N-30D 1 a2061988zn-30d.txt N-30D ANNUAL REPORT AUGUST 31, 2001 JPMorgan Funds [GRAPHIC] MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund U.S. Government Money Market Fund Treasury Plus Money Market Fund Federal Money Market Fund II Prime Money Market Fund II Tax Free Money Market Fund New York Tax Free Money Market Fund California Tax Free Money Market Fund [LOGO] JPMORGAN Fleming Asset Management CONTENTS Letter to the Shareholders 1 JPMorgan 100% U.S. Treasury Securities Money Market Fund Fund Facts 3 JPMorgan U.S. Government Money Market Fund Fund Facts 4 JPMorgan Treasury Plus Money Market Fund Fund Facts 5 JPMorgan Federal Money Market Fund II Fund Facts 6 JPMorgan Prime Money Market Fund II Fund Facts 7 JPMorgan Tax Free Money Market Fund Fund Facts 8 JPMorgan New York Tax Free Money Market Fund Fund Facts 9 JPMorgan California Tax Free Money Market Fund Fund Facts 10 Portfolios of Investments 11 Financial Statements 68 Notes to Financial Statements 77 HIGHLIGHTS - U.S. economy remains weak with little sign of near-term improvement. - Federal Reserve maintains an easing bias and continues to cut interest rates. - Investors opt to hold more cash during volatility in the stock market. NOT FDIC INSURED | May lose value / No bank guarantee JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMorgan MONEY MARKET FUNDS LETTER TO SHAREHOLDERS October 9, 2001 Dear Shareholder: Like people everywhere, we here at J.P. Morgan Chase were horrified and saddened by the terrorist attacks on New York City and Washington, D.C. in September. We received the terrible news while we were in the midst of preparing the August 31st shareholder reports. At this time, it is uncertain how the attacks will affect the fixed income and equity markets but we expect to see some volatility, at least for the short term. Many of you are eager for the insight and analysis of our portfolio management team. We offer some of their thoughts on our Web site through market commentaries for the 3rd quarter (three-month period ended September 30, 2001). To read those commentaries, visit www.jpmorganfunds.com. Of course, we will also review the markets in the wake of these tragedies in shareholder reports dated September 30th and later. This annual report for the JPMorgan Money Market Funds includes in-depth information on some of our money market funds for the year ended August 31, 2001. U.S. ECONOMY STRUGGLES During the second half of 2000, the U.S. economy weakened significantly. Consumer confidence softened, causing retail sales to decline. Manufacturing output dropped. Also having an impact: lower corporate profits, rising labor and energy costs, and higher debt burdens. Seeking a safe haven from the volatility in the equities market, many investors increased their cash positions. Faced with the risk of a recession and the threat of inflation, the Federal Reserve Board moved to an easing bias on its monetary policy in December, only six weeks after reaffirming its bias toward higher interest rates. Almost immediately, it began a series of interest rate cuts. By the end of August, the Federal funds rate stood at 3.5%--3 % lower than it was at the beginning of 2001. Despite lower interest rates, investors leery of the equities markets and concerned about stress on corporate profits placed at least some of their assets in money market funds. The U.S. economy continued to struggle throughout the reporting period despite some signs of strengthening during the spring. Many companies reported poor results in the second quarter, worse than the already pessimistic estimates. Many also expressed concern over business conditions for the remainder of 2001. ECONOMIC RECOVERY DELAYED The U.S. economy remains fragile and leading economic indicators continue to disappoint. The Bush tax cuts and rebates are just beginning to hit the economy and it is unclear whether investors are going to spend the money or invest it. The severe slump in manufacturing activity continues, and although inventory levels have fallen, considerable slackness remains. Rising unemployment and job insecurity are likely to undermine consumer spending as the year progresses, while fluctuating food and energy prices may result in an inflationary spurt. If the Fed shows an inclination to "normalize" monetary policy, interest rates are expected to drift higher. FUND FAMILIES REORGANIZED We are pleased to announce the successful reorganization of the two JPMorgan fund families into a single fund complex with a multiple share class structure. The following changes are effective as of the close of business on September 7, 2001: - JPMorgan Federal Money Market Fund