N-CSRS 1 l17537anvcsrs.txt JP MORGAN INSTITUTIONAL TRUST N-CSRS 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 Date of reporting period: July 1, 2005 to December 31, 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 DECEMBER 31, 2005 (UNAUDITED) Institutional Trust Funds JPMorgan Core Bond Trust JPMorgan Equity Index Trust JPMorgan Intermediate Bond Trust [JPMORGAN LOGO] Asset Management 1 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- TABLE OF CONTENTS President's Letter.......................................... 2 Portfolio Performance Review................................ 3 Schedules of Portfolio Investments.......................... 10 Statements of Assets and Liabilities........................ 60 Statements of Operations.................................... 61 Statements of Changes in Net Assets......................... 62 Financial Highlights........................................ 64 Notes to Financial Statements............................... 66 Trustees.................................................... 72 Officers.................................................... 73 Schedule of Shareholder Expenses............................ 75
HIGHLIGHTS - The U.S. equity market overcame several challenges. - FOMC raised rates at a measured pace. - Bond performance was lackluster. 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 SEMI-ANNUAL REPORT December 31, 2005 2 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- PRESIDENT'S LETTER (UNAUDITED) JANUARY 10, 2006 DEAR SHAREHOLDER: We are pleased to present this semi-annual report containing detailed information on the JPMorgan Institutional Trust Funds for the six months ended December 31, 2005. Inside you'll find in-depth information on the Institutional Trust Funds along with an update from the Portfolio Managers. STOCKS PRODUCED SOLID RETURNS The U.S. equity market overcame several challenges during the reporting period, including rising interest rates, surging oil prices, a devastating hurricane season and geopolitical issues. While these factors often overshadowed solid corporate profit growth, the overall market ultimately produced respectable returns during the reporting period. As expected, the Federal Open Market Committee (FOMC) continued to raise interest rates at a measured pace in an attempt to ward off inflation. After a series of nine rate hikes from June 2004 through June 2005, the FOMC raised rates four additional times during the six-month reporting period. All told, short-term rates moved to 4.25% by the end of 2005. Despite these actions and the destruction inflicted by hurricanes Katrina, Rita and Wilma, the U.S. economy continued to expand at a brisk pace over the period. Following gross domestic product (GDP) growth of 3.8% in the first quarter of the year, second- quarter GDP was 3.1%. While this was still a solid gain, higher oil prices, which surpassed $70 a barrel, were cited as a reason for the fall in GDP. However, the economy demonstrated its resiliency by expanding 4.1% in the third quarter. MIXED STOCK PERFORMANCE The broad stock market, as measured by the S&P 500 Index, returned 5.77% during the six months ended December 31, 2005. While there were hopes for another strong rally in the fourth quarter of the year - similar to the 12.18% and 9.23% returns in the fourth quarters of 2003 and 2004, respectively - this did not come to pass in 2005. Concerns over further rate hikes by the FOMC and inflationary pressures tempered the market's gains at the end of the year. Elsewhere during the six-month period, mid-capitalization stocks generated significant returns, with the Russell Midcap Index gaining 8.41%. Large- and small-capitalization stocks generated relatively similar performance over the period, as the Russell 1000 Index and Russell 2000 Index returned 6.15% and 5.88%, respectively. BOND PERFORMANCE WAS LACKLUSTER Overall, the bond market remained lethargic in the period, with little movement beyond the short end of the yield curve. The flattening of the yield curve and a lack of valuation did little to inspire investors. Broad market indexes, such as the Lehman Brothers Aggregate Bond Index, posted positive total returns in 2005. This represents the sixth-consecutive year of positive returns, but the lowest since 1999. OUTLOOK As we begin the new year, the outlook for equity markets is somewhat mixed. Positives include a solid economy, relatively lower oil prices and the possibility of the FOMC ending its rate hike campaign. On the other hand, corporate profits are expected to decelerate in 2006. In addition, should inflation increase, the FOMC may continue to raise rates. Given these uncertainties, investors should take a long-term approach with their investments and maintain a diversified portfolio. On behalf of us all at JPMorgan Asset Management, thank you for your confidence and the 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 SEMI-ANNUAL REPORT December 31, 2005 3 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED) HOW DID THE FUND PERFORM? The JPMorgan Core Bond Trust, which seeks maximum total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities, returned 0.03% for the six months ended December 31, 2005 versus its benchmark, the Lehman Brothers Aggregate Bond Index return of (0.08%) for the same period.+ WHY DID THE FUND PERFORM THIS WAY? Interest rates across the yield curve ratcheted higher as the economy continued to show signs of strength despite consequences from a devastating hurricane season. The two-year Treasury was up 77 basis points (bps) while the 30-year Treasury was up 35 bps for the six-month period. By year-end, the yield curve flattened to the point of inversion with the two-year trading at 4.40%, 1 basis point higher than the 10-year Treasury. This scenario created a challenging environment for fixed income investors. As interest rates rose, the resulting pricing losses for bonds wiped out most of the gains from income. Compared to the benchmark, the Fund benefited from maintaining a slightly shorter duration in the rising-interest-rate environment. The spread sectors turned in mixed results as asset-backed securities (ABS) outperformed comparable-duration Treasuries, while corporate bonds and mortgage-backed securities underperformed. In the credit sector, industrial bonds underperformed other sub-sectors, as bondholders became wary of event risk and shareholder-friendly actions. The Fund benefited from its underweight to industrial bonds. HOW WAS THE FUND MANAGED? We continued to overweight mortgages, particularly well-structured collateralized mortgage obligations (CMOs). In addition, we maintained the Fund's underweight in corporate and agency securities. Within the corporate sector, we favored bonds within the financials sector, and we underweighted lower-rated credits. We also limited the Fund's exposure to the longest end of the maturity spectrum. WHAT IS THE OUTLOOK FOR THE FUND? The yield curve continued to be vulnerable to inversion as the two-year and 10-year Treasuries hover near the 4.40% level. If the flat curve persists, liquidity may suffer and spreads may widen. Given the ambiguity surrounding the Fed's intentions, along with the flat yield curve and the Fund's yield advantage, we are comfortable maintaining a slightly shorter duration than the benchmark. In the mortgage sector, we continue to favor mortgage-backed securities over agency debentures and seasoned mortgage-backed securities over new issues. Within the corporate sector, we believe that share buybacks, special dividends, and other shareholder-friendly actions are likely to continue. At the same time default rates are projected to rise in 2006. Given the likelihood for increased name-specific event risk, we remain selective among corporate-bond issuers, particularly in the BBB-rated segment. FUND FACTS Fund Inception.............................................. February 7, 2005 Fiscal Year End............................................. June 30 Net Assets as of 12/31/2005 (in Thousands).................. $2,993,513 Primary Benchmark........................................... Lehman Brothers Aggregate Bond Index
------------ + The advisor seeks to achieve the Fund's objective. There can be no guarantee it will be achieved. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 4 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED), CONTINUED
MATURITY DISTRIBUTION* Less than one year...........................12.4% Years 1-5....................................48.4% Years 6-10...................................30.9% Years 11-20...................................7.4% Over 20 Years.................................0.9% Average years to Maturity...............14.2 years Duration.................................4.3 years
PORTFOLIO COMPOSITION** Collateralized Mortgage Obligations..................................47.8% U.S. Treasury Obligations....................20.8% Corporate Bonds..............................10.9% Mortgage Pass-Through Securities..................................6.8% Asset-Backed Securities.......................1.7% U.S. Government Agencies......................0.9% Commercial Mortgage Backed Securities..................................0.6% Foreign Government Securities.................0.5% Municipal Bonds...............................0.1% Supranational..............................0.0%(a) Short-Term Investments........................9.3% Investments of Cash Collateral on Securities Loaned........................7.1%
QUALITY BREAKDOWN* Government Agency............................73.7% AAA..........................................15.2% AA............................................1.8% A.............................................5.8% BBB...........................................2.4% BB............................................0.9% CCC & Other...................................0.2%
--------------- * As of 12/31/05. The Portfolio's composition subject to change. Percentages for Maturity Distribution and Quality Breakdown are based on market value of securities. ** Percentages indicated are based upon net assets as of December 31, 2005. (a) Amount rounds to less than 0.1%. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 5 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED), CONTINUED
--------------------------------------------------------------------------------- TOTAL RETURN AS OF DECEMBER 31, 2005 --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION --------------------------------------------------------------------------------- Core Bond Trust 02/07/05 1.93% ---------------------------------------------------------------------------------
LIFE OF FUND PERFORMANCE [GRAPH] Value of $10,000,000 Investment
LEHMAN BROTHERS AGGREGATE CORE BOND TRUST BOND INDEX --------------- ----------------- 2/05 10000000.00 9941020.00 3/05 9868918.00 9889913.00 4/05 10018966.00 10023753.00 5/05 10124109.00 10132200.00 6/05 10189098.00 10187451.00 7/05 10078946.00 10094786.00 8/05 10233613.00 10224191.00 9/05 10130762.00 10118882.00 10/05 10068800.00 10038832.00 11/05 10100946.00 10083003.00 12/05 10192583.00 10178811.00
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. MUTUAL FUNDS ARE SUBJECT TO CERTAIN MARKET RISK. INVESTMENT RETURNS AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust and the Lehman Brothers Aggregate Bond Index. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the index does not include fees and expenses attributable to the Fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Lehman Brothers Aggregate Bond Index represents the performance of the bond market as a whole. Investors cannot invest directly in an index. The Fund's shares have a $10,000,000 minimum investment and carry no sales charge. Performance may reflect the waiver and reimbursement of the Fund's fees/expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemptions of fund shares. The performance for the Index reflects an initial investment at the end of the month following the Fund's inception. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 6 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED) HOW DID THE FUND PERFORM? The JPMorgan Equity Index Trust seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor's 500 Composite Stock Price Index ("S&P 500").+ For the six months ended December 31, 2005, the Fund returned 5.74% versus its benchmark index, the S&P 500 return of 5.77%. WHY DID THE FUND PERFORM THIS WAY? During the six months, U.S. large-cap core equities produced solid returns overall. July and November proved to be especially favorable for the market, on the heels of positive earnings news. The two best-performing sectors for the period were non-energy minerals and industrial services. Only two sectors, consumer durables and communications, had negative returns. HOW WAS THE FUND MANAGED? All 500 stocks in the benchmark were held in the Fund at weights consistent with those in the benchmark. Changes in the benchmark's stock composition and weightings were implemented in the Fund in a timely, efficient and low-cost manner. When Standard & Poor's completed its second and final phase of transitioning the S&P 500 to a full "free-float" methodology++ in the third quarter, we implemented this change in a manner to limit negative tracking. Fund exposures at the stock level, sector level and factor level are closely monitored to ensure that unintended active bets are not in place. The Fund is fully invested at all times to minimize market risk and the resulting cash drag on performance. Typically, the Fund will be 99.50% invested in common stocks and 0.50% invested in equitized cash. Cash is equitized by investing in a combination of index futures contracts and exchange-traded funds.
FUND FACT Fund Inception.............................................. February 7, 2005 Fiscal Year End............................................. June 30 Net Assets as of 12/31/2005 (in Thousands).................. $416,817 Primary Benchmark........................................... S&P 500 Index
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO* General Electric Co. .............. 3.3% Exxon Mobil Corp. ................. 3.1% Citigroup, Inc. ................... 2.2% Microsoft Corp. ................... 2.1% Procter & Gamble Co. .............. 1.7% Bank of America Corp. ............. 1.6% Johnson & Johnson.................. 1.5% American International Group, Inc. ............................ 1.5% Pfizer, Inc. ...................... 1.5% Altria Group, Inc. ................ 1.4%
PORTFOLIO COMPOSITION* Financials......................... 21.1% Information Technology............. 14.9% Health Care........................ 13.2% Industrials........................ 11.4% Consumer Discretionary............. 10.5% Consumer Staples................... 9.4% Energy............................. 9.2% Utilities.......................... 3.3% Materials.......................... 3.0% Telecommunication Services......... 3.0% Mutual Funds....................... 0.1% Short-Term Investments............. 0.1% Investments of Cash Collateral for Securities on Loan............... 10.2%
--------------- * Percentages indicated are based upon net assets as of December 31, 2005. The Portfolio's composition is subject to change. --------------- + The advisor seeks to achieve the Fund's objective. There can be no guarantee it will be achieved. "S&P 500" is a registered service mark of Standard and Poor's Corporation, which does not sponsor and is in no way affiliated with the Fund. ++ A free float methodology includes only the shares that are currently available for trading in the market. S&P now uses float shares in the market-cap calculation of the cap weighted indices. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 7 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED), CONTINUED
--------------------------------------------------------------------------------- TOTAL RETURN AS OF DECEMBER 31, 2005 --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION --------------------------------------------------------------------------------- Equity Index Trust 2/7/2005 5.45% ---------------------------------------------------------------------------------
LIFE OF FUND PERFORMANCE [GRAPH] Value of $10,000,000 Investment
EQUITY INDEX TRUST S&P 500 INDEX ------------------ ------------- 2/05 10000000.00 10210500.00 3/05 9865939.00 10029675.00 4/05 9659081.00 9839435.00 5/05 9959883.00 10152533.00 6/05 9972784.00 10166944.00 7/05 10348609.00 10545031.00 8/05 10247942.00 10448829.00 9/05 10332482.00 10533412.00 10/05 10157241.00 10357810.00 11/05 10541423.00 10749567.00 12/05 10544858.00 10753269.00
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. MUTUAL FUNDS ARE SUBJECT TO CERTAIN MARKET RISK. INVESTMENT RETURNS AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Equity Index Trust and S&P 500 Index. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the index does not include fees and expenses attributable to the Fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index represents the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index. The Fund's shares have a $10,000,000 minimum investment and carry no sales charge. Performance may reflect the waiver and reimbursement of the Fund's fees/expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that shareholder would pay on fund distributions or redemptions of fund shares. The performance for the Index reflects an initial investment at the end of the month following the Fund's inception. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 8 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED) HOW DID THE FUND PERFORM? The JPMorgan Intermediate Bond Trust seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities.+ The Fund returned 0.10% for the six-month period ended December 31, 2005, compared to a (0.01)% return of its benchmark, the Lehman Intermediate Government Credit Bond Index. WHY DID THE FUND PERFORM IN THIS WAY? The strategy has not changed since the Fund's inception earlier this year. It includes holding an overweight position in mortgage-backed securities, specifically well-structured collateralized mortgage obligations (CMOs). We maintain an underweight in the corporate, Treasury and agency sectors. Within the corporate sector, we continued to maintain a bias toward financial credits as well as higher-rated credit, which helped the Fund over the period. Our sector allocation contributed to outperformance during the final six months of the year. Our overweight to the mortgage sector was positive as our security selection in this area added to excess returns. Our underweight to corporate bonds, particularly lower-rated investment-grade credits, was favorable as spreads on corporate bonds widened in varying degrees. HOW WAS THE FUND MANAGED? The Fund's diversification among the spread sectors helped the Fund as lower-rated corporate bonds underperformed. Securitized sectors, specifically mortgages, outperformed comparable-duration Treasuries. Higher-rated corporate securities led the corporate sector return relative to comparable-duration Treasuries, while lower-rated credits were the worst performing of the credit sector. The Portfolio's positioning in both higher-rated quality and BBB-and lower-rated investment-grade credits contributed to excess returns during the six-month period. The yield curve continued to be vulnerable to inversion as the two-year and 10-year Treasuries hovered at the 4.40% level at year-end. If the flat curve persists, liquidity could suffer as traditional "carry" investors leave the market. This could lead to wider spreads.++ While spreads have widened from the summer and are no longer at the tight end of their 10-year historical range, they remain expensive. In the mortgage sector, we continue to favor MBS over agency debentures and seasoned MBS over new issues. Within the corporate sector, we believe that share buybacks, special dividends and other shareholder-friendly actions are likely to continue. At the same time, default rates are projected to rise in 2006. Given the likelihood of increased name-specific event risk, we continue to be selective among issuers, particularly in the BBB segment. --------------- + The advisor seeks to achieve the Fund's objective. There can be no guarantee it will be achieved.
FUND FACTS Fund Inception.............................................. February 7, 2005 Fiscal Year End............................................. June 30 Net Assets as of 12/31/2005 (in Thousands).................. $349,861 Primary Benchmark........................................... Lehman Brothers Intermediate Government Credit Bond Index
MATURITY DISTRIBUTION* Less than one year...........................11.2% Years 1-5....................................55.2% Years 6-10...................................30.3% Years 11-20...................................3.3% Over 20 Years...................................-- Average years to Maturity...............12.7 years Duration.................................3.7 years
PORTFOLIO COMPOSITION** Collateralized Mortgage Obligations..................................45.4% Corporate Bonds..............................21.4% U.S. Treasury Obligations....................16.1% Mortgage Pass-Through Securities............. 6.1% Asset Backed Securities...................... 3.0% Commercial Mortgage Backed Securities.......................... 1.2% U.S. Government Agencies..................... 0.9% Foreign Governments.......................... 0.4% Supranational............................. 0.0%(a) Short-Term Investments....................... 4.8% Investments of Cash Collateral on Securities Loaned....................... 5.5%
QUALITY BREAKDOWN* Government Agency............................65.7% AAA..........................................12.8% AA............................................3.2% A............................................12.3% BBB...........................................4.1% BB............................................1.4% CCC & Other...................................0.5%
--------------- * As of 12/31/05. The Portfolio's composition subject to change. Percentages for Maturity Distribution and Quality Breakdown are based on market value of securities. ** Percentages indicated are based upon net assets as of December 31, 2005. (a) Amount rounds to less than 0.1% ++ Carry investors are investors that borrow on the short end and invest in the long end, taking advantage of the difference in rates. As the curve flattens, the opportunity for the carry trade diminishes.
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 9 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW (UNAUDITED), CONTINUED
--------------------------------------------------------------------------------- TOTAL RETURN AS OF DECEMBER 31, 2005 --------------------------------------------------------------------------------- INCEPTION DATE SINCE INCEPTION --------------------------------------------------------------------------------- Intermediate Bond Trust 2/7/2005 1.69% ---------------------------------------------------------------------------------
LIFE OF FUND PERFORMANCE [GRAPH] Value of $10,000,000 Investment
LEHMAN BROTHERS AGGREGATE INTERMEDIATE GOVERNMENT INTERMEDIATE BOND TRUST CREDIT BOND INDEX ----------------------- --------------------- 2/05 10000000.00 9945110.00 3/05 9895920.00 9893790.00 4/05 10013700.00 10007000.00 5/05 10106700.00 10096800.00 6/05 10158400.00 10139300.00 7/05 10065700.00 10055200.00 8/05 10201700.00 10172700.00 9/05 10111300.00 10086500.00 10/05 10057700.00 10031200.00 11/05 10097000.00 10074900.00 12/05 10168800.00 10138300.00
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. MUTUAL FUNDS ARE SUBJECT TO CERTAIN MARKET RISK. INVESTMENT RETURNS AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Intermediate Bond Trust and the Lehman Brothers Intermediate Government Credit Bond Index. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the index does not include fees and expenses attributable to the Fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. Investors cannot invest directly in an index. The Fund's shares have a $10,000,000 minimum investment and carry no sales charge. Performance may reflect the waiver and reimbursement of the Fund's fees/expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemptions of fund shares. The performance for the Index reflects an initial investment at the end of the month following the Fund's inception. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 10 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) AS OF DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS (90.1%): ASSET BACKED SECURITIES (1.7%): $ 1,496 American Express Credit Account Master Trust Series 2004-3, Class A, 4.35%, 12/15/11..... $ 1,474 AmeriCredit Automobile Receivables Trust 562 Series 2001-C, Class A4, 5.01%, 07/14/08..................... 562 1,257 Series 2001-D, Class A4, 4.41%, 11/12/08..................... 1,256 730 Series 2002-A, Class A4, 4.61%, 01/12/09..................... 729 704 Series 2002-D, Class A4, 3.40%, 04/13/09..................... 698 389 Series 2003-BX, Class A4A, 2.72%, 01/06/10.............. 383 1,056 Capital One Master Trust Series 2001-5, Class A, 5.30%, 06/15/09.............. 1,059 Citibank Credit Card Issuance Trust 3,843 Series 2002-C2, Class C2, 6.95%, 02/18/14.............. 4,164 2,150 Series 2005-B1, Class B1, 4.40%, 09/15/10.............. 2,118 1,832 CNH Equipment Trust Series 2003-B, Class A4B, 3.38%, 02/15/11..................... 1,787 940 Conseco Finance Series 2001-B, Class 1M1, 7.27%, 06/15/32... 952 13,681 Countrywide Asset-Backed Certificates Series 2004-AB2, Class A2, FRN, 4.65%, 05/25/36..................... 13,701 652 Ford Credit Auto Owner Trust Series 2004-A, Class A3, 2.93%, 03/15/08.............. 645 1,112 GE Capital Mortgage Services, Inc. Series 1999-HE, Class M, 6.71%, 04/25/29.............. 1,113 419 Green Tree Financial Corp. Series 1995-4, Class A6, 7.30%, 06/15/25.............. 426 Household Automotive Trust 849 Series 2001-3, Class A4, 4.37%, 12/17/08..................... 848 1,225 Series 2005-1 Class A4, 4.35%, 06/18/12..................... 1,205
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.............. $ 2,610 1,012 Series 2003-C1, Class C1, FRN, 6.07%, 06/15/12.............. 1,067 MBNA Master Credit Card Trust USA 1,760 Series 1999-J, Class C, 7.85%, 02/15/12 (e)................. 1,929 1,540 Series 2000-D, Class C, 8.40%, 09/15/09 (e)................. 1,605 Onyx Acceptance Grantor Trust 616 Series 2002-C, Class A4, 4.07%, 04/15/09..................... 616 481 Series 2002-D, Class A4, 3.10%, 07/15/09..................... 479 300 Series 2004-B, Class A3, 3.09%, 09/15/08..................... 298 400 Residential Asset Mortgage Products, Inc. Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31.............. 399 1,293 Textron Financial Corp. Receivables Trust Series 2000-C, Class A3, 6.61%, 02/15/15 (e)................. 1,300 WFS Financial Owner Trust 1,191 Series 2002-2, Class A4, SUB, 4.50%, 02/20/10.............. 1,191 922 Series 2002-3, Class A4, 3.50%, 02/20/10..................... 916 1,180 Series 2002-4, Class A4A, 3.11%, 08/20/10.............. 1,163 968 Series 2003-2, Class A4, 2.41%, 12/20/10..................... 953 1,296 Series 2003-4, Class A4, 3.15%, 05/20/11..................... 1,272 471 Series 2004-1, Class A3, 2.19%, 06/20/08..................... 468 440 Series 2004-2, Class A3, 2.85%, 09/22/08..................... 437 ---------- Total Asset Backed Securities (Cost $50,368) 49,823 ---------- COLLATERALIZED MORTGAGE OBLIGATIONS (47.8%): Agency CMO (35.5%): Federal Home Loan Bank System 5,000 Series 2000, Class Y, 5.27%, 12/28/12..................... 5,018 16,835 Series 2012, Class A, 4.72%, 09/20/12..................... 16,498
