/03/09..................... 194 957 Series G93-1, Class KA, 7.90%, 03/24/09..................... 1,031 203 Series G93-5, Class Z, 6.50%, 02/25/23..................... 212 288 Series G93-14, Class J, 6.50%, 03/25/23..................... 300
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 658 Series G93-17, Class SI, FRN, 6.00%, 04/21/09.............. 674 677 Series G93-27 Class FD, FRN, 4.22%, 07/25/05.............. 690 147 Series G93-37, Class H, PO, 09/25/23..................... 128 233 Series G95-1, Class C, 8.80%, 01/25/25..................... 253 4 Series K, Class 2, IO, HB, 256.00%, 11/01/08............ 12 3,413 Federal National Mortgage Association Grantor Trust Series 2001-48, Class Z, 6.50%, 09/25/21.............. 3,716 Federal National Mortgage Association Whole Loan 512 Series 2002-W5, Class A6, 6.00%, 07/06/08.............. 511 2,200 Series 2002-W5, Class A7, 6.25%, 08/25/30.............. 2,242 1,785 Series 2002-W5, Class A10, IO, IF, 4.79%, 07/08/05.......... 127 4,669 Series 2003-W1, Class 1A1, 6.50%, 08/30/07.............. 4,859 1,530 Series 2003-W1, Class 2A, 7.50%, 09/06/07.............. 1,634 805 Series 2003-W4, Class 2A, 6.50%, 08/30/07.............. 826 2,200 Series 2003-W8, Class 1A3, 4.75%, 04/11/08.............. 2,187 5,594 Series 2004-W2, Class 2A2, 7.00%, 04/21/07.............. 5,932 Government National Mortgage Association 3,289 Series 1994-3, Class PQ, 7.49%, 07/16/24..................... 3,491 1,974 Series 1994-4, Class KQ, 7.99%, 03/29/09..................... 2,104 5,279 Series 1994-7, Class PQ, 6.50%, 05/19/11..................... 5,666 1,541 Series 1996-16, Class E, 7.50%, 03/01/09..................... 1,622 2,619 Series 1997-8, Class PN, 7.50%, 05/16/27..................... 2,754 620 Series 1997-11, Class D, 7.50%, 04/26/08..................... 651 1,309 Series 1998-26, Class K, 7.50%, 04/06/12..................... 1,392 7,086 Series 1999-4, Class ZB, 6.00%, 01/20/10..................... 7,227
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 22 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 3,937 Series 1999-10, Class ZC, 6.50%, 04/20/29.............. 4,211 968 Series 1999-15, Class E, 6.50%, 01/16/29..................... 1,000 1,520 Series 1999-30, Class S, IF, IO, 5.36%, 08/16/29.......... 109 79 Series 1999-33, Class SM, IF, 9.20%, 07/16/05.............. 87 1,501 Series 1999-40, Class ZW, 7.50%, 11/20/29.............. 1,584 2,204 Series 1999-41, Class Z, 8.00%, 08/31/06..................... 2,366 699 Series 1999-44, Class PC, 7.50%, 03/09/08.............. 733 3,786 Series 1999-44, Class ZC, 8.50%, 12/16/29.............. 4,380 2,181 Series 1999-44, Class ZG, 8.00%, 12/20/29.............. 2,323 1,801 Series 2000-6, Class Z, 7.50%, 2/20/30...................... 1,914 987 Series 2000-9, Class PB, 7.50%, 08/24/07..................... 1,012 858 Series 2000-9, Class Z, 8.00%, 07/28/08..................... 923 4,148 Series 2000-9, Class ZJ, 8.50%, 12/26/08..................... 4,696 1,289 Series 2000-12, Class ST, IF, 23.94%, 07/31/08............. 1,777 1,320 Series 2000-14, Class PD, 7.00%, 02/16/30.............. 1,402 561 Series 2000-16, Class ZN, 7.50%, 10/11/07.............. 592 5,636 Series 2000-21, Class Z, 9.00%, 04/05/13..................... 6,478 619 Series 2000-26, Class TZ, 8.50%, 09/20/30.............. 666 647 Series 2000-26, Class Z, 7.75%, 06/11/09..................... 672 106 Series 2000-30, Class ST, IF, 11.05%, 07/16/05............. 120 1,216 Series 2000-31, Class Z, 9.00%, 10/20/30..................... 1,339 570 Series 2000-34, Class SG, IO, IF, 5.27%, 07/20/05.......... 30 1,036 Series 2000-35, Class ZA, 9.00%, 11/20/30.............. 1,119 165 Series 2000-36, Class IK, IO, 9.00%, 11/23/07.............. 30 763 Series 2000-37, Class B, 8.00%, 12/20/30..................... 809
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 419 Series 2000-38, Class AH, 7.15%, 12/25/05.............. 436 1,049 Series 2001-4, Class SJ, IF, IO, 4.89%, 07/19/05.......... 44 1,592 Series 2001-6, Class SD, IF, IO, 5.31%, 07/16/05.......... 117 2,026 Series 2001-7, Class PK, 6.50%, 03/20/31..................... 2,103 3,477 Series 2001-8, Class Z, 6.50%, 03/20/31..................... 3,696 97 Series 2001-32, Class WA, IF, 11.98%, 10/20/07............. 104 1,408 Series 2001-35, Class SA, IF, IO, 5.01%, 05/11/08.......... 102 1,140 Series 2001-36, Class S, IF, IO, 4.81%, 05/16/08.......... 75 1,126 Series 2001-60, Class VP, 6.50%, 08/09/10.............. 1,160 2,200 Series 2001-64, Class MQ, 6.50%, 12/20/31.............. 2,333 1,444 Series 2002-3, Class SP, IO, IF, 4.15%, 07/16/05.......... 88 2,200 Series 2002-7, Class PG, 6.50%, 11/16/09..................... 2,280 5,489 Series 2002-24, Class AG, IF, IO, 4.71%, 01/25/09.......... 515 537 Series 2002-24, Class SB, IF, 7.07%, 12/11/05.............. 550 12,416 Series 2002-31, Class SE, IF, IO, 4.26%, 02/09/09.......... 852 4,145 Series 2002-36, Class VB, 6.50%, 10/27/06.............. 4,205 2,288 Series 2002-40, Class UK, 6.50%, 01/10/11.............. 2,442 199 Series 2002-41, Class SV, IF, 9.00%, 07/16/05.............. 220 2,640 Series 2002-41, Class VB, 6.50%, 04/20/18.............. 2,674 10,998 Series 2002-45, Class QE, 6.50%, 12/07/13.............. 11,679 3,124 Series 2002-47, Class PG, 6.50%, 04/05/15.............. 3,332 3,520 Series 2002-47, Class VB, 6.50%, 05/13/07.............. 3,558 7,042 Series 2002-47, Class ZA, 6.50%, 07/20/32.............. 7,429 332 Series 2002-51, Class SG, IF, 18.37%, 03/06/08............. 410 3,637 Series 2002-52, Class GH, 6.50%, 07/20/32.............. 3,891
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 23 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 2,200 Series 2002-54, Class GB, 6.50%, 01/26/10.............. 2,312 6,999 Series 2002-67, Class VA, 6.00%, 05/27/06.............. 7,140 2,709 Series 2002-70, Class AV, 6.00%, 12/03/07.............. 2,828 9,452 Series 2002-70, Class PS, IF, IO, 4.44%, 01/21/09.......... 735 1,106 Series 2002-71, Class VJ, 6.00%, 09/11/07.............. 1,127 1,108 Series 2002-75, Class PB, 6.00%, 11/20/32.............. 1,157 1,261 Series 2002-79, Class KV, 6.00%, 12/12/08.............. 1,309 1,190 Series 2002-80, Class EB, 7.00%, 10/13/08.............. 1,263 2,531 Series 2002-88, Class LI, IO, 5.50%, 07/06/06.............. 138 2,345 Series 2002-88, Class VA, 6.00%, 08/26/08.............. 2,448 4,032 Series 2003-4, Class NI, IO, 5.50%, 12/21/08.............. 542 1,454 Series 2003-4, Class NY, 5.50%, 02/09/09..................... 1,504 6,377 Series 2003-11, Class SK, IF, IO, 4.46%, 01/01/09.......... 581 3,233 Series 2003-12, Class SP, IF, IO, 4.44%, 07/20/05.......... 264 679 Series 2003-24, PO, 05/26/09... 600 1,540 Series 2003-40, Class TC, 7.50%, 03/20/33.............. 1,677 1,540 Series 2003-40, Class TJ, 6.50%, 03/20/33.............. 1,724 880 Series 2003-46, Class MG, 6.50%, 05/20/33.............. 958 1,628 Series 2003-46, Class TC, 6.50%, 03/20/33.............. 1,756 1,795 Series 2003-52, Class AP, PO, 06/16/33..................... 1,506 2,511 Series 2003-58, Class BE, 6.50%, 01/20/33.............. 2,708 332 Series 2003-66, Class EO, PO, 11/22/15..................... 276 8,145 Series 2003-76, Class LS, IF, IO, 3.94%, 10/15/08.......... 534 135 Series 2003-86, Class CO, PO, 04/09/18..................... 97 856 Series 2003-90, PO, 06/15/09... 752 4,155 Series 2003-95, Class SC, IF, IO, 3.76%, 11/24/06.......... 166
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,430 Series 2003-98, Class PC, 5.00%, 11/18/08.............. 1,456 10,229 Series 2003-112, Class SA, IF, IO, 3.31%, 09/01/09.......... 545 15,933 Series 2004-11, Class SW, IF, IO, 2.24%, 03/27/12.......... 638 1,993 Series 2004-28, Class S, IF, 10.76%, 08/06/10............. 2,140 840 Series 2004-73, Class AE, IF, 8.17%, 12/25/08.............. 864 Vendee Mortgage Trust 2,662 Series 96-1, Class 1Z, 6.75%, 02/26/11..................... 2,855 1,600 Series 1994-1, Class 1, VAR, 5.63%, 07/15/05.............. 1,634 1,202 Series 1994-1, Class 2J, 6.50%, 02/15/13..................... 1,229 1,734 Series 1996-2, Class 1Z, 6.75%, 04/08/11..................... 1,831 3,579 Series 1997-1, Class 2Z, 7.50%, 01/06/11..................... 3,866 4,839 Series 1998-1, Class 2E, 7.00%, 10/21/09..................... 5,116 ---------- 1,027,118 ---------- Non-Agency (8.6%): Banc of America Funding Corp. 2,288 Series 2003-3, Class 1A33, 5.50%, 11/08/09.............. 2,284 1,960 Series 2004-1, PO, 08/19/10.... 1,611 Banc of America Mortgage Securities 764 Series 2003-7, Class A2, 4.75%, 09/25/18..................... 760 1,165 Series 2003-8 Class A, PO, 04/15/11..................... 878 17,562 Series 2004-3, Class 15, VAR, IO, 0.22%, 03/26/19.......... 95 651 Series 2004-4 Class A, PO, 03/08/11..................... 542 1,000 Series 2004-6, Class 2A5, PO, 07/25/34..................... 634 2,497 Series 2004-6, Class A, PO, 09/08/11..................... 1,956 681 Series 2004-8, Class 5, PO, 05/25/32..................... 574 344 Series 2004-8, Class X, PO, 10/25/34..................... 307 2,200 Series 2004-E, Class 2A5, FRN, 4.12%, 04/26/09.............. 2,154
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 24 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: Bank of America Alternative Loan Trust 858 Series 2003-2, PO, 04/25/33.... 722 1,188 Series 2003-11, PO, 10/05/10... 998 880 Bear Stearns Adjustable Rate Mortgage Trust Series 2004-4, Class A4, VAR, 3.52%, 07/01/07..................... 860 Bear Stearns Commercial Mortgage Securities 261 Series 2000-WF1, Class A1, 7.64%, 11/13/06.............. 278 1,375 Series 2004-T16, Class A2, 3.70%, 02/13/46.............. 1,358 940 Citicorp Mortgage Securities, Inc. Series 1993-14, Class A3, FRN, 4.57%, 07/25/05.............. 945 Citigroup Mortgage Loan Trust, Inc. 1,125 Series 2003-1, Class 2, PO, 10/25/33..................... 857 482 Series 2003-1, Class 2A6, PO, 10/25/33..................... 296 939 Series 2003-1, Class 3, PO, 10/17/11..................... 709 1,972 Series 2003-UP3, Class A3, 7.00%, 09/28/05.............. 2,031 5,089 Series 2003-UST1, Class A1, FRN, 5.50%, 07/23/07......... 5,184 1,514 Series 2003-UST1, PO, 04/08/07..................... 1,270 845 Series 2003-UST1, PO, 10/30/09..................... 718 Countrywide Alternative Loan Trust 2,640 Series 2002-8, Class A4, 6.50%, 02/07/13..................... 2,665 1,043 Series 2002-17, Class A7, 2.50%, 01/25/33.............. 1,001 9,437 Series 2004-2CB, Class 1A9, 5.75%, 03/25/34.............. 9,367 22,835 Series 2005-22T1, Class A2, IO, IF, 1.76%, 06/25/35.......... 414 47,842 Series 2005-J1, Class 1A4, IO, IF, 1.79%, 02/25/35.......... 939 Countrywide Home Loan Mortgage Pass Through Trust 8,087 Series 2003-26, Class 1A6, 3.50%, 05/24/10.............. 7,528 976 Series 2003-34, Class A11, 5.25%, 06/27/11.............. 974 880 Series 2003-44 A9, PO, 02/27/15..................... 583
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: 1,849 Series 2003-J2 A17, IO, IF, 4.09%, 09/15/07.............. 113 5,933 Series 2003-J7, Class 4A3, IF, 5.51%, 01/10/09.............. 5,848 3,506 Series 2004-7 Class 2A1, FRN, 4.10%, 06/25/34.............. 3,415 1,485 Series 2004-HYB1, Class 2A, VAR, 4.28%, 12/10/06......... 1,469 1,783 Series 2004-HYB3, Class 2A, VAR, 4.12%, 03/03/08......... 1,762 Credit Suisse First Boston Mortgage Securities Corp. 113 Series 1987, Class C, PO, 04/25/17..................... 99 1,149 Series 2004-5, Class 5P, PO, 08/25/19..................... 935 First Horizon Asset Securities, Inc. 8,071 Series 2004-AR1, Class 2A2, FRN, 5.04%, 06/17/08......... 8,139 10,708 Series 2004-AR7, Class 2A1, FRN, 4.95%, 11/05/06......... 10,758 7,533 GMAC Mortgage Corp. Loan Trust Series 2005-AR3, Class 3A3, VAR, 4.91%, 06/19/35......... 7,568 GSR Mortgage Loan Trust 2,200 Series 2004-6F, Class 3A4, 6.50%, 05/25/34.............. 2,367 844 Series 2004-10F, Class 2A1, 5.00%, 08/25/19.............. 851 1,329 Series 2004-13F, Class 2A3, 6.00%, 03/05/06.............. 1,330 1,736 Series 2004-13F, Class 3A3, 6.00%, 11/25/34.............. 1,739 6,660 MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, FRN, 3.82%, 05/12/07.... 6,588 MASTR Alternative Loans Trust 4,818 Series 2003-9, Class 8A1, 6.00%, 01/25/34.............. 4,914 9,894 Series 2004-4, Class 10A1, 5.00%, 05/25/24.............. 9,539 1,469 Series 2004-7, Class 30, PO, 01/14/10..................... 1,102 1,779 Series 2004-6, Class 30, PO, 07/25/34..................... 1,490 1,997 Series 2004-10, Class 1A1, 4.50%, 11/08/08.............. 1,976 MASTR Asset Securitization Trust 1,871 Series 2003-4, Class 2A2, 5.00%, 05/31/05.............. 1,886
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 25 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: 1,155 Series 2003-12, Class 30, PO, 12/25/33..................... 876 750 Series 2004-1, Class 30, PO, 05/12/11..................... 603 810 Series 2004-6, Class 15, PO, 07/25/19..................... 635 843 Series 2004-8Z, PO, 09/09/09... 666 3,850 Merrill Lynch Mortgage Trust Series 2005-MCP1, Class ASB, VAR, 4.67%, 05/12/43......... 3,869 388 Merrill Lynch Trust Series 47, Class Z, 8.99%, 02/09/06..... 403 3,692 MortgageIT Trust Series 2005-1, Class 1A1, FRN, 3.63%, 09/19/07..................... 3,693 Nomura Asset Acceptance Corp. 2,046 Series 2003-A1, Class A1, 5.50%, 08/24/05.............. 2,068 2,008 Series 2003-A1, Class A2, 6.00%, 5/25/33............... 2,031 444 Series 2003-A1, Class A5, 7.00%, 06/07/08.............. 445 602 Series 2003-A1, Class A7, 5.00%, 04/23/08.............. 605 2,660 Series 2004-R2, Class A1, VAR, 6.50%, 10/20/07 (e) 2,745 Paine Webber CMO Trust 19 Series H, Class 4, 8.75%, 04/01/18..................... 20 119 Series P, Class 4, 8.50%, 08/01/19..................... 126 Residential Accredit Loans, Inc. 1,752 Series 2002-QS16, Class A3, IF, 9.69%, 11/29/05.............. 1,866 725 Series 2002-QS3, Class A10, 6.75%, 03/25/32.............. 727 4,399 Series 2002-QS8, Class A5, 6.25%, 06/25/17.............. 4,442 4,359 Series 2003-QR19, Class CB4, 5.75%, 10/25/33.............. 4,399 6,786 Series 2003-QS12, Class A2A, IO, IF, 4.29%, 03/17/09...... 671 2,066 Series 2003-QS12, Class A5, IO, 5.00%, 03/17/09.............. 330 4,678 Series 2003-QS18, Class A1, 5.00%, 09/26/07.............. 4,708 3,497 Series 2003-QS3, Class A2, IF, 9.21%, 12/12/06.............. 3,692 3,163 Series 2003-QS3, Class A8, IF, IO, 4.29%, 03/28/08.......... 283
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: 8,086 Series 2003-QS9, Class A3, IF, IO, 4.24%, 02/20/09.......... 780 1,320 Series 2004-QS8, Class A2, 5.00%, 03/24/10.............. 1,321 1,200 Residential Asset Securitization Trust Series 2003-A13, Class A3, 5.50%, 08/17/14..................... 1,196 Residential Funding Mortgage Securities I 7,944 Series 2003-S7, Class A17, 4.00%, 03/06/09.............. 7,756 1,760 Series 2003-S12, Class 4A5, 4.50%, 10/08/05.............. 1,692 1,360 Series 2003-S13, Class 4A5, 2.50%, 06/25/18.............. 1,310 1,320 Series 2003-S13, Class A3, 5.50%, 07/08/17.............. 1,336 2,056 Series 2003-S14, Class A4, PO, 12/26/08..................... 1,717 423 Residential Funding Securities Corp. Series 2003-RM2, Class AP3, PO, 04/22/10............ 356 77 Rural Housing Trust Series 1987-1, Class 3B, 7.33%, 04/01/26..................... 77 Salomon Brothers Mortgage Securities VII 41 Series 2000-UP1, Class A2, 8.00%, 04/21/06.............. 42 819 Series 2003-UP2, Class 1, PO, 07/09/08..................... 693 3,300 Structured Adjustable Rate Mortgage Loan Trust Series 2004-6, Class 5A4, VAR, 5.02%, 04/19/10.............. 3,332 Structured Asset Securities Corp. 880 Series 2003-8, Class 1A2, 5.00%, 09/15/10.............. 881 310 Series 2003-8, Class 1A2, PO, 12/09/06..................... 269 5,015 Wachovia Bank Commercial Mortgage Trust Series 2004- C15, Class A2, 4.04%, 10/15/41..................... 4,969 Washington Mutual Alternative Mortgage Pass-Through Certs 2,078 Series 2002-MS, Class 12 A, 6.50%, 05/25/32.............. 2,092 45,831 Series 2005-2, Class 1A4, FRN, IO, 1.74%, 04/25/35.......... 927 10,591 Series 2005-2, Class 2A3, FRN, IO, 1.69%, 07/25/05.......... 205
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 26 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: Washington Mutual, Inc. 1,760 Series 2003-AR7, Class A6, VAR 3.03%, 08/15/10,............. 1,700 931 Series 2003-AR8, Class A, FRN, 4.03%, 08/25/33.............. 928 1,760 Series 2003-S8, Class A6, 4.50%, 03/11/13.............. 1,741 1,182 Series 2003-S9, PO, 11/06/11... 900 5,990 Series 2003-S10, Class A5, 5.00%, 10/25/18.............. 6,035 659 Series 2003-S10, Class A6, PO, 09/23/09..................... 513 6,172 Series 2004-S3, Class 2A3, FRN, 9.72%, 07/25/05.............. 6,322 Wells Fargo Mortgage Backed Securities Trust 1,596 Series 2003-11, Class 1A, PO, 05/29/09..................... 1,294 2,640 Series 2003-11, Class 1A4, 4.75%, 11/13/10.............. 2,650 2,200 Series 2003-13, Class A7, 4.50%, 10/05/12.............. 2,128 2,758 Series 2003-17, Class 2A4, 5.50%, 07/28/06.............. 2,758 1,100 Series 2003-8, Class A9, 4.50%, 10/02/12..................... 1,082 2,750 Series 2004-7, Class 2A2, 5.00%, 03/19/09.............. 2,767 10,198 Series 2004-BB, Class A4, FRN, 4.58%, 11/12/06.............. 10,182 3,801 Series 2004-EE, Class 3A1, FRN, 3.99%, 05/02/07.............. 3,756 3,400 Series 2004-S, Class A5, FRN, 3.54%, 12/25/08.............. 3,300 ---------- 244,290 ---------- Total Collateralized Mortgage Obligations (Cost $1,269,631)...................... 1,271,408 ---------- CORPORATE NOTES & BONDS (11.9%): Aerospace & Defense (0.0%) (g) 986 Systems 2001 AT LLC 7.16%, 12/15/11(e)............. 1,057 ---------- Airlines (0.5%): 466 American Airlines, Inc. Series 1999-1, 7.02%, 04/15/11...... 482 Continental Airlines, Inc. 436 Series 1999-2, Class A1, 7.26%, 09/15/21..................... 440
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Airlines, continued: 1,100 Series 1999-2, Class A2, 7.06%, 03/15/11..................... 1,136 Delta Air Lines, Inc. 627 Series 2000-1, 7.38%, 11/18/11..................... 600 1,719 Series 2000-1, 7.57%, 05/18/12..................... 1,617 813 Southwest Airlines Co. Series 2001-1, 5.10%, 11/01/07...... 817 United Airlines, Inc. 660 Series 2000-1, 7.73%, 07/01/10 (d).......................... 615 1,512 Series 2000-2, 7.19%, 10/01/12 (d).......................... 1,446 804 Series 2001-1, 6.07%, 09/01/14 (d).......................... 757 1,123 Series 2001-1, 6.20%, 09/01/08 (d).......................... 1,068 2,495 Series 2001-1, 7.78%, 07/01/15 (d).......................... 2,311 ---------- 11,289 ---------- Automobiles (0.8%): DaimlerChrysler NA Holding Corp. 1,144 4.75%, 01/15/08................ 1,148 2,519 7.20%, 09/01/09................ 2,742 Ford Motor Credit Co. 1,430 5.80%, 01/12/09................ 1,358 5,750 6.88%, 02/01/06................ 5,807 6,616 7.38%, 10/28/09................ 6,484 660 7.38%, 02/01/11................ 643 3,500 7.88%, 06/15/10................ 3,474 General Motors Corp. 850 7.20%, 01/15/11................ 786 1,200 8.80%, 03/01/21................ 1,044 616 Toyota Motor Credit Corp. 2.88%, 08/01/08................ 595 ---------- 24,081 ---------- Capital Markets (2.0%): 4,964 Bear Stearns Cos., Inc. (The) 3.25%, 03/25/09.............. 4,784 Credit Suisse First Boston USA, Inc. 484 4.70%, 06/01/09................ 492 1,100 5.50%, 08/15/13................ 1,165 6,856 6.13%, 11/15/11................ 7,458 Goldman Sachs Group, Inc. 1,465 3.88%, 01/15/09................ 1,445 704 4.75%, 07/15/13................ 703 1,205 5.25%, 10/15/13................ 1,244 1,683 6.60%, 01/15/12................ 1,871 440 6.65%, 05/15/09................ 477
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 27 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Capital Markets, continued: 5,071 6.88%, 01/15/11................ 5,654 224 7.35%, 10/01/09................ 249 Lehman Brothers Holdings, Inc. 719 4.00%, 01/22/08................ 716 1,000 4.80%, 03/13/14................ 1,011 1,728 6.63%, 01/18/12................ 1,930 300 7.88%, 11/01/09................ 342 Merrill Lynch & Co., Inc. 924 3.70%, 04/21/08................ 913 660 5.45%, 07/15/14................ 697 880 Series B, 3.13%, 07/15/08...... 853 2,313 Series C, 4.13%, 01/15/09...... 2,306 Morgan Stanley 572 4.25%, 05/15/10................ 568 1,282 4.75%, 04/01/14................ 1,263 2,838 6.60%, 04/01/12................ 3,155 5,929 6.75%, 04/15/11................ 6,565 396 8.00%, 06/15/10................ 458 7,112 National Rural Utilities Cooperative Finance Corp. 6.00%, 05/15/06.............. 7,240 1,320 Spear Leeds & Kellogg LP 8.25%, 08/15/05(e)............. 1,327 1,526 State Street Corp. 7.65%, 06/15/10................ 1,768 ---------- 56,654 ---------- Chemicals (0.1%): 1,320 Dow Capital BV (Netherlands) 8.50%, 06/08/10.............. 1,539 470 Dow Chemical Co. (The) 6.13%, 02/01/11..................... 510 ---------- 2,049 ---------- Commercial Banks (1.3%): Bank of America Corp. 2,112 3.88%, 01/15/08................ 2,104 1,166 7.40%, 01/15/11................ 1,334 5,867 7.80%, 02/15/10................ 6,710 3,444 First Bank NA 6.50%, 02/01/08................ 3,633 2,420 Firstar Bank NA 7.13%, 12/01/09..................... 2,704 242 HSBC Holdings plc (United Kingdom) 7.35%, 11/27/32(e).. 311 1,375 Huntington National Bank 8.00%, 04/01/10..................... 1,576 550 Key Bank NA 7.50%, 09/15/08.... 606 1,804 Keycorp Series G, 4.70%, 05/21/09..................... 1,833
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Commercial Banks, continued: 660 Popular North America, Inc. 4.25%, 04/01/08.............. 660 1,753 Royal Bank of Canada (Canada) 3.88%, 05/04/09.............. 1,743 880 Suntrust Bank 6.38%, 04/01/11.. 971 1,100 US Bancorp 7.50%, 06/01/26..... 1,442 836 Wachovia Bank NA 7.80%, 08/18/10..................... 971 Wachovia Corp. 2,137 3.50%, 08/15/08................ 2,097 2,818 3.63%, 02/17/09................ 2,771 Wells Fargo & Co. 2,303 3.13%, 04/01/09................ 2,227 660 4.20%, 01/15/10................ 660 2,294 Wells Fargo Bank NA 7.55%, 06/21/10..................... 2,632 ---------- 36,985 ---------- Commercial Services & Supplies (0.1%): 1,467 PHH Corp. 7.13%, 03/01/13...... 1,627 ---------- Computers & Peripherals (0.1%): International Business Machines Corp. 1,232 5.39%, 01/22/09................ 1,279 440 6.22%, 08/01/27................ 504 ---------- 1,783 ---------- Consumer Finance (1.2%): 660 American Express Credit Corp. 3.00%, 05/16/08.............. 640 American General Finance Corp. 1,254 Series H, 4.50%, 11/15/07...... 1,257 880 Series H, 5.38%, 10/01/12...... 908 2,486 Boeing Capital Corp. 6.36%, 07/15/05..................... 2,488 187 Capital One Bank 5.75%, 09/15/10..................... 197 General Motors Acceptance Corp. 3,900 6.13%, 09/15/06................ 3,903 264 6.75%, 01/15/06................ 266 4,800 7.25%, 03/02/11................ 4,501 HSBC Finance Corp. 1,100 4.75%, 05/15/09................ 1,116 7,928 5.88%, 02/01/09................ 8,322 220 6.38%, 11/27/12................ 243 1,470 6.40%, 06/17/08................ 1,557 2,494 6.50%, 11/15/08................ 2,662 367 6.75%, 05/15/11................ 407 440 7.20%, 07/15/06................ 454 1,980 7.88%, 03/01/07................ 2,097