II was renamed JPMorgan Federal Money Market Fund. - JPMorgan Prime Money Market Fund II was renamed JPMorgan Prime Money Market Fund. In these challenging times, your portfolio managers are doing an excellent job, maintaining good performance. They will continue to focus on preservation of principal first 1 and foremost, while trying to lock-in the highest possible yields in the current falling interest rate environment. The portfolio management team and all of us at J.P. Morgan Chase thank you for your continued investment and look forward to serving your investment needs for many years to come. Sincerely, /s/ George Gatch George Gatch President, JPMorgan Funds 2 JPMorgan 100% U.S. TREASURY SECURITIES MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current income consistent with capital preservation Primary Investments Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes Suggested investment time frame Short-term Share classes offered Vista, Premier and Institutional Shares Net assets $5.3 Billion Average maturity 44 days S&P Rating Not Rated Moody's Rating Not Rated NAIC Rating Not Rated MATURITY SCHEDULE 1-14 days 17.4% 15-30 days 26.5% 31-60 days 28.5% 61-90 days 20.1% 91-180 days 6.3% 181+ days 1.2%
7-DAY SEC YIELD(1) Vista Shares 3.00% Premier Shares 3.11% Institutional Shares 3.34%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares and Institutional Shares reflect the voluntary waiver of certain expenses. Without waivers, the yields would have been 2.90%, 3.08% and 3.26% for Vista Shares, Premier Shares and Institutional Shares, respectively. 3 JPMorgan U.S. GOVERNMENT MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current income consistent with capital preservation Primary Investments Direct obligations of the U.S. Treasury and its Agencies including Treasury bills, bonds, notes, and repurchase agreements Suggested investment time frame Short-term Share classes offered Vista, Premier, and Institutional Shares Net assets $9.2 Billion Average maturity 47 days S&P Rating* AAA Moody's Rating* Aaa NAIC Rating* Class 1 * This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1-14 days 55.6% 15-30 days 10.9% 31-60 days 5.7% 61-90 days 1.4% 91-180 days 24.3% 181+ days 2.1%
7-DAY SEC YIELD(1) Vista Shares 3.15% Premier Shares 3.29% Institutional Shares 3.48%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares and Institutional Shares reflect the voluntary waiver of certain expenses. Without waivers, the yields would have been 3.06%, 3.16% and 3.42% for Vista Shares, Premier Shares and Institutional Shares, respectively. 4 JPMorgan TREASURY PLUS MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current income consistent with capital preservation Primary Investments Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as repurchase agreements which are fully collateralized by obligations issued or guaranteed by the U.S. Treasury Suggested investment time frame Short-term Share classes offered Vista, Premier, and Institutional Shares Net assets $2.8 Billion Average maturity 41 days S&P Rating* AAA Moody's Rating* Aaa NAIC Rating* Exempt * This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) exempt status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1-14 days 66.3% 15-30 days 3.5% 31-60 days 6.9% 61-90 days 6.0% 91-180 days 7.2% 181+ days 10.1%
7-DAY SEC YIELD(1) Vista Shares 3.00% Premier Shares 3.14% Institutional Shares 3.34%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares and Institutional Shares reflect the voluntary waiver of certain expenses. Without waivers, the yields would have been 2.89%, 3.08% and 3.24% for Vista Shares, Premier Shares and Institutional Shares, respectively. 5 JPMorgan FEDERAL MONEY MARKET FUND II AS OF AUGUST 31, 2001 FUND FACTS Objective High current income consistent with capital preservation Primary Investments Direct obligations of the U.S. Treasury including Treasury bills, bonds and notes as well as obligations issued or guaranteed by the U.S. Treasury and its Agencies Suggested investment time frame Short-term Share classes offered Vista,Premier, Institutional and Reserve Shares Net assets $2.1 Billion Average maturity 41 days S&P Rating Not Rated Moody's Rating Not Rated NAIC Rating Not Rated MATURITY SCHEDULE 1-14 days 49.5% 15-30 days 9.4% 31-60 days 20.8% 61-90 days 2.5% 91-180 days 17.8% 181+ days 0.0%