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 11 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: Federal Home Loan Mortgage Corp. $ 204 Series 11, Class D, 9.50%, 07/15/20..................... $ 204 53 Series 22, Class C, 9.50%, 04/15/20..................... 53 79 Series 23, Class F, 9.60%, 04/15/20..................... 79 2 Series 41, Class I, HB, 84.00%, 05/15/20..................... 2 13 Series 47, Class F, 10.00%, 06/15/20..................... 13 33 Series 99, Class Z, 9.50%, 01/15/21..................... 33 36 Series 1065, Class J, 9.00%, 04/15/21..................... 36 12 Series 1079, Class S, IF, 19.13%, 05/15/21............. 12 77 Series 1084, Class F, FRN, 5.33%, 05/15/21.............. 77 54 Series 1084, Class S, IF, 25.54%, 05/15/21............. 55 63 Series 1116, Class I, 5.50%, 08/15/21..................... 63 46 Series 1144, Class KB, 8.50%, 09/15/21..................... 46 767 Series 1212, Class IZ, 8.00%, 02/15/22..................... 767 103 Series 1250, Class J, 7.00%, 05/15/22..................... 103 123 Series 1343, Class LA, 8.00%, 08/15/22..................... 126 156 Series 1343, Class LB, 7.50%, 08/15/22..................... 158 309 Series 1370, Class JA, FRN, 5.53%, 09/15/22.............. 311 1,285 Series 1466, Class PZ, 7.50%, 02/15/23..................... 1,328 23 Series 1470, Class F, FRN, 4.07%, 02/15/23.............. 22 1,507 Series 1498, Class I, FRN, 5.53%, 04/15/23.............. 1,531 1,826 Series 1502, Class PX, 7.00%, 04/15/23..................... 1,882 251 Series 1505, Class Q, 7.00%, 05/15/23..................... 258 27 Series 1506, Class F, FRN, 4.84%, 05/15/08.............. 26 6 Series 1506, Class S, IF, 13.05%, 05/15/08............. 6
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,869 Series 1512, Class J, 6.50%, 05/15/08..................... $ 1,884 358 Series 1513, Class N, 6.50%, 05/15/08..................... 361 608 Series 1518, Class G, IF, 4.88%, 05/15/23.............. 587 213 Series 1541, Class M, IF, 14.95%, 07/15/23............. 240 581 Series 1541, Class O, FRN, 3.78%, 07/15/23.............. 559 132 Series 1544, Class J, IF, 8.40%, 07/15/08.............. 133 668 Series 1558, Class D, 6.50%, 07/15/23..................... 680 54 Series 1570, Class F, FRN, 4.69%, 08/15/23.............. 54 2,112 Series 1573, Class PZ, 7.00%, 09/15/23..................... 2,214 103 Series 1575, Class FB, FRN, 5.88%, 08/15/08.............. 104 43 Series 1575, Class SB, IF, 6.38%, 08/15/08.............. 42 1,223 Series 1591, Class PV, 6.25%, 10/15/23..................... 1,251 183 Series 1595, Class D, 7.00%, 10/15/13..................... 187 533 Series 1596, Class D, 6.50%, 10/15/13..................... 547 31 Series 1602, Class SA, IF, 8.53%, 10/15/23.............. 24 181 Series 1604, Class SA, IF, 9.66%, 11/15/08.............. 186 297 Series 1606, Class SC, IF, 13.43%, 11/15/08............. 317 72 Series 1607, Class SA, IF, 13.40%, 10/15/13............. 82 3,300 Series 1608, Class L, 6.50%, 09/15/23..................... 3,440 1,466 Series 1609, Class L, IF, 7.85%, 11/15/23.............. 1,449 802 Series 1611, Class JA, FRN, 5.63%, 08/15/23.............. 811 764 Series 1611, Class JB, IF, 7.25%, 08/15/23.............. 734 325 Series 1612, Class SD, IF, 9.88%, 11/15/08.............. 334 186 Series 1625, Class SD, IF, 8.50%, 12/15/08.............. 193 1,000 Series 1638, Class H, 6.50%, 12/15/23..................... 1,049
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 12 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 2,200 Series 1642, Class PJ, 6.00%, 11/15/23..................... $ 2,233 99 Series 1659, Class SB, IF, 8.50%, 01/15/09.............. 102 16 Series 1671, Class QC, IF, 10.00%, 02/15/24............. 17 101 Series 1685, Class Z, 6.00%, 11/15/23..................... 102 21 Series 1686, Class SH, FRN, 9.39%, 02/15/24.............. 23 178 Series 1689, Class SD, IF, 9.51%, 10/15/23.............. 182 440 Series 1695, Class EB, 7.00%, 03/15/24..................... 474 395 Series 1698, Class SC, IF, 9.98%, 03/15/09.............. 431 150 Series 1699, Class FC, FRN, 4.98%, 03/15/24.............. 152 1,101 Series 1706, Class K, 7.00%, 03/15/24..................... 1,157 73 Series 1709, Class FA, FRN, 3.67%, 03/15/24.............. 72 217 Series 1745, Class D, 7.50%, 08/15/24..................... 218 1,908 Series 1798, Class F, 5.00%, 05/15/23..................... 1,875 264 Series 1807, Class A, 6.00%, 11/15/08..................... 266 35 Series 1807, Class G, 9.00%, 10/15/20..................... 37 531 Series 1829, Class ZB, 6.50%, 03/15/26..................... 546 75 Series 1844, Class E, 6.50%, 10/15/13..................... 76 543 Series 1863, Class Z, 6.50%, 07/15/26..................... 556 334 Series 1890, Class H, 7.50%, 09/15/26..................... 346 942 Series 1899, Class ZE, 8.00%, 09/15/26..................... 1,000 52 Series 1935, Class FL, FRN, 5.08%, 02/15/27.............. 53 785 Series 1963, Class Z, 7.50%, 01/15/27..................... 810 132 Series 1970, Class PG, 7.25%, 07/15/27..................... 132 1,146 Series 1981, Class Z, 6.00%, 05/15/27..................... 1,151 521 Series 1987, Class PE, 7.50%, 09/15/27..................... 537
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 82 Series 2017, Class SE, IF, 12.55%, 12/15/08............. $ 87 1,059 Series 2019, Class Z, 6.50%, 12/15/27..................... 1,090 887 Series 2025, Class PE, 6.30%, 01/15/13..................... 905 1,210 Series 2040, Class PE, 7.50%, 03/15/28..................... 1,271 435 Series 2043, Class CJ, 6.50%, 04/15/28..................... 452 1,543 Series 2054, Class PV, 7.50%, 05/15/28..................... 1,612 1,203 Series 2055, Class OE, 6.50%, 05/15/13..................... 1,236 3,485 Series 2075, Class PH, 6.50%, 08/15/28..................... 3,588 2,090 Series 2075, Class PM, 6.25%, 08/15/28..................... 2,152 1,895 Series 2086, Class GB, 6.00%, 09/15/28..................... 1,928 4,490 Series 2095, Class PE, 6.00%, 11/15/28..................... 4,589 738 Series 2097, Class PV, 6.00%, 09/15/09..................... 747 2,613 Series 2102, Class TC, 6.00%, 12/15/13..................... 2,670 1,690 Series 2102, Class TU, 6.00%, 12/15/13..................... 1,727 6,841 Series 2115, Class PE, 6.00%, 01/15/14..................... 6,992 1,946 Series 2125, Class JZ, 6.00%, 02/15/29..................... 1,980 569 Series 2130, Class QR, 6.00%, 02/15/28..................... 571 365 Series 2132, Class SB, IF, 11.57%, 03/15/29............. 398 294 Series 2134, Class PI, IO, 6.50%, 03/15/20.............. 56 381 Series 2143, Class CD, 6.00%, 02/15/28..................... 384 1,760 Series 2169, Class TB, 7.00%, 06/15/29..................... 1,866 1,100 Series 2172, Class QC, 7.00%, 07/15/29..................... 1,182 1,377 Series 2176, Class OJ, 7.00%, 08/15/29..................... 1,435 550 Series 2189, Class SA, IF, 8.95%, 02/15/28.............. 570 1,245 Series 2201, Class C, 8.00%, 11/15/29..................... 1,306
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 13 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 908 Series 2209, Class TC, 8.00%, 01/15/30..................... $ 968 1,243 Series 2210, Class Z, 8.00%, 01/15/30..................... 1,306 295 Series 2224, Class CB, 8.00%, 03/15/30..................... 306 1,034 Series 2230, Class Z, 8.00%, 04/15/30..................... 1,072 886 Series 2234, Class PZ, 7.50%, 05/15/30..................... 926 784 Series 2247, Class Z, 7.50%, 08/15/30..................... 794 1,014 Series 2256, Class MC, 7.25%, 09/15/30..................... 1,041 2,007 Series 2259, Class ZM, 7.00%, 10/15/30..................... 2,084 119 Series 2261, Class ZY, 7.50%, 10/15/30..................... 121 260 Series 2262, Class Z, 7.50%, 10/15/30..................... 264 2,007 Series 2271, Class PC, 7.25%, 12/15/30..................... 2,069 1,816 Series 2283, Class K, 6.50%, 12/15/23..................... 1,915 215 Series 2295, Class VB, 6.50%, 07/15/16..................... 215 1,238 Series 2296, Class PD, 7.00%, 03/15/31..................... 1,271 101 Series 2299, Class G, 7.00%, 05/15/14..................... 101 149 Series 2304, Class VB, 6.50%, 07/15/16..................... 149 1,220 Series 2313, Class LA, 6.50%, 05/15/31..................... 1,260 273 Series 2317, Class VG, 6.50%, 04/15/31..................... 274 922 Series 2323, Class VO, 6.00%, 10/15/22..................... 934 2,332 Series 2325, Class PM, 7.00%, 06/15/31..................... 2,483 1,320 Series 2335, Class VH, 7.00%, 05/15/14..................... 1,343 6,800 Series 2344, Class QG, 6.00%, 08/15/16..................... 6,963 12,368 Series 2344, Class ZD, 6.50%, 08/15/31..................... 12,896 1,205 Series 2344, Class ZJ, 6.50%, 08/15/31..................... 1,240 1,333 Series 2345, Class NE, 6.50%, 08/15/31..................... 1,371
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,615 Series 2345, Class PQ, 6.50%, 08/15/16..................... $ 1,670 410 Series 2345, Class PV, 6.50%, 01/15/24..................... 412 664 Series 2349, Class NW, 6.50%, 10/15/16..................... 665 816 Series 2351, Class PZ, 6.50%, 08/15/31..................... 852 426 Series 2353, Class PC, 6.50%, 09/15/15..................... 425 2,468 Series 2353, Class TD, 6.00%, 09/15/16..................... 2,539 2,159 Series 2355, Class BP, 6.00%, 09/15/16..................... 2,211 27 Series 2357, Class VX, 6.50%, 12/15/17..................... 27 880 Series 2359, Class PM, 6.00%, 09/15/16..................... 902 1,320 Series 2359, Class ZB, 8.50%, 06/15/31..................... 1,540 4,049 Series 2360, Class PG, 6.00%, 09/15/16..................... 4,136 2,856 Series 2362, Class PD, 6.50%, 06/15/20..................... 2,901 757 Series 2362, Class PJ, 6.50%, 10/15/28..................... 764 915 Series 2363, Class PF, 6.00%, 09/15/16..................... 936 1,689 Series 2366, Class MD, 6.00%, 10/15/16..................... 1,730 1,848 Series 2367, Class ME, 6.50%, 10/15/31..................... 1,933 1,673 Series 2371, Class VB, 6.00%, 08/15/15..................... 1,691 790 Series 2374, Class PV, 5.50%, 12/15/14..................... 792 726 Series 2391, Class QE, 5.50%, 05/15/15..................... 727 5,939 Series 2391, Class QR, 5.50%, 12/15/16..................... 6,022 1,005 Series 2391, Class VQ, 6.00%, 10/15/12..................... 1,027 2,200 Series 2392, Class PV, 6.00%, 12/15/20..................... 2,236 2,281 Series 2394, Class MC, 6.00%, 12/15/16..................... 2,337 2,200 Series 2399, Class OH, 6.50%, 01/15/32..................... 2,282 3,520 Series 2399, Class TH, 6.50%, 01/15/32..................... 3,651
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 14 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 4,272 Series 2410, Class NG, 6.50%, 02/15/32..................... $ 4,433 1,437 Series 2410, Class OE, 6.38%, 02/15/32..................... 1,471 3,152 Series 2410, Class QS, IF, 8.14%, 02/15/32.............. 3,212 556 Series 2412, Class SE, IF, 7.11%, 02/15/09.............. 555 1,595 Series 2412, Class SP, IF, 7.36%, 02/15/32.............. 1,525 310 Series 2419, Class V, 6.50%, 12/15/12..................... 310 4,140 Series 2420, Class XK, 6.50%, 02/15/32..................... 4,301 2,595 Series 2423, Class MC, 7.00%, 03/15/32..................... 2,691 2,650 Series 2423, Class MT, 7.00%, 03/15/32..................... 2,748 1,964 Series 2425, Class OB, 6.00%, 03/15/17..................... 2,014 2,640 Series 2430, Class WF, 6.50%, 03/15/32..................... 2,763 3,080 Series 2434, Class TC, 7.00%, 04/15/32..................... 3,215 660 Series 2435, Class CJ, 6.50%, 04/15/32..................... 696 2,200 Series 2435, Class VH, 6.00%, 07/15/20..................... 2,245 3,356 Series 2436, Class MC, 7.00%, 04/15/32..................... 3,496 1,303 Series 2450, Class GZ, 7.00%, 05/15/32..................... 1,360 1,277 Series 2454, Class BG, 6.50%, 08/15/31..................... 1,298 4,428 Series 2455, Class GK, 6.50%, 05/15/32..................... 4,626 1,100 Series 2458, Class QE, 5.50%, 06/15/17..................... 1,119 2,713 Series 2460, Class VZ, 6.00%, 11/15/29..................... 2,761 1,392 Series 2461, Class VB, 6.50%, 04/15/18..................... 1,398 3,080 Series 2462, Class JG, 6.50%, 06/15/32..................... 3,206 2,244 Series 2466, Class PG, 6.50%, 04/15/32..................... 2,331 1,100 Series 2466, Class PH, 6.50%, 06/15/32..................... 1,159 2,200 Series 2474, Class NR, 6.50%, 07/15/32..................... 2,295
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 904 Series 2480, Class PV, 6.00%, 07/15/11..................... $ 923 1,977 Series 2484, Class LZ, 6.50%, 07/15/32..................... 2,087 34 Series 2496, Class LD, 8.50%, 11/15/15..................... 34 2,404 Series 2498, Class UD, 5.50%, 06/15/16..................... 2,421 2,161 Series 2500, Class GD, 5.50%, 12/15/15..................... 2,169 2,640 Series 2500, Class MC, 6.00%, 09/15/32..................... 2,697 1,981 Series 2500, Class TD, 5.50%, 02/15/16..................... 1,990 500 Series 2503, Class BH, 5.50%, 09/15/17..................... 508 1,320 Series 2512, Class PG, 5.50%, 10/15/22..................... 1,322 447 Series 2513, Class VA, 6.00%, 08/15/13..................... 447 4,399 Series 2515, Class DE, 4.00%, 03/15/32..................... 4,072 2,027 Series 2518, Class PX, 5.50%, 09/15/13..................... 2,050 649 Series 2519, Class BT, 8.50%, 09/15/31..................... 700 839 Series 2521, Class PU, 5.50%, 05/15/10..................... 848 2,727 Series 2527, Class VU, 5.50%, 10/15/13..................... 2,750 1,980 Series 2535, Class BK, 5.50%, 12/15/22..................... 2,003 2,640 Series 2537, Class TE, 5.50%, 12/15/17..................... 2,679 1,320 Series 2541, Class GX, 5.50%, 02/15/17..................... 1,334 2,200 Series 2543, Class YX, 6.00%, 12/15/32..................... 2,247 2,860 Series 2544, Class HC, 6.00%, 12/15/32..................... 2,952 2,957 Series 2552, Class ME, 6.00%, 01/15/33..................... 3,080 2,640 Series 2565, Class MB, 6.00%, 05/15/30..................... 2,688 1,496 Series 2567, Class QD, 6.00%, 02/15/33..................... 1,541 813 Series 2571, Class SK, IF, 15.66%, 09/15/23............. 953 4,399 Series 2575, Class ME, 6.00%, 02/15/33..................... 4,492
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 15 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 2,140 Series 2594, Class VA, 6.00%, 03/15/14..................... $ 2,182 4,629 Series 2594, Class VP, 6.00%, 02/15/14..................... 4,714 4,135 Series 2594, Class VQ, 6.00%, 08/15/20..................... 4,199 1,612 Series 2596, Class QG, 6.00%, 03/15/33..................... 1,667 1,320 Series 2611, Class UH, 4.50%, 05/15/18..................... 1,256 1,760 Series 2617, Class GR, 4.50%, 05/15/18..................... 1,679 508 Series 2619, Class HR, 3.50%, 11/15/31..................... 475 1,000 Series 2628, Class WA, 4.00%, 07/15/28..................... 935 16,000 Series 2630, Class KN, 2.50%, 04/15/13..................... 15,455 2,640 Series 2631, Class LC, 4.50%, 06/15/18..................... 2,522 1,378 Series 2636, Class Z, 4.50%, 06/15/18..................... 1,298 197 Series 2638, Class DS, IF, 4.23%, 07/15/23.............. 160 421 Series 2638, Class IA, IO, 5.00%, 02/15/15.............. 3 3,616 Series 2643, Class KG, 4.00%, 05/15/18..................... 3,596 2,452 Series 2651, Class VZ, 4.50%, 07/15/18..................... 2,309 2,228 Series 2656, Class SH, IF, 8.49%, 02/15/25.............. 2,256 3,723 Series 2668, Class SB, IF, 3.32%, 10/15/15.............. 3,587 2,200 Series 2672, Class ME, 5.00%, 11/15/22..................... 2,164 740 Series 2672, Class SJ, IF, 3.27%, 09/15/16.............. 670 6,599 Series 2675, Class CK, 4.00%, 09/15/18..................... 6,067 2,988 Series 2682, Class YS, IF, 2.43%, 10/15/33.............. 2,135 533 Series 2683, Class VA, 5.50%, 02/15/21..................... 539 1,760 Series 2686, Class GB, 5.00%, 05/15/20..................... 1,754 2,190 Series 2691, Class WS, IF, 2.45%, 10/15/33.............. 1,553 2,000 Series 2695, Class DE, 4.00%, 01/15/17..................... 1,894
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,407 Series 2702, Class PC, 5.00%, 01/15/23..................... $ 1,382 1,470 Series 2705, Class SC, IF, 2.45%, 11/15/33.............. 1,037 2,776 Series 2705, Class SD, IF, 3.38%, 11/15/33.............. 2,040 2,000 Series 2715, Class OG, 5.00%, 01/15/23..................... 1,957 3,520 Series 2716, Class UN, 4.50%, 12/15/23..................... 3,337 1,760 Series 2720, Class PC, 5.00%, 12/15/23..................... 1,731 9,019 Series 2727, Class BS, IF, 2.52%, 01/15/34.............. 5,367 244 Series 2733, Class GF, FRN, 0.00%, 09/15/33.............. 241 1,072 Series 2739, Class S, IF, 3.26%, 01/15/34.............. 833 1,193 Series 2744, Class FE, FRN, 0.00%, 02/15/34.............. 1,116 880 Series 2744, Class PC, 5.50%, 01/15/31..................... 891 1,991 Series 2744, Class PE, 5.50%, 02/15/34..................... 2,025 3,891 Series 2744, Class TU, 5.50%, 05/15/32..................... 3,891 958 Series 2753, Class S, IF, 3.26%, 02/15/34.............. 634 4,340 Series 2755, Class SA, IF, 5.46%, 05/15/30.............. 4,027 1,079 Series 2766, Class SX, IF, 3.36%, 03/15/34.............. 843 531 Series 2771, Class FG, FRN, 0.00%, 03/15/34.............. 411 2,636 Series 2776, Class SK, IF, 2.52%, 04/15/34.............. 2,026 1,008 Series 2778, Class BS, IF 4.83%, 04/15/34.............. 921 1,112 Series 2780, Class JG, 4.50%, 04/15/20..................... 1,055 2,000 Series 2809, Class UB, 4.00%, 09/15/17..................... 1,888 332 Series 2827, Class SQ, FRN, 7.50%, 01/15/20.............. 342 838 Series 2888, Class SL, IF, 3.66%, 11/15/34.............. 823 302 Series 2925, Class ZM, 5.00%, 01/15/35..................... 300 771 Series 2958, Class KB, 5.50%, 04/15/35..................... 769
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 16 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,000 Series 2958, Class QD, 4.50%, 04/15/20..................... $ 961 2,162 Series 2962, Class Z, 4.50%, 04/15/20..................... 2,155 10,000 Series 2971, Class GB, 5.00%, 11/15/16..................... 10,039 1,000 Series 2971, Class GC, 5.00%, 07/15/18..................... 997 1,610 Series 3027, Class PZ, 4.50%, 09/15/25..................... 1,608 7,500 Series 3047, Class OB, 5.50%, 12/15/33..................... 7,584 1,103 Series 3047, Class OD, 5.50%, 10/15/35..................... 1,096 2,500 Series 3064, Class OB, 5.50%, 07/15/29..................... 2,512 2,592 Series 55, Class GL, IF, IO, 0.60%, 04/25/24.............. 18 16 Series 134, Class B, IO, 9.00%, 04/01/22..................... 4 --(h) Series 1172, Class L, IO, VAR, HB, 1181.25%, 11/15/21....... 1 3 Series 1196, Class B, IO, HB, 657.68%, 01/15/22............ 5 268 Series 1455, Class WB, IF, 2.49%, 12/15/22.............. 239 41 Series 1465, Class SA, IF, IO, 4.63%, 02/15/08.............. --(h) 90 Series 1506, Class SD, IF, IO 4.13%, 05/15/08.............. 2 143 Series 1561, Class TA, PO, 08/15/08..................... 136 746 Series 1700, Class GA, PO, 02/15/24..................... 675 45 Series 1865, Class D, PO, 02/15/24..................... 35 255 Series 1900, Class TA, PO, 08/15/08..................... 245 190 Series 1967, Class PC, PO, 10/15/08..................... 181 390 Series 2033, Class SN, IF, IO, 17.11%, 03/15/24............. 106 1,095 Series 2038, Class PN, IO, 7.00%, 03/15/28.............. 195 1,355 Series 2089, Class PJ, IO, 7.00%, 10/15/28.............. 307 184 Series 2135, Class UK, IO, 6.50%, 03/15/14.............. 28 191 Series 2141, IO, 7.00%, 04/15/29..................... 38
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 400 Series 2163, Class PC, IO, 7.50%, 06/15/29.............. $ 83 340 Series 2306, Class K, PO, 05/15/24..................... 293 804 Series 2306, Class SE, IF, IO, 6.15%, 05/15/24.............. 105 151 Series 2382, Class TL, IO, 6.50%, 02/15/31.............. 10 1,252 Series 2410, Class QX, IF, IO, 4.28%, 02/15/32.............. 128 2,335 Series 2444, Class ES, IF, IO, 3.58%, 03/15/32.............. 203 1,868 Series 2450, Class SW, IF, IO, 3.63%, 03/15/32.............. 169 3,319 Series 2513, Class YO, PO, 02/15/32..................... 2,833 3,201 Series 2586, Class WI, IO, 6.50%, 03/15/33.............. 683 8,726 Series 2597, Class DS, IF, IO, 3.18%, 02/15/33.............. 571 11,839 Series 2599, Class DS, IF, IO, 2.63%, 02/15/33.............. 663 13,866 Series 2610, Class DS, IF, IO, 2.73%, 03/15/33.............. 794 14,173 Series 2611, Class SH, IF, IO, 3.28%, 10/15/21.............. 1,003 2,152 Series 2619, Class IM, IO, 5.00%, 10/15/21.............. 295 717 Series 2624, Class IU, IO, 5.00%, 06/15/33.............. 161 13,071 Series 2626, Class NS, IF, IO, 2.18%, 06/15/23.............. 711 737 Series 2633, Class EO, PO 08/15/33..................... 519 4,072 Series 2637, Class SA, IF, IO, 1.73%, 06/15/18.............. 159 5,484 Series 2638, Class SA, IF, IO, 2.73%, 11/15/16.............. 310 968 Series 2640, Class UG, IO, 5.00%, 01/15/32.............. 323 1,472 Series 2640, Class UR, IO, 4.50%, 08/15/17.............. 149 1,272 Series 2643, Class HI, IO, 4.50%, 12/15/16.............. 134 3,520 Series 2684, Class TO, PO, 10/15/33..................... 1,947 5,521 Series 2686, Class NS, IF, IO, 3.23%, 10/15/21.............. 398
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 17 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 731 Series 2696, Class CO, PO, 10/15/18..................... $ 482 5,441 Series 2721, Class PI, IO, 5.00%, 05/15/16.............. 374 326 Series 2727, PO, 01/15/34...... 177 4,065 Series 2749, Class PK, IO, 5.00%, 09/15/22.............. 252 824 Series 2769, PO, 03/15/34...... 589 351 Series 2841, Class GO, PO, 08/15/34..................... 339 1,982 Series 2846, PO, 08/15/34...... 1,649 779 Series 2849, PO, 08/15/34...... 694 1,100 Series 2975, Class KO, PO, 05/15/35..................... 885 867 Series T-58, Class A, PO, 09/25/43..................... 739 Federal Home Loan Mortgage Corp. Structured Pass Through Securities 2,069 Series T-41, Class 3A, 7.50%, 07/25/32..................... 2,161 1,346 Series T-51, Class 2A, VAR, 7.50%, 08/25/42.............. 1,391 6,376 Series T-54, Class 2A, 6.50%, 02/25/43..................... 6,539 2,213 Series T-54, Class 3A, 7.00%, 02/25/43..................... 2,316 Federal Home Loan Mortgage Corp.- Government National Mortgage Association 1,252 Series 8, Class ZA, 7.00%, 03/25/23..................... 1,287 371 Series 29, Class J, 7.00%, 09/25/23..................... 372 Federal National Mortgage Association 32 Series 1988-7, Class Z, 9.25%, 04/25/18..................... 34 90 Series 1989-70, Class G, 8.00%, 10/25/20..................... 95 31 Series 1989-78, Class H, 9.40%, 11/25/20..................... 34 62 Series 1989-83, Class H, 8.50%, 11/25/20..................... 66 61 Series 1989-89, Class H, 9.00%, 11/25/20..................... 66 54 Series 1990-1, Class D, 8.80%, 01/25/20..................... 58 11 Series 1990-60, Class K, 5.50%, 06/25/20..................... 11
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 19 Series 1990-63, Class H, 9.50%, 06/25/20..................... $ 20 22 Series 1990-93, Class G, 5.50%, 08/25/20..................... 22 --(h) Series 1990-94, Class H, HB, 505.92%, 08/25/20............ 5 86 Series 1990-102, Class J, 6.50%, 08/25/20.............. 88 145 Series 1990-120, Class H, 9.00%, 10/25/20.............. 152 13 Series 1990-134, Class SC, IF, 14.99%, 11/25/20............. 17 69 Series 1991-24, Class Z, 5.00%, 03/25/21..................... 68 73 Series 1992-38, Class Z, 7.50%, 02/25/22..................... 75 13 Series 1992-101, Class J, 7.50%, 06/25/22.............. 13 324 Series 1992-136, Class PK, 6.00%, 08/25/22.............. 329 254 Series 1992-143, Class MA, 5.50%, 09/25/22.............. 256 586 Series 1992-156, Class K, 7.50%, 09/25/07.............. 593 565 Series 1992-163, Class M, 7.75%, 09/25/22.............. 595 1,018 Series 1992-188, Class PZ, 7.50%, 10/25/22.............. 1,075 7 Series 1992-201, Class SB, IF, 13.56%, 10/25/22............. 7 142 Series 1993-8, Class H, 7.00%, 01/25/08..................... 144 432 Series 1993-21, Class KA, 7.70%, 03/25/23.............. 454 614 Series 1993-25, Class J, 7.50%, 03/25/23..................... 644 170 Series 1993-27, Class SA, IF, 15.50%, 02/25/23............. 215 423 Series 1993-55, Class K, 6.50%, 05/25/08..................... 427 182 Series 1993-59, Class FA, FRN, 5.16%, 05/25/08.............. 183 272 Series 1993-62, Class SA, IF, 13.09%, 04/25/23............. 309 51 Series 1993-72, Class F, FRN, 4.09%, 05/25/08.............. 50 29 Series 1993-107, Class F, FRN, 4.04%, 06/25/08.............. 28 381 Series 1993-164, Class SC, IF, 11.61%, 09/25/08............. 407
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 18 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 127 Series 1993-165, Class SD, IF, 8.09%, 09/25/23.............. $ 133 276 Series 1993-165, Class SK, IF, 12.50%, 09/25/23............. 323 713 Series 1993-167, Class GA, 7.00%, 09/25/23.............. 733 107 Series 1993-175, Class SA, IF, 12.46%, 09/25/08............. 117 192 Series 1993-179, Class SB, IF, 15.79%, 10/25/23............. 223 128 Series 1993-179, Class SC, IF, 10.50%, 10/25/23............. 141 109 Series 1993-186, Class SA, IF, 9.25%, 09/25/08.............. 112 320 Series 1993-190, Class S, IF, 9.66%, 10/25/08.............. 329 107 Series 1993-196, Class FA, FRN 4.09%, 10/25/08.............. 105 60 Series 1993-196, Class SB, IF, 9.25%, 10/25/08.............. 62 134 Series 1993-197, Class SB, IF 9.43%, 10/25/08.............. 137 710 Series 1993-199, Class FA, FRN, 4.96%, 10/25/23.............. 718 673 Series 1993-220, Class SG, IF, 7.19%, 11/25/13.............. 664 412 Series 1993-221, Class FH, FRN, 5.51%, 12/25/08.............. 416 200 Series 1993-221, Class SE, IF, 9.50%, 12/25/08.............. 209 296 Series 1993-225, Class UB, 6.50%, 12/25/23.............. 307 35 Series 1993-225, Class VO, IF, 9.09%, 12/25/22.............. 36 118 Series 1993-230, Class FA, FRN, 5.01%, 12/25/23.............. 120 403 Series 1993-233, Class SB, IF, 11.64%, 12/25/08............. 421 565 Series 1993-247, Class FE, FRN, 5.41%, 12/25/23.............. 576 262 Series 1993-247, Class SU, IF, 9.76%, 12/25/23.............. 298 1,168 Series 1993-250, Class Z, 7.00%, 12/25/23.............. 1,207 61 Series 1994-12, Class FC, FRN 4.24%, 01/25/09.............. 61 47 Series 1994-13, Class SK, IF, 12.88%, 02/25/09............. 50 10 Series 1994-33, Class F, FRN, 4.81%, 03/25/09.............. 10
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 203 Series 1994-33, Class FA, FRN, 4.19%, 03/25/09.............. $ 198 1,206 Series 1994-34, Class DZ, 6.00%, 03/25/09.............. 1,219 2,135 Series 1994-37, Class L, 6.50%, 03/25/24..................... 2,192 6,597 Series 1994-40, Class Z, 6.50%, 03/25/24..................... 6,869 283 Series 1994-55, Class G, 6.75%, 12/25/23..................... 284 278 Series 1995-2, Class Z, 8.50%, 01/25/25..................... 294 293 Series 1995-19, Class Z, 6.50%, 11/25/23..................... 313 84 Series 1996-27, Class FC, FRN, 4.91%, 03/25/17.............. 85 582 Series 1996-32, Class PH, 7.00%, 01/25/26.............. 589 200 Series 1996-59, Class J, 6.50%, 08/25/22..................... 204 149 Series 1997-27, Class J, 7.50%, 04/18/27..................... 157 242 Series 1997-29, Class J, 7.50%, 04/20/27..................... 254 1,480 Series 1997-39, Class PD, 7.50%, 05/20/27.............. 1,540 1,107 Series 1997-42, Class EN, 7.25%, 07/18/27.............. 1,138 229 Series 1997-42, Class ZC, 6.50%, 07/18/27.............. 234 3,471 Series 1997-61, Class ZC, 7.00%, 02/25/23.............. 3,614 2,342 Series 1998-36, Class ZB, 6.00%, 07/18/28.............. 2,368 594 Series 1999-17, Class C, 6.35%, 04/25/29..................... 614 1,415 Series 1999-18, Class Z, 5.50%, 04/18/29..................... 1,392 356 Series 1999-52, Class NS, IF, 11.12%, 10/25/23............. 385 901 Series 1999-62, Class PB, 7.50%, 12/18/29.............. 935 2,943 Series 2000-2, Class ZE, 7.50%, 02/25/30..................... 3,115 2,594 Series 2001-10, Class PR, 6.00%, 04/25/16.............. 2,712 530 Series 2001-28, Class VB, 6.00%, 02/25/20.............. 532 1,804 Series 2001-30, Class PM, 7.00%, 07/25/31.............. 1,990