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 28 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Consumer Finance, continued: International Lease Finance Corp. 695 4.50%, 05/01/08................ 698 551 5.88%, 05/01/13................ 585 1,125 SLM Corp. Series A, 5.38%, 01/15/13.... 1,184 792 Standard Credit Card Master Trust Series A, 7.25%, 04/07/08..................... 812 ---------- 34,297 ---------- Diversified Financial Services (1.9%): Associates Corp. of N. America 2,051 8.15%, 08/01/09................ 2,347 1,355 8.55%, 07/15/09................ 1,568 1,100 Series A, 7.95%, 02/15/10...... 1,254 CIT Group, Inc. 1,540 6.50%, 02/07/06................ 1,563 440 7.63%, 08/16/05................ 442 600 7.75%, 04/02/12................ 704 Citigroup, Inc. 550 3.50%, 02/01/08................ 542 2,408 5.63%, 08/27/12................ 2,572 330 6.20%, 03/15/09................ 352 General Electric Capital Corp. 2,294 6.75%, 03/15/32................ 2,831 440 Series A, 2.80%, 01/15/07...... 432 1,760 Series A, 3.50%, 05/01/08...... 1,731 2,332 Series A, 4.25%, 01/15/08...... 2,341 924 Series A, 4.63%, 09/15/09...... 940 5,763 Series A, 5.88%, 02/15/12...... 6,232 4,083 Series A, 6.00%, 06/15/12...... 4,453 3,651 Series A, 6.13%, 02/22/11...... 3,967 John Hancock Global Funding II 1,100 3.50%, 01/30/09(e)............. 1,072 1,188 7.90%, 07/02/10(e)............. 1,382 MassMutual Global Funding II 1,804 3.25%, 06/15/07(e)............. 1,776 1,936 3.50%, 03/15/10(e)............. 1,865 New York Life Global Funding 1,045 3.88%, 01/15/09(e)............. 1,037 3,080 5.38%, 09/15/13(e)............. 3,244 Principal Life Global Funding I 1,100 2.80%, 06/26/08(e)............. 1,061 264 5.13%, 06/28/07(e)............. 268 4,729 6.25%, 02/15/12(e)............. 5,217 1,760 USAA Capital Corp. Series B, 7.05%, 11/08/06(e).................. 1,828
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Diversified Financial Services, continued: 748 Washington Mutual Financial Corp. 6.88%, 05/15/11.............. 841 ---------- 53,862 ---------- Diversified Telecommunication Services (1.1%): 1,012 Bellsouth Capital Funding 7.75%, 02/15/10.............. 1,153 1,805 Bellsouth Telecommunications 6.30%, 12/15/15.............. 1,930 3,609 British Telecommunications plc (United Kingdom) 8.37%, 12/15/05..................... 4,273 2,200 France Telecom S.A. (France) 8.00%, 09/01/05.............. 2,553 880 GTE Corp. 7.51%, 04/01/09...... 971 2,586 Nynex Capital Funding Co. Series B, SUB, 8.23%, 10/15/05..................... 2,924 Sprint Capital Corp. 5,013 6.00%, 01/15/07................ 5,137 1,012 7.13%, 01/30/06................ 1,029 1,345 7.63%, 01/30/11................ 1,536 440 8.38%, 03/15/12................ 529 616 8.75%, 03/15/32................ 857 1,188 TELUS Corp. (Canada) 8.00%, 06/01/11..................... 1,389 750 Verizon Florida, Inc. Series F, 6.13%, 01/15/13.............. 804 3,629 Verizon Global Funding Corp. 7.25%, 12/01/10.............. 4,113 647 Verizon Maryland, Inc. Series A, 6.13%, 03/01/12........... 694 968 Verizon Pennsylvania, Inc. 8.35%, 12/15/30.............. 1,293 937 Verizon Virginia, Inc. Series A, 4.63%, 03/15/13........... 922 ---------- 32,107 ---------- Electric Utilities (0.5%): 318 Alabama Power Co. 4.70%, 12/01/10..................... 322 453 American Electric Power Co., Inc. Series A, 6.13%, 05/15/06..................... 461 308 Appalachian Power Co. 6.60%, 05/01/09..................... 331 990 Carolina Power & Light Co. 5.13%, 09/15/13.............. 1,022 Constellation Energy Group, Inc. 1,408 6.35%, 04/01/07................ 1,457 440 7.00%, 04/01/12................ 496
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 29 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Electric Utilities, continued: 1,456 Dominion Resources, Inc. Series B, 6.25%, 06/30/12........... 1,581 1,650 DTE Energy Co. Series A, 6.65%, 04/15/09..................... 1,776 Duke Energy Corp. 2,200 4.20%, 10/01/08................ 2,192 1,604 5.63%, 11/30/12................ 1,702 2,211 Exelon Generation Co., LLC 6.95%, 06/15/11.............. 2,480 255 Kiowa Power Partners LLC 4.81%, 12/30/13 (e)................. 253 880 Ohio Valley Electric Corp. 5.94%, 02/12/06 (e).......... 891 270 Virginia Electric & Power Co. Series A, 5.38%, 02/01/07.... 275 ---------- 15,239 ---------- Food Retailing (0.1%): 1,320 Kroger Co. (The) 8.05%, 02/01/10.............. 1,503 ---------- Gas Utilities (0.0%): (g) 802 KeySpan Gas East Corp. 7.88%, 02/01/10.............. 918 ---------- Hotels, Restaurants & Leisure (0.0%): (g) 396 Harrah's Operating Co., Inc. 8.00%, 02/01/11.............. 454 ---------- Industrial Conglomerates (0.2%): 506 Raychem Corp. 7.20%, 10/15/05.............. 548 Tyco International Group S.A. (Bermuda) 2,420 6.38%, 10/15/11................ 2,658 1,100 6.75%, 02/15/11................ 1,221 ---------- 4,427 ---------- Insurance (0.7%): 1,716 American International Group, Inc. 4.25%, 05/15/13.............. 1,664 ASIF Global Financing 880 2.65%, 01/17/06(e)............. 874 2,640 3.90%, 10/22/08(e)............. 2,591 2,552 4.90%, 01/17/13(e)............. 2,590 1,980 Jackson National Life Global Funding 6.13%, 05/30/12(e)... 2,174 1,276 Metropolitan Life Global Funding I 5.20%, 09/18/13(e)........... 1,332 710 MGIC Investment Corp. 6.00%, 03/15/07.............. 731 2,640 Monumental Global Funding II 4.38%, 07/30/09(e)........... 2,644
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Insurance, continued: 1,276 Monumental Global Funding III 5.20%, 01/30/07(e)........... 1,300 528 Nationwide Financial Services 6.25%, 11/15/11.............. 582 667 Pacific Life Global Funding 3.75%, 01/15/09(e)........... 657 Protective Life Secured Trust 956 4.00%, 10/07/09................ 948 2,640 4.00%, 04/01/11................ 2,597 275 XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14.............. 279 ---------- 20,963 ---------- IT Services 0.0%: (g) 905 First Data Corp. 3.90%, 10/01/09.............. 891 ---------- Media 0.5%: 1,675 Comcast Corp. 5.50%, 03/15/11.............. 1,748 803 Cox Communications, Inc. 7.75%, 11/01/10.............. 909 Historic TW, Inc. 968 7.48%, 01/15/08................ 1,037 719 8.18%, 08/15/07................ 774 660 Knight-Ridder, Inc. 7.13%, 06/01/11.............. 740 97 Liberty Media Corp. 5.70%, 05/15/13.............. 90 3,212 Tele-Communications-TCI Group 9.80%, 02/01/12.............. 4,091 1,012 Time Warner Entertainment Co. LP 10.15%, 05/01/12............. 1,308 1,375 Time Warner Entertainment, Inc. 9.15%, 02/01/23.............. 1,888 200 Time Warner, Inc. 7.70%, 05/01/32.............. 253 ---------- 12,838 ---------- Multi-Utilities (0.0%): (g) 1,048 PSEG Power LLC 7.75%, 04/15/11.............. 1,208 ---------- Oil & Gas (0.1%): 350 Conoco Funding Co. (Canada) 5.45%, 10/15/06.............. 356 1,980 ConocoPhillips 8.75%, 05/25/10.............. 2,359 ---------- 2,715 ----------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 30 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Paper & Forest Products (0.1%): International Paper Co. 1,496 4.00%, 04/01/10................ 1,446 701 4.25%, 01/15/09................ 692 802 Union Camp Corp. 6.50%, 11/15/07.............. 839 Weyerhaeuser Co. 97 6.13%, 03/15/07................ 100 550 6.75%, 03/15/12................ 605 ---------- 3,682 ---------- Real Estate (0.1%): 2,116 EOP Operating LP 6.75%, 02/15/12.............. 2,329 308 ERP Operating LP 4.75%, 06/15/09.............. 311 ---------- 2,640 ---------- Road & Rail (0.1%): Burlington Northern Santa Fe Corp. 950 6.13%, 03/15/09................ 1,009 1,120 7.13%, 12/15/10................ 1,263 ---------- 2,272 ---------- Thrifts & Mortgage Finance (0.3%): 616 Bank United Series A, 8.00%, 03/15/09.... 692 Countrywide Home Loans, Inc. 1,320 3.25%, 05/21/08................ 1,282 1,100 Series E, 7.20%, 10/30/06...... 1,141 2,470 Series L, 4.00%, 03/22/11...... 2,382 770 Washington Mutual Bank FA 6.88%, 06/15/11.............. 859 1,439 Washington Mutual, Inc. 4.20%, 01/15/10.............. 1,427 1,100 World Savings Bank FSB 4.50%, 06/15/09.............. 1,109 ---------- 8,892 ----------
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- CORPORATE NOTES & BONDS, continued: Wireless Telecommunication Services (0.1%): New Cingular Wireless Services, Inc. 359 7.50%, 05/01/07................ 380 1,883 7.88%, 03/01/11................ 2,189 ---------- 2,569 ---------- Total Corporate Bonds (Cost $339,783) 337,002 ---------- FOREIGN GOVERNMENT SECURITIES (0.5%): United Mexican States (Mexico) 1,832 4.63%, 10/08/08................ 1,847 475 6.38%, 01/16/13................ 509 1,000 6.63%, 03/03/15................ 1,100 3,864 7.50%, 04/08/33................ 4,463 Province of Quebec (Canada) 5,059 5.75%, 02/15/09................ 5,346 1,100 6.50%, 01/17/06................ 1,117 440 SUB, 7.37%, 09/06/05........... 595 ---------- Total Foreign Government Securities (Cost $14,845) 14,977 ---------- MUNICIPAL BONDS (0.1%): Illinois 2,400 Illinois State, Taxable, Pension Fund, GO 5.10%, 06/01/33 (Cost $2,423) 2,493 ---------- SUPRANATIONAL (0.0%)(G): 440 Corp. Andina de Fomento 5.20%, 05/21/13 (Cost $451) 450 ---------- U.S. GOVERNMENT AGENCY MORTGAGES (5.6%): Federal Home Loan Mortgage Corp. Gold Pool 6,346 4.00%, 11/03/09 - 03/30/10..... 6,212 1,063 4.50%, 08/01/18................ 1,059 6,557 5.50%, 05/25/07 - 01/01/34..... 6,629 3,948 6.00%, 04/01/18 - 01/01/34..... 4,060 9,897 6.50%, 07/17/05 - 12/06/16..... 10,327 5,688 7.00%, 01/01/17 - 07/01/29..... 5,962 1,640 7.50%, 07/14/05 - 11/01/15..... 1,727 181 8.50%, 11/01/15................ 197 Federal Home Loan Mortgage Corp. Pool 302 ARM, 4.26%, 07/15/05........... 310 313 ARM, 4.60%, 07/15/05........... 322 --(h) 7.50%, 05/15/07................ --(h) 96 12.00%, 10/06/05 - 10/03/07.... 106
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 31 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Federal National Mortgage Association Pool 41 ARM, 3.24%, 07/25/05........... 41 6,723 3.50%, 09/01/18 - 07/01/19..... 6,358 440 ARM, 3.90%, 04/17/09........... 449 56,168 4.00%, 08/04/09 - 12/01/18..... 55,197 106 ARM, 4.20%, 08/14/05........... 107 471 ARM, 4.21%, 01/09/09........... 475 2,588 4.50%, 12/01/08 - 05/03/09..... 2,578 8,146 ARM, 4.90%, 01/01/35........... 8,252 874 ARM, 4.98%, 04/01/34........... 887 2,393 5.00%, 07/29/07 - 04/18/08..... 2,422 11,339 5.50%, 05/28/06 - 09/01/33..... 11,544 7,732 6.00%, 02/01/14 - 01/01/29..... 7,954 8,172 6.50%, 04/01/09 - 11/01/17..... 8,513 4,527 7.00%, 03/01/17 - 01/01/29..... 4,764 300 7.50%, 03/01/17................ 317 4,681 8.00%, 11/01/12 - 09/01/28..... 5,032 418 9.00%, 06/30/08 - 12/01/25..... 456 78 9.50%, 06/22/07................ 87 638 10.89%, 04/15/19............... 709 76 12.50%, 09/25/05............... 85 Government National Mortgage Association Pool 3,008 6.50%, 03/19/09 - 04/15/33..... 3,146 1,283 7.00%, 02/15/33 - 06/15/33..... 1,368 801 7.50%, 09/15/07 - 11/15/31..... 859 2,257 8.00%, 11/15/16 - 09/20/28..... 2,425 180 8.50%, 07/15/08 - 12/08/08..... 197 54 9.00%, 12/15/16 - 10/15/30..... 60 ---------- Total U.S. Government Agency Mortgages (Cost $160,485) 161,193 ---------- U.S. GOVERNMENT AGENCY SECURITIES (0.9%): Federal Home Loan Mortgage Corp. 3,648 4.13%, 07/12/10................ 3,660 990 5.75%, 01/15/12................ 1,083 880 6.63%, 09/15/09................ 969 1,218 6.88%, 09/15/10................ 1,379
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED: Federal National Mortgage Association 1,760 5.50%, 03/15/11................ 1,888 1,000 6.00%, 05/15/08................ 1,057 1,597 6.13%, 03/15/12................ 1,786 3,813 6.25%, 02/01/11................ 4,178 924 6.38%, 06/15/09................ 1,005 1,000 6.63%, 09/15/09................ 1,102 1,034 7.13%, 06/15/10................ 1,178 4,669 7.25%, 01/15/10................ 5,294 ---------- Total U.S. Government Agency Securities (Cost $24,448)......................... 24,579 ---------- U.S. TREASURY SECURITIES (21.6%): U.S. Treasury Bonds 3,253 7.50%, 11/15/16................ 4,264 1,320 7.63%, 02/15/25................ 1,902 4,883 7.88%, 02/15/21................ 6,912 600 8.13%, 05/15/21................ 869 3,825 8.75%, 05/15/17................ 5,492 3,761 8.75%, 08/15/20................ 5,659 264 8.88%, 02/15/19................ 392 572 9.25%, 02/15/16................ 829 2,416 9.88%, 11/15/15................ 3,611 35,391 10.38%, 11/15/12(m)............ 40,707 11,564 11.75%, 11/15/14............... 15,256 49,780 12.00%, 08/15/13(m)............ 61,809 9,855 12.50%, 08/15/14............... 13,112 55,977 12.75%, 11/15/10(m)............ 57,906 440 13.25%, 05/15/14............... 590 U.S. Treasury Inflation Indexed Bonds 9,552 3.63%, 04/15/28................ 12,835 2,610 3.88%, 01/15/09................ 2,840 16,674 4.25%, 01/15/10................ 18,763 U.S. Treasury Notes 3.13%, 440 09/15/08....................... 433 2,700 3.38%, 02/15/08................ 2,680 847 3.50%, 11/15/06................ 846 2,300 3.50%, 12/15/09................ 2,278 1,660 5.63%, 05/15/08................ 1,748 7,202 5.75%, 08/15/10................ 7,871 10,603 6.00%, 08/15/09................ 11,520 2,420 6.13%, 08/15/07................ 2,542 2,200 6.50%, 10/15/06................ 2,280 34,639 6.50%, 02/15/10................ 38,656 440 6.88%, 05/15/06................ 453 U.S. Treasury STRIPS 2,420 PO, 3.31%, 05/15/07............ 2,263 8,271 PO, 3.46%, 05/15/08............ 7,455 1,700 PO, 3.60%, 05/15/09............ 1,476 6,533 PO, 3.79%, 11/15/09............ 5,543 11,972 PO, 3.76%, 02/15/10............ 10,106
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 32 JPMORGAN CORE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- U.S. TREASURY SECURITIES, CONTINUED: 8,767 PO, 3.94%, 02/15/11............ 7,106 20,830 PO, 3.90%, 05/15/11............ 16,718 31,538 PO, 4.03%, 05/15/12............ 24,234 8,743 PO, 4.09%, 11/15/12............ 6,572 32,239 PO, 4.17%, 02/15/13............ 23,928 3,000 PO, 4.11%, 05/15/13............ 2,201 8,429 PO, 3.86%, 08/15/13............ 6,110 10,147 PO, 4.24%, 02/15/14............ 7,181 6,991 PO, 4.23%, 05/15/14............ 4,894 20,846 PO, 4.37%, 08/15/14............ 14,434 15,926 PO, 4.26%, 11/15/14............ 10,907 19,161 PO, 4.28%, 05/15/15............ 12,835 15,887 PO, 4.37%, 08/15/15............ 10,514 6,359 PO, 4.27%, 11/15/15............ 4,183 31,727 PO, 4.33%, 11/15/15............ 20,784 53,242 PO, 4.42%, 02/15/16............ 34,452 10,463 PO, 4.42%, 05/15/16............ 6,694 2,068 PO, 4.46%, 08/15/16............ 1,307 11,839 PO, 4.58%, 11/15/16............ 7,388 10,866 PO, 4.51%, 02/15/17............ 6,703
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------- ---------- U.S. TREASURY SECURITIES, CONTINUED: 37,041 PO, 4.53%, 05/15/18............ 21,476 13,083 PO, 4.65%, 02/15/19............ 7,319 792 PO, 4.78%, 02/15/22............ 385 6,181 PO, 4.80%, 02/15/23............ 2,866 ---------- Total U.S. Treasury Obligations (Cost $612,269).......................... 613,089 ---------- TOTAL LONG TERM INVESTMENTS (Cost $2,481,741)........................ 2,482,523 ---------- SHORT-TERM INVESTMENT (5.9%): Investment Company (5.9%): 167,772 JPMorgan Liquid Assets Money Market Fund (b) (Cost $167,772).............. 167,772 ---------- TOTAL INVESTMENTS (93.3%) (Cost $2,649,513) 2,650,295 OTHER ASSETS IN EXCESS OF LIABILITIES (6.7%) 191,332 ---------- NET ASSETS (100.0%) $2,841,627 ==========
- ------------ Percentages indicated are based on net assets. See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 33 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (AMOUNTS IN THOUSANDS) AS OF JUNE 30, 2005
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS (100%): COMMON STOCKS (100.0%): Aerospace & Defense (2.3%) 30 Boeing Co........................ 2,001 7 General Dynamics Corp............ 805 4 Goodrich Corp.................... 181 31 Honeywell International, Inc..... 1,146 4 L-3 Communications Holdings, Inc............................ 334 15 Lockheed Martin Corp............. 962 13 Northrop Grumman Corp............ 728 17 Raytheon Co...................... 649 7 Rockwell Collins, Inc............ 312 38 United Technologies Corp......... 1,929 -------- 9,047 -------- Air Freight & Logistics (1.0%): 11 FedEx Corp....................... 898 2 Ryder System, Inc................ 86 41 United Parcel Service, Inc., Class B........................ 2,827 -------- 3,811 -------- Airlines (0.1%): 5 Delta Air Lines, Inc. (a)........ 20 27 Southwest Airlines Co............ 377 -------- 397 -------- Auto Components (0.2%): 2 Cooper Tire & Rubber Co.......... 44 6 Dana Corp........................ 83 21 Delphi Corp...................... 96 6 Goodyear Tire & Rubber Co. (The) (a)...................... 96 7 Johnson Controls, Inc............ 397 5 Visteon Corp..................... 28 -------- 744 -------- Automobiles (0.5%): 68 Ford Motor Co.................... 692 21 General Motors Corp.............. 705 10 Harley-Davidson, Inc............. 518 -------- 1,915 -------- Beverages (2.2%): 28 Anheuser-Busch Cos., Inc......... 1,303 3 Brown-Forman Corp., Class B...... 197 83 Coca-Cola Co. (The).............. 3,467 13 Coca-Cola Enterprises, Inc....... 285 3 Molson Coors Brewing Co.......... 179 7 Pepsi Bottling Group, Inc........ 206 61 PepsiCo, Inc..................... 3,314 -------- 8,951 --------
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Biotechnology (1.3%): 45 Amgen, Inc. (a).................. 2,745 7 Applera Corp.-Applied Biosystems Group.......................... 142 13 Biogen Idec, Inc. (a)............ 436 5 Chiron Corp. (a)................. 190 9 Genzyme Corp. (a)................ 556 17 Gilead Sciences, Inc. (a)........ 729 9 MedImmune, Inc. (a).............. 243 -------- 5,041 -------- Building Products (0.2%): 7 American Standard Cos., Inc...... 275 16 Masco Corp....................... 505 -------- 780 -------- Capital Markets (2.8%): 29 Bank of New York Co., Inc. (The).......................... 822 4 Bear Stearns Cos., Inc. (The).... 434 42 Charles Schwab Corp. (The)....... 472 14 E*Trade Financial Corp. (a)...... 189 3 Federated Investors, Inc., Class B.............................. 104 7 Franklin Resources, Inc.......... 560 16 Goldman Sachs Group, Inc......... 1,654 8 Janus Capital Group, Inc......... 125 10 Lehman Brothers Holdings, Inc.... 1,008 16 Mellon Financial Corp............ 445 35 Merrill Lynch & Co., Inc......... 1,908 40 Morgan Stanley................... 2,109 7 Northern Trust Corp.............. 340 12 State Street Corp................ 586 5 T. Rowe Price Group, Inc......... 284 -------- 11,040 -------- Chemicals (1.6%): 8 Air Products & Chemicals, Inc.... 507 35 Dow Chemical Co. (The)........... 1,571 3 Eastman Chemical Co.............. 162 8 Ecolab, Inc...................... 261 37 El Du Pont de Nemours & Co....... 1,572 4 Engelhard Corp................... 126 2 Great Lakes Chemical Corp........ 60 4 Hercules, Inc. (a)............... 59 3 International Flavors & Fragrances, Inc................ 118 10 Monsanto Co...................... 619 6 PPG Industries, Inc.............. 395 12 Praxair, Inc..................... 553 7 Rohm & Haas Co................... 328 3 Sigma-Aldrich Corp............... 142 -------- 6,473 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 34 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Commercial Banks (5.8%): 13 AmSouth Bancorp.................. 337 148 Bank of America Corp............. 6,730 20 BB&T Corp........................ 801 6 Comerica, Inc.................... 358 5 Compass Bancshares, Inc.......... 205 19 Fifth Third Bancorp.............. 789 5 First Horizon National Corp...... 192 9 Huntington Bancshares, Inc....... 206 15 Keycorp.......................... 496 4 M&T Bank Corp.................... 377 8 Marshall & Ilsley Corp........... 347 22 National City Corp............... 744 18 North Fork Bancorp, Inc.......... 492 10 PNC Financial Services Group, Inc............................ 566 17 Regions Financial Corp........... 577 12 SunTrust Banks, Inc.............. 901 11 Synovus Financial Corp........... 327 67 U.S. Bancorp..................... 1,964 58 Wachovia Corp.................... 2,869 62 Wells Fargo & Co................. 3,812 3 Zions Bancorp.................... 242 -------- 23,332 -------- Commercial Services & Supplies (1.0%): 10 Allied Waste Industries, Inc. (a)....................... 79 6 Apollo Group, Inc., Class A (a).......................... 469 4 Avery Dennison Corp.............. 197 39 Cendant Corp..................... 863 5 Cintas Corp...................... 212 5 Equifax, Inc..................... 170 6 H&R Block, Inc................... 354 4 Monster Worldwide, Inc. (a)...... 127 8 Pitney Bowes, Inc................ 368 8 R.R. Donnelley & Sons Co......... 270 6 Robert Half International, Inc............................ 146 21 Waste Management, Inc............ 591 -------- 3,846 -------- Communications Equipment (2.6%): 4 ADC Telecommunications, Inc. (a)....................... 93 6 Andrew Corp. (a)................. 76 18 Avaya, Inc. (a).................. 146 21 CIENA Corp. (a).................. 44 234 Cisco Systems, Inc. (a).......... 4,481 7 Comverse Technology, Inc. (a).... 174 53 Corning, Inc. (a)................ 884 53 JDS Uniphase Corp. (a)........... 81 163 Lucent Technologies, Inc. (a).... 473 90 Motorola, Inc.................... 1,643