7-DAY SEC YIELD(1) Vista Shares 3.14% Premier Shares 3.36% Institutional Shares 3.58% Reserve Shares 3.05%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares, Institutional Shares and Reserve Shares reflect the voluntary waiver of certain expenses. Without waivers, the yields would have been 3.11%, 3.03%, 3.30% and 2.91% for Vista Shares, Premier Shares, Institutional Shares and Reserve Shares, respectively. 6 JPMorgan PRIME MONEY MARKET FUND II AS OF AUGUST 31, 2001 FUND FACTS Objective High current income consistent with capital preservation Primary Investments High quality, short-term, U.S. dollar- denominated money market instruments Suggested investment time frame Short-term Share classes offered Vista, Premier, Institutional, Reserve, B and C Shares Net assets $29.2 Billion Average maturity 44 days S&P Rating* AAA Moody's Rating* Aaa NAIC Rating* Class 1 * This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1-14 days 43.7% 15-30 days 17.7% 31-60 days 11.5% 61-90 days 7.3% 91-180 days 17.9% 181+ days 1.9%
7-DAY SEC YIELD(1) Vista Shares 3.26% Premier Shares 3.40% Institutional Shares 3.59% Reserve Shares 3.07% B Shares 2.61% C Shares 2.61%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares, Institutional Shares, Reserve Shares, B Shares and C Shares reflect the waiver of certain expenses. Without waivers, the yields would have been 3.24%, 3.38%, 3.53%, 3.03%, 2.59% and 2.59% for Vista Shares, Premier Shares, Institutional Shares, Reserve Shares, B Shares and C Shares, respectively. 7 JPMorgan TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current tax free income consistent with capital preservation* Primary Investments Short-term municipal obligations Suggested investment time frame Short-term Share classes offered Vista, Premier, Institutional and Reserve Shares Net assets $1.9 Billion Average maturity 44 days S&P Rating** AAA Moody's Rating Not Rated NAIC Rating Not Rated ** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. MATURITY SCHEDULE 1-14 days 75.2% 15-30 days 0.5% 31-60 days 5.8% 61-90 days 2.4% 91-180 days 7.1% 181+ days 9.0%
YIELDS
--------------------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) --------------------------------------------------------------- Vista Shares 1.83% 3.00% Premier Shares 1.94% 3.19% Institutional Shares 2.16% 3.55% Reserve Shares 1.52% 2.50%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares, Premier Shares, Institutional Shares and Reserve Shares reflect the voluntary waiver of certain expenses. Without waivers, the yields would have been 1.76%, 1.92%, 2.12% and 0.80% for Vista Shares, Premier Shares, Institutional Shares and Reserve Shares, respectively. (2) Taxable equivalent yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective federal tax rate used for this illustration is 39.10%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. 8 JPMorgan NEW YORK TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current tax free income consistent with capital preservation* Primary Investments New York short-term municipal obligations Suggested investment time frame Short-term Share classes offered Vista and Reserve Shares Net assets $2.4 Billion Average maturity 54 days S&P Rating Not Rated Moody's Rating Not Rated NAIC Rating Not Rated MATURITY SCHEDULE 1-14 days 77.4% 15-30 days 0.7% 31-60 days 0.7% 61-90 days 0.8% 91-180 days 5.8% 181+ days 14.6%
YIELDS
--------------------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) --------------------------------------------------------------- Vista Shares 1.65% 3.03% Reserve Shares 1.52% 2.79%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Vista Shares and Reserve Shares reflect the voluntary waiver of certain expenses. Without waivers, the yield would have been 1.56% for Vista Shares and 0.79% for Reserve Shares. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 45.60%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. 9 JPMorgan CALIFORNIA TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2001 FUND FACTS Objective High current tax free income consistent with capital preservation* Primary Investments California short-term municipal obligations Suggested investment time frame Short-term Share classes offered Vista Shares Net assets $82.7 Million Average maturity 52 days S&P Rating Not Rated Moody's Rating Not Rated NAIC Rating Not Rated MATURITY SCHEDULE 1-14 days 72.3% 15-30 days 1.8% 31-60 days 3.9% 61-90 days 5.2% 91-180 days 5.9% 181+ days 10.9%
YIELDS