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 19 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,101 Series 2001-31, Class VD, 6.00%, 05/25/31.............. $ 1,124 2,628 Series 2001-36, Class DE, 7.00%, 08/25/31.............. 2,740 1,447 Series 2001-4, Class PC, 7.00%, 03/25/21..................... 1,517 1,454 Series 2001-5, Class OW, 6.00%, 03/25/16..................... 1,484 1,264 Series 2001-7, Class PF, 7.00%, 03/25/31..................... 1,316 2,212 Series 2001-7, Class PR, 6.00%, 03/25/16..................... 2,319 4,512 Series 2001-44, Class MY, 7.00%, 09/25/31.............. 4,807 950 Series 2001-44, Class PD, 7.00%, 09/25/31.............. 989 1,204 Series 2001-44, Class PU, 7.00%, 09/25/31.............. 1,250 3,525 Series 2001-48, Class Z, 6.50%, 09/25/21..................... 3,730 1,257 Series 2001-49, Class DQ, 6.00%, 11/25/15.............. 1,270 955 Series 2001-49, Class Z, 6.50%, 09/25/31..................... 987 880 Series 2001-50, Class VB, 6.50%, 12/25/16.............. 893 681 Series 2001-52, Class KB, 6.50%, 10/25/31.............. 703 846 Series 2001-52, Class XM, 6.50%, 11/25/10.............. 863 2,804 Series 2001-52, Class XN, 6.50%, 11/25/15.............. 2,896 2,200 Series 2001-61, Class VB, 7.00%, 12/25/16.............. 2,283 880 Series 2001-61, Class VQ, 6.50%, 08/25/15.............. 896 3,362 Series 2001-61, Class Z, 7.00%, 11/25/31..................... 3,556 743 Series 2001-71, Class JW, 6.00%, 08/25/21.............. 747 1,320 Series 2001-71, Class MB, 6.00%, 12/25/16.............. 1,354 3,335 Series 2001-71, Class QE, 6.00%, 12/25/16.............. 3,414 670 Series 2001-72, Class SX, IF, 7.27%, 12/25/31.............. 659 2,640 Series 2001-74, Class MB, 6.00%, 12/25/16.............. 2,753 1,374 Series 2001-78, Class VB, 6.00%, 12/25/15.............. 1,376
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 2,630 Series 2001-80, Class PE, 6.00%, 07/25/29.............. $ 2,677 919 Series 2002-1, Class HC, 6.50%, 02/25/22..................... 952 878 Series 2002-1, Class SA, IF, 10.96%, 02/25/32............. 958 565 Series 2002-1, Class UD, IF, 9.08%, 12/25/23.............. 570 3,681 Series 2002-2, Class UC, 6.00%, 02/25/17..................... 3,742 8,139 Series 2002-3, Class OG, 6.00%, 02/25/17..................... 8,395 3,959 Series 2002-4, Class VC, 6.50%, 03/25/24..................... 4,005 1,760 Series 2002-7, Class O, 6.00%, 03/25/17..................... 1,815 397 Series 2002-7, Class QM, 6.00%, 02/25/20..................... 399 4,565 Series 2002-7, Class TG, 6.00%, 03/25/17..................... 4,724 948 Series 2002-8, Class SR, IF, 7.09%, 03/25/09.............. 952 475 Series 2002-9, Class VE, 6.50%, 12/25/12..................... 482 1,012 Series 2002-11, Class QG, 5.50%, 03/25/17.............. 1,026 121 Series 2002-13, Class ST, IF, 10.00%, 03/25/32............. 138 7,859 Series 2002-18, Class PC, 5.50%, 04/25/17.............. 8,006 2,200 Series 2002-19, Class PE, 6.00%, 04/25/17.............. 2,257 3,080 Series 2002-21, Class PE, 6.50%, 04/25/32.............. 3,176 1,320 Series 2002-24, Class AJ, 6.00%, 04/25/17.............. 1,347 6,159 Series 2002-28, Class PK, 6.50%, 05/25/32.............. 6,389 294 Series 2002-36, Class HZ, 7.00%, 12/25/29.............. 297 2,153 Series 2002-37, Class Z, 6.50%, 06/25/32..................... 2,232 880 Series 2002-42, Class C, 6.00%, 07/25/17..................... 917 4,399 Series 2002-48, Class GH, 6.50%, 11/25/32.............. 4,643 792 Series 2002-55, Class QE, 5.50%, 09/25/17.............. 798 13,198 Series 2002-56, Class UC, 5.50%, 09/25/17.............. 13,386
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 20 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 4,479 Series 2002-59, Class VB, 6.50%, 04/25/32.............. $ 4,522 2,508 Series 2002-61, Class PE, 5.50%, 05/25/16.............. 2,522 1,190 Series 2002-62, Class ZE, 5.50%, 11/25/17.............. 1,196 714 Series 2002-73, Class S, IF, 5.30%, 11/25/09.............. 697 3,520 Series 2002-74, Class LD, 5.00%, 01/25/16.............. 3,505 4,939 Series 2002-74, Class PD, 5.00%, 11/25/15.............. 4,921 3,892 Series 2002-74, Class VA, 6.00%, 11/25/31.............. 3,919 5,499 Series 2002-74, Class VB, 6.00%, 11/25/31.............. 5,580 2,574 Series 2002-77, Class S, IF, 6.46%, 12/25/32.............. 2,156 4,506 Series 2002-83, Class CS, 6.88%, 08/25/23.............. 4,683 880 Series 2002-93, Class PD, 3.50%, 02/25/29.............. 847 3,629 Series 2002-94, Class BK, 5.50%, 01/25/18.............. 3,689 2,640 Series 2003-106, Class US, IF, 2.51%, 11/25/23.............. 1,970 362 Series 2003-106, Class WS, IF, 3.95%, 02/25/23.............. 335 1,500 Series 2003-113, Class PC, 4.00%, 03/25/15.............. 1,456 6,000 Series 2003-117, Class JB, 3.50%, 06/25/33.............. 5,263 1,760 Series 2003-122, Class TE, 5.00%, 12/25/22.............. 1,716 1,320 Series 2003-128, Class KE, 4.50%, 01/25/14.............. 1,297 1,000 Series 2003-128, Class NG, 4.00%, 01/25/20.............. 914 2,014 Series 2003-130, Class SX, IF, 4.95%, 01/25/34.............. 1,879 2,948 Series 2003-22, Class UD, 4.00%, 04/25/33.............. 2,503 748 Series 2003-27, Class DW, 4.50%, 04/25/17.............. 722 2,053 Series 2003-34, Class AX, 6.00%, 05/25/33.............. 2,081 1,771 Series 2003-34, Class ED, 6.00%, 05/25/33.............. 1,811 1,540 Series 2003-39, Class LW, 5.50%, 05/25/23.............. 1,561
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 2,200 Series 2003-41, Class PE, 5.50%, 05/25/23.............. $ 2,253 858 Series 2003-42, Class GB, 4.00%, 05/25/33.............. 760 880 Series 2003-47, Class PE, 5.75%, 06/25/33.............. 882 4,122 Series 2003-52, Class PA, 6.50%, 06/25/35.............. 4,295 1,636 Series 2003-52, Class SX, IF, 9.81%, 10/25/31.............. 1,734 915 Series 2003-64, Class SX, IF, 2.79%, 07/25/33.............. 598 601 Series 2003-67, Class VQ, 7.00%, 01/25/20.............. 626 687 Series 2003-68, Class QP, 3.00%, 07/25/22.............. 636 2,155 Series 2003-71, Class DS, IF, 1.62%, 08/25/33.............. 1,661 6,460 Series 2003-73, Class GA, 3.50%, 05/25/31.............. 6,059 597 Series 2003-74, Class SH, IF, 2.29%, 08/25/33.............. 436 1,442 Series 2003-81, Class LC, 4.50%, 09/25/18.............. 1,381 5,719 Series 2003-83, Class PG, 5.00%, 06/25/23.............. 5,611 1,890 Series 2003-91, Class SD, IF, 5.20%, 09/25/33.............. 1,747 827 Series 2003-92, Class SH, IF, 3.88%, 09/25/18.............. 766 779 Series 2004-4, Class QM, IF, 5.44%, 06/25/33.............. 721 4,618 Series 2004-10, Class SC, IF, 11.09%, 02/25/34............. 5,096 2,322 Series 2004-14, Class SD, IF, 2.51%, 03/25/34.............. 1,693 813 Series 2004-22, Class A, 4.00%, 04/25/20..................... 764 1,320 Series 2004-25, Class PC, 5.50%, 01/25/34.............. 1,316 8,477 Series 2004-25, Class SA, IF, 7.48%, 04/25/34.............. 8,331 2,500 Series 2004-27, Class HB, 4.00%, 05/25/20.............. 2,272 880 Series 2004-36, Class PC, 5.50%, 02/25/34.............. 872 6,008 Series 2004-36, Class SA, IF, 7.48%, 05/25/34.............. 6,030 2,756 Series 2004-36, Class SN, IF, 5.44%, 07/25/33.............. 2,377
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 21 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 5,000 Series 2004-37, Class AG, 4.50%, 11/25/32.............. $ 4,687 2,942 Series 2004-51, Class SY, IF, 5.48%, 07/25/34.............. 2,753 1,100 Series 2004-53, Class NC, 5.50%, 07/25/24.............. 1,118 238 Series 2004-61, Class SK, IF, 8.50%, 11/25/32.............. 269 880 Series 2004-76, Class CL, 4.00%, 10/25/20.............. 808 440 Series 2004-81, Class AC, 4.00%, 11/25/20.............. 403 4,000 Series 2005-109, Class PC, 6.00%, 12/25/35.............. 4,209 25,000 Series 2005-110, Class GJ, 5.50%, 11/25/30.............. 25,107 17,000 Series 2005-110, Class GK, 5.50%, 08/25/34.............. 16,743 5,000 Series 2005-110, Class GL, 5.50%, 12/25/35.............. 4,897 3,500 Series 2005-110, Class MN, 5.50%, 06/25/35.............. 3,539 1,977 Series 2005-28, Class JA, 5.00%, 04/25/35.............. 1,879 1,300 Series 2005-47, Class AN, 5.00%, 12/25/16.............. 1,298 1,500 Series 2005-68, Class BC, 5.25%, 06/25/35.............. 1,460 5,500 Series 2005-68, Class PG, 5.50%, 08/25/35.............. 5,520 2,250 Series 2005-68, Class UC, 5.00%, 06/25/35.............. 2,162 30,000 Series 2005-84, Class XM, 5.75%, 10/25/35.............. 30,513 3 Series G-17, Class S, FRN, HB, 628.26%, 06/25/21............ 39 183 Series G-28, Class S, IF, 10.69%, 09/25/21............. 205 141 Series G-35, Class M, 8.75%, 10/25/21..................... 152 60 Series G-51, Class SA, IF, 17.64%, 12/25/21............. 81 303 Series G92-15, Class Z, 7.00%, 01/25/22..................... 310 --(h) Series G92-27, Class SQ, IF, HB, 6468.36%, 05/25/22....... 6 751 Series G92-35, Class E, 7.50%, 07/25/22..................... 784 96 Series G92-42, Class Z, 7.00%, 07/25/22..................... 100
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 4,009 Series G92-44, Class ZQ, 8.00%, 07/25/22..................... $ 4,260 112 Series G92-52, Class FD, FRN, 4.43%, 09/25/22.............. 111 990 Series G92-54, Class ZQ, 7.50%, 09/25/22..................... 1,040 124 Series G92-59, Class F, FRN, 3.89%, 10/25/22.............. 122 15 Series G92-61, Class FJ, FRN, 4.29%, 10/25/22.............. 15 222 Series G92-61, Class Z, 7.00%, 10/25/22..................... 232 819 Series G93-1, Class KA, 7.90%, 01/25/23..................... 868 243 Series G93-14, Class J, 6.50%, 03/25/23..................... 248 560 Series G93-17, Class SI, IF, 6.00%, 04/25/23.............. 545 570 Series G93-27, Class FD, FRN, 5.29%, 08/25/23.............. 579 174 Series G93-5, Class Z, 6.50%, 02/25/23..................... 178 173 Series G95-1, Class C, 8.80%, 01/25/25..................... 188 31 Series 23, Class 2, IO, 10.00%, 09/01/17..................... 7 3 Series 50, Class 2, IO, 10.50%, 03/01/20..................... 1 94 Series 218, Class 2, IO, 7.50%, 04/01/23..................... 21 75 Series 265, Class 2, 9.00%, 03/01/24..................... 79 1,897 Series 329, Class 1, PO, 01/01/33..................... 1,466 2,091 Series 340, Class 1, PO, 09/01/33..................... 1,556 --(h) Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20....... 7 1 Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20........ 12 --(h) Series 1991-7, Class K, IO, HB, 908.50%, 02/25/21............ 2 71 Series 1992-152, Class N, IO, 8.00%, 08/25/07.............. 4 358 Series 1993-205, Class H, PO, 09/25/23..................... 304 4,174 Series 1993-257, Class C, PO, 06/25/23..................... 3,721
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 22 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 2,301 Series 1996-14, Class SE, IF, IO, 6.30%, 08/25/23.......... $ 338 158 Series 1996-20, Class L, PO, 09/25/08..................... 150 528 Series 1996-24, Class B, PO, 10/25/08..................... 508 236 Series 1996-24, Class E, PO, 03/25/09..................... 222 623 Series 1996-39, Class J, PO 09/25/08..................... 593 12 Series 1996-46, Class PE, PO, 09/25/06..................... 12 2,913 Series 1997-20, IO, 1.84%, 03/25/27..................... 192 221 Series 1997-51, Class PM, IO, 7.00%, 05/18/12.............. 18 646 Series 1997-81, Class PI, IO, 7.00%, 12/18/27.............. 131 106 Series 1998-4, Class C, PO, 04/25/23..................... 90 355 Series 1998-27, Class B, PO, 12/25/08..................... 335 837 Series 1998-43, Class SA, IF, IO, 12.06%, 04/25/23......... 226 1,075 Series 1998-66, Class SB, IF, IO, 3.77%, 12/25/28.......... 90 1,562 Series 1999-38, Class SK, IF, IO, 3.67%, 08/25/23.......... 121 1,184 Series 2000-20, Class SA, IF, IO, 4.72%, 07/25/30.......... 128 239 Series 2000-52, IO, 8.50%, 01/25/31..................... 59 3,897 Series 2001-33, Class ID, IO, 6.00%, 07/25/31.............. 818 6,777 Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32.......... 297 343 Series 2002-21, Class LO, PO, 04/25/32..................... 274 690 Series 2002-91, Class UH, IO, 5.50%, 06/25/22.............. 98 1,264 Series 2002-W5, Class A10, IF, IO, 3.72%, 11/25/30.......... 78 12,404 Series 2003-116, Class SB, IF, IO, 3.22%, 11/25/33.......... 913 1,588 Series 2003-132, Class OA, PO, 08/25/33..................... 1,171 2,583 Series 2003-16, Class PI, IO, 5.00%, 11/25/12.............. 97 1,361 Series 2003-39, IO, VAR, 6.00%, 05/25/33..................... 288
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,232 Series 2003-65, Class CI, IO, 4.50%, 03/25/15.............. $ 179 2,436 Series 2003-8, Class SB, IF, IO, 3.27%, 03/25/16.......... 102 16,729 Series 2003-80, Class SY, IF, IO, 3.27%, 06/25/23.......... 1,297 8,242 Series 2004-4, Class QI, IF, IO, 2.72%, 06/25/33.......... 480 1,954 Series 2004-21, Class CO, PO, 04/25/34..................... 1,270 1,540 Series 2004-92, Class JO, PO, 12/25/34..................... 1,254 1,982 Series 2989, PO, 06/15/23...... 1,564 1 Series G92-35, Class G, IO, HB, 1184.78%, 07/25/22........... 20 184 Series G92-62, Class B, PO, 10/25/22..................... 158 130 Series G93-37, Class H, PO, 09/25/23..................... 111 2 Series K, Class 2, IO, HB, 256.00%, 11/01/08............ 8 Federal National Mortgage Association Whole Loan 1,582 Series 2002-W5, Class A7, 6.25%, 08/25/30.............. 1,598 3,819 Series 2003-W1, Class 1A1, 6.50%, 12/25/42.............. 3,906 1,250 Series 2003-W1, Class 2A, 7.50%, 12/25/42.............. 1,307 641 Series 2003-W4, Class 2A, 6.50%, 10/25/42.............. 644 1,696 Series 2003-W8, Class 1A3, 4.75%, 12/25/42.............. 1,679 4,698 Series 2004-W2, Class 2A2, 7.00%, 02/25/44.............. 4,877 Government National Mortgage Association 2,796 Series 1994-3, Class PQ, 7.49%, 07/16/24..................... 2,931 1,681 Series 1994-4, Class KQ, 7.99%, 07/16/24..................... 1,766 5,279 Series 1994-7, Class PQ, 6.50%, 10/16/24..................... 5,548 1,303 Series 1996-16, Class E, 7.50%, 08/16/26..................... 1,356 513 Series 1997-11, Class D, 7.50%, 07/20/27..................... 533 2,163 Series 1997-8, Class PN, 7.50%, 05/16/27..................... 2,267
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 23 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,065 Series 1998-26, Class K, 7.50%, 09/17/25..................... $ 1,118 5,920 Series 1999-4, Class ZB, 6.00%, 02/20/29..................... 5,947 4,067 Series 1999-10, Class ZC, 6.50%, 04/20/29.............. 4,167 968 Series 1999-15, Class E, 6.50%, 01/16/29..................... 986 68 Series 1999-33, Class SM, IF, 9.20%, 09/16/29.............. 72 1,203 Series 1999-40, Class ZW, 7.50%, 11/20/29.............. 1,233 1,788 Series 1999-41, Class Z, 8.00%, 11/16/29..................... 1,891 552 Series 1999-44, Class PC, 7.50%, 12/20/29.............. 578 3,950 Series 1999-44, Class ZC, 8.50%, 12/16/29.............. 4,394 1,742 Series 1999-44, Class ZG, 8.00%, 12/20/29.............. 1,827 1,390 Series 2000-6, Class Z, 7.50%, 02/20/30..................... 1,432 681 Series 2000-9, Class PB, 7.50%, 06/16/26..................... 689 662 Series 2000-9, Class Z, 8.00%, 06/20/30..................... 707 4,327 Series 2000-9, Class ZJ, 8.50%, 02/16/30..................... 4,755 1,171 Series 2000-12, Class ST, IF, 18.05%, 02/16/30............. 1,448 1,320 Series 2000-14, Class PD, 7.00%, 02/16/30.............. 1,380 442 Series 2000-16, Class ZN, 7.50%, 02/16/30.............. 468 5,895 Series 2000-21, Class Z, 9.00%, 03/16/30..................... 6,569 646 Series 2000-26, Class TZ, 8.50%, 09/20/30.............. 669 510 Series 2000-26, Class Z, 7.75%, 09/20/30..................... 523 93 Series 2000-30, Class ST, IF, 11.05%, 12/16/22............. 104 1,271 Series 2000-31, Class Z, 9.00%, 10/20/30..................... 1,376 803 Series 2000-35, Class ZA, 9.00%, 11/20/30.............. 862 598 Series 2000-37, Class B, 8.00%, 12/20/30..................... 631 327 Series 2000-38, Class AH, 7.15%, 12/20/30.............. 336
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,607 Series 2001-7, Class PK, 6.50%, 03/20/31..................... $ 1,660 77 Series 2001-32, Class WA, IF, 9.20%, 07/20/31.............. 80 1,095 Series 2001-60, Class VP, 6.50%, 07/20/17.............. 1,114 2,200 Series 2001-64, Class MQ, 6.50%, 12/20/31.............. 2,283 3,592 Series 2001-8, Class Z, 6.50%, 03/20/31..................... 3,705 1,879 Series 2002-7, Class PG, 6.50%, 01/20/32..................... 1,935 416 Series 2002-24, Class SB, IF, 5.37%, 04/16/32.............. 402 2,123 Series 2002-36, Class VB, 6.50%, 07/20/20.............. 2,129 2,288 Series 2002-40, Class UK, 6.50%, 06/20/32.............. 2,410 161 Series 2002-41, Class SV, IF, 9.00%, 06/16/32.............. 171 1,344 Series 2002-41, Class VB, 6.50%, 04/20/18.............. 1,348 10,998 Series 2002-45, Class QE, 6.50%, 06/20/32.............. 11,546 3,124 Series 2002-47, Class PG, 6.50%, 07/16/32.............. 3,270 1,477 Series 2002-47, Class VB, 6.50%, 09/20/17.............. 1,482 7,274 Series 2002-47, Class ZA, 6.50%, 07/20/32.............. 7,369 256 Series 2002-51, Class SG, IF, 13.56%, 04/20/31............. 290 3,637 Series 2002-52, Class GH, 6.50%, 07/20/32.............. 3,820 2,200 Series 2002-54, Class GB, 6.50%, 08/20/32.............. 2,285 6,638 Series 2002-67, Class VA, 6.00%, 03/20/13.............. 6,697 2,542 Series 2002-70, Class AV, 6.00%, 03/20/12.............. 2,595 1,061 Series 2002-71, Class VJ, 6.00%, 12/20/14.............. 1,068 1,108 Series 2002-75, Class PB, 6.00%, 11/20/32.............. 1,150 1,202 Series 2002-79, Class KV, 6.00%, 11/20/13.............. 1,225 1,162 Series 2002-80, Class EB, 7.00%, 01/20/32.............. 1,194 2,281 Series 2002-88, Class VA, 6.00%, 12/20/17.............. 2,328
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 24 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,385 Series 2003-4, Class NY, 5.50%, 12/20/13..................... $ 1,400 1,540 Series 2003-40, Class TC, 7.50%, 03/20/33.............. 1,698 1,540 Series 2003-40, Class TJ, 6.50%, 03/20/33.............. 1,673 880 Series 2003-46, Class MG, 6.50%, 05/20/33.............. 959 1,628 Series 2003-46, Class TC, 6.50%, 03/20/33.............. 1,755 2,511 Series 2003-58, Class BE, 6.50%, 01/20/33.............. 2,663 1,430 Series 2003-98, Class PC, 5.00%, 02/20/29.............. 1,423 1,780 Series 2004-28, Class S, IF, 7.65%, 04/16/34.............. 1,765 803 Series 2004-73, Class AE, IF, 5.84%, 08/17/34.............. 781 1,240 Series 1999-30, Class S, IF, IO 4.23%, 08/16/29.............. 116 405 Series 2000-34, Class SG, IF, IO, 4.16%, 10/20/30.......... 25 122 Series 2000-36, Class IK, IO, 9.00%, 11/16/30.............. 24 805 Series 2001-4, Class SJ, IF, IO, 3.78%, 01/20/30.......... 21 1,263 Series 2001-6, Class SD, IF, IO, 4.18%, 03/16/31.......... 104 1,121 Series 2001-35, Class SA, IF, IO 3.88%, 08/16/31........... 89 921 Series 2001-36, Class S, IF, IO, 3.68%, 08/16/31.......... 42 1,101 Series 2002-3, Class SP, IF, IO, 3.02%, 01/16/32.......... 64 4,513 Series 2002-24, Class AG, IF, IO, 3.58%, 04/16/32.......... 375 10,451 Series 2002-31, Class SE, IF, IO, 3.13%, 04/16/30.......... 707 7,504 Series 2002-70, Class PS, IF, IO, 3.33%, 08/20/32.......... 502 1,405 Series 2002-88, Class LI, IO, 5.50%, 11/20/28.............. 50 3,245 Series 2003-4, Class NI, IO, 5.50%, 01/20/32.............. 528 5,270 Series 2003-11, Class SK, IF, IO, 3.33%, 02/16/33.......... 356 8,110 Series 2003-112, Class SA, IF, IO, 2.18%, 12/16/33.......... 304 2,547 Series 2003-12, Class SP, IF, IO, 3.33%, 02/20/33.......... 163
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 551 Series 2003-24, PO, 03/16/33... $ 466 1,564 Series 2003-52, Class AP, PO, 06/16/33..................... 1,204 6,406 Series 2003-76, Class LS, IF, IO, 2.83%, 09/20/31.......... 342 678 Series 2003-90, PO, 10/20/33... 580 2,798 Series 2003-95, Class SC, IF, IO, 2.63%, 09/17/31.......... 59 12,124 Series 2004-11, Class SW, IF, IO, 1.13%, 02/20/34.......... 464 Vendee Mortgage Trust 1,491 Series 1994-1, Class 1, VAR, 5.63%, 02/15/24.............. 1,482 858 Series 1994-1, Class 2J, 6.50%, 02/15/13..................... 863 2,628 Series 1996-1, Class 1Z, 6.75%, 02/15/26..................... 2,675 1,614 Series 1996-2, Class 1Z, 6.75%, 06/15/26..................... 1,677 3,579 Series 1997-1, Class 2Z, 7.50%, 02/15/27..................... 3,819 4,670 Series 1998-1, Class 2E, 7.00%, 09/15/27..................... 4,851 2,881 Series 1999-1, Class 2Z, 6.50%, 01/15/29..................... 2,929 ---------- 1,062,085 ---------- Non-Agency CMO (12.3%): Banc of America Funding Corp. 2,288 Series 2003-3, Class 1A33, 5.50%, 10/25/33.............. 2,228 1,746 Series 2004-1, PO, 03/25/34.... 1,395 3,000 Series 2005-6, Class 2A7, 5.50%, 10/25/35.............. 2,965 8,954 Series 2005-E, Class A1, FRN, 4.10%, 03/20/35.............. 8,786 Banc of America Mortgage Securities 702 Series 2003-7, Class A2, 4.75%, 09/25/18..................... 686 1,081 Series 2003-8 Class A, PO 11/25/33..................... 796 15,827 Series 2004-3, Class 15, IO, VAR, 0.21%, 04/25/20......... 111 608 Series 2004-4, Class A, PO, 05/25/34..................... 444 1,000 Series 2004-6, Class 2A5, PO, 07/25/34..................... 842
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 25 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 2,362 Series 2004-6, Class A, PO 07/25/34..................... $ 1,636 558 Series 2004-8, Class 5, PO, 05/25/32..................... 449 302 Series 2004-8, Class X, PO, 10/25/34..................... 257 2,200 Series 2004-E, Class 2A5, FRN, 4.12%, 06/25/34.............. 2,118 5,756 Series 2004-J, Class 3A1, FRN, 5.08%, 11/25/34.............. 5,700 1,329 Series 2005-A, Class 2A1, FRN, 4.47%, 02/25/35.............. 1,306 Bank of America Alternative Loan Trust 1,071 Series 2003-11, PO, 01/25/34... 882 754 Series 2003-2, PO, 04/25/33.... 633 849 Series 2004-6, Class 15, PO, 07/25/19..................... 656 2,500 Series 2005-5, Class 1CB1, 5.50%, 06/25/35.............. 2,441 Bear Stearns Adjustable Rate Mortgage Trust 1,890 Series 2003-7, Class 3A, VAR, 4.94%, 10/25/33.............. 1,852 880 Series B2004-4, Class A4, VAR, 3.51%, 06/25/34.............. 856 Citicorp Mortgage Securities, Inc. 839 Series 1993-14, Class A3, FRN, 5.58%, 11/25/23.............. 841 10,256 Series 2004-1, Class A1, 4.75%, 01/25/34..................... 10,037 3,544 Series 2004-5, Class A5, 4.50%, 08/25/34..................... 3,402 Citigroup Mortgage Loan Trust, Inc. 1,062 Series 2003-1, Class 2, PO, 10/25/33..................... 789 482 Series 2003-1, Class 2A6, PO, 10/25/33..................... 271 881 Series 2003-1, Class 3, PO, 10/25/33..................... 599 1,526 Series 2003-UP3, Class A3, 7.00%, 09/25/33.............. 1,557 801 Series 2003-UST1, PO 12/25/18.. 671 1,460 Series 2003-UST1, PO, 12/25/18..................... 1,220 4,612 Series 2003-UST1, Class A1, 5.50%, 12/25/18.............. 4,604 3,020 Series 2005-E, Class A1, VAR, 4.70%, 04/25/35.............. 2,999
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: Countrywide Alternative Loan Trust $ 2,640 Series 2002-8, Class A4, 6.50%, 07/25/32..................... $ 2,631 1,043 Series 2002-17, Class A7, 2.50%, 01/25/33.............. 1,005 9,711 Series 2004-2CB, Class 1A9, 5.75%, 03/25/34.............. 9,197 21,007 Series 2005-22T1, Class A2, IF, IO, 0.69%, 06/25/35.......... 238 6,190 Series 2005-26CB, Class A10, IF, 5.11%, 07/25/35.......... 5,998 8,000 Series 2005-28CB, Class 1A4, 5.50%, 08/25/35.............. 7,780 7,000 Series 2005-54CB, Class 1A11, 5.50%, 11/25/35.............. 6,863 2,009 Series 2005-64CB, Class 1A9, 5.50%, 12/25/35.............. 1,951 36,775 Series 2005-J1, Class 1A4, IF, IO, 0.72%, 02/25/35.......... 398 Countrywide Home Loan Mortgage Pass Through Trust 7,154 Series 2003-26, Class 1A6, 3.50%, 08/25/33.............. 6,623 393 Series 2003-34, Class A11, 5.25%, 09/25/33.............. 392 880 Series 2003-44 A9, PO, 10/25/33..................... 521 1,419 Series 2003-J2 A17, IF, IO, 3.02%, 04/25/33.............. 51 5,539 Series 2003-J7, Class 4A3, IF, 4.14%, 08/25/18.............. 5,126 2,889 Series 2004-7 Class 2A1, FRN, 4.09%, 06/25/34.............. 2,777 1,196 Series 2004-HYB1, Class 2A, VAR, 4.25%, 05/20/34......... 1,170 1,511 Series 2004-HYB3, Class 2A, VAR, 4.10%, 06/20/34......... 1,473 4,124 Series 2004-J8, Class 1A2, 4.75%, 11/25/20.............. 4,022 4,500 Series 2005-16, Class A23, 5.50%, 09/25/35.............. 4,405 11,597 Series 2005-22, Class 2A1, FRN, 5.35%, 11/25/35.............. 11,570 Credit Suisse First Boston Mortgage Securities Corp. 99 Series 1987, Class C, PO, 04/25/17..................... 82 1,025 Series 2004-5, Class 5P, PO, 08/25/20..................... 820
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 26 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 1,556 Series 2005-4, Class 3A18, 5.50%, 06/25/35.............. $ 1,426 1,731 Series 2005-4, Class 3A23, 5.50%, 06/25/35.............. 1,573 2,018 First Horizon Alternative Mortgage Securities, Series 2005-FA8, Class 1A19, 5.50%, 11/25/35..................... 1,923 First Horizon Asset Securities, Inc. 2,300 Series 2003-3, Class 1A4, 3.90%, 05/25/33.............. 2,176 6,845 Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35......... 6,787 8,579 Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35......... 8,507 GMAC Mortgage Corp. Loan Trust 6,590 Series 2005-AR3, Class 3A3, VAR, 4.89%, 06/20/35......... 6,559 6,500 Series 2005-AR3, Class 3A4, VAR, 4.89%, 06/20/35......... 6,424 GSR Mortgage Loan Trust 774 Series 2004-10F, Class 2A1, 5.00%, 08/25/20.............. 765 453 Series 2004-13F, Class 3A3, 6.00%, 11/25/34.............. 453 2,200 Series 2004-6F, Class 3A4, 6.50%, 05/25/34.............. 2,272 MASTR Adjustable Rate Mortgages Trust 6,033 Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34.............. 5,886 12,000 Series 2004-13, Class 3A6, FRN, 3.79%, 11/21/34.............. 11,542 MASTR Alternative Loans Trust 4,074 Series 2003-9, Class 8A1, 6.00%, 01/25/34.............. 4,097 9,379 Series 2004-4, Class 10A1, 5.00%, 05/25/24.............. 9,116 2,585 Series 2004-6, Class 7A1, 6.00%, 07/25/34.............. 2,589 1,569 Series 2004-6 30, PO, 07/25/34..................... 1,173 1,339 Series 2004-7 30, PO, 08/25/34..................... 1,029 1,900 Series 2004-10, Class 1A1, 4.50%, 09/25/20.............. 1,836 MASTR Asset Securitization Trust 1,108 Series 2003-12, Class 30, PO, 12/25/33..................... 751 1,598 Series 2003-4, Class 2A2, 5.00%, 05/25/18.............. 1,591
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 712 Series 2004-1, Class 30, PO, 02/25/34..................... $ 497 756 Series 2004-6, Class 15, PO 05/25/20..................... 565 788 Series 2004-8, PO, 08/25/20.... 595 12,599 MASTR Resecuritization Trust, Series 2005, Class 3, PO, 05/28/35 (e)................. 9,197 330 Merrill Lynch Trust, Series 47, Class Z, 8.99%, 10/20/20..... 353 3,168 MortgageIT Trust, Series 2005-1, Class 1A1, FRN, 4.70%, 02/25/35.............. 3,169 Nomura Asset Acceptance Corp. 1,868 Series 2003-A1, Class A1, 5.50%, 05/25/33.............. 1,860 1,672 Series 2003-A1, Class A2, 6.00%, 05/25/33.............. 1,676 304 Series 2003-A1, Class A5, 7.00%, 04/25/33.............. 304 338 Series 2003-A1, Class A7, 5.00%, 04/25/18.............. 337 2,194 Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e).......... 2,219 Paine Webber CMO Trust 16 Series H, Class 4, 8.75%, 04/01/18..................... 17 94 Series P, Class 4, 8.50%, 08/01/20..................... 97 Residential Accredit Loans, Inc. 1,512 Series 2002-QS16, Class A3, IF, 7.47%, 10/25/17.............. 1,424 4,399 Series 2002-QS8, Class A5, 6.25%, 06/25/17.............. 4,406 2,898 Series 2003-QS3, Class A2, IF, 6.87%, 02/25/18.............. 2,916 2,767 Series 2003-QS3, Class A8, IF, IO, 3.22%, 02/25/18.......... 181 6,927 Series 2003-QS9, Class A3, IF, IO, 3.17%, 05/25/18.......... 486 4,508 Series 2003-QR19, Class CB4, 5.75%, 10/25/33.............. 4,318 5,880 Series 2003-QS12, Class A2A, IF, IO, 3.22%, 06/25/18...... 392 1,790 Series 2003-QS12, Class A5, IO, 5.00%, 06/25/18.............. 295 13,791 Series 2003-QS14, Class A1, 5.00%, 07/25/18.............. 13,571 4,205 Series 2003-QS18, Class A1, 5.00%, 09/25/18.............. 4,141