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Communications Equipment, continued: 60 QUALCOMM, Inc.................... 1,978 6 Scientific-Atlanta, Inc.......... 186 16 Tellabs, Inc. (a)................ 143 -------- 10,402 -------- Computers & Peripherals (3.6%): 30 Apple Computer, Inc. (a)......... 1,113 89 Dell, Inc. (a)................... 3,510 88 EMC Corp. (a).................... 1,208 11 Gateway, Inc. (a)................ 36 106 Hewlett-Packard Co............... 2,490 59 International Business Machines Corp........................... 4,392 5 Lexmark International, Inc., Class A (a).................... 301 7 NCR Corp. (a).................... 241 13 Network Appliance, Inc. (a)...... 380 3 QLogic Corp. (a)................. 103 125 Sun Microsystems, Inc. (a)....... 466 -------- 14,240 -------- Construction & Engineering (0.0%): (g) 3 Fluor Corp....................... 183 -------- Construction Materials (0.1%): 4 Vulcan Materials Co.............. 244 -------- Consumer Finance (1.3%) 43 American Express Co.............. 2,288 9 Capital One Financial Corp....... 740 47 MBNA Corp........................ 1,217 11 Providian Financial Corp. (a).... 190 15 SLM Corp......................... 782 -------- 5,217 -------- Containers & Packaging (0.2%): 4 Ball Corp........................ 146 4 Bemis Co......................... 104 5 Pactiv Corp. (a)................. 118 3 Sealed Air Corp. (a)............. 153 5 Temple-Inland, Inc............... 170 -------- 691 -------- Distributors (0.1%): 6 Genuine Parts Co................. 263 -------- Diversified Financial Services (3.7%): 8 CIT Group, Inc................... 332 191 Citigroup, Inc................... 8,824 129 JPMorgan Chase & Co. (q)......... 4,560 10 Moody's Corp..................... 455 11 Principal Financial Group........ 452 -------- 14,623 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 35 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Diversified Telecommunication Services (2.8%): 12 Alltel Corp...................... 747 29 AT&T Corp........................ 560 67 BellSouth Corp................... 1,785 5 CenturyTel, Inc.................. 167 12 Citizens Communications Co....... 168 61 Qwest Communications International, Inc. (a)........ 228 121 SBC Communications, Inc.......... 2,878 54 Sprint Corp...................... 1,362 102 Verizon Communications, Inc...... 3,508 -------- 11,403 -------- Electric Utilities (2.3%): 6 Allegheny Energy, Inc. (a)....... 150 7 Ameren Corp...................... 412 14 American Electric Power Co., Inc............................ 520 11 CenterPoint Energy, Inc.......... 141 7 Cinergy Corp..................... 326 9 Consolidated Edison, Inc......... 418 6 DTE Energy Co.................... 299 12 Edison International............. 485 8 Entergy Corp..................... 588 25 Exelon Corp...................... 1,260 12 FirstEnergy Corp................. 582 14 FPL Group, Inc................... 605 14 PG&E Corp........................ 510 4 Pinnacle West Capital Corp....... 160 7 PPL Corp......................... 413 9 Progress Energy, Inc............. 413 27 Southern Co. (The)............... 947 8 TECO Energy, Inc................. 144 9 TXU Corp......................... 731 15 Xcel Energy, Inc................. 288 -------- 9,392 -------- Electrical Equipment (0.4%): 7 American Power Conversion Corp........................... 157 3 Cooper Industries Ltd. (Bermuda), Class A........................ 218 15 Emerson Electric Co.............. 958 6 Rockwell Automation, Inc......... 312 -------- 1,645 -------- Electronic Equipment & Instruments (0.3%): 16 Agilent Technologies, Inc. (a)... 365 7 Jabil Circuit, Inc. (a).......... 208 6 Molex, Inc....................... 161 19 Sanmina-SCI Corp. (a)............ 105 36 Solectron Corp. (a).............. 135 9 Symbol Technologies, Inc......... 88 3 Tektronix, Inc................... 76 -------- 1,138 --------
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Energy Equipment & Services (1.3%): 12 Baker Hughes, Inc................ 636 6 BJ Services Co................... 312 19 Halliburton Co................... 887 5 Nabors Industries Ltd. (Bermuda) (a).................. 331 6 National-Oilwell Varco, Inc. (a)....................... 300 5 Noble Corp. (Cayman Islands)..... 306 4 Rowan Cos., Inc.................. 118 22 Schlumberger Ltd. (Neth. Antilles)...................... 1,642 12 Transocean, Inc. (Cayman Islands) (a)................... 646 -------- 5,178 -------- Food Retailing (2.9%): 14 Albertson's, Inc................. 279 18 Costco Wholesale Corp............ 786 30 CVS Corp......................... 864 27 Kroger Co. (The) (a)............. 509 16 Safeway, Inc..................... 371 5 Supervalu, Inc................... 163 23 Sysco Corp....................... 841 123 Wal-Mart Stores, Inc............. 5,917 38 Walgreen Co...................... 1,725 -------- 11,455 -------- Food Products (1.2%): 23 Archer-Daniels-Midland Co........ 489 12 Campbell Soup Co................. 367 19 ConAgra Foods, Inc............... 440 14 General Mills, Inc............... 635 8 Hershey Foods Corp............... 495 13 HJ Heinz Co...................... 455 13 Kellogg Co....................... 570 5 McCormick & Co., Inc. (Non-Voting)................... 162 29 Sara Lee Corp.................... 572 7 Wm. Wrigley Jr. Co............... 495 -------- 4,680 -------- Gas Utilities (0.2%): 6 KeySpan Corp..................... 258 2 Nicor, Inc....................... 66 10 NiSource, Inc.................... 247 1 Peoples Energy Corp.............. 61 -------- 632 -------- Health Care Equipment & Supplies (2.2%): 2 Bausch & Lomb, Inc............... 163 23 Baxter International, Inc........ 845 9 Becton, Dickinson & Co........... 486 9 Biomet, Inc...................... 320 28 Boston Scientific Corp. (a)...... 743 4 C.R. Bard, Inc................... 257 4 Fisher Scientific International, Inc. (a)....................... 286 12 Guidant Corp..................... 803 6 Hospira, Inc. (a)................ 226
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 36 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Health Care Equipment & Supplies, continued: 44 Medtronic, Inc................... 2,298 2 Millipore Corp. (a).............. 104 5 PerkinElmer, Inc................. 90 13 St. Jude Medical, Inc. (a)....... 580 14 Stryker Corp..................... 654 6 Thermo Electron Corp. (a)........ 159 4 Waters Corp. (a)................. 160 9 Zimmer Holdings, Inc. (a)........ 690 -------- 8,864 -------- Health Care Providers & Services (2.8%): 11 Aetna, Inc....................... 883 4 AmerisourceBergen Corp........... 267 16 Cardinal Health, Inc............. 905 17 Caremark Rx, Inc. (a)............ 741 5 Cigna Corp....................... 514 5 Express Scripts, Inc. (a)........ 272 15 HCA, Inc......................... 871 9 Health Management Associates, Inc., Class A.................. 237 6 Humana, Inc. (a)................. 236 8 IMS Health, Inc.................. 206 5 Laboratory Corp. of America Holdings (a)................... 247 3 Manor Care, Inc.................. 126 11 McKesson Corp.................... 485 10 Medco Health Solutions, Inc. (a)....................... 543 7 Quest Diagnostics, Inc........... 356 17 Tenet Healthcare Corp. (a)....... 210 46 UnitedHealth Group, Inc.......... 2,422 22 WellPoint, Inc. (a).............. 1,565 -------- 11,086 -------- Hotels, Restaurants & Leisure (1.5%): 19 Carnival Corp. (Panama).......... 1,055 5 Darden Restaurants, Inc.......... 176 7 Harrah's Entertainment, Inc...... 480 14 Hilton Hotels Corp............... 334 13 International Game Technology.... 355 7 Marriott International, Inc., Class A........................ 497 47 McDonald's Corp.................. 1,291 14 Starbucks Corp. (a).............. 739 8 Starwood Hotels & Resorts Worldwide, Inc................. 464 4 Wendy's International, Inc....... 201 11 Yum! Brands, Inc................. 554 -------- 6,146 -------- Household Durables (0.6%): 3 Black & Decker Corp.............. 264 5 Centex Corp...................... 331 5 Fortune Brands, Inc.............. 474
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Household Durables, continued: 3 KB Home.......................... 233 7 Leggett & Platt, Inc............. 185 3 Maytag Corp...................... 46 10 Newell Rubbermaid, Inc........... 241 4 Pulte Homes, Inc................. 366 2 Snap-On, Inc..................... 73 3 Stanley Works (The).............. 126 2 Whirlpool Corp................... 172 -------- 2,511 -------- Household Products (1.8%): 6 Clorox Co........................ 315 19 Colgate-Palmolive Co............. 958 18 Kimberly-Clark Corp.............. 1,099 91 Procter & Gamble Co.............. 4,789 -------- 7,161 -------- Industrial Conglomerates (4.5%): 28 3M Co............................ 2,041 389 General Electric Co.............. 13,484 5 Textron, Inc..................... 376 74 Tyco International Ltd. (Bermuda)...................... 2,164 -------- 18,065 -------- Insurance (4.4%): 11 ACE Ltd. (Cayman Islands)........ 473 18 Aflac, Inc....................... 797 25 Allstate Corp. (The)............. 1,465 4 AMBAC Financial Group, Inc....... 276 95 American International Group, Inc............................ 5,532 12 Aon Corp......................... 292 7 Chubb Corp....................... 613 6 Cincinnati Financial Corp........ 242 11 Hartford Financial Services Group, Inc..................... 814 5 Jefferson-Pilot Corp............. 251 6 Lincoln National Corp............ 299 6 Loews Corp....................... 454 20 Marsh & McLennan Cos., Inc....... 542 5 MBIA, Inc........................ 295 27 Metlife, Inc..................... 1,209 7 Progressive Corp. (The).......... 721 19 Prudential Financial, Inc........ 1,258 5 Safeco Corp...................... 254 25 St. Paul Travelers Cos., Inc. (The).......................... 977 4 Torchmark Corp................... 199 11 UnumProvident Corp............... 200 5 XL Capital Ltd. (Cayman Islands), Class A........................ 383 -------- 17,546 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 37 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Insurance, continued: Internet & Catalog Retail (0.4%): 45 eBay, Inc. (a)................... 1,471 -------- Internet Software & Services (0.4%): 48 Yahoo!, Inc. (a)................. 1,669 -------- Investment Company (0.1%): 2 S&P 500 Depositary Receipts...... 260 -------- IT Services (1.1%): 5 Affiliated Computer Services, Inc., Class A (a).............. 237 21 Automatic Data Processing, Inc............................ 898 7 Computer Sciences Corp. (a)...... 295 5 Convergys Corp. (a).............. 74 19 Electronic Data Systems Corp..... 367 29 First Data Corp.................. 1,147 7 Fiserv, Inc. (a)................. 301 13 Paychex, Inc..................... 425 5 Sabre Holdings Corp., Class A.... 96 11 Sungard Data Systems, Inc. (a)... 375 12 Unisys Corp. (a)................. 79 -------- 4,294 -------- Leisure Equipment & Products (0.2%): 4 Brunswick Corp................... 154 11 Eastman Kodak Co................. 283 6 Hasbro, Inc...................... 128 15 Mattel, Inc...................... 276 -------- 841 -------- Machinery (1.4%): 13 Caterpillar, Inc................. 1,195 2 Cummins, Inc..................... 119 10 Danaher Corp..................... 529 9 Deere & Co....................... 592 7 Dover Corp....................... 272 6 Eaton Corp....................... 331 10 Illinois Tool Works, Inc......... 798 6 Ingersoll-Rand Co., Ltd. (Bermuda), Class A............. 441 3 ITT Industries, Inc.............. 331 2 Navistar International Corp. (a)...................... 77 6 PACCAR, Inc...................... 434 5 Pall Corp........................ 139 4 Parker-Hannifin Corp............. 273 -------- 5,531 -------- Media (3.6%): 19 Clear Channel Communications, Inc............................ 579 81 Comcast Corp., Class A (a)....... 2,484 3 Dow Jones & Co., Inc............. 92 9 Gannett Co., Inc................. 648 16 Interpublic Group of Cos., Inc. (a)....................... 189
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Media, continued: 3 Knight Ridder, Inc............... 168 14 McGraw-Hill Cos., Inc. (The)..... 608 2 Meredith Corp.................... 81 5 New York Times Co., Class A...... 167 106 News Corp., Class A.............. 1,712 7 Omnicom Group, Inc............... 537 172 Time Warner, Inc. (a)............ 2,873 11 Tribune Co....................... 385 11 Univision Communications, Inc., Class A (a).................... 294 59 Viacom, Inc., Class B............ 1,894 75 Walt Disney Co................... 1,886 -------- 14,597 -------- Metals & Mining (0.6%): 32 Alcoa, Inc....................... 836 3 Allegheny Technologies, Inc...... 73 7 Freeport-McMoRan Copper & Gold, Inc., Class B.................. 247 16 Newmont Mining Corp.............. 638 6 Nucor Corp....................... 268 4 Phelps Dodge Corp................ 329 4 United States Steel Corp......... 144 -------- 2,535 -------- Multi-Utilities (1.0%): 24 AES Corp. (The) (a).............. 392 20 Calpine Corp. (a)................ 67 8 CMS Energy Corp. (a)............. 121 7 Constellation Energy Group, Inc............................ 376 12 Dominion Resources, Inc.......... 917 34 Duke Energy Corp................. 1,011 12 Dynegy, Inc., Class A (a)........ 59 9 Public Service Enterprise Group, Inc............................ 533 9 Sempra Energy.................... 363 -------- 3,839 -------- Multiline Retail (1.3%): 4 Big Lots, Inc. (a)............... 55 3 Dillards, Inc., Class A.......... 62 11 Dollar General Corp.............. 225 6 Family Dollar Stores, Inc........ 160 6 Federated Department Stores, Inc............................ 458 10 J.C. Penney Co. ................. 508 12 Kohl's Corp. (a)................. 669 11 May Department Stores Co. (The).......................... 441 5 Nordstrom, Inc................... 307 4 Sears Holdings Corp. (a)......... 562 32 Target Corp...................... 1,764 -------- 5,211 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 38 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Multiline Retail, continued: Office Electronics (0.1%): 35 Xerox Corp. (a).................. 485 -------- Oil, Gas & Consumable Fuels (7.5%): 3 Amerada Hess Corp................ 336 9 Anadarko Petroleum Corp.......... 711 12 Apache Corp...................... 778 2 Ashland, Inc. (a)................ 177 14 Burlington Resources, Inc........ 781 77 Chevron Corp..................... 4,305 51 ConocoPhillips................... 2,937 17 Devon Energy Corp................ 881 24 El Paso Corp..................... 272 9 EOG Resources, Inc............... 499 234 Exxon Mobil Corp................. 13,423 4 Kerr-McGee Corp.................. 326 4 Kinder Morgan, Inc............... 331 13 Marathon Oil Corp................ 681 15 Occidental Petroleum Corp........ 1,124 3 Sunoco, Inc...................... 287 10 Unocal Corp...................... 649 9 Valero Energy Corp............... 745 21 Williams Cos., Inc............... 398 13 XTO Energy, Inc.................. 450 -------- 30,091 -------- Paper & Forest Products (0.4%): 10 Georgia-Pacific Corp............. 303 18 International Paper Co........... 544 4 Louisiana-Pacific Corp........... 100 7 MeadWestvaco Corp................ 192 9 Weyerhaeuser Co.................. 572 -------- 1,711 -------- PersonalProducts (0.7%): 3 Alberto-Culver Co................ 136 17 Avon Products, Inc............... 656 37 Gillette Co. (The)............... 1,853 -------- 2,645 -------- Pharmaceuticals (7.1%): 57 Abbott Laboratories.............. 2,789 5 Allergan, Inc.................... 408 72 Bristol-Myers Squibb Co.......... 1,791 42 Eli Lilly & Co................... 2,316 12 Forest Laboratories, Inc. (a).... 485 109 Johnson & Johnson................ 7,092 9 King Pharmaceuticals, Inc. (a)... 92 81 Merck & Co., Inc................. 2,490 10 Mylan Laboratories, Inc.......... 190 273 Pfizer, Inc...................... 7,524 54 Schering-Plough Corp............. 1,032 4 Watson Pharmaceuticals, Inc. (a)....................... 120
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Pharmaceuticals, continued: 49 Wyeth............................ 2,185 -------- 28,514 -------- Real Estate (0.6%): 3 Apartment Investment & Management Co. (REIT)..................... 143 7 Archstone-Smith Trust (REIT)..... 282 15 Equity Office Properties Trust (REIT)......................... 495 11 Equity Residential (REIT)........ 387 7 Plum Creek Timber Co., Inc. (REIT)......................... 245 7 Prologis (REIT).................. 276 8 Simon Property Group, Inc. (REIT)......................... 584 -------- 2,412 -------- Road & Rail (0.5%): 14 Burlington Northern Santa Fe Corp........................... 651 8 CSX Corp......................... 339 15 Norfolk Southern Corp............ 459 10 Union Pacific Corp............... 625 -------- 2,074 -------- Semiconductors & Semiconductor Equipment (3.2%): 14 Advanced Micro Devices, Inc. (a)....................... 251 14 Altera Corp. (a)................. 270 14 Analog Devices, Inc.............. 506 60 Applied Materials, Inc........... 976 11 Applied Micro Circuits Corp. (a)...................... 29 11 Broadcom Corp., Class A (a)...... 381 15 Freescale Semiconductor, Inc., Class B (a).................... 312 226 Intel Corp....................... 5,903 7 KLA-Tencor Corp.................. 316 11 Linear Technology Corp........... 412 14 LSI Logic Corp. (a).............. 121 12 Maxim Integrated Products, Inc............................ 460 23 Micron Technology, Inc. (a)...... 230 13 National Semiconductor Corp...... 282 5 Novellus Systems, Inc. (a)....... 125 6 Nvidia Corp. (a)................. 166 7 PMC-Sierra, Inc. (a)............. 62 7 Teradyne, Inc. (a)............... 86 61 Texas Instruments, Inc........... 1,712 13 Xilinx, Inc...................... 328 -------- 12,928 -------- Software (3.8%): 18 Adobe Systems, Inc............... 513 8 Autodesk, Inc.................... 288 8 BMC Software, Inc. (a)........... 146 6 Citrix Systems, Inc. (a)......... 134 20 Computer Associates International, Inc............. 537 14 Compuware Corp. (a).............. 102 11 Electronic Arts, Inc. (a)........ 637
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 39 JPMORGAN EQUITY INDEX TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Software, continued: 7 Intuit, Inc. (a)................. 307 3 Mercury Interactive Corp. (a).... 122 369 Microsoft Corp................... 9,158 14 Novell, Inc. (a)................. 87 162 Oracle Corp. (a)................. 2,141 10 Parametric Technology Corp. (a)...................... 64 19 Siebel Systems, Inc.............. 169 26 Symantec Corp. (a)............... 567 16 VERITAS Software Corp. (a)....... 383 -------- 15,355 -------- Specialty Retail (2.3%): 8 Autonation, Inc. (a)............. 168 2 AutoZone, Inc. (a)............... 223 11 Bed Bath & Beyond, Inc. (a)...... 453 11 Best Buy Co., Inc................ 751 7 Circuit City Stores, Inc......... 121 28 Gap, Inc. (The).................. 549 79 Home Depot, Inc.................. 3,064 14 Limited Brands, Inc.............. 299 28 Lowe's Cos., Inc................. 1,650 12 Office Depot, Inc. (a)........... 265 3 OfficeMax, Inc................... 77 6 RadioShack Corp.................. 132 5 Sherwin-Williams Co. (The)....... 216 27 Staples, Inc..................... 576 5 Tiffany & Co..................... 173 17 TJX Cos., Inc.................... 420 8 Toys R US, Inc. (a).............. 215 -------- 9,352 -------- Textiles, Apparel & Luxury Goods (0.4%): 14 Coach, Inc. (a).................. 465 4 Jones Apparel Group, Inc......... 137 4 Liz Claiborne, Inc............... 158 8 Nike, Inc., Class B.............. 726 2 Reebok International Ltd......... 86 4 V.F. Corp........................ 210 -------- 1,782 --------
SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Thrifts & Mortgage Finance (1.8%): 22 Countrywide Financial Corp....... 832 36 Fannie Mae....................... 2,074 25 Freddie Mac...................... 1,653 10 Golden West Financial Corp....... 668 3 MGIC Investment Corp............. 226 13 Sovereign Bancorp, Inc........... 299 32 Washington Mutual, Inc........... 1,310 -------- 7,062 -------- Tobacco (1.4%): 76 Altria Group, Inc................ 4,913 4 Reynolds American, Inc........... 337 6 UST, Inc......................... 277 -------- 5,527 -------- Trading Companies & Distributors (0.0%): (g) 3 Grainger (W.W.), Inc............. 168 -------- Wireless Telecommunication Services (0.3%): 41 Nextel Communications, Inc. (a)....................... 1,334 -------- Total Common Stocks (Cost $403,392).......................... 399,830 -------- TOTAL LONG TERM INVESTMENTS (Cost $403,392)............................ 399,830 -------- SHORT-TERM INVESTMENTS (0.1%): INVESTMENT COMPANY (0.1%): 514 JPMorgan Liquid Assets Money Market Fund (b)(m)............. 514 -------- U.S. TREASURIES (0.0%):(G) 125 U.S. Treasury Bill, 2.73%, 08/11/05(k) (n) 125 -------- TOTAL SHORT-TERM INVESTMENTS (Cost $639) 639 -------- TOTAL INVESTMENTS (100.1%) (Cost $404,031) 400,469 LIABILITIES IN EXCESS OF OTHER ASSETS (0.1%) (372) -------- NET ASSETS (100.0%) $400,097 ========
- ------------ Percentages indicated are based on net assets FUTURES CONTRACTS (AMOUNTS IN THOUSANDS, EXCEPT NUMBER OF CONTRACTS)
UNREALIZED NUMBER OF CONTRACTS DESCRIPTION EXPIRATION DATE NOTIONAL VALUE AT 6/30/05 DEPRECIATION - -------------------------------------------------------------------------------------------------------------------------- Long Futures Outstanding S&P 500 2........................................ Index........ September, 2005 $598 $(2)
See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 40 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2005 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS (91.3%): Asset Backed Securities (2.8%): 405 American Express Credit Account Master Trust Series 2004-3, Class A, 4.35%, 12/15/11....................... 409 AmeriCredit Automobile Receivables Trust 241 Series 2001-D, Class A4, 4.41%, 11/12/08....................... 241 462 Series 2002-A, Class A4, 4.61%, 01/12/09....................... 464 405 Series 2002-D, Class A4, 3.40%, 04/13/09....................... 403 202 Series 2003-BX, Class A4A, 2.72%, 01/06/10....................... 199 116 Capital One Auto Finance Trust Series 2001-A, Class A4, 5.40%, 05/15/08....................... 116 202 Capital One Master Trust Series 2001-5, Class A, 5.30%, 06/15/09....................... 205 Citibank Credit Card Issuance Trust 202 Series 2002-A1, Class A1, 4.95%, 02/09/09....................... 205 860 Series 2002-C2, Class C2, 6.95%, 02/18/14....................... 965 337 CNH Equipment Trust Series 2003-B, Class A4B, 3.38%, 02/15/11....................... 333 527 Conseco Finance Series 2001-B, Class 1M1, 7.27%, 06/15/32....................... 536 2,227 Countrywide Asset-Backed Certificates Series 2004-AB2, Class A2, FRN, 3.58%, 07/25/05................ 2,231 234 GE Capital Mortgage Services, Inc. Series 1999-HE, Class M, 6.71%, 04/25/29....................... 240 600 Household Automotive Trust Series 2005-1 Class A4, 4.35%, 06/18/12....................... 600 MBNA Credit Card Master Note Trust 607 Series 2002-C1, Class C1, 6.80%, 07/15/14....................... 678 253 Series 2003-C1, Class C1, FRN, 4.92%, 07/15/05................ 268 MBNA Master Credit Card Trust USA 445 Series 1999-J, Class C, 7.85%, 02/15/12 (e)................... 505 405 Series 2000-D, Class C, 8.40%, 09/15/09 (e)................... 434
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- LONG TERM INVESTMENTS, CONTINUED: Asset Backed Securities, continued: 297 Onyx Acceptance Grantor Trust Series 2002-C, Class A4, 4.07%, 04/15/09....................... 297 137 Residential Asset Mortgage Products, Inc. Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31................ 137 540 Textron Financial Corp. Receivables Trust Series 2000-C, Class A3, 6.61%, 02/15/15 (e)................... 546 WFS Financial Owner Trust 308 Series 2002-1, Class A4A, 4.87%, 09/20/09....................... 310 358 Series 2002-2, Class A4, SUB, 4.50%, 02/20/10................ 360 80 Series 2003-2, Class A3, 1.76%, 01/21/08....................... 80 405 Series 2003-2, Class A4, 2.41%, 12/20/10....................... 398 54 Series 2003-1, Class A3, 2.03%, 08/20/07....................... 54 497 Series 2003-4, Class A4, 3.15%, 05/20/11....................... 492 277 Series 2004-1, Class A3, 2.19%, 06/20/08....................... 275 -------- Total Asset Backed Securities (Cost $11,999) 11,981 -------- COLLATERALIZED MORTGAGE OBLIGATIONS (44.3%): Agency CMO (37.1%): Federal Home Loan Mortgage Corp. 38 Series 11, Class D, 9.50%, 07/15/19....................... 38 1 Series 41, Class I, HB, 84.00%, 05/15/20....................... 1 17 Series 46, Class B, 7.80%, 09/15/20....................... 17 6 Series 47, Class F, 10.00%, 06/15/20....................... 6 --(h) Series 85, Class C, 8.60%, 01/15/21....................... --(h) 14 Series 99, Class Z, 9.50%, 01/15/21....................... 14 67 Series 114, Class H, 6.95%, 01/15/21....................... 67 --(h) Series 1072, Class A, IO, HB, 1008.50%, 05/15/06............. --(h) 5 Series 1079, Class S, IF, 22.95%, 07/15/05....................... 5 7 Series 1084, Class F, FRN, 4.20%, 07/15/05....................... 7