--------------------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) --------------------------------------------------------------- Vista Shares 1.74% 3.15%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yield for Vista Shares reflects the voluntary waiver of certain expenses. Without waivers, the yield would have been 1.44%. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 44.76%. * A portion of the Fund's income may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. 10 JPMorgan 100% U.S. TREASURY SECURITIES MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- 100.0% U.S. Treasury Securities -- 100.0% U.S. Treasury Bills, $ 12,636 DN, 3.21%, 02/28/02 $ 12,433 50,000 DN, 3.26%, 02/14/02 49,247 132,429 DN, 3.29%, 01/31/02 130,588 250,000 DN, 3.32%, 11/23/01 248,086 164,842 DN, 3.33%, 11/15/01 163,700 551,341 DN, 3.40%, 09/27/01 549,987 97,093 DN, 3.41%, 10/11/01 96,725 345,053 DN, 3.41%, 11/08/01 342,829 4,293 DN, 3.41%, 01/17/02 4,237 50,000 DN, 3.42%, 01/17/02 49,345 25,000 DN, 3.42%, 01/24/02 24,655 317,202 DN, 3.43%, 11/01/01 315,356 247,659 DN, 3.44%, 09/13/01 247,375 866,187 DN, 3.44%, 09/20/01 864,616 25,000 DN, 3.44%, 01/24/02 24,654 52,710 DN, 3.45%, 01/10/02 52,048 8,181 DN, 3.46%, 10/18/01 8,144 100,000 DN, 3.49%, 10/11/01 99,612 330,233 DN, 3.49%, 10/25/01 328,502 125,706 DN, 3.50%, 10/11/01 125,217 682,440 DN, 3.51%, 09/06/01 682,107 79,106 DN, 3.54%, 10/11/01 78,795 471,013 DN, 3.58%, 10/18/01 468,812 318,983 DN, 3.62%, 10/04/01 317,925 50,000 U.S. Treasury Note, 6.38%, 04/30/02 50,756 ------------ Total Investments -- 100.0% $ 5,335,751 (Cost $5,335,751)* ------------
See notes to financial statements. 11 JPMorgan U.S. GOVERNMENT MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- 100.0% U.S. Treasury Security -- 0.8% $ 75,000 U.S. Treasury Bills, DN, 3.43%, 01/24/02 $ 73,964 (Cost $73,964) U.S. Government Agency Securities -- 62.8% Federal Farm Credit Bank, 4,905 6.63%, 02/01/02 4,963 50,000 FRN, 3.45%, 01/18/02 49,996 Federal Home Loan Bank, 9,825 6.75%, 02/15/02 9,958 17,587 DN, 3.52%, 09/12/01 17,568 72,337 DN, 4.34%, 10/10/01 71,997 100,000 FRN, 3.47%, 02/15/02 99,987 100,000 FRN, 3.49%, 03/15/02 99,989 175,000 FRN, 3.54%, 10/19/01 174,984 Federal Home Loan Mortgage Corp., 198,525 DN, 3.34%, 02/28/02 195,213 25,000 DN, 3.48%, 11/01/01 24,852 346,239 DN, 3.50%, 01/30/02 341,162 204,000 DN, 4.25%, 09/13/01 203,711 75,000 DN, 4.35%, 10/11/01 74,638 164,000 FRN, 3.75%, 09/17/01 163,994 Federal National Mortgage Association, 19,080 6.54%, 02/01/02 19,300 7,047 6.63%, 01/15/02 7,122 164,334 DN, 3.33%, 02/21/02 161,704 150,000 DN, 3.47%, 01/24/02 147,904 100,000 DN, 3.50%, 11/01/01 99,407 83,000 DN, 3.50%, 01/25/02 81,820 92,000 DN, 3.50%, 02/08/02 90,569 195,000 DN, 3.52%, 01/10/02 192,501 592,953 DN, 3.54%, 01/17/02 584,910 90,000 DN, 3.58%, 09/13/01 89,893 111,230 DN, 3.62%, 12/06/01 110,156 100,000 DN, 3.63%, 10/04/01 99,668 159,000 DN, 3.65%, 12/13/01 157,340 250,000 DN, 4.01%, 12/14/01 247,103 100,000 DN, 4.34%, 09/20/01 99,771 100,000 DN, 4.34%, 10/11/01 99,518 100,000 DN, 4.36%, 09/07/01 99,927 50,000 DN, 4.40%, 09/12/01 49,933 500,000 FRN, 3.72%, 10/04/01 499,974 400,000 FRN, 3.79%, 12/03/01 399,961 171,000 FRN, 3.83%, 06/21/02 171,000 200,000 MTN, FRN, 3.53%, 11/06/01 199,996 Student Loan Marketing Association, 90,000 FRN, 3.56%, 02/21/02 90,000 100,000 FRN, 3.83%, 09/20/01 100,000 174,700 FRN, 3.93%, 10/18/01 174,700 150,000 MTN, FRN, 3.85%, 09/13/01 149,997 ------------ Total U.S. Government Agency Securities 5,757,186 (Cost $5,757,186) ------------
See notes to financial statements. 12 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Repurchase Agreements -- 36.4% $ 350,000 ABN AMRO Bank N.V. (Netherlands), 3.51%, dated 08/31/01, due 09/24/01, repurchase price $350,819, collateralized by U.S. Government Agency Securities $ 350,000 350,000 ABN AMRO Bank N.V. (Netherlands), 3.51%, dated 08/31/01, due 09/25/01, repurchase price $350,853, collateralized by U.S. Government Agency Securities 350,000 636,945 Deutsche Bank AG, 3.70%, dated 08/31/01, due 09/04/01, repurchase price $637,207, collateralized by U.S. Government Agency Securities 636,945 2,000,000 UBS AG, 3.70%, dated 08/31/01, due 09/04/01, repurchase price $2,000,822, collateralized by U.S. Government Agency Securities 2,000,000 ------------ Total Repurchase Agreements 3,336,945 (Cost $3,336,945) ------------ Total Investments -- 100.0% $9,168,095 (Cost $9,168,095)* ------------