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 27 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 1,320 Series 2004-QS8, Class A2, 5.00%, 06/25/34.............. $ 1,294 Residential Asset Securitization Trust 1,233 Series 2003-A13, Class A3, 5.50%, 01/25/34.............. 1,210 466 Series 2003-A14, Class A1, 4.75%, 02/25/20.............. 453 Residential Funding Mortgage Securities I 7,005 Series 2003-S7, Class A17, 4.00%, 05/25/33.............. 6,734 1,760 Series 2003-S12, Class 4A5, 4.50%, 12/25/32.............. 1,661 1,180 Series 2003-S13, Class 4A5, 2.50%, 06/25/18.............. 1,129 1,320 Series 2003-S13, Class A3, 5.50%, 06/25/33.............. 1,259 1,913 Series 2003-S14, Class A4, PO, 07/25/18..................... 1,821 4,534 Series 2005-SA4, Class 1A1, VAR, 5.01%, 09/25/35......... 4,568 386 Residential Funding Securities Corp. Series 2003-RM2, Class AP3, PO, 05/25/33............ 325 63 Rural Housing Trust, Series 1987-1, Class 3B, 7.33%, 04/01/26..................... 63 Salomon Brothers Mortgage Securities VII 35 Series 2000-UP1, Class A2, 8.00%, 09/25/30.............. 35 735 Series 2003-UP2, Class 1, PO, 12/25/18..................... 615 Structured Adjustable Rate Mortgage Loan Trust 3,300 Series 2004-6, Class 5A4, VAR, 5.00%, 06/25/34.............. 3,242 Structured Asset Securities Corp. 240 Series 2003-8, Class 1A2, PO, 05/25/32..................... 202 880 Series 2003-8, Class 1A2, 5.00%, 04/25/18.............. 863 1,672 Series 2004-20, Class 1A3, 5.25%, 11/25/34.............. 1,636 Washington Mutual Alternative Mortgage Pass-Through Certificates 1,584 Series 2002-MS, Class 12 A, 6.50%, 05/25/32.............. 1,591 40,110 Series 2005-2, Class 1A4, IF, IO, 0.67%, 04/25/35.......... 372
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 8,668 Series 2005-2, Class 2A3, IF, IO, 0.62%, 04/25/35.......... $ 66 5,000 Series 2005-4, Class CB7, 5.50%, 06/25/35.............. 4,882 3,273 Series 2005-6, Class 2A4, 5.50%, 08/25/35.............. 3,266 Washington Mutual, Inc. 1,447 Series 2003-AR4, Class A6, 3.42%, 05/25/33.............. 1,411 1,760 Series 2003-AR7, Class A6, 3.03%, 08/25/33.............. 1,681 812 Series 2003-AR8, Class A, FRN, 4.03%, 08/25/33.............. 810 1,760 Series 2003-S8, Class A6, 4.50%, 09/25/18.............. 1,686 1,088 Series 2003-S9, PO, 10/25/33... 749 5,699 Series 2003-S10, Class A5, 5.00%, 10/25/18.............. 5,584 627 Series 2003-S10, Class A6, PO, 10/25/18..................... 432 707 Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34.............. 695 5,613 Series 2004-S3, Class 2A3, IF, 6.80%, 07/25/34.............. 5,492 Wells Fargo Mortgage Backed Securities Trust 1,100 Series 2003-8, Class A9, 4.50%, 08/25/18..................... 1,049 1,482 Series 2003-11, Class 1A, PO 10/25/18..................... 1,057 2,640 Series 2003-11, Class 1A4, 4.75%, 10/25/18.............. 2,576 2,200 Series 2003-13, Class A7, 4.50%, 11/25/18.............. 2,063 1,053 Series 2003-17, Class 2A4, 5.50%, 01/25/34.............. 1,050 6,502 Series 2003-K, Class 1A2, FRN, 4.49%, 11/25/33.............. 6,258 2,578 Series 2004-7, Class 2A2, 5.00%, 07/25/20.............. 2,540 8,893 Series 2004-BB, Class A4, FRN, 4.57%, 01/25/35.............. 8,770 3,373 Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35.............. 3,287 7,665 Series 2004-P, Class 2A1, FRN, 4.23%, 09/25/34.............. 7,492 3,400 Series 2004-S, Class A5, FRN, 3.54%, 09/25/34.............. 3,270
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 28 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 1,245 Series 2005-AR10, Class 2A4, FRN, 4.11%, 06/25/35......... $ 1,212 2,728 Series 2005-AR16, Class 2A1, VAR, 4.95%, 10/25/35......... 2,713 ---------- 369,777 ---------- Total Collateralized Mortgage Obligations (Cost $1,463,901) 1,431,862 ---------- COMMERCIAL MORTGAGE BACKED SECURITIES (0.6%): 5,000 Banc of America Commercial Mortgage, Inc., Series 2005-6, Class ASB, VAR, 5.18%, 09/10/47.............. 5,026 Bear Stearns Commercial Mortgage Securities 227 Series 2000-WF1, Class A1, 7.64%, 02/15/32.............. 236 1,375 Series 2004-T16, Class A2, 3.70%, 02/13/46.............. 1,337 2,550 Series 2005-PWR9, Class AAB, 4.80%, 09/11/42.............. 2,500 3,850 Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43......... 3,857 5,015 Wachovia Bank Commercial Mortgage Trust, Series 2004- C15, Class A2, 4.04%, 10/15/41..................... 4,843 ---------- Total Commercial Mortgage Backed Securities (Cost $18,045) 17,799 ---------- CORPORATE BONDS (10.9%): Aerospace & Defense (0.0%): (g) 908 Systems 2001 AT LLC 7.16%, 12/15/11 (e)................. 952 ---------- Airlines (0.4%): 466 American Airlines, Inc., Series 1999-1, 7.02%, 10/15/09...... 478 Continental Airlines, Inc. 421 Series 1999-2, Class A1, 7.26%, 03/15/20..................... 428 1,100 Series 1999-2, Class A2, 7.06%, 09/15/09..................... 1,129 Delta Airlines, Inc. 561 7.38%, 05/18/12 (d)............ 556 1,719 7.57%, 11/18/11 (d)............ 1,694
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Airlines, continued: $ 734 Southwest Airlines Co., Series 2001-1, 5.10%, 05/01/06...... $ 735 United Airlines, Inc. 659 Series 2000-1, 7.73%, 07/01/10 (c)................. 656 950 Series 2000-2, 7.19%, 10/01/12..................... 947 789 Series 2001-1, 6.07%, 09/01/14 (c)................. 773 1,101 Series 2001-1, 6.20%, 09/01/08..................... 1,080 2,495 Series 2001-1, 7.78%, 07/01/15..................... 2,484 ---------- 10,960 ---------- Automobiles (0.7%): DaimlerChrysler NA Holding Corp. 1,144 4.75%, 01/15/08................ 1,134 2,519 7.20%, 09/01/09................ 2,664 Ford Motor Credit Co. 1,430 5.80%, 01/12/09................ 1,247 5,750 6.88%, 02/01/06................ 5,738 6,500 7.38%, 10/28/09................ 5,765 660 7.38%, 02/01/11 (c)............ 578 3,500 7.88%, 06/15/10 (c)............ 3,150 450 General Motors Corp. 8.80%, 03/01/21..................... 291 616 Toyota Motor Credit Corp. 2.88%, 08/01/08.............. 588 ---------- 21,155 ---------- Capital Markets (1.9%): 4,964 Bear Stearns Cos., Inc. (The) 3.25%, 03/25/09.............. 4,708 Credit Suisse First Boston USA, Inc. 484 4.70%, 06/01/09 (c)............ 480 1,100 5.50%, 08/15/13 (c)............ 1,122 6,856 6.13%, 11/15/11 (c)............ 7,197 Goldman Sachs Group, Inc. 1,465 3.88%, 01/15/09 (c)............ 1,422 1,204 4.75%, 07/15/13 (c)............ 1,168 1,205 5.25%, 10/15/13................ 1,205 1,683 6.60%, 01/15/12................ 1,808 440 6.65%, 05/15/09 (c)............ 462 5,071 6.88%, 01/15/11................ 5,463 224 7.35%, 10/01/09................ 241 Lehman Brothers Holdings, Inc. 719 4.00%, 01/22/08 (c)............ 707 1,000 4.80%, 03/13/14................ 976 1,728 6.63%, 01/18/12................ 1,866 300 7.88%, 11/01/09................ 329
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 29 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Capital Markets, continued: Merrill Lynch & Co., Inc. $ 924 3.70%, 04/21/08................ $ 900 500 4.79%, 08/04/10 (c)............ 494 660 5.45%, 07/15/14................ 671 880 Series B, 3.13%, 07/15/08...... 843 2,313 Series C, 4.13%, 01/15/09...... 2,267 Morgan Stanley 572 4.25%, 05/15/10 (c)............ 553 2,282 4.75%, 04/01/14 (c)............ 2,189 2,838 6.60%, 04/01/12................ 3,051 5,929 6.75%, 04/15/11................ 6,383 396 8.00%, 06/15/10................ 441 7,112 National Rural Utilities Cooperative Finance Corp. 6.00%, 05/15/06.............. 7,145 1,526 State Street Corp. 7.65%, 06/15/10..................... 1,705 ---------- 55,796 ---------- Chemicals (0.1%): 1,320 Dow Capital BV (Netherlands) 8.50%, 06/08/10.............. 1,485 470 Dow Chemical Co. (The) 6.13%, 02/01/11..................... 492 ---------- 1,977 ---------- Commercial Banks (1.2%): Bank of America Corp. 2,112 3.88%, 01/15/08................ 2,073 500 5.25%, 12/01/15 (c)............ 501 1,166 7.40%, 01/15/11................ 1,284 5,867 7.80%, 02/15/10................ 6,479 3,444 First Bank NA, 6.50%, 02/01/08..................... 3,561 2,420 Firstar Bank NA, 7.13%, 12/01/09..................... 2,611 1,375 Huntington National Bank, 8.00%, 04/01/10.............. 1,520 550 KEY Bank NA, 7.50%, 09/15/08... 588 1,804 Keycorp Series G, 4.70%, 05/21/09..................... 1,797 660 Popular North America, Inc., 4.25%, 04/01/08.............. 647 1,753 Royal Bank of Canada (Canada) 3.88%, 05/04/09.............. 1,705 880 Suntrust Bank, 6.38%, 04/01/11..................... 933 1,100 US Bancorp, 7.50%, 06/01/26.... 1,353 836 Wachovia Bank NA, 7.80%, 08/18/10..................... 938 Wachovia Corp. 2,137 3.50%, 08/15/08................ 2,065 2,818 3.63%, 02/17/09................ 2,718
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Commercial Banks, continued: Wells Fargo & Co. $ 2,303 3.13%, 04/01/09................ $ 2,181 660 4.20%, 01/15/10................ 643 2,294 Wells Fargo Bank NA 7.55%, 06/21/10..................... 2,534 ---------- 36,131 ---------- Commercial Services & Supplies (0.1%): 1,467 PHH Corp. 7.13%, 03/01/13................ 1,549 ---------- Computers & Peripherals (0.1%): International Business Machines Corp. 1,232 5.39%, 01/22/09................ 1,251 440 6.22%, 08/01/27................ 480 ---------- 1,731 ---------- Consumer Finance (1.0%): 660 American Express Credit Corp. 3.00%, 05/16/08.............. 633 American General Finance Corp. 1,254 Series H, 4.50%, 11/15/07...... 1,246 880 Series H, 5.38%, 10/01/12 (c)................. 884 187 Capital One Bank 5.75%, 09/15/10..................... 191 General Motors Acceptance Corp. 3,950 7.25%, 03/02/11................ 3,631 3,600 6.13%, 09/15/06 (c)............ 3,497 HSBC Finance Corp. 1,100 4.75%, 05/15/09................ 1,088 500 5.00%, 06/30/15 (c)............ 486 7,928 5.88%, 02/01/09................ 8,102 220 6.38%, 11/27/12................ 234 1,470 6.40%, 06/17/08................ 1,516 2,494 6.50%, 11/15/08................ 2,596 367 6.75%, 05/15/11................ 394 440 7.20%, 07/15/06 (c)............ 445 1,980 7.88%, 03/01/07 (c)............ 2,044 242 HSBC Holdings plc, 7.35%, 11/27/32..................... 292 International Lease Finance Corp. 695 4.50%, 05/01/08................ 687 551 5.88%, 05/01/13 (c)............ 570 1,125 SLM Corp., Series A, 5.38%, 01/15/13..................... 1,141 792 Standard Credit Card Master Trust, Series A, 7.25%, 04/07/06..................... 797 ---------- 30,474 ----------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 30 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Diversified Financial Services (1.8%): Associates Corp. of North America $ 2,051 8.15%, 08/01/09................ $ 2,264 1,355 8.55%, 07/15/09................ 1,512 1,100 Series A, 7.95%, 02/15/10...... 1,218 CIT Group, Inc. 1,540 6.50%, 02/07/06................ 1,543 600 7.75%, 04/02/12................ 680 Citigroup, Inc. 2,408 5.63%, 08/27/12................ 2,482 550 3.50%, 02/01/08 (c)............ 535 1,000 4.70%, 05/29/15 (c)............ 966 330 6.20%, 03/15/09 (c)............ 342 General Electric Capital Corp. 2,294 6.75%, 03/15/32 (c)............ 2,693 1,760 Series A, 3.50%, 05/01/08...... 1,710 5,083 Series A, 6.00%, 06/15/12...... 5,353 3,651 Series A, 6.13%, 02/22/11...... 3,841 440 Series A, 2.80%, 01/15/07 (c)................. 431 2,332 Series A, 4.25%, 01/15/08 (c)................. 2,305 924 Series A, 4.63%, 09/15/09 (c)................. 915 5,763 Series A, 5.88%, 02/15/12 (c)................. 6,011 John Hancock Global Funding II 1,100 3.50%, 01/30/09 (e)............ 1,056 1,188 7.90%, 07/02/10 (e)............ 1,336 MassMutual Global Funding II 1,804 3.25%, 06/15/07 (e)............ 1,761 1,936 3.50%, 03/15/10 (e)............ 1,826 New York Life Global Funding 1,045 3.88%, 01/15/09 (e)............ 1,015 3,080 5.38%, 09/15/13 (e)............ 3,163 Principal Life Global Funding I 1,100 2.80%, 06/26/08 (e)............ 1,049 264 5.13%, 06/28/07 (e)............ 264 4,729 6.25%, 02/15/12 (e)............ 5,023 1,760 USAA Capital Corp. Series B, 7.05%, 11/08/06 (e).......... 1,792 748 Washington Mutual Financial Corp. 6.88%, 05/15/11........ 811 ---------- 53,897 ---------- Diversified Telecommunication Services (1.0%): 1,012 Bellsouth Capital Funding 7.75%, 02/15/10................ 1,107 1,743 Bellsouth Telecommunications 6.30%, 12/15/15.............. 1,808 3,609 British Telecommunications plc (United Kingdom) 8.38%, 12/15/10..................... 4,108 2,200 France Telecom S.A. (France) 7.75%, 03/01/11.............. 2,457
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Diversified Telecommunication Services, continued: $ 880 GTE Corp., 7.51%, 04/01/09..... $ 934 2,586 Nynex Capital Funding Co. Series B, SUB, 8.23%, 10/15/09..................... 2,828 Sprint Capital Corp. 5,013 6.00%, 01/15/07................ 5,062 1,012 7.13%, 01/30/06................ 1,014 440 8.38%, 03/15/12................ 510 616 8.75%, 03/15/32................ 818 1,345 7.63%, 01/30/11 (c)............ 1,483 1,188 TELUS Corp. (Canada), 8.00%, 06/01/11..................... 1,332 750 Verizon Florida, Inc., Series F, 6.13%, 01/15/13........... 758 3,629 Verizon Global Funding Corp. 7.25%, 12/01/10.............. 3,938 647 Verizon Maryland, Inc., Series A, 6.13%, 03/01/12 (c)....... 661 968 Verizon Pennsylvania, Inc., 8.35%, 12/15/30.............. 1,148 937 Verizon Virginia, Inc., Series A, 4.63%, 03/15/13........... 868 ---------- 30,834 ---------- Electric Utilities (0.5%): 318 Alabama Power Co., 4.70%, 12/01/10..................... 314 453 American Electric Power Co., Inc. Series A, 6.13%, 05/15/06 (c)................. 455 308 Appalachian Power Co., 6.60%, 05/01/09..................... 322 990 Carolina Power & Light Co., 5.13%, 09/15/13.............. 987 240 Commonwealth Edison Co., 6.95%, 07/15/18 (c)................. 256 Constellation Energy Group, Inc. 1,408 6.35%, 04/01/07................ 1,430 440 7.00%, 04/01/12................ 480 1,456 Dominion Resources, Inc., Series B, 6.25%, 06/30/12.... 1,523 1,650 DTE Energy Co., Series A, 6.65%, 04/15/09.............. 1,723 Duke Energy Corp. 2,200 4.20%, 10/01/08................ 2,152 1,604 5.63%, 11/30/12................ 1,645 2,211 Exelon Generation Co., LLC, 6.95%, 06/15/11.............. 2,384 245 Kiowa Power Partners LLC, 4.81%, 12/30/13 (e).......... 237
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 31 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Electric Utilities, continued: $ 880 Ohio Valley Electric Corp., 5.94%, 02/12/06 (e).......... $ 882 270 Virginia Electric & Power Co. Series A, 5.38%, 02/01/07.... 271 ---------- 15,061 ---------- Food & Staples Retailing (0.1%): 1,320 Kroger Co. (The), 8.05%, 02/01/10 (c)................. 1,433 ---------- Gas Utilities (0.0%): (g) 802 KeySpan Gas East Corp. 7.88%, 02/01/10................ 886 ---------- Hotels, Restaurants & Leisure (0.0%): (g) 396 Harrah's Operating Co., Inc. 8.00%, 02/01/11 (c).......... 438 ---------- Industrial Conglomerates (0.1%): 506 Raychem Corp., 7.20%, 10/15/08..................... 529 Tyco International Group S.A. (Bermuda) 2,420 6.38%, 10/15/11................ 2,513 1,100 6.75%, 02/15/11................ 1,157 ---------- 4,199 ---------- Insurance (0.7%): 1,716 American International Group, Inc. 4.25%, 05/15/13......... 1,632 ASIF Global Financing, 880 2.65%, 01/17/06 (e)............ 879 2,640 3.90%, 10/22/08 (e)............ 2,569 2,552 4.90%, 01/17/13 (e)............ 2,539 1,980 Jackson National Life Global Funding, 6.13%, 05/30/12 (e)................. 2,111 1,276 Metropolitan Life Global Funding I 5.20%, 09/18/13 (e)................. 1,287 710 MGIC Investment Corp., 6.00%, 03/15/07..................... 717 2,640 Monumental Global Funding II 4.38%, 07/30/09 (e).......... 2,584 1,276 Monumental Global Funding III 5.20%, 01/30/07 (e).......... 1,278 528 Nationwide Financial Services 6.25%, 11/15/11.............. 556 667 Pacific Life Global Funding, 3.75%, 01/15/09 (e).......... 654 Protective Life Secured Trust, 956 4.00%, 10/07/09................ 931 2,640 4.00%, 04/01/11................ 2,532
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Insurance, continued: $ 275 XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14..... $ 269 ---------- 20,538 ---------- IT Services (0.0%): (g) 905 First Data Corp. 3.90%, 10/01/09 (c)................. 861 ---------- Media (0.4%): 700 Comcast Cable Communications 7.13%, 06/15/13.............. 761 1,675 Comcast Corp., 5.50%, 03/15/11..................... 1,684 803 Cox Communications, Inc., 7.75%, 11/01/10.............. 870 Historic TW, Inc. 968 7.48%, 01/15/08................ 1,008 719 8.18%, 08/15/07................ 752 1,375 9.15%, 02/01/23................ 1,691 660 Knight-Ridder, Inc., 7.13%, 06/01/11..................... 657 3,212 Tele-Communications-TCI Group 9.80%, 02/01/12.............. 3,875 1,012 Time Warner Entertainment Co. LP 10.15%, 05/01/12.......... 1,232 200 Time Warner, Inc., 7.70%, 05/01/32..................... 225 ---------- 12,755 ---------- Multi-Utilities (0.0%): (g) 1,048 PSEG Power LLC, 7.75%, 04/15/11 (c)................. 1,160 ---------- Oil, Gas & Consumable Fuels (0.1%): 350 Conoco Funding Co. (Canada) 5.45%, 10/15/06.............. 351 1,980 ConocoPhillips, 8.75%, 05/25/10..................... 2,278 ---------- 2,629 ---------- Paper & Forest Products (0.1%): International Paper Co. 1,496 4.00%, 04/01/10................ 1,413 701 4.25%, 01/15/09 (c)............ 680 802 Union Camp Corp., 6.50%, 11/15/07..................... 819 Weyerhaeuser Co. 38 6.13%, 03/15/07................ 39 550 6.75%, 03/15/12................ 584 ---------- 3,535 ----------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 32 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Real Estate (0.1%): $ 2,116 EOP Operating LP, 6.75%, 02/15/12..................... $ 2,246 308 ERP Operating LP, 4.75%, 06/15/09..................... 304 ---------- 2,550 ---------- Road & Rail (0.1%): Burlington Northern Santa Fe Corp. 950 6.13%, 03/15/09................ 983 1,120 7.13%, 12/15/10................ 1,219 ---------- 2,202 ---------- Thrifts & Mortgage Finance (0.3%): 616 Bank United, Series A, 8.00%, 03/15/09..................... 674 Countrywide Home Loans, Inc. 1,100 Series E, 7.20%, 10/30/06...... 1,119 2,470 Series L, 4.00%, 03/22/11...... 2,324 1,320 3.25%, 05/21/08................ 1,267 770 Washington Mutual Bank FA 6.88%, 06/15/11.............. 832 Washington Mutual, Inc. 1,439 4.20%, 01/15/10................ 1,393 300 5.63%, 01/15/07................ 302 1,100 World Savings Bank FSB, 4.50%, 06/15/09 (c)................. 1,085 ---------- 8,996 ---------- Wireless Telecommunication Services (0.1%): New Cingular Wireless Services, Inc. 1,883 7.88%, 03/01/11................ 2,113 359 7.50%, 05/01/07 (c)............ 371 ---------- 2,484 ---------- Total Corporate Bonds (Cost $335,427) 325,183 ---------- FOREIGN GOVERNMENT SECURITIES (0.5%): Mexico Government International Bond (Mexico) 1,832 4.63%, 10/08/08................ 1,809 475 6.38%, 01/16/13................ 505 1,000 6.63%, 03/03/15 (c)............ 1,095 3,864 Series A, 7.50%, 04/08/33...... 4,575 Province of Quebec (Canada) 5,059 5.75%, 02/15/09................ 5,207 1,100 6.50%, 01/17/06................ 1,101 440 SUB, 7.37%, 03/06/26........... 558 ---------- Total Foreign Government Securities (Cost $14,777) 14,850 ----------
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: MORTGAGE PASS-THROUGH SECURITIES (6.8%): Federal Home Loan Mortgage Corp. Gold Pools $ 19,472 4,00%, 05/01/14 - 09/01/35..... $ 18,424 998 4.50%, 08/01/18................ 973 5,875 5.50%, 06/01/17 - 01/01/34..... 5,834 3,548 6.00%, 04/01/18 - 01/01/34..... 3,597 13,362 6.50%, 08/01/16 - 11/01/34..... 13,733 4,314 7.00%, 01/01/17 - 08/01/32..... 4,481 1,266 7.50%, 09/01/10 - 11/01/15..... 1,317 164 8.50%, 11/01/15................ 175 Federal Home Loan Mortgage Corp. Conventional Pools 1,119 ARM, 3.86%, 07/01/33........... 1,091 266 ARM, 5.18%, 07/01/19........... 273 270 ARM, 5.33%, 04/01/30........... 276 8,294 5.50%, 07/01/35................ 8,238 22 12.00%, 07/01/19............... 24 61 12.00%, 08/01/15............... 67 Federal National Mortgage Association Various Pools 6,289 3.50%, 09/01/18 - 07/01/19..... 5,832 34 ARM, 3.86%, 01/01/19........... 34 51,357 4.00%, 09/01/13 - 12/01/18..... 49,202 393 ARM, 4.34%, 09/01/27........... 394 16,415 4.50%, 11/01/14 - 02/01/35..... 15,974 420 ARM, 4.55%, 03/01/29........... 420 2,193 ARM, 4.74%, 05/01/35........... 2,180 6,808 ARM, 4.87%, 01/01/35........... 6,810 597 ARM, 4.92%, 04/01/34........... 600 92 ARM, 4.97%, 03/01/19........... 93 3,034 5.00%, 12/01/16 - 09/01/35..... 2,983 23,995 5.50%, 06/01/12 - 03/01/34..... 23,852 13,990 6.00%, 02/01/14 - 09/01/33..... 14,231 8,184 6.50%, 03/01/17 - 08/01/31..... 8,462 3,464 7.00%, 03/01/17 - 02/01/33..... 3,611 250 7.50%, 03/01/17................ 263 3,929 8.00%, 11/01/12 - 11/01/28..... 4,187 316 9.00%, 05/01/18 - 04/01/26..... 343 77 9.50%, 07/01/28................ 85 536 10.93%, 04/15/19............... 592 70 12.50%, 01/01/16............... 78 Government National Mortgage Association Various Pools 2,623 6.50%, 06/15/17 - 04/15/33..... 2,735 1,066 7.00%, 02/15/33 - 06/15/33..... 1,127 657 7.50%, 11/15/22 - 11/15/31..... 690 1,831 8.00%, 01/15/16 - 09/20/28..... 1,953 149 8.50%, 07/15/08 - 05/20/25..... 162 33 9.00%, 12/15/16 - 10/15/30..... 35 ---------- Total Mortgage Pass-Through Securities (Cost $207,440) 205,431 ----------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 33 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: MUNICIPAL BOND (0.1%): Illinois $ 2,400 State of Illinois, Taxable Pension GO, 5.10%, 06/01/33 (Cost $2,423)................ $ 2,359 ---------- SUPRANATIONAL (0.0%): (G) 440 Corp. Andina de Fomento, 5.20%, 05/21/13 (Cost $451)......... 438 ---------- U.S. GOVERNMENT AGENCY SECURITIES (0.9%): 1,000 Federal Home Loan Bank System 4.25%, 04/16/07.............. 994 Federal Home Loan Mortgage Corp. 3,648 4.13%, 07/12/10 (c)............ 3,557 990 5.75%, 01/15/12................ 1,039 880 6.63%, 09/15/09 (c)............ 935 1,218 6.88%, 09/15/10 (c)............ 1,326 Federal National Mortgage Association 1,760 5.50%, 03/15/11 (c)............ 1,819 1,000 6.00%, 05/15/08................ 1,028 1,597 6.13%, 03/15/12................ 1,709 3,813 6.25%, 02/01/11................ 4,027 924 6.38%, 06/15/09................ 971 3,300 6.63%, 09/15/09................ 3,509 1,034 7.13%, 06/15/10 (c)............ 1,131 4,669 7.25%, 01/15/10................ 5,087 ---------- Total U.S. Government Agency Securities (Cost $27,762) 27,132 ---------- U.S. TREASURY OBLIGATIONS (20.8%): U.S. Treasury Bonds 1,000 6.25%, 08/15/23................ 1,194 3,253 7.50%, 11/15/16................ 4,086 1,320 7.63%, 02/15/25................ 1,819 4,883 7.88%, 02/15/21 (c)............ 6,608 600 8.13%, 05/15/21................ 831 3,825 8.75%, 05/15/17 (c)............ 5,253 3,761 8.75%, 08/15/20 (c)............ 5,411 264 8.88%, 02/15/20 (c)............ 375 572 9.25%, 02/15/16................ 793 2,416 9.88%, 11/15/15 (c)............ 3,452 35,391 10.38%, 11/15/12 (m)........... 39,113 11,564 11.75%, 11/15/14 (m)........... 14,560 49,780 12.00%, 08/15/13 (m)........... 59,059 9,855 12.50%, 08/15/14 (m)........... 12,501 440 13.25%, 05/15/14 (m)........... 560 U.S. Treasury Inflation Indexed Bonds 9,777 3.63%, 04/15/28 (m)............ 12,612 2,671 3.88%, 01/15/09 (c)............ 2,808 17,066 4.25%, 01/15/10................ 18,501
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: U.S. TREASURY OBLIGATIONS, CONTINUED: U.S. Treasury Notes $ 440 3.13%, 09/15/08 (c)............ $ 426 2,700 3.38%, 02/15/08 (c)............ 2,644 500 3.38%, 10/15/09 (c)............ 483 847 3.50%, 11/15/06 (c)............ 840 1,000 3.50%, 05/31/07 (c)............ 987 2,300 3.50%, 12/15/09 (c)............ 2,228 500 3.63%, 01/15/10 (c)............ 486 35,000 4.00%, 04/15/10 (c)............ 34,491 1,660 5.63%, 05/15/08 (c)............ 1,705 7,202 5.75%, 08/15/10 (c)............ 7,619 10,603 6.00%, 08/15/09 (c)............ 11,175 2,420 6.13%, 08/15/07................ 2,484 34,889 6.50%, 02/15/10 (m)............ 37,635 2,200 6.50%, 10/15/06 (c)............ 2,233 440 6.88%, 05/15/06 (c)............ 444 U.S. Treasury STRIPS 2,420 PO, 05/15/07................... 2,281 8,271 PO, 05/15/08................... 7,464 6,533 PO, 11/15/09................... 5,501 1,700 PO, 05/15/09 (c)............... 1,468 11,972 PO, 02/15/10 (c)............... 10,027 8,767 PO, 02/15/11 (c)............... 7,034 20,830 PO, 05/15/11 (c)............... 16,611 31,538 PO, 05/15/12................... 23,947 8,743 PO, 11/15/12................... 6,479 32,239 PO, 02/15/13................... 23,583 3,000 PO, 05/15/13................... 2,167 8,429 PO, 08/15/13 (c)............... 6,019 36,997 PO, 02/15/14 (c) (m)........... 25,778 6,991 PO, 05/15/14 (m)............... 4,813 37,846 PO, 08/15/14 (m)............... 25,746 18,426 PO, 11/15/14 (m)............... 12,385 14,926 PO, 02/15/15 (m)............... 9,938 6,359 PO, 11/15/15................... 4,103 4,235 PO, 05/15/15 (c)............... 2,794 15,887 PO, 08/15/15 (c)............... 10,335 32,727 PO, 11/15/15 (c)............... 21,074 59,442 PO, 02/15/16 (c)............... 37,703 10,463 PO, 05/15/16 (c)............... 6,556 2,068 PO, 08/15/16 (c)............... 1,281 11,839 PO, 11/15/16................... 7,237 10,866 PO, 02/15/17 (c)............... 6,560 9,250 PO, 05/15/17 (c)............... 5,509 3,750 PO, 11/15/17 (c)............... 2,178 37,041 PO, 05/15/18 (c)............... 21,028 13,083 PO, 02/15/20................... 7,149
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 34 JPMORGAN CORE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- LONG-TERM INVESTMENTS, CONTINUED: U.S. TREASURY OBLIGATIONS, CONTINUED: $ 792 PO, 02/15/22 (c)............... $ 375 6,181 PO, 02/15/23 (c)............... 2,795 ---------- Total U.S. Treasury Obligations (Cost $640,743) 623,334 ---------- TOTAL LONG-TERM INVESTMENTS (Cost $2,761,337) 2,698,211 ---------- SHORT-TERM INVESTMENT (9.3%): Investment Company (9.3%): 277,428 JPMorgan Liquid Assets Money Market Fund (b) (Cost $277,428).................... 277,428 ---------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED (7.1%): Cash Deposits (0.3%): Wells Fargo Bank San Francisco 5,000 4.30%, 01/27/06................ $ 5,000 5,000 4.30%, 01/27/06................ 5,000 ---------- 10,000 ---------- Commercial Papers (0.6%): 9,929 ASAP Funding Ltd., 4.38%, 02/03/06..................... 9,929 HSBC Finance Corp. 4,963 4.35%, 02/01/06................ 4,963 3,971 4.43%, 02/10/06................ 3,970 ---------- 18,862 ---------- Corporate Notes (0.3%): American Express Credit Corporation 5,000 FRN, 4.36%, 06/12/07........... 5,000 4,000 FRN, 4.36%, 06/12/07........... 4,000 ---------- 9,000 ----------
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- ------------------------------- ---------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED, CONTINUED: Repurchase Agreements (5.9%): $ 42,876 Bank of America Securities LLC, 4.26%, dated 12/30/05, due 1/3/06, repurchase price $42,897, collateralized by U.S. Government Agency Mortgages.................... $ 42,876 44,000 Lehman Brothers Inc., 4.26%, dated 12/30/05, due 1/3/06, repurchase price $44,021, collateralized by U.S. Government Agency Mortgages.. 44,000 44,000 Morgan Stanley, 4.27%, dated 12/30/05, due 1/3/06, repurchase price $44,021, collateralized by U.S. Government Agency Mortgages.. 44,000 44,000 UBS Securities LLC, 4.26%, dated 12/30/05, due 1/3/06, repurchase price $44,021, collateralized by U.S. Government Agency Mortgages.. 44,000 ---------- 174,876 ---------- Total Investments of Cash Collateral on Securities Loaned (Cost $212,738) 212,738 ---------- TOTAL INVESTMENTS (106.5)%: (Cost $3,251,503) 3,188,377 LIABILITIES IN EXCESS OF OTHER ASSETS (6.5%) (194,864) ---------- NET ASSETS (100.0%) $2,993,513 ==========
------------ Percentages indicated are based on net assets. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 35 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) AS OF DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS)