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 41 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 5 Series 1084, Class S, IF, 30.60%, 07/15/05....................... 5 --(h) Series 1098, Class M, IO, HB, 1008.00%, 06/15/06............. --(h) 27 Series 1144, Class KB, 8.50%, 09/15/21....................... 27 --(h) Series 1172, Class L, IO, HB, VAR, 1180.80%, 11/15/21........ --(h) --(h) Series 1196, Class B, IF, IO, HB, 795.60%, 07/15/05.............. 1 58 Series 1206, Class IA, 7.00%, 03/15/22....................... 58 854 Series 1212, Class IZ, 8.00%, 02/15/22....................... 864 42 Series 1250, Class J, 7.00%, 05/15/22....................... 42 --(h) Series 1298, Class L, IO, HB, 981.87%, 06/15/07.............. --(h) 103 Series 1343, Class LA, 8.00%, 08/15/22....................... 107 134 Series 1404, Class FA, 4.50%, 11/15/07....................... 134 20 Series 1465, Class SA, IF, IO, 5.75%, 02/15/08................ 1 456 Series 1466, Class PZ, 7.50%, 02/15/23....................... 478 6 Series 1470, Class F, FRN, 3.52%, 07/15/05....................... 6 8 Series 1473, Class HA, 7.00%, 01/15/08....................... 8 181 Series 1491, Class I, 7.50%, 04/15/23....................... 193 14 Series 1506, Class F, FRN, 4.16%, 07/15/05....................... 14 2 Series 1506, Class S, IF, 14.94%, 07/15/05....................... 2 31 Series 1506, Class SD, IF, IO, 5.25%, 07/15/05................ 1 607 Series 1512, Class J, 6.50%, 05/15/08....................... 620 86 Series 1513, Class AG, FRN, 3.20%, 07/15/05................ 85 163 Series 1513, Class N, 6.50%, 05/15/08....................... 166 175 Series 1518, Class G, IF, 5.87%, 07/15/05....................... 173 167 Series 1541, Class O, FRN, 3.25%, 07/15/05....................... 164 69 Series 1544, Class J, IF, 9.67%, 07/15/05....................... 72 40 Series 1549, Class K, 8.50%, 07/15/08....................... 42
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 417 Series 1558, Class D, 6.50%, 07/15/23....................... 428 132 Series 1586, Class M, 5.00%, 09/15/08....................... 133 557 Series 1587, Class SL, IF, 14.34%, 07/15/05............... 571 40 Series 1600, Class SC, FRN, 8.60%, 07/15/05................ 42 3 Series 1602, Class SA, IF, 12.19%, 07/15/05............... 3 5 Series 1603, Class IF, FRN, 3.93%, 07/15/05................ 5 51 Series 1604, Class SA, IF, 11.37%, 07/15/05............... 55 95 Series 1606, Class SC, IF, 15.81%, 07/15/05............... 105 767 Series 1607, Class H, 6.25%, 10/15/13....................... 796 304 Series 1608, Class L, 6.50%, 09/15/23....................... 323 363 Series 1609, Class L, IF, 10.29%, 07/15/05....................... 404 339 Series 1611, Class JA, FRN, 4.38%, 07/15/05................ 343 309 Series 1611, Class JB, IF, 10.87%, 07/15/05............... 321 1,899 Series 1624, Class KZ, 6.00%, 12/15/08....................... 1,939 56 Series 1625, Class SD, IF, 8.50%, 07/15/05....................... 60 13 Series 1660, Class P, 6.50%, 01/15/09....................... 13 34 Series 1665, Class FA, FRN, 3.61%, 07/15/05................ 34 9 Series 1671, Class L, 7.00%, 02/15/24....................... 9 2 Series 1672, Class FB, FRN, 3.46%, 07/15/05................ 2 9 Series 1685, Class Z, 6.00%, 11/15/23....................... 9 95 Series 1689, Class SD, IF, 10.10%, 07/15/05............... 101 104 Series 1698, Class SC, IF, 10.89%, 07/15/05............... 115 75 Series 1700, Class GA, PO, 02/15/24....................... 69 405 Series 1706, Class K, 7.00%, 03/15/24....................... 435 78 Series 1745, Class D, 7.50%, 08/15/24....................... 79 193 Series 1798, Class F, 5.00%, 05/15/23....................... 193
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 42 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 10 Series 1807, Class G, 9.00%, 10/15/20....................... 11 103 Series 1900, Class T, PO, 08/15/08....................... 100 868 Series 1927, Class PH, 7.50%, 01/15/27....................... 912 43 Series 1967, Class PC, PO, 10/15/08....................... 42 383 Series 1981, Class Z, 6.00%, 05/15/27....................... 390 122 Series 1987, Class PE, 7.50%, 09/15/27....................... 128 440 Series 2004-S, Class A5, IF, 4.25%, 07/15/05................ 364 22 Series 2017, Class SE, IF, 15.11%, 07/15/05............... 24 370 Series 2025, Class PE, 6.30%, 01/15/13....................... 382 57 Series 2033, Class SN, IF, IO, 20.14%, 07/15/05............... 16 158 Series 2038, Class PN, IO, 7.00%, 03/15/28....................... 24 364 Series 2040, Class PE, 7.50%, 03/15/28....................... 390 292 Series 2056, Class TD, 6.50%, 05/15/18....................... 306 1,071 Series 2063, Class PG, 6.50%, 06/15/28....................... 1,112 158 Series 2064, Class TE, 7.00%, 06/15/28....................... 165 709 Series 2075, Class PH, 6.50%, 08/15/28....................... 737 304 Series 2075, Class PM, 6.25%, 08/15/28....................... 320 185 Series 2089, Class PJ, IO, 7.00%, 10/15/28....................... 29 150 Series 2097, Class PV, 6.00%, 09/15/09....................... 153 162 Series 2102, Class TC, 6.00%, 12/15/13....................... 168 444 Series 2125, Class JZ, 6.00%, 02/15/29....................... 460 32 Series 2137, Class TM, 6.50%, 01/15/28....................... 32 71 Series 2163, Class PC, IO, 7.50%, 06/15/29....................... 12 506 Series 2169, Class TB, 7.00%, 06/15/29....................... 554 202 Series 2172, Class QC, 7.00%, 07/15/29....................... 221 11 Series 2196, Class TL, 7.50%, 11/15/29....................... 11
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 269 Series 2201, Class C, 8.00%, 11/15/29....................... 284 432 Series 2210, Class Z, 8.00%, 01/15/30....................... 464 223 Series 2224, Class CB, 8.00%, 03/15/30....................... 234 344 Series 2256, Class MC, 7.25%, 09/15/30....................... 357 458 Series 2259, Class ZM, 7.00%, 10/15/30....................... 476 369 Series 2271, Class PC, 7.25%, 12/15/30....................... 389 202 Series 2283, Class K, 6.50%, 12/15/23....................... 219 226 Series 2296, Class PD, 7.00%, 03/15/31....................... 238 23 Series 2299, Class G, 7.00%, 05/15/14....................... 23 96 Series 2306, Class K, PO, 05/15/24....................... 86 232 Series 2306, Class SE, IF, IO, 6.49%, 07/15/05................ 36 405 Series 2312, Class KV, 6.50%, 05/15/14....................... 410 199 Series 2317, Class VG, 6.50%, 04/15/31....................... 200 248 Series 2333, Class HC, 6.00%, 07/15/31....................... 253 322 Series 2344, Class QG, 6.00%, 08/15/16....................... 335 3,114 Series 2344, Class ZD, 6.50%, 08/15/31....................... 3,325 601 Series 2344, Class ZJ, 6.50%, 08/15/31....................... 625 481 Series 2345, Class NE, 6.50%, 08/15/31....................... 499 540 Series 2345, Class PQ, 6.50%, 08/15/16....................... 563 232 Series 2345, Class PV, 6.50%, 01/15/24....................... 235 405 Series 2347, Class VP, 6.50%, 03/15/20....................... 422 709 Series 2349, Class NW, 6.50%, 10/15/16....................... 719 259 Series 2351, Class PZ, 6.50%, 08/15/31....................... 277 385 Series 2353, Class PC, 6.50%, 09/15/15....................... 387 2,632 Series 2353, Class TD, 6.00%, 09/15/16....................... 2,751 391 Series 2355, Class BP, 6.00%, 09/15/16....................... 407
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 43 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 137 Series 2357, Class VX, 6.50%, 12/15/17....................... 138 463 Series 2360, Class PG, 6.00%, 09/15/16....................... 478 234 Series 2362, Class PD, 6.50%, 06/15/20....................... 240 244 Series 2362, Class PJ, 6.50%, 10/15/28....................... 248 369 Series 2366, Class MD, 6.00%, 10/15/16....................... 383 466 Series 2367, Class VD, 6.00%, 01/15/19....................... 466 60 Series 2382, Class TL, IO, 6.50%, 02/15/31....................... 4 435 Series 2391, Class QE, 5.50%, 05/15/15....................... 439 506 Series 2391, Class QR, 5.50%, 12/15/16....................... 525 489 Series 2391, Class VQ, 6.00%, 10/15/12....................... 509 405 Series 2392, Class PV, 6.00%, 12/15/20....................... 416 22 Series 2405, Class P, 6.00%, 07/15/14....................... 22 210 Series 2410, Class HC, 5.50%, 02/15/09....................... 211 344 Series 2410, Class NG, 6.50%, 02/15/32....................... 362 557 Series 2410, Class OE, 6.38%, 02/15/32....................... 578 1,012 Series 2410, Class QS, IF, 11.13%, 07/15/05............... 1,122 209 Series 2410, Class QX, IF, IO, 5.43%, 07/15/05................ 18 113 Series 2412, Class SE, FRN, 9.64%, 07/15/05................ 120 405 Series 2412, Class SP, IF, 9.66%, 07/15/05....................... 441 230 Series 2423, Class MC, 7.00%, 03/15/32....................... 240 449 Series 2423, Class MT, 7.00%, 03/15/32....................... 470 1,215 Series 2434, Class TC, 7.00%, 04/15/32....................... 1,290 243 Series 2435, Class CJ, 6.50%, 04/15/32....................... 263 405 Series 2435, Class VH, 6.00%, 07/15/19....................... 426 304 Series 2441, Class GF, 6.50%, 04/15/32....................... 325 560 Series 2444, Class ES, IF, IO, 4.73%, 07/15/05................ 44
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 529 Series 2450, Class GZ, 7.00%, 05/15/32....................... 556 224 Series 2450, Class SW, IF, IO, 4.78%, 07/15/05................ 23 297 Series 2454, Class VB, 6.50%, 10/15/15....................... 303 405 Series 2455, Class GK, 6.50%, 05/15/32....................... 433 485 Series 2460, Class VZ, 6.00%, 11/15/29....................... 505 994 Series 2461, Class VB, 6.50%, 04/15/18....................... 1,012 1,417 Series 2462, Class JG, 6.50%, 06/15/32....................... 1,497 1,012 Series 2466, Class DH, 6.50%, 06/15/32....................... 1,072 1,012 Series 2466, Class PG, 6.50%, 04/15/32....................... 1,071 405 Series 2474, Class NR, 6.50%, 07/15/32....................... 432 489 Series 2484, Class LZ, 6.50%, 07/15/32....................... 527 19 Series 2496, Class LD, 8.50%, 11/15/15....................... 19 1,012 Series 2498, Class UD, 5.50%, 06/15/16....................... 1,032 1,012 Series 2500, Class GD, 5.50%, 12/15/15....................... 1,025 607 Series 2500, Class MC, 6.00%, 09/15/32....................... 642 1,012 Series 2500, Class TD, 5.50%, 02/15/16....................... 1,028 607 Series 2512, Class PG, 5.50%, 10/15/22....................... 640 304 Series 2513, Class YO, PO, 02/15/32....................... 276 607 Series 2515, Class DE, 4.00%, 03/15/32....................... 579 93 Series 2519, Class BT, 8.50%, 09/15/31....................... 100 494 Series 2527, Class VU, 5.50%, 10/15/13....................... 507 304 Series 2535, Class BK, 5.50%, 12/15/22....................... 317 425 Series 2537, Class TE, 5.50%, 12/15/17....................... 447 675 Series 2543, Class YX, 6.00%, 12/15/32....................... 717 729 Series 2557, Class WJ, 5.00%, 07/15/14....................... 740 607 Series 2565, Class MB, 6.00%, 05/15/30....................... 621
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 44 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 810 Series 2575, Class ME, 6.00%, 02/15/33....................... 859 480 Series 2586, Class WI, IO, 6.50%, 03/15/33....................... 82 1,202 Series 2594, Class VA, 6.00%, 03/15/14....................... 1,247 514 Series 2594, Class VP, 6.00%, 02/15/14....................... 532 405 Series 2594, Class VQ, 6.00%, 08/15/20....................... 423 720 Series 2597, Class AD, 6.50%, 03/15/32....................... 777 1,085 Series 2597, Class DS, IF, IO, 4.33%, 07/15/05................ 97 2,432 Series 2599, Class DS, IF, IO, 3.78%, 07/15/05................ 186 2,428 Series 2610, Class DS, IF, IO, 3.88%, 07/15/05................ 199 1,393 Series 2611, Class SH, IF, IO, 4.43%, 07/15/05................ 107 405 Series 2617, Class GR, 4.50%, 05/15/18....................... 401 419 Series 2619, Class IM, IO, 5.00%, 10/15/21....................... 58 1,000 Series 2628, Class WA, 4.00%, 07/15/28....................... 971 2,750 Series 2630, Class KN, 2.50%, 04/15/13....................... 2,665 34 Series 2631, Class BS, IF, 5.97%, 07/15/05....................... 32 202 Series 2631, Class LC, 4.50%, 06/15/18....................... 200 202 Series 2640, Class VE, 3.25%, 07/15/22....................... 181 129 Series 2643, Class HI, IO, 4.50%, 12/15/16....................... 15 867 Series 2643, Class KG, 4.00%, 05/15/18....................... 866 441 Series 2651, Class VZ, 4.50%, 07/15/18....................... 430 329 Series 2656, Class SH, IF, 11.94%, 07/15/05............... 359 330 Series 2668, Class SB, IF, 4.34%, 07/15/05....................... 315 202 Series 2672, Class ME, 5.00%, 11/15/22....................... 206 506 Series 2675, Class CK, 4.00%, 09/15/18....................... 483 418 Series 2682, Class YS, IF, 4.33%, 07/15/05....................... 326 243 Series 2684, Class TO, PO, 10/15/33....................... 170
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 202 Series 2686, Class GB, 5.00%, 05/15/20....................... 205 171 Series 2691, Class WS, IF, 4.17%, 07/15/05....................... 138 1,000 Series 2695, Class DE, 4.00%, 01/15/17....................... 977 251 Series 2705, Class SC, IF, 4.17%, 07/15/05....................... 205 251 Series 2705, Class SD, IF, 6.11%, 07/15/05....................... 221 1,478 Series 2727, Class BS, IF, 4.25%, 07/15/05....................... 1,109 202 Series 2733, Class GF, FRN, PO, 07/15/05....................... 187 176 Series 2739, Class S, IF, 5.56%, 07/15/05....................... 158 193 Series 2744, Class FE, PO, 07/15/05....................... 155 405 Series 2744, Class PC, 5.50%, 01/15/31....................... 418 505 Series 2744, Class PD, 5.50%, 08/15/33....................... 534 405 Series 2744, Class TU, 5.50%, 05/15/32....................... 414 447 Series 2749, Class PK, IO, 5.00%, 09/15/22....................... 32 298 Series 2753, Class S, IF, 5.56%, 07/15/05....................... 265 168 Series 2755, Class SA, IF, 7.76%, 07/15/05....................... 167 105 Series 2769, PO, 03/15/34........ 84 304 Series 2846, PO, 08/15/34........ 262 109 Series 2925, Class MZ, 5.00%, 01/15/35....................... 107 141 Series 2925, Class ZM, 5.00%, 01/15/35....................... 141 Federal Home Loan Mortgage Corp. Structured Pass Through Securities 169 Series T-41, Class 3A, 7.50%, 07/25/32 (e)................... 180 153 Series T-51, Class 2A, VAR, 7.50%, 08/25/42.................. 162 1,427 Series T-54, Class 2A, 6.50%, 02/25/43....................... 1,487 495 Series T-54, Class 3A, 7.00%, 02/25/43....................... 523 120 Series T-58, Class A, PO, 09/25/43....................... 104 Federal Home Loan Mortgage Corp.- Government National Mortgage Association 251 Series 24, Class ZE, 6.25%, 11/25/23....................... 262
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 45 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: Federal National Mortgage Association 3 Series 50, Class 2, IO, 10.50%, 03/01/19....................... 1 18 Series 218, Class 2, IO, 7.50%, 04/01/23....................... 3 199 Series 329, Class 1, PO, 12/01/32....................... 168 408 Series 340, Class 1, PO, 09/01/33....................... 327 10 Series 1988-7, Class Z, 9.25%, 04/25/18....................... 11 46 Series 1989-70, Class G, 8.00%, 10/25/19....................... 49 20 Series 1989-78, Class H, 9.40%, 11/25/19....................... 22 17 Series 1989-83, Class H, 8.50%, 11/25/19....................... 18 16 Series 1989-89, Class H, 9.00%, 11/25/19....................... 18 5 Series 1990-1, Class D, 8.80%, 01/25/20....................... 6 9 Series 1990-7, Class B, 8.50%, 01/25/20....................... 10 10 Series 1990-60, Class K, 5.50%, 06/25/20....................... 10 8 Series 1990-63, Class H, 9.50%, 06/25/20....................... 8 10 Series 1990-93, Class G, 5.50%, 08/25/20....................... 10 --(h) Series 1990-94, Class H, HB, 504.00%, 08/25/20.............. 2 --(h) Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20............. 3 41 Series 1990-102, Class J, 6.50%, 08/25/20....................... 43 18 Series 1990-120, Class H, 9.00%, 10/25/20....................... 20 4 Series 1990-134, Class SC, IF, 16.58%, 07/25/05............... 5 --(h) Series 1990-140, Class K, IO, HB, 651.60%, 12/25/20.............. 4 --(h) Series 1991-4, Class N, IO, HB, 759.60%, 01/25/06.............. --(h) --(h) Series 1991-7, Class K, IO, HB, 908.50%, 02/25/21.............. --(h) --(h) Series 1991-20, Class M, IO, HB, 907.20%, 03/25/06.............. --(h) --(h) Series 1991-33, Class J, IO, HB, 1008.00%, 04/25/06............. --(h) 27 Series 1991-42, Class S, IF, 11.82%, 07/25/05............... 31 58 Series 1992-33, Class F, FRN, 3.65%, 07/25/05................ 58
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 25 Series 1992-44, Class K, 7.25%, 04/25/07....................... 25 27 Series 1992-143, Class MA, 5.50%, 09/25/22....................... 28 202 Series 1993-18, Class PK, 6.50%, 02/25/08....................... 207 163 Series 1993-25, Class J, 7.50%, 03/25/23....................... 174 1,051 Series 1993-37, Class PX, 7.00%, 03/25/23....................... 1,112 364 Series 1993-41, Class PH, 6.00%, 03/25/23....................... 367 379 Series 1993-54, Class Z, 7.00%, 04/25/23....................... 400 80 Series 1993-62, Class SA, IF, 14.67%, 07/25/05............... 96 20 Series 1993-72, Class F, FRN, 3.41%, 07/25/05................ 19 102 Series 1993-122, Class M, 6.50%, 07/25/23....................... 107 35 Series 1993-165, Class SD, IF, 9.52%, 07/25/05................ 37 22 Series 1993-170, Class SE, IF, 16.12%, 07/25/05............... 24 29 Series 1993-175, Class SA, IF, 13.19%, 07/25/05............... 31 148 Series 1993-178, Class PK, 6.50%, 09/25/23....................... 152 1,012 Series 1993-183, Class KA, 6.50%, 10/25/23....................... 1,099 1,146 Series 1993-189, Class PL, 6.50%, 10/25/23....................... 1,204 195 Series 1993-190, Class S, IF, 11.37%, 07/25/05............... 208 38 Series 1993-196, Class FA, FRN, 3.41%, 07/25/05................ 37 138 Series 1993-225, Class SG, IF, 13.37%, 07/25/05............... 156 39 Series 1993-225, Class VO, IF, 9.68%, 07/25/05................ 40 263 Series 1993-247, Class SA, IF, 19.87%, 07/25/05............... 341 651 Series 1993-250, Class Z, 7.00%, 12/25/23....................... 680 1,185 Series 1993-257, Class C, PO, 06/25/23....................... 1,091 15 Series 1994-9, Class E, PO, 11/25/23....................... 14 42 Series 1994-12, Class FC, FRN, 3.57%, 07/25/05................ 42 22 Series 1994-13, Class SK, IF, 15.16%, 07/25/05............... 25
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 46 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 107 Series 1994-17, Class JB, IO, 6.50%, 02/25/09................ 8 31 Series 1994-20, Class Z, 6.50%, 02/25/09....................... 31 332 Series 1994-34, Class DZ, 6.00%, 03/25/09....................... 340 152 Series 1994-40, Class VC, 6.50%, 02/25/10....................... 156 185 Series 1994-55, Class G, 6.75%, 12/25/23....................... 187 678 Series 1996-14, Class SE, IF, IO, 6.64%, 07/25/05................ 120 41 Series 1996-20, Class L, PO, 09/25/08....................... 39 80 Series 1996-24, Class E, PO, 03/25/09....................... 76 32 Series 1996-27, Class FC, FRN, 3.84%, 07/25/05................ 32 364 Series 1996-32, Class PH, 7.00%, 01/25/26....................... 374 99 Series 1996-39, Class J, PO, 09/25/08....................... 95 6 Series 1996-46, Class PE, PO, 09/25/06....................... 6 66 Series 1996-59, Class J, 6.50%, 08/25/22....................... 68 482 Series 1996-59, Class K, 6.50%, 07/25/23....................... 495 359 Series 1997-20, Class IB, IO, FRN, 1.84%, 07/25/05........... 20 420 Series 1997-20, IO, FRN, 1.84%, 03/25/27....................... 24 170 Series 1997-27, Class J, 7.50%, 04/18/27 181 148 Series 1997-29, Class J, 7.50%, 04/20/27....................... 156 303 Series 1997-39, Class PD, 7.50%, 05/20/27....................... 320 7 Series 1997-70, PO, 09/25/22..... 7 134 Series 1997-81, Class PI, IO, 7.00%, 12/18/27................ 24 20 Series 1998-4, Class C, PO, 04/25/23....................... 18 100 Series 1998-27, Class B, PO, 12/25/08....................... 96 260 Series 1998-36, Class ZB, 6.00%, 07/18/28....................... 268 845 Series 2000-2, Class ZE, 7.50%, 02/25/30....................... 899 405 Series 2001-4, Class PC, 7.00%, 03/25/21....................... 430
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 697 Series 2001-5, Class OW, 6.00%, 03/25/16....................... 720 1,027 Series 2001-33, Class ID, IO, 6.00%, 07/25/31................ 181 810 Series 2001-36, Class DE, 7.00%, 08/25/31....................... 871 221 Series 2001-44, Class PD, 7.00%, 09/25/31....................... 232 247 Series 2001-49, Class Z, 6.50%, 09/25/31....................... 257 769 Series 2001-50, Class VB, 6.50%, 12/25/16....................... 790 657 Series 2001-52, Class XM, 6.50%, 11/25/10....................... 676 709 Series 2001-61, Class VB, 7.00%, 12/25/16....................... 751 288 Series 2001-61, Class VQ, 6.50%, 08/25/15....................... 297 317 Series 2001-71, Class GU, 6.00%, 05/25/14....................... 325 607 Series 2001-71, Class MB, 6.00%, 12/25/16....................... 635 1,012 Series 2001-71, Class QE, 6.00%, 12/25/16....................... 1,051 2,854 Series 2001-74, Class MB, 6.00%, 12/25/16....................... 3,046 709 Series 2001-78, Class VB, 6.00%, 12/25/15....................... 717 344 Series 2001-80, Class PE, 6.00%, 07/25/29....................... 357 178 Series 2001-81, Class LO, PO, 01/25/32....................... 154 495 Series 2002-1, Class HC, 6.50%, 02/25/22....................... 518 185 Series 2002-1, Class SA, IF, 14.42%, 07/25/05............... 222 405 Series 2002-2, Class UC, 6.00%, 02/25/17....................... 418 607 Series 2002-3, Class OG, 6.00%, 02/25/17....................... 640 224 Series 2002-8, Class SR, IF, 9.43%, 07/25/05................ 240 1,235 Series 2002-18, Class PC, 5.50%, 04/25/17....................... 1,294 506 Series 2002-21, Class PE, 6.50%, 04/25/32....................... 530 405 Series 2002-24, Class AJ, 6.00%, 04/25/17....................... 423 405 Series 2002-28, Class PK, 6.50%, 05/25/32....................... 428 823 Series 2002-37, Class Z, 6.50%, 06/25/32....................... 855