See notes to financial statements. 13 JPMorgan TREASURY PLUS MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- 100.0% U.S. Treasury Securities -- 35.4% U.S. Treasury Bills, $ 50,000 2.84%, 09/20/01 $ 49,925 35,000 3.21%, 01/31/02 34,526 90,000 3.22%, 02/28/02 88,551 100,000 3.42%, 01/17/02 98,693 100,000 3.44%, 11/01/01 99,418 75,000 3.44%, 11/08/01 74,513 75,000 3.44%, 01/24/02 73,964 50,000 3.47%, 09/13/01 49,942 100,000 3.47%, 10/18/01 99,550 100,000 3.47%, 10/25/01 99,480 50,000 3.50%, 09/20/01 49,907 200,000 U.S. Treasury Note, 6.38%, 04/30/02 203,020 ------------ Total U.S. Treasury Securities 1,021,489 (Cost $1,021,489) ------------ Repurchase Agreements -- 64.6% 415,695 Deutsche Bank Securities, 3.66%, dated 08/31/01, due 09/04/01, repurchase price $415,864, collateralized by U.S. Treasury bonds 415,695 650,000 Lehman Brothers, 3.68%, dated 08/31/01, due 09/04/01, repurchase price $650,266, collateralized by U.S. Government Agency Securities 650,000 360,000 Morgan Stanley Dean Witter & Co., 3.65%, dated 08/31/01, due 09/04/01, repurchase price $360,146, collateralized by U.S. Treasury bonds 360,000 440,000 Salomon Smith Barney Holdings, Inc., 3.65%, dated 08/31/01, due 09/04/01, repurchase price $440,178, collateralized by U.S. Government Agency Securities 440,000 ------------ Total Repurchase Agreements 1,865,695 (Cost $1,865,695) ------------ Total Investments -- 100.0% $ 2,887,184 (Cost $2,887,184)* ------------
See notes to financial statements. 14 JPMorgan FEDERAL MONEY MARKET FUND II PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- 100.0% U.S. Treasury Securities -- 13.4% U.S. Treasury Bills, $ 13,176 DN, 3.41%, 09/06/01 $ 13,170 101,729 DN, 3.42%, 09/06/01 101,681 43,252 DN, 3.44%, 09/06/01 43,231 66,819 DN, 3.45%, 09/13/01 66,742 25,000 DN, 3.47%, 09/13/01 24,971 18,141 DN, 3.53%, 09/13/01 18,120 ------------ Total U.S. Treasury Securities 267,915 (Cost $267,915) ------------ U.S. Government Agency Securities -- 86.6% Federal Farm Credit Bank, 50,000 DN, 3.44%, 09/10/01 49,957 50,000 DN, 3.47%, 09/14/01 49,937 25,000 DN, 3.49%, 09/06/01 24,988 8,435 DN, 3.50%, 09/07/01 8,430 30,000 DN, 3.70%, 09/05/01 29,988 50,000 DN, 4.82%, 01/09/02 49,130 Federal Home Loan Bank, 20,000 5.12%, 01/16/02 19,994 33,330 6.75%, 02/01/02 33,745 50,000 7.13%, 11/15/01 50,094 150,000 DN, 3.30%, 02/15/02 147,700 26,423 DN, 3.49%, 01/11/02 26,084 102,475 DN, 3.51%, 10/26/01 101,926 13,850 DN, 3.51%, 01/18/02 13,662 50,000 DN, 3.52%, 10/24/01 49,741 75,000 DN, 3.55%, 10/12/01 74,697 6,343 DN, 3.56%, 09/04/01 6,341 18,150 DN, 3.57%, 01/11/02 17,912 25,000 DN, 3.57%, 01/16/02 24,660 50,000 DN, 3.62%, 10/03/01 49,839 50,000 DN, 3.62%, 10/05/01 49,829 25,000 DN, 3.64%, 09/07/01 24,985 40,000 DN, 4.34%, 10/10/01 39,812 65,000 DN, 4.38%, 09/21/01 64,842 24,000 DN, 4.45%, 09/26/01 23,926 25,000 DN, 6.15%, 09/13/01 24,949 100,000 FRN, 3.49%, 09/15/01 99,989 100,000 FRN, 3.54%, 09/01/01 99,991 50,000 FRN, 3.54%, 10/19/01 49,996 50,000 FRN, 3.59%, 09/05/01 50,000 25,000 Federal National Mortgage Association, DN, 3.31%, 02/22/02 24,600 Student Loan Marketing Association, 66,760 DN, 3.50%, 09/06/01 66,728 62,400 DN, 3.58%, 09/04/01 62,381 100,000 FRN, 3.83%, 09/04/01 100,000 50,000 FRN, 3.85%, 09/04/01 50,000 50,000 MTN, FRN, 3.85%, 09/04/01 49,999 25,000 Tennessee Valley Authority, DN, 3.48%, 09/13/01 24,971 ------------ Total U.S. Government Agency Securities 1,735,823 (Cost $1,735,823) ------------ Total Investments -- 100.0% $ 2,003,738 (Cost $2,003,738)* ------------
See notes to financial statements. 15 JPMorgan PRIME MONEY MARKET FUND II PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- 100.0% U.S. Government Agency Securities -- 3.9% Federal Home Loan Bank, $ 25,992 DN, 3.47%, 01/11/02 $ 25,661 100,000 DN, 3.50%, 01/23/02 98,602 Federal Home Loan Mortgage Corp., 50,000 DN, 3.49%, 12/19/01 49,472 181,238 DN, 3.50%, 11/01/01 180,163 Federal National Mortgage Association, 100,000 DN, 3.34%, 02/21/02 98,395 170,186 DN, 3.49%, 12/14/01 168,470 20,769 DN, 3.49%, 01/10/02 20,505 90,000 DN, 3.49%, 01/25/02 88,728 291,000 DN, 3.50%, 11/01/01 289,273 72,000 DN, 3.50%, 01/03/02 71,132 55,813 DN, 3.50%, 01/03/02 55,140 ------------ Total U.S. Government Agency Securities 1,145,541 (Cost $1,145,541) ------------ Corporate Notes & Bonds -- 25.3% Asset Backed Securities -- 2.1% 150,000 Asset Securitization Corp., 3.57%, 9/17/01 149,995 Ciesco L.P., 80,000 Ser. A, MTN, FRN, #, 3.61%, 09/17/01 80,000 120,000 Ser. A, MTN, FRN, 3.61%, 10/15/01 120,000 Restructured Asset Securities with Enhanced Returns (RACERS), 37,000 1999 Ser. MM-35, FRN, #, 3.67%, 09/17/01 37,000 130,000 2000 Ser. MM-7, FRN, #, 3.60%, 09/30/01 130,000 100,000 2001 Ser. MM-8, FRN, #, 3.77%, 09/04/01 100,000 ------------ 616,995 Banking -- 12.7% 210,000 Abbey National Treasury Services PLC (United ` Kingdom), (Yankee), FRN, 3.70%, 09/25/01 209,984 American Express Centurion Bank, 50,000 FRN, 3.55%, 09/24/01 50,000 100,000 FRN, 3.63%, 09/17/01 100,000 100,000 FRN, 3.68%, 09/10/01 100,000 87,000 FRN, 3.72%, 09/04/01 87,008 50,000 MTN, FRN, 3.59%, 9/20/01 50,000 Bank of America, N.A., 23,600 6.60%, 10/30/01 23,642 50,000 FRN, 3.97%, 09/06/01 50,000 Bank One, N.A., 39,000 FRN, 3.66%, 09/17/01 39,004 85,000 FRN, 3.69%, 09/17/01 85,019 100,000 FRN, 3.75%, 09/17/01 100,001 85,000 MTN, FRN, 3.89%, 09/17/01 84,993 Bayerische Landesbank Girozentrale, (Germany), (Yankee), 150,000 FRN, 3.63%, 09/04/01 150,000