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS (99.1%): COMMON STOCKS (99.1%): Aerospace & Defense (2.2%): 30 Boeing Co. ...................... $ 2,076 7 General Dynamics Corp. .......... 841 5 Goodrich Corp. (c)............... 185 31 Honeywell International, Inc. ... 1,150 4 L-3 Communications Holdings, Inc. .......................... 327 13 Lockheed Martin Corp. ........... 833 13 Northrop Grumman Corp. .......... 782 16 Raytheon Co. .................... 657 6 Rockwell Collins, Inc. .......... 294 37 United Technologies Corp. ....... 2,086 -------- 9,231 -------- Air Freight & Logistics (1.0%): 11 FedEx Corp. ..................... 1,147 2 Ryder System, Inc. (c)........... 97 40 United Parcel Service, Inc., Class B........................ 3,037 -------- 4,281 -------- Airlines (0.1%): 26 Southwest Airlines Co. .......... 420 -------- Auto Components (0.2%): 2 Cooper Tire & Rubber Co. ........ 34 6 Dana Corp. (c)................... 40 6 Goodyear Tire & Rubber Co. (The) (a) (c)........................ 112 7 Johnson Controls, Inc. .......... 515 -------- 701 -------- Automobiles (0.3%): 68 Ford Motor Co. (c)............... 525 21 General Motors Corp. (c)......... 402 10 Harley-Davidson, Inc. (c)........ 518 -------- 1,445 -------- Beverages (2.1%): 28 Anheuser-Busch Cos., Inc. ....... 1,221 3 Brown-Forman Corp., Class B (c)............................ 211 76 Coca-Cola Co. (The).............. 3,055 11 Coca-Cola Enterprises, Inc. ..... 213 7 Constellation Brands, Inc., Class A (a) (c)...................... 189 2 Molson Coors Brewing Co., Class B (c)............................ 138 5 Pepsi Bottling Group, Inc. ...... 144 61 PepsiCo, Inc. ................... 3,590 -------- 8,761 -------- Biotechnology (1.5%): 45 Amgen, Inc. (a).................. 3,564 7 Applera Corp.- Applied Biosystems Group (c)...................... 183 12 Biogen Idec, Inc. (a)............ 563 4 Chiron Corp. (a)................. 178 9 Genzyme Corp. (a)................ 669
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Biotechnology, continued: 17 Gilead Sciences, Inc. (a) (c).... $ 883 9 MedImmune, Inc. (a).............. 316 -------- 6,356 -------- Building Products (0.2%): 7 American Standard Cos., Inc. (c)............................ 267 16 Masco Corp. ..................... 469 -------- 736 -------- Capital Markets (3.1%): 28 Bank of New York Co., Inc. (The).......................... 898 4 Bear Stearns Cos., Inc. (The).... 479 38 Charles Schwab Corp. (The)....... 554 15 E*Trade Financial Corp. (a)...... 313 3 Federated Investors, Inc., Class B.............................. 115 5 Franklin Resources, Inc. ........ 511 17 Goldman Sachs Group, Inc. ....... 2,108 8 Janus Capital Group, Inc. ....... 147 10 Lehman Brothers Holdings, Inc. .......................... 1,257 15 Mellon Financial Corp. .......... 525 34 Merrill Lynch & Co., Inc. ....... 2,279 39 Morgan Stanley................... 2,240 7 Northern Trust Corp. ............ 352 12 State Street Corp. (c)........... 666 5 T. Rowe Price Group, Inc. ....... 345 -------- 12,789 -------- Chemicals (1.5%): 8 Air Products & Chemicals, Inc. .......................... 481 35 Dow Chemical Co. (The)........... 1,549 3 Eastman Chemical Co. ............ 154 7 Ecolab, Inc. (c)................. 245 34 EI Du Pont de Nemours & Co. ..... 1,431 4 Engelhard Corp. (c).............. 132 4 Hercules, Inc. (a) (c)........... 47 3 International Flavors & Fragrances, Inc. .............. 99 10 Monsanto Co. .................... 762 6 PPG Industries, Inc. ............ 354 12 Praxair, Inc. ................... 625 5 Rohm & Haas Co. ................. 255 2 Sigma-Aldrich Corp. ............. 156 -------- 6,290 -------- Commercial Banks (5.7%): 13 AmSouth Bancorp.................. 334 147 Bank of America Corp. (c)........ 6,787 20 BB&T Corp. (c)................... 832 6 Comerica, Inc. .................. 344 5 Compass Bancshares, Inc. (c)..... 220 20 Fifth Third Bancorp (c).......... 766 5 First Horizon National Corp. (c)............................ 177 8 Huntington Bancshares, Inc. ..... 198 15 Keycorp.......................... 492 3 M&T Bank Corp. (c)............... 318 8 Marshall & Ilsley Corp. (c)...... 330
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 36 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Commercial Banks, continued: 20 National City Corp. (c).......... $ 678 17 North Fork Bancorp, Inc. ........ 477 11 PNC Financial Services Group, Inc. .......................... 662 17 Regions Financial Corp. ......... 573 13 SunTrust Banks, Inc. ............ 963 11 Synovus Financial Corp. ......... 309 67 U.S. Bancorp..................... 1,988 57 Wachovia Corp. .................. 3,007 61 Wells Fargo & Co. ............... 3,848 4 Zions Bancorp.................... 289 -------- 23,592 -------- Commercial Services & Supplies (0.9%): 8 Allied Waste Industries, Inc. (a) (c)............................ 70 5 Apollo Group, Inc., Class A (a) (c)............................ 322 4 Avery Dennison Corp. ............ 223 38 Cendant Corp. ................... 647 5 Cintas Corp. .................... 208 5 Equifax, Inc. (c)................ 181 12 H&R Block, Inc. ................. 295 5 Monster Worldwide, Inc. (a)...... 184 8 Pitney Bowes, Inc. .............. 353 8 R.R. Donnelley & Sons Co. ....... 272 6 Robert Half International, Inc. .......................... 236 20 Waste Management, Inc. .......... 613 -------- 3,604 -------- Communications Equipment (2.7%): 4 ADC Telecommunications, Inc. (a)............................ 95 6 Andrew Corp. (a)................. 64 15 Avaya, Inc. (a).................. 164 21 CIENA Corp.(a)................... 63 225 Cisco Systems, Inc. (a).......... 3,851 7 Comverse Technology, Inc. (a) (c)............................ 197 56 Corning, Inc. (a)................ 1,097 61 JDS Uniphase Corp. (a)........... 143 163 Lucent Technologies, Inc. (a) (c)............................ 433 91 Motorola, Inc. .................. 2,060 60 QUALCOMM, Inc. .................. 2,594 6 Scientific-Atlanta, Inc. ........ 242 16 Tellabs, Inc. (a)................ 179 -------- 11,182 -------- Computers & Peripherals (3.6%): 31 Apple Computer, Inc. (a)......... 2,219 86 Dell, Inc. (a)................... 2,585 88 EMC Corp. (a).................... 1,192 10 Gateway, Inc. (a) (c)............ 24 105 Hewlett-Packard Co. ............. 3,004 58 International Business Machines Corp. ......................... 4,755 4 Lexmark International, Inc., Class A (a).................... 190 7 NCR Corp. (a).................... 228 14 Network Appliance, Inc. (a) (c)............................ 368 3 QLogic Corp. (a)................. 96 125 Sun Microsystems, Inc. (a)....... 524 -------- 15,185 --------
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Construction & Engineering (0.1%): 3 Fluor Corp. (c).................. $ 246 -------- Construction Materials (0.1%): 4 Vulcan Materials Co. (c)......... 253 -------- Consumer Finance (1.3%): 45 American Express Co. ............ 2,340 11 Capital One Financial Corp. ..... 947 46 MBNA Corp. ...................... 1,248 15 SLM Corp. ....................... 842 -------- 5,377 -------- Containers & Packaging (0.2%): 4 Ball Corp. ...................... 151 4 Bemis Co. ....................... 108 5 Pactiv Corp. (a) (c)............. 115 3 Sealed Air Corp. (a) (c)......... 168 4 Temple-Inland, Inc. ............. 184 -------- 726 -------- Distributors (0.1%): 6 Genuine Parts Co. ............... 279 -------- Diversified Financial Services (3.8%): 9 Ameriprise Financial, Inc. ...... 369 7 CIT Group, Inc. ................. 379 185 Citigroup, Inc. ................. 8,991 128 JPMorgan Chase & Co. (q)......... 5,086 9 Moody's Corp. (c)................ 558 10 Principal Financial Group (c).... 486 -------- 15,869 -------- Diversified Telecommunication Services (2.5%): 14 Alltel Corp. .................... 885 143 AT&T, Inc. (m) (c)............... 3,503 5 CenturyTel, Inc. ................ 159 12 Citizens Communications Co. (c)............................ 150 57 Qwest Communications International, Inc. (a)........ 319 108 Sprint Nextel Corp. ............. 2,527 101 Verizon Communications, Inc. .... 3,050 -------- 10,593 -------- Electric Utilities (2.3%): 6 Allegheny Energy, Inc. (a)....... 189 7 Ameren Corp. .................... 383 14 American Electric Power Co., Inc. .......................... 535 7 Cinergy Corp. ................... 310 8 CMS Energy Corp. (a) (c)......... 117 9 Consolidated Edison, Inc. (c).... 416 7 DTE Energy Co. .................. 281 12 Edison International............. 520 8 Entergy Corp. ................... 522 24 Exelon Corp. .................... 1,298 12 FirstEnergy Corp. ............... 592 14 FPL Group, Inc. ................. 601 13 PG&E Corp. (c)................... 466 4 Pinnacle West Capital Corp. (c)............................ 150 14 PPL Corp. (c).................... 409
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 37 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Electric Utilities, continued: 9 Progress Energy, Inc. (c)........ $ 405 27 Southern Co. (The) (c)........... 938 8 TECO Energy, Inc. (c)............ 131 18 TXU Corp. ....................... 887 15 Xcel Energy, Inc. (c)............ 272 -------- 9,422 -------- Electrical Equipment (0.5%): 6 American Power Conversion Corp. ......................... 138 3 Cooper Industries Ltd. (Bermuda), Class A........................ 245 15 Emerson Electric Co. ............ 1,124 7 Rockwell Automation, Inc. ....... 388 -------- 1,895 -------- Electronic Equipment & Instruments (0.3%): 15 Agilent Technologies, Inc. (a)... 501 6 Jabil Circuit, Inc. (a).......... 236 5 Molex, Inc. (c).................. 136 19 Sanmina-SCI Corp. (a)............ 82 33 Solectron Corp. (a) (c).......... 123 9 Symbol Technologies, Inc. ....... 118 3 Tektronix, Inc. (c).............. 86 -------- 1,282 -------- Energy Equipment & Services (1.7%): 13 Baker Hughes, Inc. .............. 761 12 BJ Services Co. (c).............. 433 19 Halliburton Co. (c).............. 1,163 6 Nabors Industries Ltd. (Bermuda) (a)............................ 438 6 National Oilwell Varco, Inc. (a)............................ 400 5 Noble Corp. (Cayman Islands) (c)............................ 354 4 Rowan Cos., Inc. (c)............. 143 22 Schlumberger Ltd. (Neth. Antilles)...................... 2,096 12 Transocean, Inc. (Cayman Islands) (a)............................ 842 13 Weatherford International Ltd. (a)............................ 461 -------- 7,091 -------- Food & Staples Retailing (2.4%): 14 Albertson's, Inc. (c)............ 288 17 Costco Wholesale Corp. .......... 855 30 CVS Corp. ....................... 788 27 Kroger Co. (The) (a)............. 501 16 Safeway, Inc. ................... 389 5 SUPERVALU, Inc. (c).............. 162 23 Sysco Corp. (c).................. 705 91 Wal-Mart Stores, Inc. ........... 4,281 37 Walgreen Co. .................... 1,641 5 Whole Foods Market, Inc. ........ 391 -------- 10,001 -------- Food Products (1.0%): 24 Archer-Daniels-Midland Co. (c)... 590 7 Campbell Soup Co. (c)............ 203 19 ConAgra Foods, Inc. ............. 385 13 General Mills, Inc. ............. 642 7 Hershey Foods Corp. (c).......... 366
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Food Products, continued: 12 HJ Heinz Co. .................... $ 413 9 Kellogg Co. ..................... 406 5 McCormick & Co., Inc. (Non- Voting) (c).................... 152 28 Sara Lee Corp. .................. 526 9 Tyson Foods, Inc., Class A (c)... 158 7 Wm. Wrigley Jr. Co. (c).......... 437 -------- 4,278 -------- Gas Utilities (0.1%): 6 KeySpan Corp. (c)................ 228 2 Nicor, Inc. (c).................. 64 10 NiSource, Inc. (c)............... 208 1 Peoples Energy Corp. (c)......... 49 -------- 549 -------- Health Care Equipment & Supplies (2.2%): 2 Bausch & Lomb, Inc. ............. 134 23 Baxter International, Inc. ...... 860 9 Becton, Dickinson & Co. ......... 555 9 Biomet, Inc. (c)................. 333 22 Boston Scientific Corp. (a)...... 529 4 C.R. Bard, Inc. ................. 253 4 Fisher Scientific International, Inc. (a)....................... 278 12 Guidant Corp. ................... 787 6 Hospira, Inc. (a)................ 252 44 Medtronic, Inc. ................. 2,550 2 Millipore Corp. (a).............. 126 5 Patterson Cos., Inc. (a) (c)..... 169 5 PerkinElmer, Inc. ............... 113 13 St. Jude Medical, Inc. (a)....... 674 11 Stryker Corp. ................... 474 6 Thermo Electron Corp. (a)........ 179 4 Waters Corp. (a) (c)............. 153 9 Zimmer Holdings, Inc. (a)........ 612 -------- 9,031 -------- Health Care Providers & Services (3.2%): 10 Aetna, Inc. ..................... 988 8 AmerisourceBergen Corp. ......... 316 16 Cardinal Health, Inc. ........... 1,078 16 Caremark Rx, Inc. (a)............ 853 5 CIGNA Corp. ..................... 515 6 Coventry Health Care, Inc. (a)... 339 5 Express Scripts, Inc. (a)........ 447 16 HCA, Inc. ....................... 784 9 Health Management Associates, Inc., Class A.................. 199 6 Humana, Inc. (a)................. 324 8 IMS Health, Inc. ................ 211 5 Laboratory Corp. of America Holdings (a) (c)............... 262 3 Manor Care, Inc. (c)............. 115 11 McKesson Corp. .................. 581 11 Medco Health Solutions, Inc. (a)............................ 629 6 Quest Diagnostics, Inc. ......... 312 17 Tenet Healthcare Corp. (a)....... 132
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 38 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Health Care Providers & Services, continued: 50 UnitedHealth Group, Inc. ........ $ 3,106 24 WellPoint, Inc. (a).............. 1,928 -------- 13,119 -------- Hotels, Restaurants & Leisure (1.5%): 16 Carnival Corp. (c)............... 848 5 Darden Restaurants, Inc. ........ 186 7 Harrah's Entertainment, Inc. .... 480 12 Hilton Hotels Corp. ............. 290 12 International Game Technology.... 380 6 Marriott International, Inc., Class A........................ 404 46 McDonald's Corp. ................ 1,554 28 Starbucks Corp. (a) (c).......... 844 8 Starwood Hotels & Resorts Worldwide, Inc. ............... 513 4 Wendy's International, Inc. ..... 235 10 Yum! Brands, Inc. ............... 486 -------- 6,220 -------- Household Durables (0.7%): 3 Black & Decker Corp. ............ 250 5 Centex Corp. (c)................. 334 10 D.R. Horton, Inc. ............... 356 5 Fortune Brands, Inc. (c)......... 418 3 KB Home (c)...................... 208 7 Leggett & Platt, Inc. ........... 155 5 Lennar Corp., Class A (c)........ 307 3 Maytag Corp. .................... 55 10 Newell Rubbermaid, Inc. ......... 240 8 Pulte Homes, Inc. (c)............ 309 2 Snap-On, Inc. (c)................ 80 3 Stanley Works (The) (c).......... 128 2 Whirlpool Corp. (c).............. 207 -------- 3,047 -------- Household Products (2.3%): 6 Clorox Co. ...................... 314 19 Colgate-Palmolive Co. ........... 1,041 17 Kimberly-Clark Corp. ............ 1,020 123 Procter & Gamble Co. ............ 7,104 -------- 9,479 -------- Industrial Conglomerates (4.4%): 28 3M Co. .......................... 2,157 387 General Electric Co. ............ 13,562 5 Textron, Inc. (c)................ 373 74 Tyco International Ltd. (Bermuda)...................... 2,127 -------- 18,219 -------- Insurance (4.8%): 12 ACE Ltd. (Cayman Islands)........ 631 18 Aflac, Inc. ..................... 851 24 Allstate Corp. (The)............. 1,284 3 AMBAC Financial Group, Inc. ..... 226 95 American International Group, Inc. .......................... 6,485 12 Aon Corp. ....................... 421 7 Chubb Corp. ..................... 715
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Insurance, continued: 6 Cincinnati Financial Corp. ...... $ 286 14 Genworth Financial, Inc., Class A.............................. 477 11 Hartford Financial Services Group, Inc. ................... 945 5 Jefferson-Pilot Corp. ........... 279 6 Lincoln National Corp. (c)....... 336 5 Loews Corp. ..................... 471 20 Marsh & McLennan Cos., Inc. ..... 634 5 MBIA, Inc. (c)................... 295 28 Metlife, Inc. ................... 1,359 7 Progressive Corp. (The).......... 844 18 Prudential Financial, Inc. ...... 1,353 5 Safeco Corp. .................... 256 25 St. Paul Travelers Cos., Inc. (The).......................... 1,133 4 Torchmark Corp. ................. 211 11 UnumProvident Corp. (c).......... 248 6 XL Capital Ltd. (Cayman Islands), Class A........................ 430 -------- 20,170 -------- Internet & Catalog Retail (0.6%): 11 Amazon.com, Inc. (a) (c)......... 530 42 eBay, Inc. (a)................... 1,810 -------- 2,340 -------- Internet Software & Services (0.4%): 46 Yahoo!, Inc. (a)................. 1,812 -------- Investment Company (0.1%): 3 S&P 500 Depositary Receipts...... 416 -------- IT Services (1.0%): 5 Affiliated Computer Services, Inc., Class A (a) (c).......... 270 21 Automatic Data Processing, Inc. .......................... 969 7 Computer Sciences Corp. (a)...... 343 5 Convergys Corp. (a).............. 81 19 Electronic Data Systems Corp. ... 459 28 First Data Corp. ................ 1,203 7 Fiserv, Inc. (a) (c)............. 292 12 Paychex, Inc. ................... 466 5 Sabre Holdings Corp., Class A.... 116 12 Unisys Corp. (a)................. 73 -------- 4,272 -------- Leisure Equipment & Products (0.2%): 4 Brunswick Corp. ................. 144 11 Eastman Kodak Co. (c)............ 246 7 Hasbro, Inc. .................... 132 15 Mattel, Inc. .................... 234 -------- 756 -------- Machinery (1.4%): 25 Caterpillar, Inc. ............... 1,439 2 Cummins, Inc. (c)................ 154 9 Danaher Corp. (c)................ 485 9 Deere & Co. ..................... 601 7 Dover Corp. ..................... 300
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 39 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Machinery, continued: 5 Eaton Corp. ..................... $ 364 7 Illinois Tool Works, Inc. ....... 660 12 Ingersoll-Rand Co., Ltd. (Bermuda), Class A............. 489 3 ITT Industries, Inc. ............ 348 2 Navistar International Corp. (a) (c)............................ 65 6 PACCAR, Inc. .................... 429 5 Pall Corp. (c)................... 122 4 Parker-Hannifin Corp. (c)........ 289 -------- 5,745 -------- Media (3.3%): 20 Clear Channel Communications, Inc. .......................... 622 80 Comcast Corp., Class A (a)....... 2,064 2 Dow Jones & Co., Inc. (c)........ 77 3 E.W. Scripps Co., Class A (c).... 150 9 Gannett Co., Inc. ............... 532 16 Interpublic Group of Cos., Inc. (a) (c)........................ 152 3 Knight Ridder, Inc. (c).......... 161 14 McGraw-Hill Cos., Inc. (The) (c)............................ 709 2 Meredith Corp. .................. 80 5 New York Times Co., Class A (c)............................ 141 89 News Corp., Class A.............. 1,386 7 Omnicom Group, Inc. ............. 562 171 Time Warner, Inc. ............... 2,978 10 Tribune Co. (c).................. 290 8 Univision Communications, Inc., Class A (a).................... 241 57 Viacom, Inc., Class B (a)........ 1,845 70 Walt Disney Co. ................. 1,688 -------- 13,678 -------- Metals & Mining (0.8%): 32 Alcoa, Inc. ..................... 942 3 Allegheny Technologies, Inc. .... 112 7 Freeport-McMoRan Copper & Gold, Inc., Class B.................. 363 16 Newmont Mining Corp. ............ 874 6 Nucor Corp. (c).................. 380 4 Phelps Dodge Corp. .............. 535 4 United States Steel Corp. (c).... 200 -------- 3,406 -------- Multi-Utilities (0.9%): 24 AES Corp. (The) (a).............. 379 11 CenterPoint Energy, Inc. (c)..... 146 7 Constellation Energy Group, Inc. .......................... 376 13 Dominion Resources, Inc. (c)..... 982 34 Duke Energy Corp. (c)............ 933 11 Dynegy, Inc., Class A (a) (c).... 53 9 Public Service Enterprise Group, Inc. .......................... 596 9 Sempra Energy.................... 422 -------- 3,887 -------- Multiline Retail (1.1%): 4 Big Lots, Inc. (a) (c)........... 50 2 Dillards, Inc., Class A (c)...... 56
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Multiline Retail, continued: 12 Dollar General Corp. ............ $ 221 6 Family Dollar Stores, Inc. (c)... 141 10 Federated Department Stores, Inc. .......................... 661 9 J.C. Penney Co., Inc. ........... 473 13 Kohl's Corp. (a)................. 614 8 Nordstrom, Inc. ................. 299 4 Sears Holdings Corp. (a) (c)..... 422 32 Target Corp. .................... 1,770 -------- 4,707 -------- Office Electronics (0.1%): 35 Xerox Corp. (a).................. 515 -------- Oil, Gas & Consumable Fuels (7.5%): 3 Amerada Hess Corp. (c)........... 372 9 Anadarko Petroleum Corp. ........ 823 12 Apache Corp. .................... 826 3 Ashland, Inc. ................... 152 14 Burlington Resources, Inc. ...... 1,193 82 Chevron Corp. ................... 4,667 51 ConocoPhillips................... 2,956 16 Devon Energy Corp. .............. 1,018 24 El Paso Corp. ................... 294 9 EOG Resources, Inc. ............. 649 228 Exxon Mobil Corp. ............... 12,799 4 Kerr-McGee Corp. ................ 386 4 Kinder Morgan, Inc. ............. 354 13 Marathon Oil Corp. .............. 818 6 Murphy Oil Corp. (c)............. 327 15 Occidental Petroleum Corp. (c)... 1,176 5 Sunoco, Inc. (c)................. 391 23 Valero Energy Corp. ............. 1,165 21 Williams Cos., Inc. ............. 486 13 XTO Energy, Inc. (c)............. 585 -------- 31,437 -------- Paper & Forest Products (0.4%): 18 International Paper Co. (c)...... 604 4 Louisiana-Pacific Corp. (c)...... 106 7 MeadWestvaco Corp. .............. 186 9 Weyerhaeuser Co. ................ 591 -------- 1,487 -------- Personal Products (0.1%): 3 Alberto-Culver Co. (c)........... 127 17 Avon Products, Inc. ............. 479 -------- 606 -------- Pharmaceuticals (6.4%): 57 Abbott Laboratories.............. 2,240 5 Allergan, Inc. (c)............... 520 72 Bristol-Myers Squibb Co. ........ 1,647 42 Eli Lilly & Co. ................. 2,356 12 Forest Laboratories, Inc. (a).... 503 109 Johnson & Johnson................ 6,547 9 King Pharmaceuticals, Inc. (a)... 150 80 Merck & Co., Inc. ............... 2,547 8 Mylan Laboratories, Inc. ........ 160
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 40 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Pharmaceuticals, continued: 270 Pfizer, Inc. .................... $ 6,295 54 Schering-Plough Corp. ........... 1,128 4 Watson Pharmaceuticals, Inc. (a) (c)............................ 121 49 Wyeth............................ 2,264 -------- 26,478 -------- Real Estate (0.7%): 4 Apartment Investment & Management Co. REIT (c)................... 133 8 Archstone-Smith Trust REIT....... 325 15 Equity Office Properties Trust, REIT........................... 451 11 Equity Residential REIT (c)...... 413 7 Plum Creek Timber Co., Inc. REIT (c)............................ 243 9 Prologis REIT.................... 417 3 Public Storage, Inc. REIT (c).... 205 7 Simon Property Group, Inc. REIT (c)............................ 523 4 Vornado Realty Trust REIT........ 361 -------- 3,071 -------- Road & Rail (0.7%): 14 Burlington Northern Santa Fe Corp. ......................... 969 8 CSX Corp. (c).................... 404 15 Norfolk Southern Corp. .......... 667 10 Union Pacific Corp. ............. 781 -------- 2,821 -------- Semiconductors & Semiconductor Equipment (3.2%): 15 Advanced Micro Devices, Inc. (a)............................ 453 13 Altera Corp. (a) (c)............. 246 13 Analog Devices, Inc. ............ 482 59 Applied Materials, Inc. ......... 1,066 11 Applied Micro Circuits Corp. (a) (c)............................ 28 11 Broadcom Corp., Class A (a)...... 499 15 Freescale Semiconductor, Inc., Class B (a).................... 378 221 Intel Corp. ..................... 5,511 7 KLA-Tencor Corp. ................ 357 11 Linear Technology Corp. (c)...... 402 14 LSI Logic Corp. (a).............. 115 12 Maxim Integrated Products, Inc. .......................... 435 23 Micron Technology, Inc. (a)...... 301 13 National Semiconductor Corp. .... 327 5 Novellus Systems, Inc. (a) (c)... 118 6 Nvidia Corp. (a) (c)............. 229 7 PMC-Sierra, Inc. (a) (c)......... 52 7 Teradyne, Inc. (a) (c)........... 105 59 Texas Instruments, Inc. ......... 1,900 13 Xilinx, Inc. .................... 322 -------- 13,326 -------- Software (3.5%): 22 Adobe Systems, Inc. ............. 814 8 Autodesk, Inc. .................. 363 8 BMC Software, Inc. (a)........... 162 6 Citrix Systems, Inc. (a) (c)..... 186 17 Computer Associates International, Inc. (c)........ 474
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Software, continued: 14 Compuware Corp. (a).............. $ 127 11 Electronic Arts, Inc. (a) (c).... 576 6 Intuit, Inc. (a)................. 345 3 Mercury Interactive Corp. (a) (c)............................ 88 335 Microsoft Corp. ................. 8,766 14 Novell, Inc. (a) (c)............. 124 138 Oracle Corp. (a)................. 1,682 10 Parametric Technology Corp. (a)............................ 61 19 Siebel Systems, Inc. ............ 205 40 Symantec Corp. (a)............... 693 -------- 14,666 -------- Specialty Retail (2.2%): 7 Autonation, Inc. (a) (c)......... 144 2 AutoZone, Inc. (a)............... 185 11 Bed Bath & Beyond, Inc. (a)...... 393 15 Best Buy Co., Inc. .............. 651 6 Circuit City Stores, Inc. ....... 129 21 Gap, Inc. (The).................. 371 78 Home Depot, Inc. ................ 3,149 13 Limited Brands, Inc. (c)......... 285 29 Lowe's Cos., Inc. ............... 1,909 11 Office Depot, Inc. (a)........... 355 3 OfficeMax, Inc. ................. 66 5 RadioShack Corp. (c)............. 104 4 Sherwin-Williams Co. (The) (c)... 187 27 Staples, Inc. ................... 608 5 Tiffany & Co. (c)................ 199 17 TJX Cos., Inc. (c)............... 392 -------- 9,127 -------- Textiles, Apparel & Luxury Goods (0.4%): 14 Coach, Inc. (a).................. 464 4 Jones Apparel Group, Inc. (c).... 132 4 Liz Claiborne, Inc. ............. 140 7 Nike, Inc., Class B (c).......... 604 2 Reebok International Ltd. ....... 112 3 V.F. Corp. ...................... 180 -------- 1,632 -------- Thrifts & Mortgage Finance (1.6%): 22 Countrywide Financial Corp. ..... 748 35 Fannie Mae....................... 1,730 25 Freddie Mac...................... 1,653 9 Golden West Financial Corp. ..... 616 3 MGIC Investment Corp. (c)........ 219 13 Sovereign Bancorp, Inc. ......... 283 36 Washington Mutual, Inc. ......... 1,572 -------- 6,821 -------- Tobacco (1.5%): 76 Altria Group, Inc. .............. 5,698 3 Reynolds American, Inc. (c)...... 298 6 UST, Inc. (c).................... 245 -------- 6,241 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 41 JPMORGAN EQUITY INDEX TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COMMON STOCKS, CONTINUED: Trading Companies & Distributors (0.0%):(g) 3 Grainger (W.W.), Inc. (c)........ $ 198 -------- Wireless Telecommunication Services (0.4%): 67 BellSouth Corp. ................. 1,815 -------- Total Long-Term Investments (Cost $396,551) 412,979 -------- SHORT-TERM INVESTMENTS (0.1%): U.S. TREASURIES (0.1%): U.S. Treasury Bills 151 3.82%, 01/26/06 (m).............. 151 100 3.84%, 02/23/06.................. 99 20 3.91%, 03/23/06.................. 20 -------- Total Short-Term Investments (Cost $270).................... 270 -------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED (10.2%): Certificate of Deposit (0.4%): 1,750 Wells Fargo Bank San Francisco 4.30%:, 01/27/06............... 1,750 -------- Corporate Note (0.4%): 1,500 American Express Credit Corporation 4.36%:, 01/12/06... 1,500 -------- COMMERCIAL PAPER (0.4%): 1,688 HSBC Finance Corporation, 4.43% 02/10/06....................... 1,688 -------- TIME DEPOSIT (0.4%): 1,500 Royal Bank of Scotland, 4.30%:, 01/31/06....................... 1,500 -------- Repurchase Agreements (8.6%): 5,682 Bank of America Securities LLC, 4.26%, dated 12/30/05, due 01/03/06, repurchase price $5,685, collateralized by U.S. Government Agency Mortgages.... 5,682 7,500 Barclays Capital, Inc., 4.28%, dated 12/30/05, due 01/03/06, repurchase price $7,504, collateralized by U.S. Government Agency Mortgages.... 7,500
SHARES SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED, CONTINUED: REPURCHASE AGREEMENTS, CONTINUED: 7,000 Lehman Brothers Inc., 4.26%, dated 12/30/05, due 01/03/06, repurchase price $7,003, collateralized by U.S. Government Agency Mortgages.... $ 7,000 8,000 Morgan Stanley & Co., Inc., 4.27%, dated 12/30/05, due 01/03/06, repurchase price $8,004 collateralized by U.S. Government Agency Mortgages.... 8,000 8,000 UBS Securities LLC, 4.26%, dated 12/30/05, due 01/03/06, repurchase price $8,004, collateralized by U.S. Government Agency Mortgages.... 8,000 -------- 36,182 -------- Total Investments of Cash Collateral for Securities on Loan (Cost $42,620) 42,620 -------- TOTAL INVESTMENTS (109.4%) (Cost $439,441) 455,869 LIABILITIES IN EXCESS OF OTHER ASSETS (9.4%) (39,052) -------- NET ASSETS (100.0%) $416,817 ========
------------ Percentages indicated are based on net assets. FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
Notional Value at Unrealized Number of Expiration 12/30/05 Depreciation Contracts Description Date (USD) (USD) --------- ------------- ---------- ---------- ------------ Long Futures Outstanding 12 S&P 500 Index March 2006 $3,764 $(29)