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 47 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 810 Series 2002-56, Class UC, 5.50%, 09/25/17....................... 844 511 Series 2002-59, Class AC, 6.00%, 03/25/28....................... 532 174 Series 2002-59, Class VA, 6.50%, 04/25/32....................... 174 810 Series 2002-59, Class VB, 6.50%, 04/25/32....................... 827 1,417 Series 2002-61, Class PE, 5.50%, 05/25/16....................... 1,444 810 Series 2002-74, Class LD, 5.00%, 01/25/16....................... 822 1,012 Series 2002-74, Class PD, 5.00%, 11/25/15....................... 1,026 1,640 Series 2002-74, Class VB, 6.00%, 11/25/31....................... 1,711 442 Series 2002-84, Class VB, 5.50%, 04/25/15....................... 457 122 Series 2002-91, Class UH, IO, 5.50%, 06/25/22................ 18 405 Series 2002-94, Class BK, 5.50%, 01/25/18....................... 427 891 Series 2003-8, Class SB, IF, IO, 4.34%, 07/25/05................ 61 202 Series 2003-22, Class UD, 4.00%, 04/25/33....................... 180 162 Series 2003-34, Class GB, 6.00%, 03/25/33....................... 172 304 Series 2003-34, Class GE, 6.00%, 05/25/33....................... 326 146 Series 2003-39, IO, VAR, 6.00%, 05/25/33....................... 23 405 Series 2003-47, Class PE, 5.75%, 06/25/33....................... 426 991 Series 2003-52, Class PA, 6.50%, 06/25/35....................... 1,047 253 Series 2003-52, Class SX, IF, 13.01%, 07/25/05............... 293 168 Series 2003-64, Class SX, IF, 5.97%, 07/25/05................ 143 466 Series 2003-71, Class DS, IF, 3.32%, 07/25/05................ 387 1,300 Series 2003-73, Class GA, 3.50%, 05/25/31....................... 1,254 2,046 Series 2003-80, Class SY, IF, IO, 4.34%, 07/25/05................ 181 405 Series 2003-83, Class PG, 5.00%, 06/25/23....................... 413 162 Series 2003-91, Class SD, IF, 6.98%, 07/25/05................ 165 304 Series 2003-106, Class US, IF, 4.10%, 07/25/05................ 244
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,783 Series 2003-116, Class SB, IF, IO, 4.29%, 07/25/05............ 134 202 Series 2003-128, Class KE, 4.50%, 01/25/14....................... 204 441 Series 2003-130, Class SX, IF, 6.55%, 07/25/05................ 444 609 Series 2004-10, Class SC, IF, 15.34%, 07/25/05............... 720 356 Series 2004-14, Class SD, IF, 4.10%, 07/25/05................ 292 1,000 Series 2004-21, Class AE, 4.00%, 04/25/19....................... 947 72 Series 2004-21, Class CO, PO, 04/25/34....................... 51 405 Series 2004-25, Class PC, 5.50%, 01/25/34....................... 425 375 Series 2004-25, Class SA, IF, 10.41%, 07/25/05............... 399 263 Series 2004-36, Class PC, 5.50%, 02/25/34....................... 270 532 Series 2004-36, Class SA, IF, 10.41%, 07/25/05............... 567 287 Series 2004-76, Class CL, 4.00%, 10/25/19....................... 274 15 Series G-14, Class L, 8.50%, 06/25/21....................... 16 69 Series G-18, Class Z, 8.75%, 06/25/21....................... 76 23 Series G-22, Class G, 6.00%, 12/25/16....................... 24 51 Series G-35, Class M, 8.75%, 10/25/21....................... 56 60 Series G95-1, Class C, 8.80%, 01/25/25....................... 65 47 Series G93-5, Class Z, 6.50%, 02/25/23....................... 49 213 Series G92-35, Class E, 7.50%, 07/25/22....................... 225 13 Series G92-42, Class Z, 7.00%, 07/25/22....................... 14 313 Series G92-44, Class ZQ, 8.00%, 07/25/22....................... 339 226 Series G92-54, Class ZQ, 7.50%, 09/25/22....................... 241 Federal National Mortgage Association Grantor Trust 415 Series 2001-48, Class Z, 6.50%, 09/25/21....................... 452 Federal National Mortgage Association Whole Loan 54 Series 2002-W5, Class A6, 6.00%, 07/25/29....................... 54
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 48 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 1,012 Series 2002-W5, Class A7, 6.25%, 08/25/30....................... 1,031 236 Series 2002-W5, Class A10, FRN, IO, 4.79%, 07/25/05............ 17 681 Series 2003-W1, Class 1A1, 6.50%, 12/25/42....................... 709 195 Series 2003-W4, Class 2A, 6.50%, 10/25/42....................... 200 202 Series 2003-W8, Class 1A3, 4.75%, 12/25/42....................... 201 582 Series 2004-W2, Class 2A2, 7.00%, 02/25/44....................... 617 Government National Mortgage Association 179 Series 1994-3, Class PQ, 7.49%, 07/16/24....................... 190 631 Series 1994-4, Class KQ, 7.99%, 07/16/24....................... 672 607 Series 1994-7, Class PQ, 6.50%, 10/16/24....................... 652 241 Series 1995-3, Class DQ, 8.05%, 06/16/25....................... 256 70 Series 1995-7, Class CQ, 7.50%, 09/16/25....................... 74 505 Series 1996-16, Class E, 7.50%, 08/16/26....................... 532 111 Series 1998-26, Class K, 7.50%, 09/17/25....................... 118 1,691 Series 1999-4, Class ZB, 6.00%, 02/20/29....................... 1,724 968 Series 1999-10, Class ZC, 6.50%, 04/20/29....................... 1,035 282 Series 1999-30, Class S, IF, IO, 5.36%, 08/16/29................ 20 203 Series 1999-41, Class Z, 8.00%, 11/16/29....................... 218 161 Series 1999-44, Class PC, 7.50%, 12/20/29....................... 169 381 Series 2000-6, Class Z, 7.50%, 02/20/30....................... 405 405 Series 2000-9, Class PB, 7.50% 06/16/26....................... 415 66 Series 2000-9, Class Z, 8.00%, 06/20/30....................... 71 699 Series 2000-9, Class ZJ, 8.50%, 02/16/30....................... 792 405 Series 2000-14, Class PD, 7.00%, 02/16/30....................... 430 172 Series 2000-16, Class ZN, 7.50%, 02/16/30....................... 182 935 Series 2000-37,Class B, 8.00%, 12/20/30....................... 993
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 77 Series 2000-38, Class AH, 7.15%, 12/20/30....................... 80 593 Series 2001-7, Class PK, 6.50%, 03/20/31....................... 616 33 Series 2001-32, Class WA, IF, 11.98%, 07/20/05............... 36 405 Series 2001-64, Class MQ, 6.50%, 12/20/31....................... 430 202 Series 2002-7, Class PG, 6.50%, 01/20/32....................... 209 388 Series 2002-31, Class S, IF, IO, 5.46%, 07/16/05................ 31 2,081 Series 2002-36, Class VB, 6.50%, 07/20/19....................... 2,111 405 Series 2002-40, Class UK, 6.50%, 06/20/32....................... 432 2,227 Series 2002-45, Class QE, 6.50%, 06/20/32....................... 2,365 405 Series 2002-47, Class PG, 6.50%, 07/16/32....................... 432 405 Series 2002-47, Class PY, 6.00%, 07/20/32....................... 427 405 Series 2002-47, Class VB, 6.50%, 09/20/17....................... 409 611 Series 2002-47, Class ZA, 6.50%, 07/20/32....................... 645 340 Series 2002-48, Class VM, 6.50%, 09/20/16....................... 347 81 Series 2002-51, Class SG, IF, 18.37%, 07/20/05............... 101 364 Series 2002-54, Class GB, 6.50%, 08/20/32....................... 383 1,127 Series 2002-67, Class VA, 6.00%, 03/20/13....................... 1,150 165 Series 2002-79, Class KV, 6.00%, 11/20/13....................... 172 374 Series 2002-88, Class LI, IO, 5.50%, 11/20/28................ 20 1,438 Series 2002-88, Class VA, 6.00%, 12/20/17....................... 1,502 618 Series 2003-4, Class NI, IO, 5.50%, 01/20/32................ 83 335 Series 2003-4, Class NY, 5.50%, 12/20/13....................... 346 156 Series 2003-24, PO, 03/16/33..... 138 304 Series 2003-40, Class TJ, 6.50%, 03/20/33....................... 340 509 Series 2003-52, Class AP, PO, 06/16/33....................... 426 45 Series 2003-66, Class EO, PO, 08/20/33....................... 38
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 49 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: 372 Series 2003-95, Class SC, IF, IO, 3.76%, 07/17/05................ 15 101 Series 2004-28, Class S, IF, 10.76%, 07/16/05............... 108 193 Series 2004-73, Class AE, IF, 8.17%, 07/17/05................ 198 Vendee Mortgage Trust 1,138 Series 96-1, Class 1Z, 6.75%, 02/15/26....................... 1,221 736 Series 1994-1, Class 1, VAR, 5.63%, 07/15/05................ 752 409 Series 1996-2, Class 1Z, 6.75%, 06/15/26....................... 432 1,464 Series 1997-1, Class 2Z, 7.50%, 02/15/27....................... 1,581 405 Series 1998-1, Class 2E, 7.00%, 09/15/27....................... 428 -------- 157,168 -------- Non-Agency (7.2%): 164 Banc of America Funding Corp. Series 2004-1, PO, 03/25/34...... 134 Banc of America Mortgage Securities 117 Series 2003-8, Class A, PO, 11/25/33....................... 88 191 Series 2004-6, Class A, PO, 07/25/34....................... 150 126 Bank of America Alternative Loan Trust Series 2003-11, PO, 01/25/34..... 105 270 Bank of America Mortgage Securities Series 2003-11, PO, 02/25/34(e).................... 227 Bear Stearns Commercial Mortgage Securities 96 Series 2000-WF1, Class A1, 7.64%, 02/15/32....................... 102 240 Series 2004-T16, Class A2, 3.70%, 02/13/46....................... 237 59 BHN II Mortgage Trust Series 1997-1, Class A2, 7.92%, 07/25/09 (d)(e)(i)............. 1 Citigroup Mortgage Loan Trust, Inc. 453 Series 2003-UP3, Class A3, 7.00%, 09/25/33....................... 467 586 Series 2003-UST1, Class A1, FRN, 5.50%, 12/25/18................ 596 104 Series 2003-UST1, PO, 12/25/18... 87 84 Series 2003-UST1, PO, 12/25/18... 72 Countrywide Alternative Loan Trust 1,215 Series 2002-8, Class A4, 6.50%, 07/25/32....................... 1,227 1,085 Series 2004-2CB, Class 1A9, 5.75%, 03/25/34................ 1,077
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: Countrywide Home Loan Mortgage Pass Through Trust 1,093 Series 2003-26, Class 1A6, 3.50%, 08/25/33....................... 1,017 546 Series 2003-J7, Class 4A3, IF, 5.51%, 07/25/05................ 538 182 Series 2003-J13, PO, 01/25/34.... 154 164 Series 2004-HYB3, Class 2A, VAR, 4.12%, 07/20/05................ 162 725 Series 2005-R1, Class 2A, PO, 03/01/35(e).................... 596 198 Deutsche Mortgage Securities, Inc. Series 2004-1, Class 2A, PO, 10/25/18....................... 171 810 Equitable Life Assurance Society of the US (The) Series 174, Class A1, 7.24%, 05/15/09 (e)................... 831 First Horizon Asset Securities, Inc. 769 Series 2004-AR1, Class 2A2 FRN, 5.04%, 07/25/05................ 775 1,254 Series 2004-AR7, Class 2A1, FRN, 4.95%, 07/25/05................ 1,260 202 Series 2004-AR7, Class 2A2 FRN, 4.95%, 07/25/05................ 205 104 GSR Mortgage Loan Trust Series 2004-13F, Class 2A3, 6.00%, 11/25/34................ 104 405 JP Morgan Commercial Mortgage Finance Corp. (q) Series 1997-C4, Class B, VAR, 7.47%, 12/26/28................ 418 598 MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, FRN, 3.82%, 07/21/05................ 592 MASTR Alternative Loans Trust 1,175 Series 2003-9, Class 8A1, 6.00%, 01/25/34....................... 1,199 3,598 Series 2004-4, Class 10A1, 5.00%, 05/25/24....................... 3,469 106 Series 2004-7, Class 30, PO, 08/25/34....................... 80 276 Series 2004-10, Class 1A1, 4.50%, 09/25/19....................... 273 MASTR Asset Securitization Trust 235 Series 2003-4, Class 2A2, 5.00%, 05/25/18....................... 237 184 Series 2004-8, PO, 08/25/19...... 146 716 Merrill Lynch Mortgage Investors, Inc. Series 1997-C2, Class A2, 6.54%, 12/10/29....................... 749
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 50 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: 500 Merrill Lynch Mortgage Trust 4.67%, 05/12/43.................. 502 250 MortgageIT Trust Series 2005-1, Class 1A1, FRN, 3.63%, 07/25/05................ 250 Nomura Asset Acceptance Corp. 319 Series 2003-A1, Class A1, 5.50%, 05/25/33....................... 323 346 Series 2003-A1, Class A2, 6.00%, 05/25/33....................... 350 77 Series 2003-A1, Class A5, 7.00%, 04/25/33....................... 77 306 Series 2004-R2, Class A1, VAR, 6.50%, 07/25/05 (e)............ 316 --(h) Paine Webber CMO Trust Series H, Class 4, 8.75%, 04/01/18....................... --(h) Residential Accredit Loans, Inc. 1,707 Series 2002-QS8, Class A5, 6.25%, 06/25/17....................... 1,723 430 Series 2002-QS16, Class A3, IF, 9.69%, 07/25/05................ 458 478 Series 2003-QS3, Class A2, IF, 9.21%, 07/25/05................ 505 1,984 Series 2003-QS9, Class A3, IF, IO, 4.24%, 07/25/05............ 191 202 Series 2004-QS8, Class A2, 5.00%, 06/25/34....................... 202 Residential Funding Mortgage Securities I 770 Series 2003-S7, Class A17, 4.00%, 05/25/33....................... 752 202 Series 2003-S12, Class 4A5, 4.50%, 12/25/32................ 194 1,020 Series 2003-S13, Class 4A5, 2.50%, 06/25/18................ 983 10 Rural Housing Trust Series 1987-1, Class 3B, 7.33%, 04/01/26....................... 10 109 Salomon Brothers Mortgage Securities VII Series 2003-UP2, Class 1, PO, 12/25/18....................... 92 78 Structured Mortgage Asset Residential Trust Series 1993-2A, Class AE, 7.60%, 03/25/09....................... 80 810 Wachovia Bank Commercial Mortgage Trust Series 2004-C15, Class A2, 4.04%, 10/15/41....................... 803
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency, continued: 132 Washington Mutual Mortgage Securities Corp. Series 2003-MS7, Class P, PO, 03/25/33....................... 109 Washington Mutual, Inc. 304 Series 2003-AR7, Class A6, VAR, 3.03%, 07/25/05................ 294 122 Series 2003-S10, Class A6, PO, 10/25/18....................... 95 1,000 Series 2004-S3, Class 2A3, FRN, 9.72%, 07/25/05................ 1,024 Wells Fargo Mortgage Backed Securities Trust 218 Series 2003-11, Class 1A, PO, 10/25/18....................... 176 405 Series 2003-13, Class A7, 4.50%, 11/25/18....................... 392 467 Series 2003-17, Class 2A4, 5.50%, 01/25/34....................... 467 362 Series 2004-7, Class 2A2, 5.00%, 07/25/19....................... 364 1,314 Series 2004-BB, Class A4, FRN, 4.58%, 07/25/05................ 1,312 376 Series 2004-EE, Class 3A1, FRN, 3.99%, 07/25/05................ 372 506 Series 2004-S, Class A5, FRN, 3.54%, 07/25/05................ 491 -------- 30,453 -------- Total Collateralized Mortgage Obligations (Cost $187,370) 187,621 -------- CORPORATE NOTES & BONDS (19.0%): Aerospace & Defense (0.1%): 279 Systems 2001 AT LLC 7.16%, 12/15/11 (e).............. 299 -------- Air Freight & Logistics (0.2%): 870 FedEx Corp. 6.72%, 01/15/22.................. 993 -------- Airlines (0.6%): 106 American Airlines, Inc. Series 1999-1, 7.02%, 04/15/11... 109 Continental Airlines, Inc. 52 Series 1999-2, Class A1, 7.26%, 09/15/21....................... 52 202 Series 1999-2, Class A2, 7.06%, 03/15/11....................... 209 217 Delta Airlines, Inc. Series 2001-1, 6.62%, 03/18/11... 208 Southwest Airlines Co. 96 Series 2001-1, 5.10%, 11/01/07... 97 329 Series 2001-1, 5.50%, 11/01/06... 334
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 51 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Airlines, continued: United Airlines, Inc. 121 Series 2000-1, 7.73%, 07/01/10 (d)................... 113 336 Series 2000-2, 7.19%, 10/01/12 (d)................... 322 484 Series 2001-1, 6.07%, 09/01/14 (d)................... 455 522 Series 2001-1, 7.78%, 07/01/15 (d)................... 484 -------- 2,383 -------- Automobiles (1.3%): DaimlerChrysler NA Holding Corp. 405 4.75%, 01/15/08.................. 407 709 7.20%, 09/01/09.................. 772 Ford Motor Credit Co. 405 5.80%, 01/12/09.................. 384 1,100 6.88%, 02/01/06.................. 1,111 1,761 7.38%, 10/28/09.................. 1,726 1,000 7.88%, 06/15/10.................. 992 202 Toyota Motor Credit Corp. 2.88%, 08/01/08.................. 195 -------- 5,587 -------- Capital Markets (3.5%): Bear Stearns Cos., Inc. (The) 1,215 3.25%, 03/25/09.................. 1,171 304 6.25%, 07/15/05.................. 304 Credit Suisse First Boston USA, Inc. 111 4.70%, 06/01/09.................. 113 405 5.50%, 08/15/13.................. 429 1,640 6.13%, 11/15/11.................. 1,784 Goldman Sachs Group, Inc. 269 3.88%, 01/15/09.................. 265 202 4.75%, 07/15/13.................. 202 425 5.25%, 10/15/13.................. 439 486 6.60%, 01/15/12.................. 540 1,113 6.88%, 01/15/11.................. 1,241 101 7.35%, 10/01/09.................. 113 Lehman Brothers Holdings, Inc. 202 4.00%, 01/22/08.................. 201 200 4.80%, 03/13/14.................. 202 455 6.63%, 01/18/12.................. 508 Merrill Lynch & Co., Inc. 405 3.70%, 04/21/08.................. 400 200 4.50%, 11/04/10.................. 201 200 5.00%, 01/15/15.................. 205 202 5.45%, 07/15/14.................. 213 202 Series B, 3.13%, 07/15/08........ 196 304 Series C, 4.13%, 01/15/09........ 303 Morgan Stanley 243 4.25%, 05/15/10.................. 241 147 4.75%, 04/01/14.................. 145
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Capital Markets, continued: 1,134 6.60%, 04/01/12.................. 1,261 1,240 6.75%, 04/15/11.................. 1,373 National Rural Utilities Cooperative Finance Corp. 1,761 6.00%, 05/15/06.................. 1,793 209 7.30%, 09/15/06.................. 217 607 State Street Corp. 7.65%, 06/15/10.................. 703 -------- 14,763 -------- Chemicals (0.1%): 304 Dow Chemical Co. (The) 6.13%, 02/01/11.................. 330 -------- Commercial Banks (2.5%): Bank of America Corp. 607 3.88%, 01/15/08.................. 605 405 7.40%, 01/15/11.................. 463 1,670 7.80%, 02/15/10.................. 1,910 152 Branch Banking & Trust Co. 4.88%, 01/15/13.................. 156 1,012 First Bank NA 6.50%, 02/01/08.................. 1,067 1,012 Firstar Bank NA 7.13%, 12/01/09.................. 1,131 405 Keycorp Series G, 4.70%, 05/21/09........ 411 405 Marshall & Ilsley Corp. Series E, 5.75%, 09/01/06........ 413 233 Mellon Funding Corp. 3.25%, 04/01/09.................. 226 Popular North America, Inc. 202 4.25%, 04/01/08.................. 202 202 Series E, 6.13%, 10/15/06........ 206 380 Royal Bank of Canada (Canada) 3.88%, 05/04/09.................. 378 229 Suntrust Bank 6.38%, 04/01/11.................. 253 202 Wachovia Bank NA 7.80%, 08/18/10.................. 235 Wachovia Corp. 709 3.50%, 08/15/08.................. 696 688 3.63%, 02/17/09.................. 676 Wells Fargo & Co. 706 3.13%, 04/01/09.................. 683 Wells Fargo Bank NA 81 6.45%, 02/01/11.................. 89 628 7.55%, 06/21/10.................. 720 -------- 10,520 -------- Commercial Services & Supplies (0.1%): 283 PHH Corp. 7.13%, 03/01/13.................. 314 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 52 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Computers & Peripherals (0.1%): 283 International Business Machines Corp. 5.39%, 01/22/09.................. 294 -------- Consumer Finance (1.7%): 405 American Express Credit Corp. 3.00%, 05/16/08.................. 393 American General Finance Corp. 132 Series H, 4.50%, 11/15/07........ 132 91 Series H, 5.38%, 10/01/12........ 94 304 Boeing Capital Corp. 6.36%, 07/15/05.................. 304 71 Capital One Bank 5.75%, 09/15/10.................. 75 General Motors Acceptance Corp. 565 6.13%, 09/15/06.................. 566 1,200 7.25%, 03/02/11.................. 1,125 HSBC Finance Corp. 202 4.75%, 05/15/09.................. 205 1,417 5.88%, 02/01/09.................. 1,488 202 6.38%, 11/27/12.................. 223 202 6.50%, 11/15/08.................. 216 452 6.75%, 05/15/11.................. 502 304 7.20%, 07/15/06.................. 313 698 8.00%, 07/15/10.................. 805 International Lease Finance Corp. 177 4.50%, 05/01/08.................. 178 152 5.88%, 05/01/13.................. 161 263 SLM Corp. Series A, 5.38%, 01/15/13........ 277 -------- 7,057 -------- Diversified Financial Services (2.8%): Associates Corp. of N. America 202 6.38%, 11/15/05.................. 204 1,108 8.15%, 08/01/09.................. 1,268 CIT Group, Inc. 486 6.50%, 02/07/06.................. 493 200 7.75%, 04/02/12.................. 234 51 Citicorp, Inc. 6.75%, 08/15/05.................. 51 Citigroup, Inc. 121 3.50%, 02/01/08.................. 119 202 4.25%, 07/29/09.................. 203 506 5.63%, 08/27/12.................. 540 81 6.20%, 03/15/09.................. 86 General Electric Capital Corp. 202 Series A, 2.80%, 01/15/07........ 198 455 Series A, 3.50%, 05/01/08........ 448 425 Series A, 4.25%, 01/15/08........ 427 354 Series A, 4.63%, 09/15/09........ 360 709 Series A, 5.38%, 03/15/07........ 724 1,042 Series A, 5.88%, 02/15/12........ 1,127 1,215 Series A, 6.00%, 06/15/12........ 1,325
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Diversified Financial Services, continued: 516 Series A, 6.13%, 02/22/11........ 561 54 Series A, 7.88%, 12/01/06........ 57 John Hancock Global Funding II 243 3.50%, 01/30/09 (e).............. 237 243 7.90%, 07/02/10 (e).............. 283 MassMutual Global Funding II 330 3.25%, 06/15/07 (e).............. 325 405 3.50%, 03/15/10 (e).............. 390 New York Life Global Funding 223 3.88%, 01/15/09 (e).............. 221 506 5.38%, 09/15/13 (e).............. 533 Principal Life Global Funding I 202 2.80%, 06/26/08 (e).............. 195 61 6.13%, 03/01/06 (e).............. 62 765 6.25%, 02/15/12 (e).............. 844 202 Washington Mutual Financial Corp. 6.88%, 05/15/11.................. 227 -------- 11,742 -------- Diversified Telecommunication Services (1.6%): 142 Ameritech Capital Funding 6.15%, 01/15/08.................. 148 218 Bellsouth Telecommunications 6.30%, 12/15/15.................. 233 830 British Telecommunications plc (United Kingdom) 8.38%, 12/15/05.................. 983 587 France Telecom S.A. (France) 8.00%, 09/01/05.................. 681 176 New York Telephone Co. 6.00%, 04/15/08.................. 182 567 Nynex Capital Funding Co. Series B, SUB, 8.23%, 10/15/05... 641 57 Nynex Corp. 9.55%, 05/01/10.................. 64 Sprint Capital Corp. 1,083 6.00%, 01/15/07.................. 1,110 253 7.13%, 01/30/06.................. 257 81 7.63%, 01/30/11.................. 92 182 8.38%, 03/15/12.................. 219 283 TELUS Corp. (Canada) 8.00%, 06/01/11.................. 331 202 Verizon Florida, Inc. Series F, 6.13%, 01/15/13........ 217 1,063 Verizon Global Funding Corp. 7.25%, 12/01/10.................. 1,205 405 Verizon Virginia, Inc. Series A, 4.63%, 03/15/13........ 399 -------- 6,762 -------- Electric Utilities (0.7%): 81 Alabama Power Co. 4.70%, 12/01/10.................. 82