See notes to financial statements. 16 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued $ 50,000 FRN, 4.50%, 10/09/01 $ 50,000 Canadian Imperial Bank of Commerce (Canada), 425,000 FRN, 3.54%, 09/04/01 424,894 429,000 FRN, 3.56%, 09/04/01 428,967 Commerzbank AG (Germany), (Yankee), 250,000 3.69%, 06/28/02 249,944 220,000 4.24%, 05/22/02 220,000 150,000 Credit Suisse First Boston, Inc., FRN, #, 3.69%, 09/04/01 150,000 First Union National Bank, 100,000 FRN, 3.49%, 11/23/01 99,993 480,000 FRN, 3.53%, 11/20/01 480,001 50,000 FRN, 3.56%, 11/14/01 50,000 100,000 FRN, 3.73%, 09/24/01 100,159 70,000 National City Bank, FRN, 3.71%, 09/05/01 70,000 50,000 Wachovia Bank, N.A., FRN, 3.72%, 09/05/01 50,000 200,000 Westdeutsche Landesbank Girozentrale (Germany), (Yankee), 3.51%, 09/29/01 199,953 ------------ 3,703,562 Financial Services -- 8.8% Associates Corp. of North America, 70,500 FRN, 3.63%, 11/22/01 70,555 75,000 FRN, 3.77%, 06/26/02 75,000 110,000 SUB, FRN, 3.93%, 09/17/01 110,000 460,000 Citigroup, Inc., MTN, FRN, 3.64%, 09/14/01 460,000 Goldman Sachs Group, Inc., 25,000 FRN, 3.80%, 09/21/01 25,003 148,000 FRN, #, 3.85%, 10/15/01 148,000 67,000 MTN, FRN, 3.78%, 11/13/01 67,053 96,000 Ser. A, FRN, 3.85%, 10/15/01 96,000 Merrill Lynch & Co., Inc., 125,000 MTN, 3.71%, 09/04/01 124,993 36,690 MTN, 3.76%, 11/01/01 36,700 66,000 MTN, 4.24%, 10/11/01 66,117 70,000 MTN, FRN, 3.73%, 09/04/01 69,993 75,000 MTN, FRN, 3.81%, 09/19/01 75,000 70,000 MTN, FRN, 3.91%, 09/11/01 70,033 Morgan Stanley Dean Witter & Co., 260,000 FRN, 3.70%, 09/17/01 260,000 250,000 FRN, 3.70%, 09/04/01 250,000 58,000 FRN, 4.06%, 09/18/01 58,050 64,050 MTN, 3.83%, 10/30/01 64,099 50,000 MTN, FRN, 3.94%, 09/14/01 50,004 Salomon Smith Barney Holdings, Inc., 43,100 MTN, FRN, #, 3.99%, 10/23/01 43,234 25,300 MTN, FRN, #, 4.01%, 10/02/01 25,335 330,000 Wells Fargo & Co., MTN, FRN, 3.63%, 09/14/01 330,000 ------------ 2,575,169
See notes to financial statements. 17 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Insurance -- 0.5% $100,000 Jackson National Life Insurance Co., FRN, #, 3.82%, 10/18/01 $ 100,000 50,000 Prudential Funding Corp., FRN, #, 3.94%, 09/19/01 50,028 ------------ 150,028 Telecommunications -- 1.2% 250,000 BellSouth Telecommunications, Inc., FRN, 3.97%, 09/04/01 250,000 100,000 SBC Communications, Inc., 4.25%, 06/05/02 100,000 ------------ 350,000 ------------ Total Corporate Notes & Bonds 7,395,754 (Cost $7,395,754) ------------ Residential Mortgage Backed Securities -- 0.8% Collateralized Mortgage Obligations -- 0.8% Merrill Lynch Mortgage Investors, Inc., 181,846 Ser. 2000-WM2, Class A1, FRN, 3.61%, 09/27/01 181,846 51,468 Ser. 2000-WM2, Class A2, 6.68%, 11/27/01 51,468 ------------ Total Residential Mortgage Backed Securities 233,314 (Cost $233,314) ------------ Asset Backed Securities -- 0.6% 114,832 Jupiter Securitization Corp., DN, 3.61%, 09/13/01 114,694 50,000 Windmill Funding Corp., DN, 3.60%, 09/11/01 49,950 ------------ Total Asset Backed Securities 164,644 (Cost $164,644) ------------ Funding Agreements/GIC - 6.4% 50,000 AIG Funding, Inc., FRN, 3.82%, 09/30/01 50,000 25,000 First Allmerica Financial Life Insurance Co., FRN, 3.82%, 09/07/01 25,000 250,000 G.E. Financial Assurance, FRN, 4.07%, 03/01/02 250,000 Jackson National Life Insurance Co., 100,000 3.88%, 09/24/01 100,000 80,000 3.92%, 09/04/01 80,000 300,000 MetLife Funding, Inc., FRN, #, 4.08%, 09/04/01 300,000 275,000 Security Life of Denver Insurance Co., FRN, 3.64%, 11/27/01 275,000 330,000 Transamerica Life Insurance & Annuity Co., FRN, 3.9%, 09/13/01 330,000 330,000 Transamerica Occidental Life Insurance Co., FRN, 3.87%, 09/13/01 330,000 50,000 Travelers Insurance Co., FRN, 3.78%, 10/24/01 50,000 50,000 United of Omaha Life Insurance Co., FRN, 3.85%, 09/04/01 50,000 ------------ Total Funding Agreements/GIC 1,840,000 (Cost $1,840,000) ------------
See notes to financial statements. 