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 42 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) AS OF DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS)
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS (94.5%): ASSET BACKED SECURITIES (3.0%): $ 405 American Express Credit Account Master Trust, Series 2004-3, Class A, 4.35%, 12/15/11....... $ 399 AmeriCredit Automobile Receivables Trust 158 Series 2001-D, Class A4, 4.41%, 11/12/08....................... 158 316 Series 2002-A, Class A4, 4.61%, 01/12/09....................... 315 324 Series 2002-D, Class A4, 3.40%, 04/13/09....................... 321 178 Series 2003-BX, Class A4A, 2.72%, 01/06/10....................... 176 202 Capital One Master Trust, Series 2001-5, Class A, 5.30%, 06/15/09....................... 202 Citibank Credit Card Issuance Trust 202 Series 2002-A1, Class A1, 4.95%, 02/09/09....................... 202 860 Series 2002-C2, Class C2, 6.95%, 02/18/14....................... 932 500 Series 2005-B1, Class B1, 4.40%, 09/15/10....................... 493 337 CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11....................... 329 295 Conseco Finance, Series 2001-B, Class 1M1, 7.27%, 06/15/32..... 299 2,199 Countrywide Asset-Backed Certificates Series 2004-AB2, Class A2, FRN, 4.65%, 05/25/36....................... 2,202 220 GE Capital Mortgage Services, Inc. Series 1999-HE, Class M, 6.71%, 04/25/29................ 220 600 Household Automotive Trust, Series 2005-1, Class A4, 4.35%, 06/18/12....................... 590 MBNA Credit Card Master Note Trust 607 Series 2002-C1, Class C1, 6.80%, 07/15/14....................... 654 253 Series 2003-C1, Class C1, FRN, 6.07%, 06/15/12................ 267 MBNA Master Credit Card Trust USA 445 Series 1999-J, Class C, 7.85%, 02/15/12 (e)................... 488 405 Series 2000-D, Class C, 8.40%, 09/15/09 (e)................... 422 189 Onyx Acceptance Grantor Trust, Series 2002-C, Class A4, 4.07%, 04/15/09....................... 189
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: ASSET BACKED SECURITIES, CONTINUED: $ 74 Residential Asset Mortgage Products, Inc., Series 2001-RS3, Class AI4, SUB, 6.29%, 10/25/31................ $ 73 253 Textron Financial Corp. Receivables Trust, Series 2000-C, Class A3, 6.61%, 02/15/15 (e)................... 254 WFS Financial Owner Trust 233 Series 2002-2, Class A4, SUB, 4.50%, 02/20/10................ 233 15 Series 2003-2, Class A3, 1.76%, 01/21/08....................... 15 405 Series 2003-2, Class A4, 2.41%, 12/20/10....................... 399 497 Series 2003-4, Class A4, 3.15%, 05/20/11....................... 488 216 Series 2004-1, Class A3, 2.19%, 06/20/08....................... 215 -------- Total Asset Backed Securities (Cost $10,670) 10,535 -------- COLLATERALIZED MORTGAGE OBLIGATIONS (45.4%): Agency CMO (37.5%): 2,886 Federal Home Loan Bank System Series 2012, Class A, 4.72%, 09/20/12....................... 2,828 Federal Home Loan Mortgage Corp. 33 Series 11, Class D, 9.50%, 07/15/19....................... 33 1 Series 41, Class I, HB, 84.00%, 05/15/20....................... 1 14 Series 46, Class B, 7.80%, 09/15/20....................... 14 6 Series 47, Class F, 10.00%, 06/15/20....................... 6 12 Series 99, Class Z, 9.50%, 01/15/21....................... 12 54 Series 114, Class H, 6.95%, 01/15/21....................... 54 4 Series 1079, Class S, IF, 19.13%, 05/15/21....................... 4 6 Series 1084, Class F, FRN, 5.33%, 05/15/21....................... 6 4 Series 1084, Class S, IF, 25.54%, 05/15/21....................... 4 24 Series 1144, Class KB, 8.50%, 09/15/21....................... 24 49 Series 1206, Class IA, 7.00%, 03/15/22....................... 49 663 Series 1212, Class IZ, 8.00%, 02/15/22....................... 663
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 43 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 34 Series 1250, Class J, 7.00%, 05/15/22....................... $ 34 86 Series 1343, Class LA, 8.00%, 08/15/22....................... 88 93 Series 1404, Class FA, 4.50%, 11/15/07....................... 92 384 Series 1466, Class PZ, 7.50%, 02/15/23....................... 397 5 Series 1470, Class F, FRN, 4.07%, 02/15/23....................... 5 150 Series 1491, Class I, 7.50%, 04/15/23....................... 158 10 Series 1506, Class F, FRN, 4.84%, 05/15/08....................... 10 2 Series 1506, Class S, IF, 13.05%, 05/15/08....................... 2 516 Series 1512, Class J, 6.50%, 05/15/08....................... 520 63 Series 1513, Class AG, FRN, 3.73%, 05/15/08................ 62 118 Series 1513, Class N, 6.50%, 05/15/08....................... 119 149 Series 1518, Class G, IF, 4.88%, 05/15/23....................... 144 141 Series 1541, Class O, FRN, 3.78%, 07/15/23....................... 136 52 Series 1544, Class J, IF, 8.40%, 07/15/08....................... 52 30 Series 1549, Class K, 8.50%, 07/15/08....................... 30 307 Series 1558, Class D, 6.50%, 07/15/23....................... 313 99 Series 1586, Class M, 5.00%, 09/15/08....................... 99 75 Series 1587, Class SL, IF, 12.58%, 10/15/08............... 75 29 Series 1600, Class SC, IF, 8.60%, 10/15/08....................... 30 3 Series 1602, Class SA, IF, 8.53%, 10/15/23....................... 2 39 Series 1604, Class SA, IF, 9.66%, 11/15/08....................... 40 73 Series 1606, Class SC, IF, 13.43%, 11/15/08............... 78 767 Series 1607, Class H, 6.25%, 10/15/13....................... 781 304 Series 1608, Class L, 6.50%, 09/15/23....................... 317 363 Series 1609, Class L, IF, 7.85%, 11/15/23....................... 359
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 294 Series 1611, Class JA, FRN, 5.63%, 08/15/23................ $ 298 268 Series 1611, Class JB, IF, 6.34%, 08/15/23....................... 258 55 Series 1625, Class SD, IF, 8.50%, 12/15/08....................... 57 20 Series 1665, Class FA, FRN, 3.95%, 06/15/23................ 19 4 Series 1671, Class L, 7.00%, 02/15/24....................... 4 7 Series 1685, Class Z, 6.00%, 11/15/23....................... 8 62 Series 1689, Class SD, IF, 9.51%, 10/15/23....................... 63 101 Series 1698, Class SC, IF, 9.98%, 03/15/09....................... 110 405 Series 1706, Class K, 7.00%, 03/15/24....................... 425 66 Series 1745, Class D, 7.50%, 08/15/24....................... 66 164 Series 1798, Class F, 5.00%, 05/15/23....................... 162 8 Series 1807, Class G, 9.00%, 10/15/20....................... 9 701 Series 1927, Class PH, 7.50%, 01/15/27....................... 729 321 Series 1981, Class Z, 6.00%, 05/15/27....................... 322 100 Series 1987, Class PE, 7.50%, 09/15/27....................... 103 17 Series 2017, Class SE, IF, 12.55%, 12/15/08............... 18 308 Series 2025, Class PE, 6.30%, 01/15/13....................... 314 364 Series 2040, Class PE, 7.50%, 03/15/28....................... 382 235 Series 2056, Class TD, 6.50%, 05/15/18....................... 244 881 Series 2063, Class PG, 6.50%, 06/15/28....................... 905 140 Series 2064, Class TE, 7.00%, 06/15/28....................... 145 588 Series 2075, Class PH, 6.50%, 08/15/28....................... 605 304 Series 2075, Class PM, 6.25%, 08/15/28....................... 313 134 Series 2097, Class PV, 6.00%, 09/15/09....................... 136 137 Series 2102, Class TC, 6.00%, 12/15/13....................... 140
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 44 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 448 Series 2125, Class JZ, 6.00%, 02/15/29....................... $ 456 506 Series 2169, Class TB, 7.00%, 06/15/29....................... 536 202 Series 2172, Class QC, 7.00%, 07/15/29....................... 217 4 Series 2196, Class TL, 7.50%, 11/15/29....................... 4 229 Series 2201, Class C, 8.00%, 11/15/29....................... 240 357 Series 2210, Class Z, 8.00%, 01/15/30....................... 376 169 Series 2224, Class CB, 8.00%, 03/15/30....................... 176 264 Series 2256, Class MC, 7.25%, 09/15/30....................... 271 369 Series 2259, Class ZM, 7.00%, 10/15/30....................... 384 286 Series 2271, Class PC, 7.25%, 12/15/30....................... 295 202 Series 2283, Class K, 6.50%, 12/15/23....................... 213 171 Series 2296, Class PD, 7.00%, 03/15/31....................... 176 23 Series 2299, Class G, 7.00%, 05/15/14....................... 23 190 Series 2312, Class KV, 6.50%, 05/15/14....................... 191 58 Series 2317, Class VG, 6.50%, 04/15/31....................... 59 151 Series 2333, Class HC, 6.00%, 07/15/31....................... 153 272 Series 2344, Class QG, 6.00%, 08/15/16....................... 279 3,217 Series 2344, Class ZD, 6.50%, 08/15/31....................... 3,354 457 Series 2344, Class ZJ, 6.50%, 08/15/31....................... 471 370 Series 2345, Class NE, 6.50%, 08/15/31....................... 381 452 Series 2345, Class PQ, 6.50%, 08/15/16....................... 468 103 Series 2345, Class PV, 6.50%, 01/15/24....................... 104 369 Series 2347, Class VP, 6.50%, 03/15/20....................... 380 285 Series 2349, Class NW, 6.50%, 10/15/16....................... 286 268 Series 2351, Class PZ, 6.50%, 08/15/31....................... 280
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 131 Series 2353, Class PC, 6.50%, 09/15/15....................... $ 130 331 Series 2355, Class BP, 6.00%, 09/15/16....................... 339 6 Series 2357, Class VX, 6.50%, 12/15/17....................... 6 372 Series 2360, Class PG, 6.00%, 09/15/16....................... 381 170 Series 2362, Class PD, 6.50%, 06/15/20....................... 172 149 Series 2362, Class PJ, 6.50%, 10/15/28....................... 151 311 Series 2366, Class MD, 6.00%, 10/15/16....................... 319 234 Series 2391, Class QE, 5.50%, 05/15/15....................... 234 506 Series 2391, Class QR, 5.50%, 12/15/16....................... 513 462 Series 2391, Class VQ, 6.00%, 10/15/12....................... 473 405 Series 2392, Class PV, 6.00%, 12/15/20....................... 412 159 Series 2410, Class HC, 5.50%, 02/15/09....................... 159 334 Series 2410, Class NG, 6.50%, 02/15/32....................... 347 455 Series 2410, Class OE, 6.38%, 02/15/32....................... 465 1,000 Series 2410, Class QS, IF, 8.14%, 02/15/32....................... 1,019 85 Series 2412, Class SE, IF, 7.11%, 02/15/09....................... 85 405 Series 2412, Class SP, IF, 7.36%, 02/15/32....................... 387 191 Series 2423, Class MC, 7.00%, 03/15/32....................... 198 366 Series 2423, Class MT, 7.00%, 03/15/32....................... 379 1,215 Series 2434, Class TC, 7.00%, 04/15/32....................... 1,268 243 Series 2435, Class CJ, 6.50%, 04/15/32....................... 256 405 Series 2435, Class VH, 6.00%, 07/15/19....................... 413 304 Series 2441, Class GF, 6.50%, 04/15/32....................... 318 444 Series 2450, Class GZ, 7.00%, 05/15/32....................... 463 297 Series 2454, Class VB, 6.50%, 10/15/15....................... 300
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 45 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 405 Series 2455, Class GK, 6.50%, 05/15/32....................... $ 423 499 Series 2460, Class VZ, 6.00%, 11/15/29....................... 508 457 Series 2461, Class VB, 6.50%, 04/15/18....................... 459 1,417 Series 2462, Class JG, 6.50%, 06/15/32....................... 1,475 1,012 Series 2466, Class DH, 6.50%, 06/15/32....................... 1,052 1,012 Series 2466, Class PG, 6.50%, 04/15/32....................... 1,051 405 Series 2474, Class NR, 6.50%, 07/15/32....................... 423 505 Series 2484, Class LZ, 6.50%, 07/15/32....................... 534 5 Series 2496, Class LD, 8.50%, 11/15/15....................... 5 1,012 Series 2498, Class UD, 5.50%, 06/15/16....................... 1,019 904 Series 2500, Class GD, 5.50%, 12/15/15....................... 907 607 Series 2500, Class MC, 6.00%, 09/15/32....................... 620 911 Series 2500, Class TD, 5.50%, 02/15/16....................... 915 607 Series 2512, Class PG, 5.50%, 10/15/22....................... 608 607 Series 2515, Class DE, 4.00%, 03/15/32....................... 562 78 Series 2519, Class BT, 8.50%, 09/15/31....................... 84 470 Series 2527, Class VU, 5.50%, 10/15/13....................... 474 304 Series 2535, Class BK, 5.50%, 12/15/22....................... 308 425 Series 2537, Class TE, 5.50%, 12/15/17....................... 431 675 Series 2543, Class YX, 6.00%, 12/15/32....................... 689 729 Series 2557, Class WJ, 5.00%, 07/15/14....................... 729 607 Series 2565, Class MB, 6.00%, 05/15/30....................... 618 810 Series 2575, Class ME, 6.00%, 02/15/33....................... 827 1,148 Series 2594, Class VA, 6.00%, 03/15/14....................... 1,171 491 Series 2594, Class VP, 6.00%, 02/15/14....................... 500
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 405 Series 2594, Class VQ, 6.00%, 08/15/20....................... $ 411 720 Series 2597, Class AD, 6.50%, 03/15/32....................... 748 405 Series 2617, Class GR, 4.50%, 05/15/18....................... 386 1,000 Series 2628, Class WA, 4.00%, 07/15/28....................... 935 202 Series 2631, Class LC, 4.50%, 06/15/18....................... 193 202 Series 2640, Class VE, 3.25%, 07/15/22....................... 171 575 Series 2643, Class KG, 4.00%, 05/15/18....................... 571 451 Series 2651, Class VZ, 4.50%, 07/15/18....................... 425 236 Series 2656, Class SH, IF, 8.49%, 02/15/25....................... 239 305 Series 2668, Class SB, IF, 3.32%, 10/15/15....................... 294 202 Series 2672, Class ME, 5.00%, 11/15/22....................... 199 506 Series 2675, Class CK, 4.00%, 09/15/18....................... 465 380 Series 2682, Class YS, IF, 2.43%, 10/15/33....................... 271 202 Series 2686, Class GB, 5.00%, 05/15/20....................... 201 155 Series 2691, Class WS, IF, 2.45%, 10/15/33....................... 110 1,000 Series 2695, Class DE, 4.00%, 01/15/17....................... 947 226 Series 2705, Class SC, IF, 2.45%, 11/15/33....................... 159 226 Series 2705, Class SD, IF, 3.38%, 11/15/33....................... 166 1,478 Series 2727, Class BS, IF, 2.52%, 01/15/34....................... 880 56 Series 2733, Class GF, FRN, 09/15/33....................... 55 95 Series 2739, Class S, IF, 3.26%, 01/15/34....................... 74 150 Series 2744, Class FE, FRN, 02/15/34....................... 140 405 Series 2744, Class PC, 5.50%, 01/15/31....................... 410 505 Series 2744, Class PD, 5.50%, 08/15/33....................... 520 405 Series 2744, Class TU, 5.50%, 05/15/32....................... 405
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 46 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 178 Series 2753, Class S, IF, 3.26%, 02/15/34....................... $ 118 149 Series 2755, Class SA, IF, 5.46%, 05/15/30....................... 139 399 Series 2776, Class SK, IF, 2.52%, 04/15/34....................... 307 55 Series 2925, Class ZM, 5.00%, 01/15/35....................... 54 --(h) Series 1196, Class B, IF, IO, HB, 657.68%, 01/15/22.............. 1 16 Series 1465, Class SA, IF, IO, 4.63%, 02/15/08................ -(h) 25 Series 1506, Class SD, IF, IO 4.13%, 05/15/08................ 1 65 Series 1700, Class GA, PO, 02/15/24....................... 59 77 Series 1900, Class TA, PO, 08/15/08....................... 74 33 Series 1967, Class PC, PO, 10/15/08....................... 31 48 Series 2033, Class SN, IF, IO, 17.11%, 03/15/24............... 13 135 Series 2038, Class PN, IO, 7.00%, 03/15/28....................... 24 155 Series 2089, Class PJ, IO, 7.00%, 10/15/28....................... 35 60 Series 2163, Class PC, IO, 7.50%, 06/15/29....................... 13 80 Series 2306, Class K, PO, 05/15/24....................... 69 195 Series 2306, Class SE, IF, IO, 6.15%, 05/15/24................ 26 33 Series 2382, Class TL, IO, 6.50%, 02/15/31....................... 2 171 Series 2410, Class QX, IF, IO, 4.28%, 02/15/32................ 18 442 Series 2444, Class ES, IF, IO, 3.58%, 03/15/32................ 38 177 Series 2450, Class SW, IF, IO, 3.63%, 03/15/32................ 16 241 Series 2513, Class YO, PO, 02/15/32....................... 206 387 Series 2586, Class WI, IO, 6.50%, 03/15/33....................... 83 917 Series 2597, Class DS, IF, IO, 3.18%, 02/15/33................ 60 2,016 Series 2599, Class DS, IF, IO, 2.63%, 02/15/33................ 113 2,046 Series 2610, Class DS, IF, IO, 2.73%, 03/15/33................ 117
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,230 Series 2611, Class SH, IF, IO, 3.28%, 10/15/21................ $ 87 371 Series 2619, Class IM, IO, 5.00%, 10/15/21....................... 51 112 Series 2643, Class HI, IO, 4.50%, 12/15/16....................... 12 243 Series 2684, Class TO, PO, 10/15/33....................... 134 383 Series 2749, Class PK, IO, 5.00%, 09/15/22....................... 24 59 Series 2769, PO, 03/15/34........ 42 228 Series 2846, PO, 08/15/34........ 190 99 Series T-58, Class A, PO, 09/25/43....................... 85 Federal Home Loan Mortgage Corp. Structured Pass Through Securities 138 Series T-41, Class 3A, 7.50%, 07/25/32....................... 144 124 Series T-51, Class 2A, VAR, 7.50%, 08/25/42................ 128 1,167 Series T-54, Class 2A, 6.50%, 02/25/43....................... 1,197 408 Series T-54, Class 3A, 7.00%, 02/25/43....................... 427 245 Federal Home Loan Mortgage Corp.- Government National Mortgage Association Series 24, Class ZE, 6.25%, 11/25/23............ 251 Federal National Mortgage Association 9 Series 1988-7, Class Z, 9.25%, 04/25/18....................... 10 41 Series 1989-70, Class G, 8.00%, 10/25/19....................... 44 17 Series 1989-78, Class H, 9.40%, 11/25/19....................... 18 14 Series 1989-83, Class H, 8.50%, 11/25/19....................... 15 14 Series 1989-89, Class H, 9.00%, 11/25/19....................... 15 5 Series 1990-1, Class D, 8.80%, 01/25/20....................... 5 8 Series 1990-7, Class B, 8.50%, 01/25/20....................... 8 9 Series 1990-60, Class K, 5.50%, 06/25/20....................... 9 7 Series 1990-63, Class H, 9.50%, 06/25/20....................... 8
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 47 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 9 Series 1990-93, Class G, 5.50%, 08/25/20....................... $ 9 --(h) Series 1990-94, Class H, HB, 505.00%, 08/25/20.............. 1 38 Series 1990-102, Class J, 6.50%, 08/25/20....................... 39 17 Series 1990-120, Class H, 9.00%, 10/25/20....................... 17 3 Series 1990-134, Class SC, IF, 14.99%, 11/25/20............... 4 22 Series 1991-42, Class S, IF, 9.96%, 05/25/21................ 24 45 Series 1992-33, Class F, FRN, 4.04%, 03/25/22................ 44 23 Series 1992-143, Class MA, 5.50%, 09/25/22....................... 24 16 Series 1992-44, Class K, 7.25%, 04/25/07....................... 16 190 Series 1993-18, Class PK, 6.50%, 02/25/08....................... 191 141 Series 1993-25, Class J, 7.50%, 03/25/23....................... 148 891 Series 1993-37, Class PX, 7.00%, 03/25/23....................... 919 221 Series 1993-41, Class PH, 6.00%, 03/25/23....................... 221 324 Series 1993-54, Class Z, 7.00%, 04/25/23....................... 336 68 Series 1993-62, Class SA, IF, 13.09%, 04/25/23............... 77 14 Series 1993-72, Class F, FRN, 4.09%, 05/25/08................ 14 87 Series 1993-122, Class M, 6.50%, 07/25/23....................... 90 30 Series 1993-165, Class SD, IF, 8.09%, 09/25/23................ 32 16 Series 1993-170, Class SE, IF, 13.69%, 09/25/08............... 17 22 Series 1993-175, Class SA, IF, 12.46%, 09/25/08............... 24 128 Series 1993-178, Class PK, 6.50%, 09/25/23....................... 132 1,012 Series 1993-183, Class KA, 6.50%, 10/25/23....................... 1,067 988 Series 1993-189, Class PL, 6.50%, 10/25/23....................... 1,022 147 Series 1993-190, Class S, IF, 9.66%, 10/25/08................ 151 29 Series 1993-196, Class FA, FRN, 4.09%, 10/25/08................ 28
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 130 Series 1993-225, Class SG, IF, 8.87%, 12/25/13................ $ 131 14 Series 1993-225, Class VO, IF, 9.09%, 12/25/22................ 14 223 Series 1993-247, Class SA, IF, 16.88%, 12/25/23............... 265 537 Series 1993-250, Class Z, 7.00%, 12/25/23....................... 555 42 Series 1994-12, Class FC, FRN, 4.24%, 01/25/09................ 42 15 Series 1994-13, Class SK, IF, 12.88%, 02/25/09............... 16 84 Series 1994-17, Class JB, 6.50%, 02/25/09....................... 6 23 Series 1994-20, Class Z, 6.50%, 02/25/09....................... 23 259 Series 1994-34, Class DZ, 6.00%, 03/25/09....................... 262 138 Series 1994-40, Class VC, 6.50%, 02/25/10....................... 139 130 Series 1994-55, Class G, 6.75%, 12/25/23....................... 130 30 Series 1996-27, Class FC, FRN, 4.91%, 03/25/17................ 30 268 Series 1996-32, Class PH, 7.00%, 01/25/26....................... 271 55 Series 1996-59, Class J, 6.50%, 08/25/22....................... 56 394 Series 1996-59, Class K, 6.50%, 07/25/23....................... 405 137 Series 1997-27, Class J, 7.50%, 04/18/27....................... 145 122 Series 1997-29, Class J, 7.50%, 04/20/27....................... 127 246 Series 1997-39, Class PD, 7.50%, 05/20/27....................... 256 216 Series 1998-36, Class ZB, 6.00%, 07/18/28....................... 218 677 Series 2000-2, Class ZE, 7.50%, 02/25/30....................... 716 346 Series 2001-4, Class PC, 7.00%, 03/25/21....................... 363 586 Series 2001-5, Class OW, 6.00%, 03/25/16....................... 598 744 Series 2001-36, Class DE, 7.00%, 08/25/31....................... 776 175 Series 2001-44, Class PD, 7.00%, 09/25/31....................... 182 429 Series 2001-48, Class Z, 6.50%, 09/25/21....................... 454
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 48 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 188 Series 2001-49, Class Z, 6.50%, 09/25/31....................... $ 195 769 Series 2001-50, Class VB, 6.50%, 12/25/16....................... 780 487 Series 2001-52, Class XM, 6.50%, 11/25/10....................... 496 709 Series 2001-61, Class VB, 7.00%, 12/25/16....................... 736 288 Series 2001-61, Class VQ, 6.50%, 08/25/15....................... 293 303 Series 2001-71, Class GU, 6.00%, 05/25/14....................... 308 607 Series 2001-71, Class MB, 6.00%, 12/25/16....................... 623 855 Series 2001-71, Class QE, 6.00%, 12/25/16....................... 876 2,854 Series 2001-74, Class MB, 6.00%, 12/25/16....................... 2,977 553 Series 2001-78, Class VB, 6.00%, 12/25/15....................... 554 344 Series 2001-80, Class PE, 6.00%, 07/25/29....................... 350 423 Series 2002-1, Class HC, 6.50%, 02/25/22....................... 438 153 Series 2002-1, Class SA, IF, 10.96%, 02/25/32............... 167 368 Series 2002-2, Class UC, 6.00%, 02/25/17....................... 375 607 Series 2002-3, Class OG, 6.00%, 02/25/17....................... 626 174 Series 2002-8, Class SR, IF, 7.09%, 03/25/09................ 175 1,235 Series 2002-18, Class PC, 5.50%, 04/25/17....................... 1,258 506 Series 2002-21, Class PE, 6.50%, 04/25/32....................... 522 405 Series 2002-24, Class AJ, 6.00%, 04/25/17....................... 413 405 Series 2002-28, Class PK, 6.50%, 05/25/32....................... 420 660 Series 2002-37, Class Z, 6.50%, 06/25/32....................... 685 810 Series 2002-56, Class UC, 5.50%, 09/25/17....................... 822 511 Series 2002-59, Class AC, 6.00%, 03/25/28....................... 512 699 Series 2002-59, Class VB, 6.50%, 04/25/32....................... 706 1,417 Series 2002-61, Class PE, 5.50%, 05/25/16....................... 1,425
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 810 Series 2002-74, Class LD, 5.00%, 01/25/16....................... $ 807 1,012 Series 2002-74, Class PD, 5.00%, 11/25/15....................... 1,008 442 Series 2002-84, Class VB, 5.50%, 04/25/15....................... 441 405 Series 2002-94, Class BK, 5.50%, 01/25/18....................... 412 202 Series 2003-22, Class UD, 4.00%, 04/25/33....................... 172 162 Series 2003-34, Class GB, 6.00%, 03/25/33....................... 165 304 Series 2003-34, Class GE, 6.00%, 05/25/33....................... 311 405 Series 2003-47, Class PE, 5.75%, 06/25/33....................... 406 930 Series 2003-52, Class PA, 6.50%, 06/25/35....................... 969 221 Series 2003-52, Class SX, IF, 9.81%, 10/25/31................ 235 168 Series 2003-64, Class SX, IF, 2.79%, 07/25/33................ 110 413 Series 2003-71, Class DS, IF, 1.62%, 08/25/33................ 319 1,211 Series 2003-73, Class GA, 3.50%, 05/25/31....................... 1,136 405 Series 2003-83, Class PG, 5.00%, 06/25/23....................... 397 145 Series 2003-91, Class SD, IF, 5.20%, 09/25/33................ 134 304 Series 2003-106, Class US, IF, 2.51%, 11/25/23................ 227 202 Series 2003-128, Class KE, 4.50%, 01/25/14....................... 198 500 Series 2003-128, Class NG, 4.00%, 01/25/19....................... 457 406 Series 2003-130, Class SX, IF, 4.95%, 01/25/34................ 379 524 Series 2004-10, Class SC, IF, 11.09%, 02/25/34............... 578 303 Series 2004-14, Class SD, IF, 2.51%, 03/25/34................ 221 1,000 Series 2004-21, Class AE, 4.00%, 04/25/19....................... 913 405 Series 2004-25, Class PC, 5.50%, 01/25/34....................... 404 355 Series 2004-25, Class SA, IF, 7.48%, 04/25/34................ 349 263 Series 2004-36, Class PC, 5.50%, 02/25/34....................... 261
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 49 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 505 Series 2004-36, Class SA, IF, 7.48%, 05/25/34................ $ 507 287 Series 2004-76, Class CL, 4.00%, 10/25/19....................... 264 500 Series 2005-40, Class YA, 5.00%, 09/25/20....................... 499 2,000 Series 2005-68, Class PG, 5.50%, 08/25/35....................... 2,007 12 Series G-14, Class L, 8.50%, 06/25/21....................... 13 59 Series G-18, Class Z, 8.75%, 06/25/21....................... 65 21 Series G-22, Class G, 6.00%, 12/25/16....................... 21 43 Series G-35, Class M, 8.75%, 10/25/21....................... 47 182 Series G92-35, Class E, 7.50%, 07/25/22....................... 190 12 Series G92-42, Class Z, 7.00%, 07/25/22....................... 12 268 Series G92-44, Class ZQ, 8.00%, 07/25/22....................... 285 195 Series G92-54, Class ZQ, 7.50%, 09/25/22....................... 205 40 Series G93-5, Class Z, 6.50%, 02/25/23....................... 41 45 Series G95-1, Class C, 8.80%, 01/25/25....................... 49 2 Series 50, Class 2, IO, 10.50%, 03/01/19....................... 1 15 Series 218, Class 2, IO, 7.50%, 04/01/23....................... 3 175 Series 329, Class 1, PO, 01/01/33....................... 135 370 Series 340, Class 1, PO, 09/01/33....................... 275 --(h) Series 1990-95, Class J, IO, HB, 1118.04%, 08/25/20............. 2 --(h) Series 1990-140, Class K, IO, HB, 652.15%, 12/25/20.............. 3 977 Series 1993-257, Class C, PO, 06/25/23....................... 871 13 Series 1994-9, Class E, PO, 11/25/23....................... 11 580 Series 1996-14, Class SE, IF, IO, 6.30%, 08/25/23................ 85 31 Series 1996-20, Class L, PO, 09/25/08....................... 30 62 Series 1996-24, Class E, PO, 03/25/09....................... 58 76 Series 1996-39, Class J, PO, 09/25/08....................... 72