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 53 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Electric Utilities, continued: 67 American Electric Power Co., Inc. Series A, 6.13%, 05/15/06........ 68 233 Carolina Power & Light Co. 5.13%, 09/15/13.................. 241 547 Constellation Energy Group, Inc. 6.35%, 04/01/07.................. 566 324 Dominion Resources, Inc. Series B, 6.25%, 06/30/12........ 352 202 DTE Energy Co. Series A, 6.65%, 04/15/09........ 218 Duke Energy Corp. 455 4.20%, 10/01/08.................. 453 405 5.63%, 11/30/12.................. 430 405 Exelon Generation Co., LLC 6.95%, 06/15/11.................. 454 59 Kiowa Power Partners LLC 4.81%, 12/30/13 (e).............. 58 227 Ohio Valley Electric Corp. 5.94%, 02/12/06 (e).............. 230 15 Virginia Electric & Power Co. Series A, 5.38%, 02/01/07........ 15 -------- 3,167 -------- Food & Staples Retailing (0.1%): 304 Kroger Co. (The) 8.05%, 02/01/10.................. 346 -------- Gas Utilities (0.1%): 820 Enron Corp. 6.75%, 07/01/05 (d) (f).......... --(h) 162 KeySpan Gas East Corp. 7.88%, 02/01/10.................. 185 263 Southern California Gas Co. 4.80%, 10/01/12.................. 269 -------- 454 -------- Hotels, Restaurants & Leisure (0.0%)(g): 81 Harrah's Operating Co., Inc. 8.00%, 02/01/11.................. 93 -------- Industrial Conglomerates (0.2%): 455 Honeywell International, Inc. 5.13%, 11/01/06.................. 460 Tyco International Group S.A. (Bermuda) 152 6.38%, 10/15/11.................. 167 253 6.75%, 02/15/11.................. 281 -------- 908 -------- Insurance (1.3%): 385 American International Group, Inc. 4.25%, 05/15/13.................. 373 ASIF Global Financing 607 2.65%, 01/17/06 (e).............. 603 455 3.90%, 10/22/08 (e).............. 447
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Insurance, continued: 607 4.90%, 01/17/13 (e).............. 616 405 Jackson National Life Global Funding 6.13%, 05/30/12 (e).............. 445 222 Metropolitan Life Global Funding I 5.20%, 09/18/13 (e).............. 232 810 Metropolitan Life Insurance Co. 7.00%, 11/01/05 (e).............. 818 304 MGIC Investment Corp. 6.00%, 03/15/07.................. 313 445 Monumental Global Funding II 4.38%, 07/30/09 (e).............. 446 324 Monumental Global Funding III 5.20%, 01/30/07 (e).............. 330 121 Nationwide Financial Services 6.25%, 11/15/11.................. 133 233 Pacific Life Global Funding 3.75%, 01/15/09 (e).............. 230 Protective Life Secured Trust 217 4.00%, 10/07/09.................. 215 405 4.00%, 04/01/11.................. 398 76 XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14.................. 77 -------- 5,676 -------- IT Services (0.1%): 405 First Data Corp. 3.90%, 10/01/09.................. 399 -------- Media (0.6%): 106 Comcast Cable Communications Holdings, Inc. 8.38%, 03/15/13.................. 129 121 Comcast Corp. 5.50%, 03/15/11.................. 126 182 Cox Communications, Inc. 7.75%, 11/01/10.................. 206 20 Liberty Media Corp. 5.70%, 05/15/13.................. 19 749 Tele-Communications-TCI Group 9.80%, 02/01/12.................. 954 223 Time Warner Entertainment Co. LP 10.15%, 05/01/12................. 288 Time Warner, Inc. 283 7.48%, 01/15/08.................. 303 430 8.18%, 08/15/07.................. 463 -------- 2,488 -------- Multi-Utilities (0.0%)(g): 221 PSEG Power LLC 7.75%, 04/15/11.................. 255 -------- Oil & Gas (0.2%): 476 ConocoPhillips 8.75%, 05/25/10.................. 567
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 54 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- CORPORATE NOTES & BONDS, CONTINUED: Oil & Gas, continued: 166 Ras Laffan Liquefied Natural Gas Co., Ltd. (Qatar) 7.63%, 09/15/06 (e).............. 170 -------- 737 -------- Paper & Forest Products (0.2%): International Paper Co. 334 4.00%, 04/01/10.................. 323 131 4.25%, 01/15/09.................. 129 142 Union Camp Corp. 6.50%, 11/15/07.................. 149 Weyerhaeuser Co. 71 6.13%, 03/15/07.................. 73 40 6.75%, 03/15/12.................. 44 -------- 718 -------- Real Estate (0.2%): 557 EOP Operating LP 6.75%, 02/15/12.................. 613 81 ERP Operating LP 4.75%, 06/15/09.................. 82 -------- 695 -------- Road & Rail (0.1%): Burlington Northern Santa Fe Corp. 235 6.13%, 03/15/09.................. 249 202 7.13%, 12/15/10.................. 228 -------- 477 -------- Thrifts & Mortgage Finance (0.5%): Countrywide Home Loans, Inc. 233 3.25%, 05/21/08.................. 226 253 Series E, 7.20%, 10/30/06........ 262 810 Series L, 4.00%, 03/22/11........ 781 Washington Mutual Bank FA 76 5.65%, 08/15/14.................. 80 304 6.88%, 06/15/11.................. 339 275 Washington Mutual, Inc. 4.20%, 01/15/10.................. 273 304 World Savings Bank FSB 4.50%, 06/15/09.................. 307 -------- 2,268 -------- Wireless Telecommunication Services (0.1%): New Cingular Wireless Services, Inc. 152 7.50%, 05/01/07.................. 161 364 7.88%, 03/01/11.................. 423 -------- 584 -------- Total Corporate Bonds (Cost $80,932) 80,309 --------
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- FOREIGN GOVERNMENT SECURITIES (0.4%): United Mexican States (Mexico) 375 4.63%, 10/08/08.................. 378 277 6.38%, 01/16/13.................. 297 175 6.63%, 03/03/15.................. 193 Province of Quebec (Canada) 607 5.75%, 02/15/09.................. 641 -------- Total Foreign Government Securities (Cost $1,501) 1,509 -------- SUPRANATIONAL (0.0%)(g): 40 Corp. Andina de Fomento 5.20%, 05/21/13.................. 41 20 Inter-American Development Bank 8.40%, 09/01/09.................. 23 -------- Total Supranational (Cost $64) 64 -------- U.S. GOVERNMENT AGENCY MORTGAGES (5.3%): Federal Home Loan Mortgage Corp. Gold Pool 419 4.00%, 08/01/18.................. 410 257 4.50%, 10/01/18.................. 257 92 5.50%, 06/01/17.................. 95 574 6.00%, 04/01/18 - 01/01/34....... 590 1,306 6.50%, 12/01/13 - 11/01/22....... 1,367 1,589 7.00%, 08/01/10 - 04/01/26....... 1,663 242 7.50%, 08/01/08 - 08/01/25....... 255 48 8.00%, 07/01/20 - 11/01/24....... 50 171 8.50%, 01/01/10 - 07/01/28....... 185 Federal Home Loan Mortgage Corp. Conventional Pools 20 ARM, 3.50%, 07/15/05............. 20 228 ARM, 4.39%, 01/01/27............. 234 --(h) 8.00%, 04/01/07.................. --(h) 28 12.00%, 08/01/15 - 07/01/19...... 31 Federal National Mortgage Association Conventional Pools 70 ARM, 3.90%, 07/25/05............. 72 8,303 4.00%, 09/01/13 - 12/01/18....... 8,155 31 ARM, 4.20%, 07/25/05............. 32 77 ARM, 4.26%, 07/25/05............. 77 266 4.50%, 03/01/19.................. 265 750 ARM, 4.90%, 07/25/05............. 760 8 ARM, 4.94%, 07/25/05............. 8 324 5.00%, 12/01/16 - 06/01/18....... 328 505 5.50%, 12/01/33.................. 513 16 ARM, 5.79%, 07/25/05............. 17 755 6.00%, 12/01/32 - 09/01/33....... 774 1,355 6.50%, 04/01/09 - 08/01/31....... 1,411 221 7.00%, 01/01/07 - 08/01/32....... 232 220 7.50%, 10/01/12 - 05/01/25....... 234 454 8.00%, 11/01/12 - 11/01/28....... 486 198 8.50%, 07/01/24 - 02/01/30....... 217 132 9.00%, 09/01/19 - 12/01/30....... 144
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 55 JPMORGAN INTERMEDIATE BOND TRUST - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: 37 9.50%, 12/01/18.................. 41 25 10.00%, 02/01/24................. 28 19 12.50%, 01/01/16................. 21 Government National Mortgage Association Various Pools 856 6.00%, 10/15/17 - 11/15/28....... 886 693 6.50%, 07/15/09 - 02/15/33....... 725 725 7.00%, 08/15/23 - 06/15/33....... 771 315 7.50%, 02/15/06 - 06/15/32....... 335 468 8.00%, 10/15/06 - 10/20/28....... 504 126 8.50%, 04/15/06 - 05/20/25....... 138 55 9.00%, 10/15/05 - 11/15/24....... 62 111 9.50%, 10/15/05 - 12/15/25....... 124 42 12.00%, 11/15/19................. 49 -------- Total U.S. Government Agency Mortgages (Cost $22,495) 22,566 -------- U.S. GOVERNMENT AGENCY SECURITIES (0.8%): 202 Federal Home Loan Bank 6.21%, 06/02/09.................. 219 Federal Home Loan Mortgage Corp. 405 4.13%, 07/12/10.................. 406 173 7.20%, 07/18/06.................. 179 Federal National Mortgage Association 506 5.25%, 01/15/09.................. 528 810 5.50%, 03/15/11.................. 869 243 6.13%, 03/15/12.................. 272 678 6.25%, 02/01/11.................. 743 121 6.63%, 11/15/10.................. 136 -------- Total U.S. Government Agency Securities (Cost $3,340) 3,352 -------- U.S. TREASURY SECURITIES (18.7%): U.S. Treasury Bonds 405 9.88%, 11/15/15.................. 605 8,514 10.38%, 11/15/12 (m)............. 9,793 6,073 11.75%, 11/15/14................. 8,012 10,486 12.00%, 08/15/13 (m)............. 13,020 1,458 12.50%, 08/15/14................. 1,940 4,469 12.75%, 11/15/10 (m)............. 4,623 U.S. Treasury Inflation Indexed Bonds 1,206 3.38%, 01/15/07.................. 1,244 2,201 4.25%, 01/15/10.................. 2,476 U.S. Treasury Notes 600 3.38%, 02/15/08.................. 596 1,550 3.50%, 12/15/09.................. 1,536 500 3.63%, 07/15/09.................. 498
PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- --------------------------------- -------- U.S. TREASURY SECURITIES, CONTINUED: 250 5.63%, 05/15/08.................. 263 631 5.75%, 08/15/10.................. 690 435 6.13%, 08/15/07.................. 457 334 6.50%, 10/15/06.................. 346 2,935 6.50%, 02/15/10.................. 3,275 U.S. Treasury STRIPS 1,215 PO, 3.46%, 05/15/08.............. 1,095 2,551 PO, 3.60%, 05/15/09.............. 2,215 607 PO, 3.62%, 02/15/09.............. 532 454 PO, 3.68%, 08/15/13.............. 329 506 PO, 3.76%, 02/15/10.............. 427 1,518 PO, 3.79%, 11/15/09.............. 1,288 1,680 PO, 3.90%, 05/15/11.............. 1,348 1,822 PO, 3.93%, 02/15/11.............. 1,477 3,745 PO, 4.03%, 05/15/12.............. 2,878 61 PO, 4.07%, 02/15/12.............. 47 1,340 PO, 4.08%, 11/15/12.............. 1,007 1,500 PO, 4.11%, 05/15/13.............. 1,101 101 PO, 4.13%, 08/15/12.............. 77 1,816 PO, 4.14%, 05/15/14.............. 1,271 2,624 PO, 4.16%, 02/15/13.............. 1,948 3,577 PO, 4.16%, 02/15/14.............. 2,532 202 PO, 4.18%, 11/15/13.............. 145 2,268 PO, 4.26%, 11/15/14.............. 1,553 4,002 PO, 4.29%, 08/15/14.............. 2,771 3,517 PO, 4.33%, 11/15/15.............. 2,304 127 PO, 4.37%, 08/15/15.............. 84 607 PO, 4.37%, 05/15/16.............. 388 4,616 PO, 4.41%, 02/15/16.............. 2,987 405 PO, 4.46%, 08/15/16.............. 256 -------- Total U.S. Treasury Obligations (Cost $79,986) 79,434 -------- Total Long Term Investments (Cost $387,687).......................... 386,836 SHARES - --------- SHORT-TERM INVESTMENT (7.9%): Investment Company (7.9%): 33,585 JP Morgan Liquid Assets Money Market Fund (b) (Cost $33,585)....................... 33,585 -------- TOTAL INVESTMENTS (99.2%) (Cost $421,272) 420,421 OTHER ASSETS IN EXCESS OF LIABILITIES (0.8%) 3,246 -------- NET ASSETS (100.0%) $423,667 ========
- ------------ Percentages indicated are based on net assets See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 56 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- ABBREVIATIONS: ARM Adjustable Rate Mortgage. The rate shown is the rate in effect as of June 30, 2005. CMO Collateralized Mortgage Obligation FRN Floating Rate Note. The rate shown is the rate in effect as of June 30, 2005. GO General Obligation REIT Real Estate Investment Trust STRIPS Separate Trading of Registered Interest and Principal Securities SUB Step-Up Bond. The rate shown is the rate in effect as of June 30, 2005. VAR Variable. The interest rate shown is the rate in effect at June 30, 2005. (a) Non-income producing security. (b) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Management, Inc. or JPMorgan Investment Advisors, Inc. (d) Defaulted Security. (e) All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. (f) Fair Valued Investment. The approximate market values and percentages, based on net assets that are fair valued for the following funds:
MARKET VALUE PERCENTAGE ------------ ---------- Core Bond Trust............................................. $1,918 0.0%(g) Intermediate Bond Trust..................................... 0(h) 0.0(g)
(g) Amount rounds to less than 0.1%. (h) Amount rounds to less than one thousand. (i) Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. (k) Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin (m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBAs, when issued securities, delayed delivery securities, and reverse repurchase agreements. (n) The rate shown is the effective yield at the date of purchase. (q) Investment in affiliate. HB High Coupon Bonds (a.k.a. 'IOettes') represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the REMIC trust and allocating them to the small principal of the HB class. IF Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. IO Interest Only represents the right to receive the monthly interest payment on an underlying pool or mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. PO Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 57 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) AS OF JUNE 30, 2005
EQUITY INDEX INTERMEDIATE CORE BOND TRUST TRUST BOND TRUST --------------- ------------------ ------------ ASSETS: Investments in non-affiliates, at value..................... $2,482,523 $395,395 $386,418 Investments in affiliates, at value......................... 167,772 5,074 34,003 ---------- -------- -------- Total investment securities at value........................ 2,650,295 400,469 420,421 ---------- -------- -------- Cash........................................................ -- 4 -- Receivables: Investment securities sold................................ 114 54 97 Fund shares sold.......................................... 178,081 1,055 415 Interest and dividends.................................... 19,936 491 3,474 ---------- -------- -------- Total Assets................................................ 2,848,426 402,073 424,407 ---------- -------- -------- LIABILITIES: Payables: Due to custodian.......................................... 107 -- 37 Dividends................................................. 5,387 1,328 608 Investment securities purchased........................... -- 36 -- Fund shares redeemed...................................... 912 543 -- Variation margin on futures............................... -- 5 -- Accrued liabilities: Investment advisory fees.................................. 267 19 33 Custodian and accounting fees............................. 72 -- 12 Other..................................................... 54 45 50 ---------- -------- -------- Total Liabilities........................................... 6,799 1,976 740 ---------- -------- -------- Net Assets.................................................. $2,841,627 $400,097 $423,667 ========== ======== ======== NET ASSETS: Paid in Capital............................................. $2,842,959 $403,772 $424,882 Accumulated undistributed (distributions in excess of) net investment income......................................... (1,433) 130 (192) Accumulated net realized gains (losses) from investments and futures................................................... (681) (241) (172) Net unrealized appreciation (depreciation) from investments and futures............................................... 782 (3,564) (851) ---------- -------- -------- Total Net Assets............................................ $2,841,627 $400,097 $423,667 ========== ======== ======== OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES): ($0.001 PAR VALUE)................................................ 284,553 26,917 42,514 Net Asset Value............................................. $ 9.99 $ 14.86 $ 9.97 Cost of Investments......................................... $2,649,513 $404,031 $421,272
See notes to financial statements JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 58 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (AMOUNTS IN THOUSANDS) FOR THE PERIODS INDICATED
EQUITY CORE INDEX INTERMEDIATE BOND TRUST TRUST BOND TRUST 2/7/05(A) 2/7/05(A) 2/7/05(A) THROUGH THROUGH THROUGH 6/30/05 6/30/05 6/30/05 ---------- ----------- ------------ INVESTMENT INCOME: Dividend income............................................. $ -- $ 2,826 $ -- Dividend income from affiliates*............................ 2,740 68 371 Interest income............................................. 49,692 --(b) 7,329 ------- ------- ------- Total Investment Income..................................... 52,432 2,894 7,700 ------- ------- ------- EXPENSES: Investment advisory fees.................................... 3,127 374 480 Administration fees......................................... 1,042 149 160 Custodian and accounting fees............................... 85 21 15 Interest expense............................................ -- 2 -- Professional fees........................................... 52 42 43 Trustees' fees.............................................. 33 5 5 Printing and mailing costs.................................. 21 3 4 Registration and filing fees................................ --(b) 1 1 Transfer agent fees......................................... 5 4 5 Other....................................................... 73 11 12 ------- ------- ------- Total expenses before waivers............................... 4,438 612 725 ------- ------- ------- Less amounts waived......................................... (2,874) (460) (485) ------- ------- ------- Net Expenses................................................ 1,564 152 240 ------- ------- ------- Net Investment Income (Loss)................................ 50,868 2,742 7,460 ------- ------- ------- REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND FUTURES: Net realized gain (loss) on transactions from: Investments............................................... (681) (313) (172) Investment transactions in affiliates..................... -- (1) -- Futures................................................... -- 73 -- ------- ------- ------- Net realized gain (loss).................................... (681) (241) (172) ------- ------- ------- Net increase (decrease) in unrealized appreciation (depreciation) of: Investments............................................... 782 (3,291) (843) Investment transactions in affiliates..................... -- (271) (8) Futures................................................... -- (2) -- ------- ------- ------- Net change in unrealized appreciation (depreciation)........ 782 (3,564) (851) ------- ------- ------- Net realized/unrealized gains (losses) on investments and futures................................................... 101 (3,805) (1,023) ------- ------- ------- Net increase (decrease) in net assets resulting from operations................................................ $50,969 $(1,063) $ 6,437 ======= ======= ======= *Includes reimbursement of investment advisory and administration fees of:................................... $ 387 $ 3 $ 50 ------- ------- -------
- ------------ (a) Commencement of operations. (b) Amount rounds to less than $1,000 See notes to financial statements JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 59 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS) FOR THE PERIODS INDICATED
INTERMEDIATE CORE BOND TRUST EQUITY INDEX TRUST BOND TRUST ----------------- ------------------ ----------------- 2/7/05(a) 2/7/05(a) 2/7/05(a) THROUGH 6/30/05 THROUGH 6/30/05 THROUGH 6/30/05 ----------------- ------------------ ----------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss).......................... $ 50,868 $ 2,742 $ 7,460 Net realized gain (loss) on investments and futures... (681) (241) (172) Change in net unrealized appreciation/depreciation of investments and futures............................. 782 (3,564) (851) ---------- -------- -------- Net increase (decrease) in net assets from operations........................................ 50,969 (1,063) 6,437 ---------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income.............................. (52,301) (2,612) (7,652) CAPITAL SHARE TRANSACTIONS: Proceeds from shares issued........................... 2,931,444 430,642 450,019 Dividends reinvested.................................. 27,870 440 4,903 Cost of shares redeemed............................... (116,355) (27,310) (30,040) ---------- -------- -------- Change in net assets from capital transactions.......... 2,842,959 403,772 424,882 ---------- -------- -------- NET ASSETS: Total increase (decrease) in net assets................. 2,841,627 400,097 423,667 Beginning of period..................................... -- -- -- ---------- -------- -------- End of period........................................... $2,841,627 $400,097 $423,667 ========== ======== ======== Accumulated undistributed (distributions in excess of) net investment income................................. $ (1,433) $ 130 $ (192) ========== ======== ======== SHARE TRANSACTIONS: Issued................................................ 293,412 28,734 45,063 Reinvested............................................ 2,811 30 494 Redeemed.............................................. (11,670) (1,847) (3,043) ---------- -------- -------- Change in Shares........................................ 284,553 26,917 42,514 ========== ======== ========
- ------------ (a) Commencement of operations. See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 60 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
PER SHARE OPERATING PERFORMANCE -------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS DISTRIBUTIONS ---------------------------------------------------- ------------------------------------- NET ASSET NET NET REALIZED VALUE, INVESTMENT AND UNREALIZED TOTAL FROM NET NET BEGINNING INCOME GAINS (LOSSES) INVESTMENT INVESTMENT REALIZED TOTAL OF PERIOD (LOSS) ON INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS --------- ---------- -------------- ---------- ---------- -------- ------------- CORE BOND TRUST February 7, 2005 (a) to June 30, 2005............................. $10.00 $0.19 $ 0.00 $0.19 $(0.20) -- $(0.20) EQUITY INDEX TRUST February 7, 2005 (a) to June 30, 2005............................. 15.00 0.10 (0.14) (0.04) (0.10) -- (0.10) INTERMEDIATE BOND TRUST February 7, 2005 (a) to June 30, 2005............................. 10.00 0.18 (0.02) 0.16 (0.19) -- (0.19)
- ------------ (a) Commencement of operations. (b) Annualized for periods less than one year (c) Not annualized for periods less than one year See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 61 - --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: --------------------------------------------------- NET ASSET NET ASSETS NET INVESTMENT EXPENSES TO VALUE, END OF EXPENSES TO INCOME TO AVERAGE NET PORTFOLIO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET ASSETS WITHOUT TURNOVER PERIOD RETURN(c) (THOUSANDS) ASSETS(b) ASSETS(b) WAIVERS(b) RATE(c) --------- --------------- ----------- ------------- -------------- ------------------ --------- $ 9.99 1.89% $2,841,627 0.15% 4.88% 0.43% 6% 14.86 (0.27) 400,097 0.10 1.84 0.41 5 9.97 1.58 423,667 0.15 4.69 0.45 6