18 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Commercial Paper -- 39.5% Asset Backed Securities -- 24.0% $ 25,000 Alpine Securitization Corp., 3.53%, 10/05/01 $ 24,917 Amstel Funding Corp., 50,000 3.61%, 09/12/01 49,945 97,106 3.66%, 10/12/01 96,701 28,265 3.70%, 09/20/01 28,210 91,914 3.70%, 10/02/01 91,621 Amsterdam Funding Corp., 100,000 3.58%, 09/18/01 99,831 13,500 3.63%, 09/05/01 13,495 75,000 DN, 3.53%, 11/06/01 74,515 Atlantis One Funding Corp., 312,000 3.56%, 01/14/02 307,834 49,996 3.65%, 10/15/01 49,773 115,000 3.66%, 12/20/01 113,714 Barton Capital Corp., 99,486 3.52%, 09/20/01 99,301 112,716 3.60%, 09/04/01 112,682 31,168 3.62%, 09/04/01 31,159 40,000 3.67%, 09/07/01 39,976 Bavaria Universal Funding Co., 43,281 3.60%, 09/13/01 43,229 50,000 3.62%, 09/10/01 49,955 100,000 3.67%, 10/15/01 99,551 Beta Finance Corp., Inc., (Channel Islands), 20,500 4.44%, 10/05/01 20,414 47,500 4.46%, 09/28/01 47,341 50,000 Bills Securitization (Germany), 3.58%, 10/30/01 49,707 65,000 Blue Ridge Asset Funding Corp., 3.58%, 09/17/01 64,897 CC USA, Inc. (Centauri Corp.), 41,000 3.68%, 10/09/01 40,841 11,000 4.44%, 10/05/01 10,954 Centric Capital Corp., 100,000 3.58%, 09/13/01 99,881 34,800 3.68%, 09/04/01 34,789 Compass Securitization LLC, 24,200 3.60%, 09/12/01 24,173 108,695 3.61%, 09/12/01 108,575 40,000 DN, 3.63%, 09/06/01 39,980 47,065 DN, 3.65%, 09/07/01 47,036 Corporate Receivables Corp., 75,000 3.65%, 10/03/01 74,757 60,000 3.68%, 09/06/01 59,969 50,000 Dakota Certificate Program (Citibank Credit Card Master Trust I), 3.60%, 09/10/01 49,955 Edison Asset Securitization LLC, 150,000 3.53%, 10/10/01 149,426 36,743 3.61%, 09/05/01 36,728 678,500 3.69%, 09/04/01 678,290
See notes to financial statements. 19 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Asset Backed Securities -- Continued $ 26,225 Falcon Asset Securitization Corp., 3.68%, 09/07/01 $ 26,209 143,950 Four Winds Funding Corp., 3.67%, 09/10/01 143,818 Galaxy Funding, Inc., 100,000 3.51%, 09/24/01 99,776 200,000 3.66%, 10/15/01 199,105 Giro Multi-Funding Corp., 125,000 3.56%, 09/20/01 124,765 12,008 3.60%, 09/12/01 11,995 10,315 3.60%, 09/14/01 10,302 Grand Funding Corp., 55,000 3.58%, 09/19/01 54,902 52,002 3.64%, 09/06/01 51,976 120,000 Greyhawk Funding LLC, 3.68%, 09/07/01 119,926 98,952 Jupiter Securitization Corp., 3.63%, 09/14/01 98,822 K2 (USA) LLC, 62,500 3.57%, 01/24/02 61,601 38,000 3.58%, 01/15/02 37,486 41,459 4.43%, 10/09/01 41,265 59,500 4.43%, 10/10/01 59,214 Liberty Street Funding, 35,000 3.54%, 09/18/01 34,941 35,000 3.60%, 09/12/01 34,962 25,086 DN, 3.62%, 09/10/01 25,063 100,000 Liberty Street Funding Corp., 3.52%, 09/25/01 99,765 15,100 Links Finance LLC, 3.66%, 10/09/01 15,042 45,000 Market Street Funding, 3.62%, 09/10/01 44,959 Mont Blanc Capital Corp., 40,000 3.63%, 09/13/01 39,952 40,000 DN, 3.58%, 09/18/01 39,932 120,000 Monte Rosa Capital Corp., 3.69%, 09/04/01 119,963 100,000 New Castle Certificate Program (Discover Card Master Trust I), 3.52%, 09/26/01 99,756 Old Line Funding Corp., 30,095 3.63%, 09/10/01 30,068 51,290 3.68%, 09/07/01 51,259 Parthenon Receivables Funding LLC, 25,156 3.58%, 01/25/02 24,791 20,158 3.61%, 09/10/01 20,140 45,000 Pennine Funding LLC, 3.58%, 09/18/01 44,924 25,701 Pooled Accounts Receivable Capital Corp., 3.67%, 09/07/01 25,685 Preferred Rec Funding (PREFCO), 88,703 3.53%, 09/25/01 88,494 75,000 3.54%, 10/05/01 74,749 190,000 Prudential Funding Corp., DN, 3.55%, 01/22/02 187,321 74,000 Quincy Capital Corp., 3.63%, 09/07/01 73,955 59,530 Receivables Capital Corp., 3.51%, 09/21/01 59,414
See notes to financial statements. 20 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Asset Backed Securities -- Continued Sheffield Receivables Corp., $ 80,730 3.46%, 10/26/01 $ 80,303 192,760 3.53%, 09/07/01 192,646 72,900 3.60%, 09/06/01 72,864 22,745 3.60%, 09/12/01 22,720 86,712 3.63%, 09/07/01 86,659 14,850 3.68%, 09/05/01 14,844 24,500 Silver Tower U.S. Funding LLC, 3.56%, 10/26/01 24,367 Special Purpose Accounts Receivable Cooperative Corp., 25,000 3.63%, 09/07/01 24,985 100,000 FRN, 3.69%, 09/09/01 100,000 150,000 FRN, 3.83%, 09/25/01 150,000 114,050 Surrey Funding Corp., 3.62%, 09/11/01 113,935 55,077 Thames Asset Global Securitization (TAGS), 3.70%, 10/09/01 54,862 Trident Capital Finance, Inc., 123,195 3.60%, 09/11/01 123,072 100,000 3.67%, 10/04/01 99,664 Tulip Funding Corp., 187,513 3.61%, 09/10/01 187,344 33,935 3.61%, 09/12/01 33,898 94,780 3.61%, 09/13/01 94,666 35,074 Variable Funding Capital Corp., 3.61%, 09/10/01 35,042 Windmill Funding Corp., 25,000 3.53%, 11/08/01 24,833 14,944 3.60%, 09/13/01 14,926 ------------ 6,992,049 Banking -- 4.1% 50,000 Abbey National North American Corp., 3.62%, 01/16/02 49,311 50,000 Banque Generale du Luxembourg SA (Luxembourg), 4.46%, 09/24/01 49,858 Citibank, 80,400 3.60%, 09/14/01 80,295 97,000 3.69%, 11/07/01 96,334 100,000 Commerzbank International, Europe (Germany), 4.57%, 09/28/01 99,657 100,000 Commerzbank U.S. Finance, Inc., 4.34%,10/11/01 99,518 Credit Suisse First Boston, (Switzerland), 50,000 3.66%, 01/16/02 49,304 200,000 4.56%, 09/27/01 200,000 50,000 Den Norske Bank, 3.71%, 12/14/01 49,464 100,000 Depfa Deutsche Pfandbrief Bank AG, 3.74%, 12/13/01 98,930 19,183 Enterprise Funding Corp., 3.68%, 09/05/01 19,175 Fortis Funding Corp., (Netherlands), 50,000 3.65%, 10/09/01 49,807 20,000 3.67%, 10/01/01 19,939 15,000 4.44%, 10/01/01 14,944