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 3 Series 1996-46, Class PE, PO, 09/25/06....................... $ 2 368 Series 1997-20, IF, IO, 1.84%, 03/25/27....................... 24 314 Series 1997-20, Class IB, IF, IO, 1.84%, 03/25/27................ 18 109 Series 1997-81, Class PI, IO, 7.00%, 12/18/27................ 22 17 Series 1998-4, Class C, PO, 04/25/23....................... 14 77 Series 1998-27, Class B, PO, 12/25/08....................... 73 857 Series 2001-33, Class ID, IO, 6.00%, 07/25/31................ 180 149 Series 2001-81, Class LO, PO, 01/25/32....................... 118 105 Series 2002-91, Class UH, IO, 5.50%, 06/25/22................ 15 167 Series 2002-W5, Class A10, IF, IO, 3.72%, 11/25/30............ 10 747 Series 2003-8, Class SB, IF, IO, 3.27%, 03/25/16................ 31 119 Series 2003-39, IO, VAR, 6.00%, 05/25/33....................... 25 1,820 Series 2003-80, Class SY, IF, IO, 3.27%, 06/25/23................ 141 1,427 Series 2003-116, Class SB, IF, IO, 3.22%, 11/25/33............ 105 64 Series 2004-21, Class CO, PO, 04/25/34....................... 42 Federal National Mortgage Association Whole Loan 728 Series 2002-W5, Class A7, 6.25%, 08/25/30....................... 735 557 Series 2003-W1, Class 1A1, 6.50%, 12/25/42....................... 570 155 Series 2003-W4, Class 2A, 6.50%, 10/25/42....................... 156 156 Series 2003-W8, Class 1A3, 4.75%, 12/25/42....................... 154 489 Series 2004-W2, Class 2A2, 7.00%, 02/25/44....................... 507 Government National Mortgage Association 152 Series 1994-3, Class PQ, 7.49%, 07/16/24....................... 160 537 Series 1994-4, Class KQ, 7.99%, 07/16/24....................... 564
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 50 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 607 Series 1994-7, Class PQ, 6.50%, 10/16/24....................... $ 638 197 Series 1995-3, Class DQ, 8.05%, 06/16/25....................... 206 57 Series 1995-7, Class CQ, 7.50%, 09/16/25....................... 61 427 Series 1996-16, Class E, 7.50%, 08/16/26....................... 445 91 Series 1998-26, Class K, 7.50%, 09/17/25....................... 95 1,413 Series 1999-4, Class ZB, 6.00%, 02/20/29....................... 1,419 1,000 Series 1999-10, Class ZC, 6.50%, 04/20/29....................... 1,024 165 Series 1999-41, Class Z, 8.00%, 11/16/29....................... 174 127 Series 1999-44, Class PC, 7.50%, 12/20/29....................... 133 294 Series 2000-6, Class Z, 7.50%, 02/20/30....................... 303 280 Series 2000-9, Class PB, 7.50%, 06/16/26....................... 283 51 Series 2000-9, Class Z, 8.00%, 06/20/30....................... 54 729 Series 2000-9, Class ZJ, 8.50%, 02/16/30....................... 801 405 Series 2000-14, Class PD, 7.00%, 02/16/30....................... 423 136 Series 2000-16, Class ZN, 7.50%, 02/16/30....................... 144 734 Series 2000-37, Class B, 8.00%, 12/20/30....................... 774 60 Series 2000-38, Class AH, 7.15%, 12/20/30....................... 62 471 Series 2001-7, Class PK, 6.50%, 03/20/31....................... 486 26 Series 2001-32, Class WA, IF, 9.20%, 07/20/31................ 28 405 Series 2001-64, Class MQ, 6.50%, 12/20/31....................... 420 173 Series 2002-7, Class PG, 6.50%, 01/20/32....................... 178 1,066 Series 2002-36, Class VB, 6.50%, 07/20/19....................... 1,069 405 Series 2002-40, Class UK, 6.50%, 06/20/32....................... 427 405 Series 2002-47, Class PG, 6.50%, 07/16/32....................... 424
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 405 Series 2002-47, Class PY, 6.00%, 07/20/32....................... $ 416 170 Series 2002-47, Class VB, 6.50%, 09/20/17....................... 170 631 Series 2002-47, Class ZA, 6.50%, 07/20/32....................... 640 299 Series 2002-48, Class VM, 6.50%, 09/20/16....................... 301 63 Series 2002-51, Class SG, IF, 13.56%, 04/20/31............... 71 364 Series 2002-54, Class GB, 6.50%, 08/20/32....................... 378 1,069 Series 2002-67, Class VA, 6.00%, 03/20/13....................... 1,078 158 Series 2002-79, Class KV, 6.00%, 11/20/13....................... 161 1,399 Series 2002-88, Class VA, 6.00%, 12/20/17....................... 1,428 319 Series 2003-4, Class NY, 5.50%, 12/20/13....................... 322 304 Series 2003-40, Class TJ, 6.50%, 03/20/33....................... 330 90 Series 2004-28, Class S, IF, 7.65%, 04/16/34................ 89 184 Series 2004-73, Class AE, IF, 5.84%, 08/17/34................ 179 248 Series 1999-30, Class S, IF, IO 4.23%, 08/16/29................ 23 292 Series 2002-31, Class S, IF, IO, 4.33%, 01/16/31................ 26 207 Series 2002-88, Class LI, IO, 5.50%, 11/20/28................ 7 498 Series 2003-4, Class NI, IO, 5.50%, 01/20/32................ 81 127 Series 2003-24, PO, 03/16/33..... 107 443 Series 2003-52, Class AP, PO, 06/16/33....................... 341 250 Series 2003-95, Class SC, IF, IO, 2.63%, 09/17/31................ 5 Vendee Mortgage Trust 686 Series 1994-1, Class 1, VAR, 5.63%, 02/15/24................ 682 1,123 Series 1996-1, Class 1Z, 6.75%, 02/15/26....................... 1,144 380 Series 1996-2, Class 1Z, 6.75%, 06/15/26....................... 395
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 51 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Agency CMO, continued: $ 1,464 Series 1997-1, Class 2Z, 7.50%, 02/15/27....................... $ 1,562 391 Series 1998-1, Class 2E, 7.00%, 09/15/27....................... 406 -------- 131,122 -------- Non-Agency CMO (7.9%): 146 Banc of America Funding Corp. Series 2004-1, PO 03/25/34..... 116 Banc of America Mortgage Securities 108 Series 2003-8 Class A, PO 11/25/33....................... 80 258 Series 2003-11, PO, 02/25/34..... 198 181 Series 2004-6, Class A, PO 07/25/34....................... 125 113 Bank of America Alternative Loan Trust, Series 2003-11, PO 01/25/34....................... 93 59 BHN II Mortgage Trust, Series 1997-1, Class A2, 7.92%, 07/25/09 (i)................... 1 Citigroup Mortgage Loan Trust, Inc. 351 Series 2003-UP3, Class A3, 7.00%, 09/25/33....................... 358 80 Series 2003-UST1, PO 12/25/18.... 67 100 Series 2003-UST1, PO, 12/25/18... 84 531 Series 2003-UST1, Class A1, 5.50%, 12/25/18................ 530 Countrywide Alternative Loan Trust 1,215 Series 2002-8, Class A4, 6.50%, 07/25/32....................... 1,211 1,116 Series 2004-2CB, Class 1A9, 5.75%, 03/25/34................ 1,057 442 Series 2005-26CB, Class A10, IF, 5.11%, 07/25/35................ 428 500 Series 2005-54CB, Class 1A11, 5.50%, 11/25/35................ 490 Countrywide Home Loan Mortgage Pass Through Trust 967 Series 2003-26, Class 1A6, 3.50%, 08/25/33....................... 895 176 Series 2003-J13, PO, 01/25/34.... 151 510 Series 2003-J7, Class 4A3, IF, 4.14%, 08/25/18................ 472 139 Series 2004-HYB3, Class 2A, VAR, 4.10%, 06/20/34................ 135 966 Series 2005-22, Class 2A1, FRN, 5.34%, 11/25/35................ 964 634 Series 2005-R1, Class 2A, PO, 03/25/35 (e)................... 501 191 Deutsche Mortgage Securities, Inc. Series 2004-1, Class 2A, PO, 10/25/18................... 159
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: First Horizon Asset Securities, Inc. $ 652 Series 2004-AR1, Class 2A2, FRN, 5.03%, 04/25/35................ $ 646 1,005 Series 2004-AR7, Class 2A1, FRN, 4.94%, 02/25/35................ 996 202 Series 2004-AR7, Class 2A2, FRN, 4.94%, 02/25/35................ 200 MASTR Adjustable Rate Mortgages Trust 542 Series 2004-13, Class 2A1, FRN, 3.82%, 04/21/34................ 529 MASTR Alternative Loans Trust 994 Series 2003-9, Class 8A1, 6.00%, 01/25/34....................... 999 263 Series 2004-10, Class 1A1, 4.50%, 09/25/19....................... 254 3,410 Series 2004-4, Class 10A1, 5.00%, 05/25/24....................... 3,315 97 Series 2004-7 30, PO, 08/25/34... 74 MASTR Asset Securitization Trust 201 Series 2003-4, Class 2A2, 5.00%, 05/25/18....................... 200 172 Series 2004-8, PO, 08/25/19...... 130 749 MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 05/28/35 (e)................... 547 214 MortgageIT Trust, Series 2005-1, Class 1A1, FRN, 4.70%, 02/25/35....................... 215 Nomura Asset Acceptance Corp. 292 Series 2003-A1, Class A1, 5.50%, 05/25/33....................... 291 289 Series 2003-A1, Class A2, 6.00%, 05/25/33....................... 289 52 Series 2003-A1, Class A5, 7.00%, 04/25/33....................... 52 252 Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e)............ 255 Residential Accredit Loans, Inc. 371 Series 2002-QS16, Class A3, IF, 7.47%, 10/25/17................ 350 1,707 Series 2002-QS8, Class A5, 6.25%, 06/25/17....................... 1,710 396 Series 2003-QS3, Class A2, IF, 6.87%, 02/25/18................ 399 1,700 Series 2003-QS9, Class A3, IF, IO, 3.17%, 05/25/18............ 119
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 52 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 202 Series 2004-QS8, Class A2, 5.00%, 06/25/34....................... $ 198 200 Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, 02/25/19............ 194 Residential Funding Mortgage Securities I 202 Series 2003-S12, Class 4A5, 4.50%, 12/25/32................ 191 885 Series 2003-S13, Class 4A5, 2.50%, 06/25/18................ 846 679 Series 2003-S7, Class A17, 4.00%, 05/25/33....................... 653 8 Rural Housing Trust Series 1987-1, Class 3B, 7.33%, 04/01/26....................... 8 97 Salomon Brothers Mortgage Securities VII Series 2003-UP2, Class 1, PO, 12/25/18.......... 81 59 Structured Mortgage Asset Residential Trust, Series 1993-2A, Class AE, 7.60%, 03/25/09....................... 60 400 Washington Mutual Alternative Mortgage Pass Through Certificates Series 2005-4, Class CB7, 5.50%, 06/25/35..... 391 124 Washington Mutual Mortgage Securities Corp., Series 2003-MS7, Class P, PO, 03/25/33....................... 96 Washington Mutual, Inc. 675 Series 2003-AR4, Class A6, VAR, 3.42%, 05/25/33................ 659 304 Series 2003-AR7, Class A6, VAR, 3.03%, 08/25/33................ 290 116 Series 2003-S10, Class A6, PO 10/25/18....................... 80 353 Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34................ 348 909 Series 2004-S3, Class 2A3, IF, 6.80%, 07/25/34................ 890 Wells Fargo Mortgage Backed Securities Trust 202 Series 2003-11 1A, PO, 10/25/18.. 144 405 Series 2003-13, Class A7, 4.50%, 11/25/18....................... 380 178 Series 2003-17, Class 2A4, 5.50%, 01/25/34....................... 178 339 Series 2004-7, Class 2A2, 5.00%, 07/25/19....................... 334
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: Non-Agency CMO, continued: $ 1,146 Series 2004-BB, Class A4, FRN, 4.57%, 01/25/35................ $ 1,130 334 Series 2004-EE, Class 3A1, FRN, 3.99%, 01/25/35................ 325 506 Series 2004-S, Class A5, FRN, 3.54%, 09/25/34................ 487 -------- 27,648 -------- Total Collateralized Mortgage Obligations (Cost $162,412) 158,770 -------- COMMERCIAL MORTGAGE BACKED SECURITIES (1.2%): 500 Banc of America Commercial Mortgage, Inc., Series 2005-6, Class ASB, VAR, 5.18%, 09/10/47....................... 503 Bear Stearns Commercial Mortgage Securities 84 Series 2000-WF1, Class A1, 7.64%, 02/15/32....................... 87 240 Series 2004-T16, Class A2, 3.70%, 02/13/46....................... 233 300 Series 2005-PWR9, Class AAB, 4.80%, 09/11/42................ 294 810 Equitable Life Assurance Society of the US (The), Series 174, Class A1, 7.24%, 05/15/09 (e)................... 817 292 JP Morgan Commercial Mortgage Finance Corp., Series 1997-C4, Class B, VAR, 7.64%, 12/26/28.. 293 461 Merrill Lynch Mortgage Investors, Inc. Series 1997-C2, Class A2, 6.54%, 12/10/29................ 471 500 Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43........... 501 810 Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.04%, 10/15/41............ 782 -------- Total Commercial Mortgage Backed Securities (Cost $4,052) 3,981 -------- CORPORATE BONDS (21.4%): Aerospace & Defense (0.1%): 257 Systems 2001 AT LLC, 7.16%, 12/15/11 (e)................... 269 -------- Air Freight & Logistics (0.3%): 858 FedEx Corp., 6.72%, 01/15/22..... 937 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 53 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Airlines (0.7%): $ 106 American Airlines, Inc., Series 1999-1, 7.02%, 10/15/09........ $ 109 Continental Airlines, Inc. 50 Series 1999-2, Class A1, 7.26%, 03/15/20....................... 51 202 Series 1999-2, Class A2, 7.06%, 09/15/09....................... 208 197 Delta Airlines, Inc., 6.62%, 03/18/11 (d)................... 194 Southwest Airlines Co. 87 Series 2001-1, 5.10%, 11/01/07... 87 329 Series 2001-1, 5.50%, 11/01/06... 330 United Airlines, Inc. 121 Series 2000-1, 7.73%, 07/01/10... 120 228 Series 2000-2, 7.19%, 10/01/12... 227 522 Series 2001-1, 7.78%, 07/01/15... 520 474 Series 2001-1, 6.07%, 09/01/14 (c)................... 465 -------- 2,311 -------- Automobiles (1.3%): DaimlerChrysler NA Holding Corp. 405 4.75%, 01/15/08.................. 401 709 7.20%, 09/01/09.................. 750 Ford Motor Credit Co. 405 5.80%, 01/12/09.................. 353 1,100 6.88%, 02/01/06.................. 1,098 1,600 7.38%, 10/28/09.................. 1,419 1,000 7.88%, 06/15/10.................. 900 202 Toyota Motor Credit Corp. 2.88%, 08/01/08....................... 193 -------- 5,114 -------- Capital Markets (3.9%): 1,100 Bear Stearns Cos., Inc. (The), 3.25%, 03/25/09................ 1,043 Credit Suisse First Boston USA, Inc. 111 4.70%, 06/01/09 (c).............. 110 405 5.50%, 08/15/13 (c).............. 413 1,640 6.13%, 11/15/11.................. 1,722 Goldman Sachs Group, Inc. 269 3.88%, 01/15/09.................. 261 202 4.75%, 07/15/13.................. 196 425 5.25%, 10/15/13.................. 425 486 6.60%, 01/15/12.................. 522 101 7.35%, 10/01/09.................. 109 1,000 6.88%, 01/15/11 (c).............. 1,077 Lehman Brothers Holdings, Inc. 202 4.00%, 01/22/08 (c).............. 199 300 4.80%, 03/13/14 (c).............. 293
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Capital Markets, continued: $ 455 6.63%, 01/18/12.................. $ 491 Merrill Lynch & Co., Inc. 405 3.70%, 04/21/08.................. 395 200 4.50%, 11/04/10.................. 196 200 5.00%, 01/15/15.................. 197 202 5.45%, 07/15/14.................. 205 202 Series B, 3.13%, 07/15/08........ 193 304 Series C, 4.13%, 01/15/09........ 298 Morgan Stanley 1,000 6.60%, 04/01/12.................. 1,075 1,240 6.75%, 04/15/11.................. 1,335 243 4.25%, 05/15/10 (c).............. 235 147 4.75%, 04/01/14 (c).............. 141 National Rural Utilities Cooperative Finance Corp. 1,761 6.00%, 05/15/06.................. 1,769 209 7.30%, 09/15/06.................. 213 607 State Street Corp., 7.65%, 06/15/10....................... 678 -------- 13,791 -------- Chemicals (0.1%): 304 Dow Chemical Co. (The), 6.13%, 02/01/11....................... 318 -------- Commercial Banks (2.9%): Bank of America Corp. 607 3.88%, 01/15/08.................. 596 125 5.25%, 12/01/15.................. 125 405 7.40%, 01/15/11.................. 446 1,470 7.80%, 02/15/10.................. 1,623 152 Branch Banking & Trust Co., 4.88%, 01/15/13................ 151 1,012 First Bank NA, 6.50%, 02/01/08... 1,046 1,012 Firstar Bank NA, 7.13%, 12/01/09....................... 1,092 405 Keycorp, Series G, 4.70%, 05/21/09....................... 403 405 Marshall & Ilsley Corp., Series E, 5.75%, 09/01/06............. 407 233 Mellon Funding Corp., 3.25%, 04/01/09....................... 222 Popular North America, Inc. 202 4.25%, 04/01/08.................. 198 202 6.13%, 10/15/06.................. 203 380 Royal Bank of Canada (Canada) 3.88%, 05/04/09................ 370 229 Suntrust Bank, 6.38%, 04/01/11... 243 202 Wachovia Bank NA, 7.80%, 08/18/10....................... 227
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 54 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Commercial Banks, continued: Wachovia Corp. $ 709 3.50%, 08/15/08.................. $ 685 688 3.63%, 02/17/09.................. 664 706 Wells Fargo & Co., 3.13%, 04/01/09....................... 669 Wells Fargo Bank NA 81 6.45%, 02/01/11.................. 86 628 7.55%, 06/21/10.................. 694 -------- 10,150 -------- Commercial Services & Supplies (0.1%): 283 PHH Corp., 7.13%, 03/01/13....... 299 -------- Computers & Peripherals (0.1%): 283 International Business Machines Corp. 5.39%, 01/22/09.......... 287 -------- Consumer Finance (1.7%): 405 American Express Credit Corp. 3.00%, 05/16/08................ 388 American General Finance Corp. 132 Series H, 4.50%, 11/15/07........ 131 91 Series H, 5.38%, 10/01/12........ 91 71 Capital One Bank, 5.75%, 09/15/10....................... 73 General Motors Acceptance Corp. 750 7.25%, 03/02/11.................. 689 400 6.13%, 09/15/06 (c).............. 388 HSBC Finance Corp. 202 4.75%, 05/15/09.................. 200 1,417 5.88%, 02/01/09.................. 1,448 202 6.38%, 11/27/12.................. 215 202 6.50%, 11/15/08.................. 210 452 6.75%, 05/15/11.................. 485 304 7.20%, 07/15/06.................. 308 698 8.00%, 07/15/10.................. 779 International Lease Finance Corp. 177 4.50%, 05/01/08.................. 175 152 5.88%, 05/01/13 (c).............. 157 263 SLM Corp., Series A, 5.38%, 01/15/13....................... 267 -------- 6,004 -------- Diversified Financial Services (3.2%): 1,108 Associates Corp. of North America 8.15%, 08/01/09.................. 1,223 CIT Group, Inc. 486 6.50%, 02/07/06.................. 487 200 7.75%, 04/02/12.................. 227
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Diversified Financial Services, continued: Citigroup, Inc. $ 121 3.50%, 02/01/08 (c).............. $ 118 202 4.25%, 07/29/09 (c).............. 198 506 5.63%, 08/27/12.................. 522 81 6.20%, 03/15/09 (c).............. 84 General Electric Capital Corp. 455 Series A, 3.50%, 05/01/08........ 442 425 Series A, 4.25%, 01/15/08........ 420 354 Series A, 4.63%, 09/15/09 (c).... 350 709 Series A, 5.38%, 03/15/07 (c).... 713 1,042 Series A, 5.88%, 02/15/12 (c).... 1,087 1,215 Series A, 6.00%, 06/15/12........ 1,280 516 Series A, 6.13%, 02/22/11........ 543 54 Series A, 7.88%, 12/01/06........ 55 John Hancock Global Funding II 243 3.50%, 01/30/09 (e).............. 233 243 7.90%, 07/02/10 (e).............. 273 MassMutual Global Funding II 330 3.25%, 06/15/07 (e).............. 322 405 3.50%, 03/15/10 (e).............. 382 New York Life Global Funding 223 3.88%, 01/15/09 (e).............. 216 506 5.38%, 09/15/13 (e).............. 520 Principal Life Global Funding I 202 2.80%, 06/26/08 (e).............. 193 61 6.13%, 03/01/06 (e).............. 61 765 6.25%, 02/15/12 (e).............. 813 202 Washington Mutual Financial Corp. 6.88%, 05/15/11................ 219 -------- 10,981 -------- Diversified Telecommunication Services (1.9%): 142 Ameritech Capital Funding 6.15%, 01/15/08.................. 145 211 Bellsouth Telecommunications, 6.30%, 12/15/15................ 219 830 British Telecommunications plc (United Kingdom), 8.38%, 12/15/10....................... 945 587 France Telecom S.A. (France), 7.75%, 03/01/11................ 656 176 New York Telephone Co., 6.00%, 04/15/08....................... 178 567 Nynex Capital Funding Co., Series B, SUB, 8.23%, 10/15/09........ 620 57 Nynex Corp., 9.55%, 05/01/10..... 62 Sprint Capital Corp. 1,083 6.00%, 01/15/07.................. 1,094 253 7.13%, 01/30/06.................. 253 81 7.63%, 01/30/11.................. 89 182 8.38%, 03/15/12.................. 211
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 55 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Diversified Telecommunication Services, continued: $ 283 TELUS Corp. (Canada), 8.00%, 06/01/11....................... $ 317 202 Verizon Florida, Inc., Series F, 6.13%, 01/15/13................ 204 1,063 Verizon Global Funding Corp., 7.25%, 12/01/10................ 1,153 405 Verizon Virginia, Inc., Series A, 4.63%, 03/15/13................ 375 -------- 6,521 -------- Electric Utilities (0.9%): 81 Alabama Power Co., 4.70%, 12/01/10....................... 80 67 American Electric Power Co., Inc. Series A, 6.13%, 05/15/06...... 67 233 Carolina Power & Light Co., 5.13%, 09/15/13................ 232 547 Constellation Energy Group, Inc. 6.35%, 04/01/07................ 556 324 Dominion Resources, Inc., Series B, 6.25%, 06/30/12............. 339 202 DTE Energy Co., Series A, 6.65%, 04/15/09....................... 211 Duke Energy Corp. 455 4.20%, 10/01/08.................. 445 405 5.63%, 11/30/12 (c).............. 416 405 Exelon Generation Co., LLC, 6.95%, 06/15/11................ 437 57 Kiowa Power Partners LLC, 4.81%, 12/30/13 (e)................... 55 227 Ohio Valley Electric Corp., 5.94%, 02/12/06 (e)............ 227 15 Virginia Electric & Power Co., Series A, 5.38%, 02/01/07...... 15 -------- 3,080 -------- Food & Staples Retailing (0.1%): 304 Kroger Co. (The), 8.05%, 02/01/10 (c)................... 330 -------- 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....................... 179 263 Southern California Gas Co., 4.80%, 10/01/12................ 260 -------- 439 -------- Hotels, Restaurants & Leisure (0.0%): (g) 81 Harrah's Operating Co., Inc., 8.00%, 02/01/11 (c)............ 90 --------
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Industrial Conglomerates (0.2%): $ 455 Honeywell International, Inc., 5.13%, 11/01/06 (c)............ $ 455 152 Tyco International Group S.A. (Bermuda), 6.38%, 10/15/11..... 158 253 6.75%, 02/15/11.................. 266 -------- 879 -------- Insurance (1.4%): 385 American International Group, Inc. 4.25%, 05/15/13........... 366 ASIF Global Financing 607 2.65%, 01/17/06 (e).............. 607 455 3.90%, 10/22/08 (e).............. 443 607 4.90%, 01/17/13 (e).............. 604 405 Jackson National Life Global Funding 6.13%, 05/30/12 (e).... 432 222 Metropolitan Life Global Funding I 5.20%, 09/18/13 (e).......... 224 304 MGIC Investment Corp., 6.00%, 03/15/07....................... 307 445 Monumental Global Funding II, 4.38%, 07/30/09 (e)............ 436 324 Monumental Global Funding III, 5.20%, 01/30/07 (e)............ 325 121 Nationwide Financial Services, 6.25%, 11/15/11................ 127 233 Pacific Life Global Funding, 3.75%, 01/15/09 (e)............ 228 Protective Life Secured Trust 217 4.00%, 10/07/09.................. 211 405 4.00%, 04/01/11.................. 388 76 XL Capital Ltd. (Cayman Islands) 5.25%, 09/15/14................ 74 -------- 4,772 -------- IT Services (0.1%): 405 First Data Corp., 3.90%, 10/01/09....................... 385 -------- Machinery (0.0%): (g) 100 Caterpillar Financial Services Corp. 3.45%, 01/15/09.......... 96 -------- Media (0.7%): 106 Comcast Cable Communications Holdings, Inc., 8.38%, 03/15/13....................... 123 121 Comcast Corp., 5.50%, 03/15/11... 122 182 Cox Communications, Inc., 7.75%, 11/01/10....................... 197 Historic TW, Inc. 283 7.48%, 01/15/08.................. 295 430 8.18%, 08/15/07.................. 450
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 56 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Media, continued: $ 749 Tele-Communications-TCI Group 9.80%, 02/01/12................ $ 903 223 Time Warner Entertainment Co. LP 10.15%, 05/01/12............... 271 -------- 2,361 -------- Multi-Utilities (0.1%): 221 PSEG Power LLC, 7.75%, 04/15/11.. 245 -------- Oil, Gas & Consumable Fuels (0.2%): 476 ConocoPhillips, 8.75%, 05/25/10....................... 547 110 Ras Laffan Liquefied Natural Gas Co., Ltd. (Qatar), 7.63%, 09/15/06 (e)................... 112 -------- 659 -------- Paper & Forest Products (0.2%): International Paper Co. 334 4.00%, 04/01/10.................. 315 131 4.25%, 01/15/09 (c).............. 127 142 Union Camp Corp., 6.50%, 11/15/07....................... 145 Weyerhaeuser Co. 28 6.13%, 03/15/07.................. 28 40 6.75%, 03/15/12.................. 43 -------- 658 -------- Real Estate (0.2%): 557 EOP Operating LP, 6.75%, 02/15/12 (c)................... 591 81 ERP Operating LP, 4.75%, 06/15/09....................... 80 -------- 671 -------- Road & Rail (0.1%): Burlington Northern Santa Fe Corp. 235 6.13%, 03/15/09.................. 243 202 7.13%, 12/15/10.................. 220 -------- 463 -------- Thrifts & Mortgage Finance (0.6%): Countrywide Home Loans, Inc. 233 3.25%, 05/21/08.................. 224 253 Series E, 7.20%, 10/30/06........ 257 810 Series L, 4.00%, 03/22/11 (c).... 762 Washington Mutual Bank FA 76 5.65%, 08/15/14.................. 77 304 6.88%, 06/15/11.................. 329 275 Washington Mutual, Inc., 4.20%, 01/15/10....................... 266 304 World Savings Bank FSB, 4.50%, 06/15/09....................... 300 -------- 2,215 --------
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: CORPORATE BONDS, CONTINUED: Wireless Telecommunication Services (0.2%): New Cingular Wireless Services, Inc. $ 364 7.88%, 03/01/11.................. $ 409 152 7.50%, 05/01/07 (c).............. 157 -------- 566 -------- Total Corporate Bonds (Cost $77,155) 74,891 -------- FOREIGN GOVERNMENT SECURITIES (0.4%): Mexico Government International Bond (Mexico) 375 4.63%, 10/08/08 (c).............. 370 277 6.38%, 01/16/13.................. 294 175 6.63%, 03/03/15 (c).............. 192 607 Province of Quebec (Canada) 5.75%, 02/15/09................ 625 -------- Total Foreign Government Securities (Cost $1,494) 1,481 -------- MORTGAGE PASS-THROUGH SECURITIES (6.1%): Federal Home Loan Mortgage Corp. Gold Pools 1,146 4.00%, 05/01/14-08/01/18......... 1,104 241 4.50%, 10/01/18.................. 235 82 5.50%, 06/01/17.................. 82 512 6.00%, 04/01/18-01/01/34......... 520 1,111 6.50%, 12/01/13-11/01/22......... 1,142 1,240 7.00%, 08/01/10-04/01/26......... 1,288 188 7.50%, 08/01/08-08/01/25......... 196 39 8.00%, 07/01/20-11/01/24......... 42 142 8.50%, 01/01/10-07/01/28......... 153 Federal Home Loan Mortgage Corp. Conventional Pools 169 ARM, 5.36%, 01/01/27............. 174 19 ARM, 5.50%, 07/01/26............. 20 25 12.00%, 08/01/15-07/01/19........ 27 Federal National Mortgage Association Various Pools 7,576 4.00%, 09/01/13-12/01/18......... 7,254 63 ARM, 4.34%, 09/01/27............. 63 244 4.50%, 03/01/19.................. 238 68 ARM, 4.55%, 03/01/29............. 68 627 ARM, 4.87%, 01/01/35............. 627 27 ARM, 4.97%, 03/01/19............. 28 276 5.00%, 12/01/16-06/01/18......... 274 8 ARM, 5.16%, 08/01/19............. 8 455 5.50%, 12/01/33.................. 452 13 ARM, 5.81%, 06/01/26............. 13 1,068 6.00%. 12/01/32-09/01/33......... 1,078 1,802 6.50%, 12/01/10-08/01/31......... 1,860 181 7.00%, 01/01/07-08/01/32......... 190 186 7.50%, 10/01/12-05/01/25......... 195
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 57 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: MORTGAGE PASS-THROUGH SECURITIES, CONTINUED: $ 374 8.00%, 11/01/12-11/01/28......... $ 398 166 8.50%, 07/01/24-02/01/30......... 182 100 9.00%, 09/01/19-12/01/30......... 109 31 9.50%, 12/01/18.................. 34 25 10.00%, 02/01/24................. 27 17 12.50%, 01/01/16................. 19 Government National Mortgage Association Various Pools 740 6.00%, 10/15/17-11/15/28......... 758 610 6.50%, 07/15/09-02/15/33......... 639 614 7.00%, 08/15/23-06/15/33......... 648 259 7.50%, 05/15/07-06/15/32......... 271 378 8.00%, 05/15/09-10/20/28......... 402 109 8.50%, 11/15/17-05/20/25......... 117 44 9.00%, 04/15/09-11/15/24......... 48 90 9.50%, 10/15/09-12/15/25......... 99 37 12.00%, 11/15/19................. 42 -------- Total Mortgage Pass-Through Securities (Cost $21,415) 21,124 -------- SUPRANATIONAL (0.0%): (G) 40 Corp. Andina de Fomento, 5.20%, 05/21/13....................... 40 20 Inter-American Development Bank 8.40%, 09/01/09................ 22 -------- Total Supranational (Cost $64) 62 -------- U.S. GOVERNMENT AGENCY SECURITIES (0.9%): 202 Federal Home Loan Bank System 6.21%, 06/02/09.................. 212 Federal Home Loan Mortgage Corp. 173 7.20%, 07/18/06.................. 175 405 4.13%, 07/12/10 (c).............. 395 Federal National Mortgage Association 810 5.50%, 03/15/11 (c).............. 837 243 6.13%, 03/15/12.................. 260 678 6.25%, 02/01/11.................. 716 500 6.63%, 09/15/09.................. 532 121 6.63%, 11/15/10.................. 131 -------- Total U.S. Government Agency Securities (Cost $3,337) 3,258 -------- U.S. TREASURY OBLIGATIONS (16.1%): U.S. Treasury Bonds 405 9.88%, 11/15/15 (m).............. 579 6,073 11.75%, 11/15/14................. 7,646 3,000 12.00%, 08/15/13 (m)............. 3,559 8,514 10.38%, 11/15/12 (c) (m)......... 9,409 1,458 12.50%, 08/15/14 (c)............. 1,849