See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 62 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION JPMorgan Institutional Trust ("JPMIT") (the "Trust") was organized on September 14, 2004 as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the "1940 Act") as an open-end management investment company. Three separate series of the Trust (collectively, the "Funds") commenced operations on February 7, 2005: Core Bond Trust, Equity Index Trust and Intermediate Bond Trust. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Trust in preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS Listed securities are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quoted by the NASDAQ Stock Market shall generally be the NASDAQ Official Closing Price. Unlisted securities are valued at the last sale price provided by an independent pricing agent or principal market maker. Listed securities for which the latest sales prices are not available are valued at the mean of the latest bid and ask price as of the closing of the primary exchange where such securities are normally traded. Corporate debt securities, debt securities issued by the U.S. Treasury or a U.S. government agency (other than short-term investments maturing in less than 61 days), and municipal securities are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Short-term investments maturing in less than 61 days are valued at amortized cost, which approximates market value. Futures, options and other derivatives are valued on the basis of available market quotations. Investments in other open-end investment companies are valued at such investment company's current day closing net asset value per share. Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is 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 The Funds may enter into futures contracts for the delivery of securities at a fixed price at some future date or for the change in the value of a specified financial index over a predetermined time period. Upon entering into a futures contract, the Funds are required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount. This is known as the initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuations in fair value of the position. Variation margin is recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the Funds realize a gain or loss. 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 of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds' credit risk is limited to failure of the exchange or board of trade. Index futures contracts are used to control the asset mix of the portfolio in the most efficient manner, allowing the Funds to adjust exposures while incurring minimal transaction costs. Short index futures contracts are used for hedging purposes, i.e. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 63 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. As of June 30, 2005, the JPMorgan Equity Index Trust had outstanding futures contracts as listed on its Schedule of Portfolio Investments. C. REPURCHASE AGREEMENTS The Funds may enter into repurchase agreement transactions with institutions that meet the investment advisor's credit guidelines. Each repurchase agreement is valued at amortized cost. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. D. RESTRICTED AND ILLIQUID SECURITIES The Funds may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business without a loss, and includes repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. The following are approximately the market value and percentage of the investments that are illiquid and restricted as of June 30, 2005 (amounts in thousands):
FUND MARKET VALUE PERCENTAGE ---- ------------ ---------- JPMorgan Intermediate Bond Trust............................ $ 1 0.00%(g)
--------------- (g) Amount rounds to less than 0.01%. E. SECURITIES LENDING To generate additional income, each Fund may lend up to 33 1/3% of its assets pursuant to agreements ("borrower agreements") requiring that the loan be continuously secured by cash or securities issued by the U.S. government or its agencies or instrumentalities (collectively, "U.S. government securities"). JPMorgan Chase Bank, N.A. ("JPMCB"), an affiliate of the Funds, serves as lending agent to the Funds pursuant to a Securities Lending Agreement approved by the Board of Trustees (the "Securities Lending Agreement"). Under the Securities Lending Agreement, JPMCB acting as agent for the Funds' loans securities to approved borrowers pursuant to approved borrower agreements in exchange for collateral equal to at least 100% of the market value of the loaned securities plus accrued interest. During the term of the loan, the Funds receive payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities Lending Agreement. For loans secured by cash, the Funds retain the interest on cash collateral investments but are required to pay the borrower a rebate for use of the cash collateral. For loans secured by US government securities, the borrower pays a borrower fee to the lending agent on behalf of the Funds. Risks of delay in recovery of securities or even loss of rights in the securities may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the collateral received. JPMCB will indemnify the Fund from any losses resulting from a borrower's failure to return a loaned security when due. Such indemnification does not extend to losses associated with declines in the value of cash collateral investments. Loans are subject to termination by the Funds or the borrower at any time, and are, therefore, not considered to be illiquid investments. As of and for the period ended June 30, 2005, the Funds had no securities on loan. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 64 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED F. 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 a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend. Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is the Fund's policy to segregate assets with a current value at least equal to the amount of its TBA, when-issued or delayed delivery purchase commitments. G. ALLOCATION OF INCOME AND EXPENSES Expenses directly attributable to a Fund are charged directly to that Fund while the expenses attributable to more than one Fund of the Trust are allocated among the respective Funds. H. FEDERAL INCOME TAXES Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each 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 its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. I. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income are declared and paid monthly for the Core Bond Trust and Intermediate Bond Trust, and declared and paid quarterly for the Equity Index Trust. Net realized capital gains, if any, are distributed at least annually. Distributions from net investment income and from net capital gains are determined in accordance with U.S. income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for mortgage-backed securities, expiring capital loss carryforwards, and deferrals of certain losses. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management Inc. (the "Advisor") acts as the investment advisor to the Funds. The Advisor is a wholly-owned subsidiary of J.P. Morgan Asset Management Holdings, Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. ("JPMorgan"). The Advisor supervises the investments of the Funds and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's average daily net assets. The annual fee rate for the Funds is as follows:
FUND ---- Core Bond Trust............................................. 0.30% Equity Index Trust.......................................... 0.25% Intermediate Bond Trust..................................... 0.30%
The Funds may invest in one or more money market funds advised by the Advisor or its affiliates. Investment advisory and administration fees are waived and/or reimbursed from the Funds in an amount sufficient to offset any doubling up of such fees related to each Fund's investment in an affiliated money market fund to the extent required by law. The advisor waived advisory fees and/or reimbursement expenses as outlined in Note 3.E. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 65 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED B. ADMINISTRATION FEE Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the "Administrator") (formerly One Group Administrative Services, Inc.), an indirect, wholly-owned subsidiary of JPMorgan, 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 0.10% of the Funds' average daily net assets. The Administrator waived Administration fees and/or reimbursed expenses as outlined in Note 3.D. Effective July 1, 2005, J.P. Morgan Investor Services, Co. ("JPMIS") began serving as the Funds' sub-administrator. For its services as sub-administrator, JPMIS receives a portion of the fees payable to the Administrator. Prior to July 1, 2005 BISYS Funds Services, L.P. ("BISYS") served as the Funds' sub-administrator. For its services as sub-administrator, BISYS received a portion of the fees payable to the Administrator. C. CUSTODIAN AND FUND ACCOUNTING FEES JPMCB provides custody and fund accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and fund accounting services are included in custodian and accounting fees in the Statement of Operations. The custodian and accounting fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings, if any, credits are presented separately in the Statement of Operations. D. PLACEMENT AGENT J.P. Morgan Institutional Investments, Inc. (the "Placement Agent"), 522 Fifth Avenue, New York, New York 10036, a registered broker-dealer affiliated with the Advisor, serves as the Fund's Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with the Fund's private placement of its shares. E. WAIVERS AND REIMBURSEMENTS The Advisor and Administrator have contractually agreed to waive fees or reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, and extraordinary expenses) exceed the percentages of each Fund's respective average daily net assets as shown in the table below (%): Core Bond Trust............................................. 0.15% Equity Index Trust.......................................... 0.10 Intermediate Bond Trust..................................... 0.15
The contractual expense limitation agreements were in effect for the period ended June 30, 2005. The expense limitation percentages in the table above are due to expire June 30, 2006. For the period ended June 30, 2005, the Funds' service providers waived fees and contractually reimbursed expenses for the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
CONTRACTUAL WAIVERS ------------------- INVESTMENT FUND ADVISORY ADMINISTRATION TOTAL ---- ---------- -------------- ----- Core Bond Trust............................................. $1,832 $1,042 $2,874 Equity Index Trust.......................................... 311 149 460 Intermediate Bond Trust..................................... 325 160 485
4. OTHER Certain officers of the Trust are affiliated with the Advisor and the Administrator. Such officers receive no compensation from the Funds for serving in their respective roles. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 66 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED During the period, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor. The Funds may use related party brokers/ dealers. For the period ended June 30, 2005, Core Bond Trust, Equity Index Trust, and Intermediate Bond Trust did not incur any brokerage commissions with brokers/ dealers affiliated with the Advisor. The SEC has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 5. INVESTMENT TRANSACTIONS During the period ended June 30, 2005, purchases and sales of investments (excluding short-term investments and in-kind transactions) were as follows (amounts in thousands):
PURCHASES SALES (EXCLUDING (EXCLUDING PURCHASES OF SALES OF FUND U.S. GOVERNMENT) U.S. GOVERNMENT) U.S. GOVERNMENT U.S. GOVERNMENT ---- ---------------- ---------------- --------------- --------------- Core Bond Trust................... $ 190,306 $147,307 $ 32,105 $4,424 Equity Index Trust................ 124,229 16,974 -- -- Intermediate Bond Trust........... 29,614 24,183 7,550 9
6. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2005, were as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) --------- ------------ ------------ -------------- Core Bond Trust.............................. $2,649,513 $17,713 $ (16,931) $ 782 Equity Index Trust........................... 404,424 12,248 (16,203) (3,955) Intermediate Bond Trust...................... 421,272 1,807 (2,658) (851)
The tax character of distributions paid during the period ended June 30, 2005 was as follows: (Total distributions paid may differ from the Statement of Changes in Net Assets because for tax purposes dividends are recognized when actually paid.) (amounts in thousands):
DISTRIBUTIONS PAID FROM: ------------------------------------------------------- DISTRIBUTIONS NET PAYABLE INVESTMENT TOTAL AS OF INCOME DISTRIBUTIONS PAID JUNE 30, 2005 ---------- ------------------ ------------- Core Bond Trust........................................ $46,914 $46,914 $5,387 Equity Index Trust..................................... 1,284 1,284 1,328 Intermediate Bond Trust................................ 7,044 7,044 608
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 Continued 67 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED At June 30, 2005, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
CURRENT DISTRIBUTABLE CURRENT LONG-TERM CAPITAL GAIN OR UNREALIZED DISTRIBUTABLE TAX BASIS CAPITAL LOSS APPRECIATION ORDINARY INCOME CARRYOVER (DEPRECIATION) --------------------- ------------------------- -------------- Core Bond Fund............................... $3,963 $ 0 $ 782 Equity Index Trust........................... 1,567 43 (3,955) Intermediate Bond Trust...................... 417 0 (851)
For Equity Index Trust the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals. Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the period ended June 30, 2005, the Funds deferred to July 1, 2005 post October capital losses of (amounts in thousands):
CAPITAL LOSSES -------------- Core Bond Trust............................................. $681 Equity Index Trust.......................................... 0 Intermediate Bond Trust..................................... 172
7. BORROWINGS The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the JPMorgan Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund's borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. As of and for the period ended June 30, 2005, the Fund had no outstanding borrowings from the unsecured uncommitted credit facility. 8. CONCENTRATIONS AND INDEMNIFICATIONS The ability of the issuers of debt, asset-backed and mortgage-backed securities, 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. 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. 9. TRANSFERS-IN-KIND For the period ended June 30, 2005, certain shareholders of the Core Bond Trust, Equity Index Trust and Intermediate Bond Trust purchased shares in exchange for investment portfolio securities primarily by means of a subscription in-kind exchange JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 68 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED for shares of the Fund. Cash and portfolio securities were transferred on the dates and at the market values listed below (amounts in thousands):
FUND DATE MARKET VALUE TYPE ---- ---- ------------ ---- Core Bond Trust............................................ 02/04/05 $2,394,758 Subscription in-kind 03/31/05 9,392 Subscription in-kind Equity Index Trust......................................... 02/04/05 269,260 Subscription in-kind Intermediate Bond Trust.................................... 02/04/05 373,851 Subscription in-kind
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 69 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of JPMorgan Institutional Trust In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio 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 Core Bond Trust, JPMorgan Equity Index Trust, and JPMorgan Intermediate Bond Trust (hereafter referred to collectively as the "Funds") at June 30, 2005 and the results of each of their operations, changes in net assets, and financial highlights for the period February 7, 2005 (commencement of operations) to June 30, 2005, 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 audit. We conducted our audit 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 audit, which included confirmation of securities at June 30, 2005 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York August 15, 2005 JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 70 JPMORGAN INSTITUTIONAL TRUST FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- TRUSTEES
NUMBER OF PORTFOLIOS/FUNDS IN NAME (YEAR OF BIRTH); JPMORGAN FUNDS POSITIONS WITH PRINCIPAL OCCUPATION(S) COMPLEX(1) OTHER DIRECTORSHIPS HELD THE TRUST (SINCE) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE OUTSIDE JPMORGAN FUNDS COMPLEX - ------------------------ ------------------------------ -------------------- ------------------------------ NON-INTERESTED TRUSTEES Cheryl Ballenger (1956); Mathematics Teacher, Vernon 13 None. Chairperson (since 2005) Hills High School (August and Trustee (since 2005) 2004- Present); Mathematics Teacher, Round Lake High School (2003-2004) and formerly Executive Vice President and Chief Financial Officer, Galileo International Inc. (travel technology) Jerry B. Lewis (1939); Retired; formerly President, 13 None. Trustee (since 2005) Lewis Investments Inc. (registered investment adviser); previously, various managerial and executive positions at Ford Motor Company (Treasurer's Office, Controller's Office, Auditing and Corporate Strategy) John R. Rettberg (1937); Retired; formerly Corporate 13 None. Trustee (since 2005) Vice President and Treasurer, Northrop Grumman Corporation (defense contractor) Ken Whipple (1934); Chairman (1999-Present) and 13 Director of AB Volvo and Korn Trustee (since 2005) CEO (1999-2004), CMS Energy Ferry International (executive recruitment) INTERESTED TRUSTEES John F. Ruffle(2) Retired; formerly Vice 13 Trustee of John Hopkins (1937); Trustee (since Chairman, J.P. Morgan Chase & University, Director of 2005) Co. Inc. and Morgan Guaranty Reckson Associates Realty Trust Co. of NY Corp. and American Shared Hospital Services
- ------------ (1) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services, or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other investment companies. The JPMorgan Funds Complex for which the Trustees serve includes four investment companies. (2) The Board has designated Mr. Ruffle an "interested person" at his request because, until his retirement in 1993, he was an executive officer of the parent company of the Trust's investment adviser. (3) The contact address for each of the Trustees is 522 Fifth Avenue, New York, NY 10036. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 71 JPMORGAN INSTITUTIONAL TRUST FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- OFFICERS
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUND (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS - ---------------------------- ------------------------------------------------------------ George C.W. Gatch (1962), Managing Director of JPMorgan Investment Management Inc.; President (2005) Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of JPMorgan Funds. Mr Gatch has been an employee since 1986 and Mr. Gatch has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing and sales. Robert L. Young (1963), Director and Vice President of JPMorgan Distribution Senior Vice President Services, Inc. and JPMorgan Funds Management, Inc.; Chief (2005)* Operating Officer, JPMorgan Funds since 2005 to present and One Group Mutual Funds from 2001 until 2005. Mr. Young is Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. Patricia A. Maleski (1960), Vice President, JPMorgan Funds Management, Inc.; previously, Vice President and Chief Treasurer, JPMorgan Funds and Head of Funds Administration Administrative Officer and Board Liaison. Ms. Maleski was the Vice President of (2005) Finance for the Pierpont Group, Inc., an independent company owned by Board of Directors/Trustees of the JPMorgan Funds, prior to joining J.P. Morgan Chase & Co. in 2001. Stephanie J. Dorsey (1969), Vice President, JPMorgan Funds Management, Inc.; Director of Treasurer (2005)* Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JP Morgan Chase & Co., (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. Scott E. Richter (1956), From February 2003 to present, Senior Associate General Secretary and Chief Legal Counsel, Bank One Corporation (now known as JPMorgan Chase & Officer (2005)* Co.). From November 1998 to January 2003, Deputy General Counsel, Institutional Division, INVESCO. From January 1997 to October 1998, Associate General Counsel, Piper Capital Management. Michael L. Tucker (1954), First Vice President and Senior Counsel, JPMorgan Chase & Vice President and Assistant Co. Member of Law Department since 1998. Mr. Tucker was an Secretary (2005)* Associate from 1987-1994 and Of Counsel 1995-1998 at the law firm of Mayer, Brown, Rowe and Maw. Susan M. Camming (1969), Vice President and Senior Counsel, JPMorgan Chase & Co. Vice President and Assistant Member of Law Department since 1991. Secretary (2005)* Paul L. Gulinello (1950), Vice President and Anti Money Laundering Compliance Officer Vice President (2005) for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. Stephen M. Benham (1959), Vice President and Assistant General Counsel, JPMorgan Chase Secretary (2005) & Co. since 2004; Vice President (Legal Advisory) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004; attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. Elizabeth A. Davin (1964), Vice President and Assistant General Counsel, JPMorgan Chase Assistant Secretary (2005)* & Co. since 2005;Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004-2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. Jessica K. Ditullio (1962), Vice President and Assistant General Counsel, JPMorgan Chase Assistant Secretary (2005)* & Co. since 2005; Ms. Ditullio has served as attorney with various titles for JP Morgan Chase & Co. (formerly Bank One Corporation) since 1990. Nancy E. Fields (1949), Vice President, JPMorgan Funds Management, Inc. and JPMorgan Assistant Secretary (2005)* Distribution Services, Inc. from 1999 to 2005; Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services, Inc.) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.)