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- LONG-TERM INVESTMENTS, CONTINUED: U.S. TREASURY OBLIGATIONS, CONTINUED: U.S. Treasury Inflation Indexed Bonds $ 229 3.38%, 01/15/07.................. $ 230 773 4.25%, 01/15/10.................. 838 U.S. Treasury Notes 400 3.63%, 01/15/10 (c).............. 389 500 3.63%, 07/15/09.................. 488 250 5.63%, 05/15/08 (c).............. 257 631 5.75%, 08/15/10 (c).............. 668 435 6.13%, 08/15/07.................. 447 500 6.50%, 02/15/10 (c).............. 539 334 6.50%, 10/15/06 (c).............. 339 U.S. Treasury STRIPS 607 PO, 02/15/09 (c)................. 530 1,518 PO, 11/15/09..................... 1,278 2,551 PO, 05/15/09 (c)................. 2,203 506 PO, 02/15/10 (c)................. 424 61 PO, 02/15/12..................... 47 3,745 PO, 05/15/12..................... 2,844 101 PO, 08/15/12..................... 76 1,340 PO, 11/15/12..................... 993 2,624 PO, 02/15/13 (m)................. 1,919 1,500 PO, 05/15/13..................... 1,084 454 PO, 08/15/13 (m)................. 324 202 PO, 11/15/13..................... 143 6,027 PO, 02/15/14 (c) (m)............. 4,199 1,816 PO, 05/15/14 (m)................. 1,250 4,602 PO, 08/15/14 (m)................. 3,131 2,768 PO, 11/15/14 (m)................. 1,860 127 PO, 08/15/15 (c)................. 83 3,917 PO, 11/15/15 (m)................. 2,522 5,766 PO, 02/15/16 (m)................. 3,657 607 PO, 05/15/16 (c)................. 380 405 PO, 08/15/16 (c)................. 251 -------- Total U.S. Treasury Obligations (Cost $58,440) 56,435 -------- TOTAL LONG-TERM INVESTMENTS (Cost $339,039) 330,537 -------- SHORT-TERM INVESTMENTS (4.8%): Investment Company (4.8%): 16,851 JPMorgan Liquid Assets Money Market Fund (b) (Cost $16,851)....................... 16,851 -------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED (5.5%): Cash Deposit (0.1%): 500 Wells Fargo Bank San Francisco 4.30%, 01/27/06................ $ 500 -------- Commercial Paper (0.2%): 745 HSBC Finance Corp., 4.43%, 02/10/06....................... 744 --------
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 58 JPMORGAN INTERMEDIATE BOND TRUST -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED, CONTINUED: Corporate Note (0.2%): $ 750 American Express Credit Corp. 4.36%, 06/12/07................ $ 750 -------- Repurchase Agreements (5.0%): 2,155 Bank of America Securities LLC, 4.26%, dated 12/30/05, due 1/3/06, repurchase price $2,156, collateralized by U.S. Government Agency Mortgages.... 2,155 3,800 Barclays Capital, 4.28%, dated 12/30/05, due 1/3/06, repurchase price $3,802, collateralized by U.S. Government Agency Mortgages.... 3,800 3,800 Lehman Brothers Inc., 4.26%, dated 12/30/05, due 1/3/06, repurchase price $3,802, collateralized by U.S. Government Agency Mortgages.... 3,800
SHARES OR PRINCIPAL AMOUNT SECURITY DESCRIPTION VALUE --------- --------------------------------- -------- INVESTMENTS OF CASH COLLATERAL ON SECURITIES LOANED, CONTINUED: Repurchase Agreements, continued: $ 3,800 Morgan Stanley, 4.27%, dated 12/30/05, due 1/3/06, repurchase price $3,802, collateralized by U.S. Government Agency Mortgages.... $ 3,800 3,800 UBS Securities LLC, 4.26%, dated 12/30/05, due 1/3/06, repurchase price $3,802, collateralized by U.S. Government Agency Mortgages.... 3,800 -------- 17,355 -------- Total Investments of Cash Collateral on Securities Loaned (Cost $19,349) 19,349 -------- TOTAL INVESTMENTS (104.8)% (COST $375,239) 366,737 LIABILITIES IN EXCESS OF OTHER ASSETS (4.8%) (16,876) -------- NET ASSETS (100.0)% $349,861 ========
------------ Percentages indicated are based on net assets. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 59 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED), CONTINUED ABBREVIATIONS: ARM Adjustable Rate Mortgage. CMO Collateralized Mortgage Obligation. FRN Floating Rate Note. The rate shown is the rate in effect as of December 31, 2005. GO General Obligation Bond. HB High Coupon Bonds. IF Inverse Floaters. IO Interest Only. PO Principal Only. 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 December 31, 2005. VAR Variable. The interest rate shown is the rate in effect as of December 31, 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 Advisors, Inc. (c) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (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 following are approximately the market value and percentage of the investments based on net assets that are fair valued (amounts in thousands). Market Value Percentage ------------- ---------- 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. (m) All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements. (q) Investment in affiliate. This security is included in an index in which the Portfolio, as an index fund, invests.
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 of 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 and vice versa. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 See notes to financial statements. 60 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS) AS OF DECEMBER 31, 2005
EQUITY INDEX INTERMEDIATE CORE BOND TRUST TRUST BOND TRUST --------------- ------------------ ------------ ASSETS: Investments in non-affiliates, at value..................... $2,910,949 $450,783 $349,886 Investments in affiliates, at value......................... 277,428 5,086 16,851 ---------- -------- -------- Total investment securities at value........................ 3,188,377 455,869 366,737 Cash........................................................ 196 -- 10 Receivables: Investment securities sold................................ 16 5,528 4 Fund shares sold.......................................... 19,051 1,441 220 Interest and dividends.................................... 20,710 565 2,746 ---------- -------- -------- Total assets................................................ 3,228,350 463,403 369,717 ---------- -------- -------- LIABILITIES: Payables: Due to custodian.......................................... -- 1,477 -- Dividends................................................. 4,739 1,777 401 Investment securities purchased........................... 4,700 519 -- Collateral for securities lending program................. 212,738 42,620 19,349 Fund shares redeemed...................................... 12,143 73 -- Variation margin on futures contracts..................... -- 18 -- Accrued liabilities: Investment advisory fees.................................. 327 21 36 Custodian and accounting fees............................. 33 18 7 Trustees' fees............................................ 18 3 2 Other..................................................... 139 60 61 ---------- -------- -------- Total liabilities........................................... 234,837 46,586 19,856 ---------- -------- -------- NET ASSETS.................................................. $2,993,513 $416,817 $349,861 ========== ======== ======== NET ASSETS: Paid in capital............................................. $3,061,776 $401,607 $359,414 Accumulated undistributed (distributions in excess of) net investment income......................................... (491) (1) (56) Accumulated net realized gains (losses) from investments and futures................................................... (4,646) (1,188) (995) Net unrealized appreciation (depreciation) from investments and futures............................................... (63,126) 16,399 (8,502) ---------- -------- -------- Total Net Assets............................................ $2,993,513 $416,817 $349,861 ========== ======== ======== OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES) ($0.0001 PAR VALUE; UNLIMITED NUMBER OF SHARES AUTHORIZED):........ 306,989 26,787 35,912 Net Asset Value............................................. $ 9.75 $ 15.56 $ 9.74 Cost of investments....................................... $3,251,503 $439,441 $375,239 Market value of securities on loan........................ $ 209,092 $ 41,568 $ 19,036
See notes to financial statements JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 61 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE PERIOD ENDED DECEMBER 31, 2005 (AMOUNTS IN THOUSANDS)
CORE EQUITY INTERMEDIATE BOND TRUST INDEX TRUST BOND TRUST ---------- ----------- ------------ INVESTMENT INCOME: Dividends................................................. $ -- $ 3,850 $ -- Dividend income from affiliates (a)....................... 5,538 134 377 Interest income........................................... 67,644 3 9,035 Income from securities lending (net)...................... 1 --(b) --(b) -------- -------- ------- Total investment income..................................... 73,183 3,987 9,412 -------- -------- ------- EXPENSES: Investment advisory fees.................................... 4,288 524 572 Administration fees......................................... 1,429 209 191 Custodian and accounting fees............................... 51 58 7 Interest expense............................................ -- --(b) 1 Professional fees........................................... 34 22 21 Trustees' fees.............................................. 69 10 10 Printing and mailing costs.................................. 29 4 4 Registration and filing fees................................ 1 1 1 Transfer agent fees......................................... 4 1 3 Other....................................................... 69 11 10 -------- -------- ------- Total expenses.............................................. 5,974 840 820 -------- -------- ------- Less amounts waived......................................... (3,828) (630) (532) Less earnings credits....................................... (2) --(b) --(b) -------- -------- ------- Net expenses.............................................. 2,144 210 288 -------- -------- ------- Net investment income (loss)................................ 71,039 3,777 9,124 -------- -------- ------- REALIZED/UNREALIZED GAINS (LOSSES): Net realized gain (loss) on transactions from: Investments............................................... (3,965) (844) (823) Affiliated investments.................................... -- 5 -- Futures................................................... -- 42 -- Change in net unrealized appreciation (depreciation) of: Investments............................................... (63,908) 19,420 (7,651) Affiliated investments.................................... -- 570 -- Futures................................................... -- (27) -- -------- -------- ------- Net realized/unrealized gains (losses)...................... (67,873) 19,166 (8,474) -------- -------- ------- Change in net assets resulting from operations.............. $ 3,166 $ 22,943 $ 650 ======== ======== ======= (a) Includes reimbursements of investment advisory and administration fees....................................... $ 644 $ 5 $ 45 -------- -------- -------
------------ (b) Amount rounds to less than $1,000. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 62 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 ------------------------- ------------------------ ------------------------ SIX MONTHS SIX MONTHS SIX MONTHS ENDED 2/7/05(A) ENDED 2/7/05(A) ENDED 2/7/05(A) DECEMBER 31, THROUGH DECEMBER 31, THROUGH DECEMBER 31, THROUGH 2005 6/30/05 2005 6/30/05 2005 6/30/05 ------------ ---------- ------------ --------- ------------ --------- (UNAUDITED) (UNAUDITED) (UNAUDITED) ------------ ------------ ------------ CHANGE IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 71,039 $ 50,868 $ 3,777 $ 2,742 $ 9,124 $ 7,460 Net realized gain (loss) on investments and futures (3,965) (681) (797) (241) (823) (172) Change in net unrealized appreciation (depreciation) of investments and futures (63,908) 782 19,963 (3,564) (7,651) (851) ---------- ---------- -------- -------- -------- -------- Change in net assets resulting from operations 3,166 50,969 22,943 (1,063) 650 6,437 ---------- ---------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (70,097) (52,301) (3,908) (2,612) (8,988) (7,652) From net realized gains -- -- (150) -- -- -- ---------- ---------- -------- -------- -------- -------- Total distributions to shareholders (70,097) (52,301) (4,058) (2,612) (8,988) (7,652) ---------- ---------- -------- -------- -------- -------- CHANGES IN NET ASSETS FROM CAPITAL TRANSACTIONS: Proceeds from shares issued 349,887 2,931,444 14,813 430,642 2,293 450,019 Dividends reinvested 40,269 27,870 668 440 6,142 4,903 Cost of shares redeemed (171,339) (116,355) (17,646) (27,310) (73,903) (30,040) ---------- ---------- -------- -------- -------- -------- Change in net assets from capital transactions 218,817 2,842,959 (2,165) 403,772 (65,468) 424,882 ---------- ---------- -------- -------- -------- -------- NET ASSETS: Change in net assets 151,886 2,841,627 16,720 400,097 (73,806) 423,667 Beginning of period 2,841,627 -- 400,097 -- 423,667 -- ---------- ---------- -------- -------- -------- -------- End of period $2,993,513 $2,841,627 $416,817 $400,097 $349,861 $423,667 ========== ========== ======== ======== ======== ======== Accumulated undistributed (distributions in excess of) net investment income $ (491) $ (1,433) $ (1) $ 130 $ (56) $ (192) ========== ========== ======== ======== ======== ======== SHARE TRANSACTIONS: Issued 35,741 293,412 961 28,734 233 45,063 Reinvested 4,113 2,811 43 30 627 494 Redeemed (17,418) (11,670) (1,134) (1,847) (7,462) (3,043) ---------- ---------- -------- -------- -------- -------- Change in shares 22,436 284,553 (130) 26,917 (6,602) 42,514 ========== ========== ======== ======== ======== ========
------------ (a) Commencement of operations. See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 63 (This page intentionally left blank) JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 64 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS
PER SHARE OPERATING PERFORMANCE -------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS DISTRIBUTIONS ---------------------------------------------------- ------------------------------------- NET REALIZED NET ASSET NET AND UNREALIZED VALUE, INVESTMENT GAINS TOTAL FROM NET NET BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT REALIZED TOTAL OF PERIOD (LOSS) INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS --------- ---------- -------------- ---------- ---------- -------- ------------- CORE BOND TRUST Six Months Ended December 31, 2005 (Unaudited)....................... $ 9.99 $0.24 $(0.24) $ -- $(0.24) $ -- $(0.24) February 7, 2005 (a) to June 30, 2005.............................. 10.00 0.19 -- 0.19 (0.20) -- (0.20) EQUITY INDEX TRUST Six Months Ended December 31, 2005 (Unaudited)....................... 14.86 0.14 0.71 0.85 (0.14) (0.01) (0.15) February 7, 2005 (a) to June 30, 2005.............................. 15.00 0.10 (0.14) (0.04) (0.10) -- (0.10) INTERMEDIATE BOND TRUST Six Months Ended December 31, 2005 (Unaudited)....................... 9.97 0.24 (0.23) 0.01 (0.24) -- (0.24) 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 (d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. See notes to financial statements. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 65 --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS(B): --------------------------------------------------- EXPENSES NET ASSET NET ASSETS NET WITHOUT WAIVERS VALUE, END OF INVESTMENT REIMBURSEMENTS PORTFOLIO END OF TOTAL RETURN PERIOD NET INCOME AND EARNINGS TURNOVER PERIOD (C)(D) (000'S) EXPENSES (LOSS) CREDITS RATE(C) --------- ------------ ----------- ------------- -------------- ------------------ --------- $ 9.75 0.03% $2,993,513 0.15% 4.97% 0.42% 9% 9.99 1.89 2,841,627 0.15 4.88 0.43 6 15.56 5.74 416,817 0.10 1.80 0.40 5 14.86 (0.27) 400,097 0.10 1.84 0.41 5 9.74 0.10 349,861 0.15 4.78 0.43 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 SEMI-ANNUAL REPORT December 31, 2005 66 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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. Generally, 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. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, the Funds apply fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund's advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value. B. FUTURES CONTRACTS The Funds may enter into futures contracts for the delayed 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 Funds 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. Index futures contracts are used to control the asset mix of the portfolio in the most efficient manner, allowing a Fund to adjust country exposures while incurring minimal transaction costs. Short index futures contracts are used for hedging JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 67 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED purposes, i.e. 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. The Funds may invest in exchange traded futures for hedging purposes, to either modify the duration of the portfolio, modify the yield curve exposure of the portfolio, or in anticipation of buying or selling a specific security. 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 exchange or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction: therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of December 31, 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 net assets of restricted and illiquid securities as of December 31, 2005 (amounts in thousands):
ILLIQUID -------------------------- 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. The net income earned on the securities lending (after payment of rebates and fees) is included in the Statement of Operations as Income from securities lending (net). Information on the investment of cash collateral is shown in the Schedule of Portfolio Investments. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 68 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED Under the Securities Lending Agreement, JPMCB is entitled to a fee equal to (i) 0.06%, calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each Loan of U.S. Securities outstanding during a given month under this Lending Agreement; and (ii) 0.1142%, calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each loan of non-U.S. Securities outstanding during a given month under this Lending Agreement. For the period from the effective date of the Agreement through December 31, 2005, JPMCB voluntarily reduced its fees to: (i) 0.05% for each Loan of U.S. Securities and (ii) 0.10% for each Loan of non-U.S. Securities, respectively. 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 December 31, 2005, the following Funds had securities with the following market values on loan, received the following collateral and for the period then ended, paid the following amounts to related party affiliates (amounts in thousands):
MARKET VALUE LENDING AGENT MARKET VALUE OF LOANED FEES PAID OF COLLATERAL SECURITIES ------------- ------------- ------------ Core Bond Trust............................................. $--(a) $212,738 $209,092 Equity Index Trust.......................................... --(a) 42,620 41,568 Intermediate Bond Trust..................................... --(a) 19,349 19,036
------------------ (a) Amount rounds to less than one thousand. 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 Funds' policy to segregate assets with a current value at least equal to the amount of their 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 of 1986, as amended, 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. 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 JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 69 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. 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 reimbursed expenses as outlined in Note 3.E. B. ADMINISTRATION FEE Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the "Administrator"), 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. J.P. Morgan Investor Services, Co. ("JPMIS") serves as the Funds' Sub-administrator. For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator. C. CUSTODIAN AND ACCOUNTING FEES JPMCB provides custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and 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 credits, if any, are presented separately in the Statement of Operations. Interest expense paid to the custodian related to cash overdrafts is presented as interest expense in the Statement of Operations. D. PLACEMENT AGENT J.P. Morgan Institutional Investments, Inc. (the "Placement Agent"), 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. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 70 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED 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 six months ended December 31, 2005. The expense limitation percentages in the table above are in place until at least October 31, 2006. For the six months ended December 31, 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............................................. $2,399 $1,429 $3,828 Equity Index Trust.......................................... 421 209 630 Intermediate Bond Trust..................................... 341 191 532
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. During the six months ended December 31, 2005, 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 six months ended December 31, 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 six months ended December 31, 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................... $436,425 $171,376 $93,689 $65,883 Equity Index Trust................ 19,641 25,643 -- -- Intermediate Bond Trust........... 14,780 38,539 3,853 24,970
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 71 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (UNAUDITED), CONTINUED 6. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at December 31, 2005, were as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) --------- ------------ ------------ -------------- Core Bond Trust.............................. $3,251,503 $ 5,636 $(68,762) $(63,126) Equity Index Trust........................... 439,441 32,059 (15,631) 16,428 Intermediate Bond Trust...................... 375,239 534 (9,036) (8,502)
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 Funds' borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 21, 2006. As of and for the six months ended December 31, 2005, the Funds 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' investment adviser or an affiliate may exercise discretion on behalf of certain of its clients with respect to the purchase of sale of a significant portion of the Funds' outstanding shares. Investment activities on behalf of these shareholders could impact 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. JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 Continued 72 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- TRUSTEES (UNAUDITED)
NUMBER OF PORTFOLIOS/FUNDS IN NAME (YEAR OF BIRTH); JPMORGAN FUNDS POSITIONS WITH PRINCIPAL OCCUPATION(S) COMPLEX(1) OTHER DIRECTORSHIPS HELD THE FUNDS (SINCE) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE OUTSIDE JPMORGAN FUNDS COMPLEX ------------------------ ------------------------------ -------------------- ------------------------------ NON-INTERESTED TRUSTEES Cheryl Ballenger (1956); Mathematics Teacher, Vernon 12 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, 12 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 12 None. Trustee (since 2005) Vice President and Treasurer, Northrop Grumman Corporation (defense contractor) Ken Whipple (1934); Chairman (1999-Present) and 12 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 12 Trustee of Johns 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 oversee 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 SEMI-ANNUAL REPORT December 31, 2005 73 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- OFFICERS (UNAUDITED)
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUNDS (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 April 2005 to present, Managing Director and Associate Secretary and Chief Legal General Counsel, JPMorgan Chase & Co. From February 2003 to Officer (2005)* present, Senior Associate General Counsel, Bank One Corporation (now known as JPMorgan Chase & 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. Susan M. Canning (1969), Vice President and Senior Counsel, JPMorgan Chase & Co. Vice President and Assistant Member of Law Department since 1991. Secretary (2005)* 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. 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 an attorney with various titles for JP Morgan Chase & Co. (formerly Bank One Corporation) since 1990.
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 74 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- OFFICERS (UNAUDITED), CONTINUED
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS ---------------------------- ------------------------------------------------------------ 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.) 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.
------------ 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 SEMI-ANNUAL REPORT December 31, 2005 75 JPMORGAN INSTITUTIONAL TRUST FUNDS -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES (UNAUDITED) HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD DECEMBER 31, 2005 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, July 1, 2005, and continued to hold your shares at the end of the reporting period, December 31, 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.
EXPENSES PAID BEGINNING ENDING ACCOUNT DURING PERIOD ACCOUNT VALUE, VALUE, JULY 1, TO ANNUALIZED JULY 1, 2005 DECEMBER 31, 2005 DECEMBER 31, 2005 EXPENSE RATIO -------------- ----------------- ----------------- ------------- CORE BOND TRUST Actual.................................... $1,000 $1,000.30 $0.76 0.15% Hypothetical.............................. $1,000 $1,024.25 $0.77 0.15% EQUITY INDEX TRUST Actual.................................... $1,000 $1,057.90 $0.52 0.10% Hypothetical.............................. $1,000 $1,024.70 $0.51 0.10% INTERMEDIATE BOND TRUST Actual.................................... $1,000 $1,001.00 $0.76 0.15% Hypothetical.............................. $1,000 $1,024.45 $0.77 0.15%
JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 76 (This page intentionally left blank) JPMORGAN ASSET MANAGEMENT INSTITUTIONAL TRUST FUNDS SEMI-ANNUAL REPORT December 31, 2005 FOR MORE INFORMATION: INVESTMENT ADVISOR JPMorgan Investment Management, Inc. 522 Fifth Avenue New York, New York 10036 PLACEMENT AGENT JPMorgan Institutional Investments, Inc. 522 Fifth Avenue New York, New York 10036 This report is open and authorized for distribution only to qualified and accredited investors or financial intermediaries who have received a copy of the Fund's Private Placement Memorandum. This document may not be copied, faxed or otherwise distributed to the general public. Each Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each Fund's Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. A copy of proxy policies and procedures are available without charge 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 the Advisor. A copy of the Fund's voting record is available on the SEC's website at www.sec.gov. 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] Asset Management SAN-INSIT-1205 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. NOT APPLICABLE TO A SEMI-ANNUAL REPORT. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE TO A SEMI-ANNUAL REPORT. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of 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. NOT APPLICABLE TO A SEMI-ANNUAL REPORT. 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 TO A SEMI-ANNUAL REPORT. 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. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S SECOND FISCAL QUARTER OF THE PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. 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. NOT APPLICABLE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30A-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO RULE 30A-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. SIGNATURES 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 March 8, 2006 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 March 8, 2006 By: /s/ Stephanie J. Dorsey ------------------------------------------- Stephanie J. Dorsey Treasurer and Principal Financial Officer March 8, 2006