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 72 JPMORGAN INSTITUTIONAL TRUST FUNDS (UNAUDITED) - -------------------------------------------------------------------------------- OFFICERS, CONTINUED
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUND (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS - ---------------------------- ------------------------------------------------------------ Ellen W. O'Brien (1957), Assistant Vice President, JPMorgan Investor Services, Co., Assistant Secretary (2005)** responsible for Blue Sky registration. Ms. O'Brien has served in this capacity since joining the firm in 1991. Suzanne E. Cioffi (1967), Vice President, JPMorgan Funds Management, Inc., responsible Assistant Treasurer (2005) for mutual fund financial reporting. Ms. Cioffi has overseen various fund accounting, custody and administration conversion projects during the past five years. Christopher D. Walsh (1965), Vice President, JPMorgan Funds Management, Inc., Mr. Walsh Assistant Treasurer (2005) has managed all aspects of institutional and retail mutual fund administration and vendor relationships within the mutual funds, commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Mr. Walsh was a director of Mutual Fund Administration at Prudential Investments from 1996 to 2000. Arthur A. Jensen (1966), Vice President, JPMorgan Funds Management, Inc. since April Assistant Treasurer (2005)* 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005; Mr. Jensen was Section Manager at Northern Trust Company and Accounting Supervisor at Allstate Insurance Company prior to 2001. STEPHEN M. UNGERMAN (1953), Senior Vice President, JPMorgan Chase & Co.; Mr. Ungerman SENIOR VICE PRESIDENT AND was head of Fund Administration-Pooled Vehicles from 2000 to CHIEF COMPLIANCE OFFICER 2004. Mr. Ungerman held a number of positions in Prudential (2005) Financial's asset management business prior to 2000.
- ------------ The contact address for each of the officers, unless otherwise noted, is 522 Fifth Avenue, New York, NY 10036. * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. ** The contact address for the officer is 73 Tremont Street, Floor 1, Boston MA 02108. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 73 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- SHAREHOLDER EXPENSE EXAMPLES HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD JUNE 30, 2005 (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including investment advisory, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund 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 Fund at the beginning of the reporting period, February 7, 2005, and continued to hold your shares at the end of the reporting period, June 30, 2005. ACTUAL EXPENSES 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 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 in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds' 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 Funds 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 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.
ENDING EXPENSES PAID BEGINNING ACCOUNT DURING PERIOD ACCOUNT VALUE, VALUE, JUNE JANUARY 1, TO ANNUALIZED JANUARY 1, 2005 30, 2005 JUNE 30, 2005 EXPENSE RATIO --------------- ------------- ------------- ------------- CORE BOND TRUST Actual*......................................... $1,000 $1,018.90 $0.60 0.15% Hypothetical**.................................. $1,000 $1,019.13 $0.60 0.15% EQUITY INDEX TRUST Actual*......................................... $1,000 $ 997.30 $0.39 0.10% Hypothetical**.................................. $1,000 $1,019.33 $0.40 0.10% INTERMEDIATE BOND TRUST Actual*......................................... $1,000 $1,015.80 $0.60 0.15% Hypothetical**.................................. $1,000 $1,019.13 $0.60 0.15%
- ------------ * Beginning account values as of February 7, 2005 (commencement of offering of the Fund) and expenses paid during the period from February 7, 2005 through June 30, 2005. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 74 JPMORGAN INSTITUTIONAL TRUST FUNDS - -------------------------------------------------------------------------------- TAX LETTER (UNAUDITED) CORE BOND TRUST EQUITY INDEX TRUST INTERMEDIATE BOND TRUST Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable period ended June 30, 2005. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2005. The information necessary to complete your income tax returns for the calendar year ending December 31, 2005 will be received under separate cover. The following represents the percentage of ordinary income distributions eligible for the 70% dividend received deduction for corporate shareholders for the fiscal period ended June 30, 2005:
DIVIDEND RECEIVED DEDUCTION --------- Equity Index Trust.......................................... 100.00%
For the fiscal year ended June 30, 2005, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
QUALIFIED DIVIDEND INCOME --------- Equity Index Trust.......................................... $2,612
The following represents the percentage of income earned from direct U.S. Treasury Obligations for the fiscal period ended June 30, 2005:
INCOME FROM U.S. TREASURY OBLIGATIONS ------------- Core Bond Trust............................................. 36.01% Intermediate Bond Trust..................................... 33.45%
The following represents the percentage of qualified interest income for the fiscal year ended June 30, 2005:
QUALIFIED INTEREST INCOME --------- Core Bond Trust............................................. 95.44% Intermediate Bond Trust..................................... 96.35%
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 75 (This page intentionally left blank) JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 76 (This page intentionally left blank) JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS ANNUAL REPORT June 30, 2005 JPMorgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. receive fees for providing various 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. CONTACT JPMORGAN FUNDS DISTRIBUTION SERVICES AT 1-800-480-4111 FOR A FUND PROSPECTUS. YOU CAN ALSO VISIT US AT WWW.JPMORGANFUNDS.COM. INVESTORS SHOULD CAREFULLY CONSIDER THE INVESTMENT OBJECTIVES AND RISK AS WELL AS CHARGES AND EXPENSES OF THE MUTUAL FUND BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE MUTUAL FUND. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. 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 1-800-480-4111 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 LOGO] TOG-F-050 (8/05) ASSET MANAGEMENT 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 must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its 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, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item. If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the 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 third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver. 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 CODE OF ETHICS IN EFFECT AS OF JUNE 30, 2005 IS INCLUDED AS EXHIBIT 12(a)(1). 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 TRUSTEES HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. THE SECURITIES AND EXCHANGE COMMISSION HAS STATED THAT THE DESIGNATION OR IDENTIFICATION OF A PERON AS AN AUDIT COMMITTEE FINANCIAL EXPERT PURSUANT TO THIS ITEM 3 OF FORM N-CSR DOES NOT IMPOSE ON SUCH PERSON ANY DUTIES, OBLIGATIONS OR LIABILITIES THAT ARE GREATER THAN THE DUTIES, OBLIGATIONS AND LIABILITIES IMPOSED ON SUCH PERSON AS A MEMBER OF THE AUDIT COMMITTEE AND THE BOARD OF TRUSTEES IN THE ABSENCE OF SUCH DESIGNATION OR IDENTIFICATION. (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 EXPERTS ARE CHERYL BALLENGER, JOHN R. RETTBERG, JOHN F. RUFFLE, KENNETH WHIPPLE, JR. AND JERRY B. LEWIS. EACH TRUSTEE 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) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. AUDIT FEES -FOR THE PERIOD FEBRUARY 7, 2005 (COMMENCEMENT OF OPERATIONS) THROUGH JUNE 30, 2005 2005 - $86,425 (b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. AUDIT-RELATED FEES (ON A CALENDAR YEAR BASIS) 2004 - $8,945,000 THE AUDIT-RELATED FEES CONSIST OF AGGREGATE FEES BILLS 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 REGISTRANT'S FINANCIAL STATEMENTS, WHICH REQUIRED PRE-APPROVAL BY THE AUDIT COMMITTEE. (c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. TAX FEES -FOR THE PERIOD FEBRUARY 7, 2005 (COMMENCEMENT OF OPERATIONS) THROUGH JUNE 30, 2005 2005 - $7,418 THE TAX FEES CONSIST OF FEES BILLED IN CONNECTION WITH PREPARING THE FEDERAL REGULATED INVESTMENT COMPANY INCOME TAX RETURNS FOR THE REGISTRANT FOR THE TAX YEAR ENDED JUNE 30, 2005. FOR THE LAST FISCAL YEAR, NO TAX FEES WERE REQUIRED TO BE APPROVED PURSUANT TO PARAGRAPH (c)(7)(ii) OF RULE 2-01 OF REGULATION S-X. (d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. ALL OTHER FEES 2005 - NOT APPLICABLE (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. PURSUANT TO THE REGISTRANT'S AUDIT COMMITTEE CHARTER AND WRITTEN POLICIES AND PROCEDURES FOR THE PRE-APPROVAL OF AUDIT AND NON-AUDIT SERVICES (THE "PRE-APPROVAL POLICY"), THE AUDIT COMMITTEE PRE-APPROVES ALL AUDIT AND NON-AUDIT SERVICES PERFORMED BY THE REGISTRANT'S INDEPENDENT AUDITOR FOR THE REGISTRANT. IN ADDITION, THE AUDIT COMMITTEE WILL PRE-APPROVE THE AUDITOR'S ENGAGEMENT FOR NON-AUDIT SERVICES WITH THE REGISTRANT'S INVESTMENT ADVISER (NOT INCLUDING A SUB-ADVISER WHOSE ROLE IS PRIMARILY PORTFOLIO MANAGEMENT AND IS SUB-CONTRACTED 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 IN ACCORDANCE WITH PARAGRAPH (c)(7)(ii) OF RULE 2-01 OF REGULATION S-X, IF THE ENGAGEMENT RELATES DIRECTLY TO THE OPERATIONS AND FINANCIAL REPORTING OF THE REGISTRANT. INITIALLY THE PRE-APPROVAL POLICY LISTED A NUMBER OF AUDIT AND NON-AUDIT SERVICES THAT HAVE BEEN APPROVED BY THE AUDIT COMMITTEE, OR WHICH WERE NOT SUBJECT TO PRE-APPROVAL UNDER THE TRANSITION PROVISIONS OF SARBANES-OXLEY ACT OF 2002 (THE "PRE-APPROVAL LIST"). THE AUDIT COMMITTEE WILL ANNUALLY REVIEW AND PRE-APPROVE THE SERVICES THAT MAY BE PROVIDED BY THE INDEPENDENT ACCOUNTANT WITHOUT OBTAINING SPECIFIC PRE-APPROVAL FROM THE AUDIT COMMITTEE. THE AUDIT COMMITTEE WILL ADD TO, OR SUBTRACT FROM, THE LIST OF GENERAL PRE-APPROVED SERVICES FROM TIME TO TIME, BASED ON SUBSEQUENT DETERMINATIONS. ALL OTHER AUDIT AND NON-AUDIT SERVICES NOT ON THE PRE-APPROVAL LIST MUST BE SPECIFICALLY PRE-APPROVED BY THE AUDIT COMMITTEE. ONE OR MORE MEMBERS OF THE AUDIT COMMITTEE MAY BE APPOINTED AS THE COMMITTEE'S DELEGATE FOR THE PURPOSES OF CONSIDERING WHETHER TO APPROVE SUCH SERVICES. ANY PRE-APPROVALS GRANTED BY THE DELEGATE WILL BE REPORTED, FOR INFORMATIONAL PURPOSES ONLY, TO THE AUDIT COMMITTEE AT ITS NEXT SCHEDULED MEETING. THE AUDIT COMMITTEE'S RESPONSIBILITIES TO PRE-APPROVE SERVICES PERFORMED BY THE INDEPENDENT ACCOUNTANT ARE NOT DELEGATED TO MANAGEMENT. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. 2005 - 99.92% (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. NOT APPLICABLE. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. 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 $28.3 MILLION IN 2003 AND $25.3 MILLION IN 2004. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. THE REGISTRANT'S AUDIT COMMITTEE HAS CONSIDERED WHETHER THE PROVISION OF THE 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. INCLUDED IN ITEM 1. 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. NOT APPLICABLE. ITEM 9. PURCHASE 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 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. JPMORGAN FUNDS MANAGEMENT, INC. (FORMERLY KNOWN AS ONE GROUP ADMINISTRATIVE SERVICES, INC.) SERVES AS THE REGISTRANT'S ADMINISTRATOR. THE ADMINISTRATOR AND SUB-ADMINISTRATOR PREPARE FINANCIAL REPORTS AND ADMINISTRATIVE FILINGS ON BEHALF OF THE REGISTRANT. J.P. MORGAN INVESTORS SERVICES CO. BEGAN SERVING AS THE SUB-ADMINISTRATOR AND, IN SUCH CAPACITY, ASSISTED WITH FINANCIAL REPORTING FOR THE PERIOD COVERED BY THIS REPORT. ALL PRE-EXISTING POLICIES AND PROCEDURES REMAIN SUBSTANTIALLY THE SAME. ITEM 12. 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. THE CODE OF ETHICS THAT IS THE SUBJECT OF THE DISCLOSURE REQUIRED BY ITEM 2 IS ATTACHED HERETO. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO 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 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. JPMorgan Institutional Trust By: /s/ George C.W. Gatch --------------------------------------------------- George C.W. Gatch President and Principal Executive Officer September 8, 2005 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: /s/ George C.W. Gatch --------------------------------------------------- George C.W. Gatch President and Principal Executive Officer September 8, 2005 By: /s/ Stephanie J. Dorsey ---------------------------------------------------- Stephanie J. Dorsey Treasurer and Principal Financial Officer September 8, 2005 EX-99.CERT 2 l15455aexv99wcert.txt EX-99.CERT EXHIBIT 99.CERT CERTIFICATIONS I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of JPMorgan Institutional Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: September 8, 2005 /s/ George C.W. Gatch ------------------------------ George C.W. Gatch President and Principal Executive Officer CERTIFICATIONS I, Stephanie J. Dorsey, certify that: 1. I have reviewed this report on Form N-CSR of JPMorgan Institutional Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: September 8, 2005 /s/ Stephanie J. Dorsey ------------------------------- Stephanie J. Dorsey Treasurer and Principal Financial Officer EX-99.906CERT 3 l15455aexv99w906cert.txt EX-99.906CERT EXHIBIT 99.906 CERT CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Institutional Trust (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant. /s/ George C.W. Gatch - -------------------------------- George C.W. Gatch President and Principal Executive Officer September 8, 2005 - -------------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Institutional Trust (the "Registrant"). I, Stephanie J. Dorsey, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant. /s/ Stephanie J. Dorsey - ------------------------------ Stephanie J. Dorsey Treasurer and Principal Financial Officer September 8, 2005 - ------------------------------ Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. EX-99.CODE.ETH 4 l15455aexv99wcodeweth.txt EX-99.CODE ETH EXHIBIT 99. CODE ETH 1.1. SARBANES-OXLEY CODE OF ETHICS 1. Covered Officers/ Purpose of the Code a. This Sarbanes-Oxley Code of Ethics for the JPMorgan Funds listed on Appendix A hereto (the "Funds") applies to the Fund's Principal Executive Officer and Principal Financial Officer (the "Covered Officers"), each of whom are named in Exhibit A in Appendix 32, for the purpose of promoting i. Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; ii. Full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Funds; iii. Compliance with applicable laws and governmental rules and regulations; iv. The prompt internal reporting of violations of this Sarbanes-Oxley Code of Ethics to an appropriate person or persons identified herein; and v. Accountability for adherence to this Sarbanes-Oxley Code of Ethics. b. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. 2. Covered Officers Should Ethically Handle Actual and Apparent Conflicts of Interest. A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Funds. Certain conflicts of interest arise out of the relationships between Covered Officers and the Funds and already are subject to conflict of interest provisions in the Investment Company Act and the Advisers Act. For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of their status as "affiliated persons" of the Funds. The Funds and the investment adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Sarbanes-Oxley Code of Ethics does not, and is not intended to, repeat or replace these programs and procedures. Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and the investment advisers, principal underwriters, administrators, and/or affiliated persons thereof (the "Funds Principal Service Providers") of which the Covered Officers are also officers or employees. As a result, the Sarbanes-Oxley Code of Ethics recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Company, the Funds Principal Service Providers, or for both) be involved in establishing policies and implementing decisions that will have different effects on the Funds Principal Service Providers and the Funds. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Funds and the Funds Principal Service Providers and is consistent with the performance by the Covered Officers of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Fund's Board that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes. Other conflicts of interest are covered by the Sarbanes-Oxley Code of Ethics, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Advisers Act. The following list provides examples of conflicts of interest under the Sarbanes-Oxley Code of Ethics, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Funds. 3. Each Covered Officer must: a. Not use his personal influence or personal relationships improperly to influence investment decisions and/or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; b. Not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Funds; c. Complete on an annual basis the Funds' Trustee and Officer Questionnaire which requests information regarding other business affiliations and relationships 4. In furtherance of the above, below are some examples of conflict of interest: situations that should be discussed with the Investment Adviser's Compliance department, which is responsible for the day-to-day monitoring of the Investment Adviser and/or the Funds Chief Compliance Officer. Examples of these include, but are not limited to: a. Serving as a director on the board of any public, private company or not for profit organization; b. The receipt of any gifts in excess of $100; c. The receipt of any entertainment from any company with which the Funds have current or prospective business dealings unless such entertainment is business related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety or other formulation as the Funds already use in another code of conduct; d. Any ownership interest in, or any consulting or employment relationship with, any of the Funds' service providers, other than the Funds Principal Service Providers.; e. A direct or indirect financial interest in commissions, transaction charges or spreads paid by the Funds for effecting portfolio transactions or for selling or redeeming shares such as compensation or equity ownership other than an interest arising from the Covered Officer's employment with the Funds' Principal Service Providers. 5. Disclosure and Compliance a. Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fund; b. Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund's directors and auditors, and/or to governmental regulators and self-regulatory organizations; c. It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations; 6. Reporting and Accountability a. Each covered officer must: i. Upon adoption of this Sarbanes-Oxley Code of Ethics (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he has received, read, and understands the Code; ii. Annually thereafter affirm to the Board that he has complied with the requirements of this Sarbanes-Oxley Code of Ethics; iii. Not retaliate against any other Covered Officer and/or any employee of the Funds or affiliated persons for reports of potential violations that are made in good faith; and iv. Notify the Funds' Chief Compliance Officer promptly if he knows of any violation of this Sarbanes-Oxley Code of Ethics. b. Failure to take any of the actions specified in Section 6(a) above is itself a violation of this Sarbanes-Oxley Code of Ethics. c. The Funds' Chief Compliance Officer is responsible for applying this Sarbanes-Oxley Code of Ethics to specific situations in which questions are presented relating to the Code. The Chief Compliance Officer has the authority to interpret this Sarbanes-Oxley Code of Ethics in any particular situation. However, any waivers sought by the Covered Officer will require prior review and approval by the Funds' Board. d. The Funds will follow these procedures in investigating and enforcing this Sarbanes-Oxley Code of Ethics: i. The Funds' Chief Compliance Officer (or his designee) will take all appropriate action to investigate any potential violations reported to him; ii. If, after such investigation, the Funds' Chief Compliance Officer believes that no violation has occurred, the Chief Compliance Officer is not required to take any further action; iii. Any matter the Funds' Chief Compliance Officer believes to be a violation will be reported to the Funds' Board which will consider appropriate action, which may include review of, and/or appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; and/or a recommendation to dismiss the Covered Officer; iv. The Funds' Board will be responsible for granting waivers, as appropriate; and v. Any changes to, or waivers of this Sarbanes-Oxley Code of Ethics will, to the extent required, be disclosed to the Funds' Board as provided by SEC rules. 7. This Sarbanes-Oxley Code of Ethics shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds' adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Sarbanes-Oxley Code of Ethics, they are superseded by the Sarbanes-Oxley Code of Ethics to the extent that they overlap or conflict with the provisions of this Sarbanes-Oxley Code of Ethics. The Funds' and their investment adviser's codes of ethics under Rule 17j-l, under the Investment Company Act, the adviser's more detailed policies and procedures set forth in the Investment Adviser's Code of Ethics are separate requirements applying to the Covered Officers and others, and are not part of this Sarbanes-Oxley Code of Ethics. 8. Any amendments to the Sarbanes-Oxley Code of Ethics, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Funds' Board, including a majority of independent directors or trustees. 9. All reports and records prepared or maintained pursuant to this Sarbanes-Oxley Code of Ethics will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Sarbanes-Oxley Code of Ethics, such matters shall not be disclosed to anyone. 10. All reports and records maintained under this Sarbanes-Oxley Code of Ethics are intended solely for internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance, or legal conclusion. -----END PRIVACY-ENHANCED MESSAGE-----