See notes to financial statements. 21 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Banking -- Continued Govco, Inc., $ 12,500 3.55%, 10/24/01 $ 12,435 30,000 3.63%, 09/05/01 29,988 Svenska Handelsbanken, Inc. (Sweden), 37,620 3.63%, 12/04/01 37,263 25,000 4.44%, 09/28/01 24,917 10,000 4.50%, 09/07/01 9,993 100,000 UBS Finance LLC (Delaware), 4.34%, 10/11/01 99,518 ------------ 1,190,650 Diversified -- 4.0% General Electric Capital Corp., 100,000 3.55%, 01/28/02 98,531 400,000 3.55%, 01/31/02 394,005 275,000 3.55%, 02/05/02 270,742 100,000 3.62%, 12/12/01 98,974 100,000 3.63%, 01/22/02 98,558 144,832 3.68%, 09/04/01 144,788 75,000 4.35%, 10/02/01 74,719 ------------ 1,180,317 Electronics/Electrical Equipment -- 0.7% ABB Treasury Centre (USA), Inc., 120,000 3.55%, 12/27/01 118,615 100,000 4.43%, 10/05/01 99,582 ------------ 218,197 Financial Services -- 6.0% 189,000 Aspen Funding Corp., 3.64%, 01/22/02 186,267 50,000 Associates Corp. of North America, 3.67%, 09/07/01 49,969 50,000 BCI Funding Corp., 4.46%, 10/05/01 49,789 Citicorp, 200,000 3.62%, 09/12/01 199,779 225,000 3.62%, 09/13/01 224,729 100,000 3.62%, 09/14/01 99,869 50,000 CXC, Inc., 3.65%, 10/02/01 49,843 Fairway Finance Corp., 70,000 3.52%, 10/10/01 69,733 35,000 3.58%, 09/14/01 34,955 200,000 Goldman Sachs Group, Inc., 3.62%, 01/18/02 197,205 79,500 Kitty Hawk Funding Corp., 4.49%, 09/20/01 79,312 Nationwide Building Society (United Kingdom), 75,000 4.37%, 10/05/01 74,690 25,000 4.38%, 10/09/01 24,884 200,000 Nordea North America (Sweden), 4.44%, 09/27/01 199,359 25,000 Nordea North America (Denmark), 4.52%, 10/02/01 24,903 40,000 San Paolo U.S. Financial Co., 4.47%, 10/05/01 39,831 17,059 Swiss Re Financial Products Corp. (Switzerland), 3.67%, 10/03/01 17,003
See notes to financial statements. 22 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Financial Services -- Continued $ 37,849 Triple-A One Funding Corp., DN, 3.58%, 09/07/01 $ 37,826 75,000 Unicredit Delaware, Inc., 4.49%, 09/26/01 74,766 ------------ 1,734,712 Telecommunications -- 0.7% 210,000 Verizon Global Funding, Inc., 3.74%, 09/20/01 209,916 ------------ Total Commercial Paper 11,525,841 (Cost $11,525,841) ------------ Certificates of Deposit-- 17.2% 315,000 Banca Intesa SPA (Italy), 4.43%, 10/11/01 315,000 Barclays Bank PLC (United Kingdom), (Yankee), 441,000 3.54%, 09/04/01 440,890 260,000 Floating Rate, 3.82%, 09/12/01 259,979 210,000 Floating Rate, 3.84%, 09/24/01 209,993 720,000 Bayer Hypo-und Vereinsbank AG (Germany), (Yankee), FRN, 3.54%, 09/04/01 719,807 150,000 Bayerische Landesbank Girozentrale (Germany), (Yankee), 5.22%, 02/20/02 149,980 Citibank NA Nassau Branch, 60,000 3.65%, 01/22/02 60,007 33,000 3.65%, 01/22/02 33,004 25,000 Citibank, N.A., 3.62%, 10/30/01 25,000 141,000 Credit Agricole Indosuez SA (France), (Yankee), 5.23%, 02/20/02 140,987 350,000 Dexia Delaware LLC, FRN, 3.54%, 09/04/01 349,900 180,000 Firstar Bank NA, 4.51%, 09/24/01 180,000 175,000 HSBC Bank PLC (United Kingdom), (Yankee), 4.45%, 01/10/02 175,000 IntesaBci SpA (Italy) 155,000 3.76%, 12/18/01 155,000 300,000 3.79%, 12/17/01 300,000 150,000 Landesbank Hessen-Thuringen Girozentrale (Germany), (Yankee), 3.71%, 01/18/02 150,000 150,000 Marine Midland, 4.51%, 10/09/01 150,000 200,000 Natexis Banques Populaires (France), (Yankee), 3.45%, 02/28/02 200,000 50,000 3.76%, 12/17/01 50,000 150,000 4.57%, 09/27/01 150,000 100,000 4.61%, 09/28/01 100,000 25,000 Svenska Handelsbanken, Inc. (Sweden), 4.10%, 04/05/02 24,977 600,000 UBS Finance, Inc., 3.62%, 01/17/02 591,673 100,000 Westdeutsche Landesbank Girozentrale (Germany), (Yankee), 6.66%, 11/16/01 100,001 ------------ Total Certificates of Deposit 5,031,198 (Cost $5,031,198) ------------
See notes to financial statements. 23 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Money Market Instruments -- Continued Time Deposits -- 5.0% $ 75,000 Caja De Madrid Bank (Spain), 6.67%, 11/19/01 $ 75,000 573,236 Keybank, 3.72%, 09/04/01 573,236 150,000 Landesbank Schleswig Holstein (Germany), 3.77%, 1/18/01 150,000 265,000 Morgan Stanley Dean Witter & Co., 3.68%, 09/04/01 265,000 300,000 Regions Bank, 3.69%, 09/04/01 300,000 100,000 Swedbank (Sweden), (Yankee), 3.70%, 12/19/01 100,000 ------------ Total Time Deposits 1,463,236 (Cost $1,463,236) ------------ Repurchase Agreements-- 1.3% 200,000 ABN AMRO Bank N.V. (Netherlands), 3.72%, dated 08/31/01, due 09/04/01, repurchase price $200,083, collateralized by U.S. Government Securities 200,000 4,155 Deutsche Bank Securities, 3.66%, dated 08/31/01, due 09/04/01, repurchase price $4,157, collateralized by U.S. Government Securities 4,155 175,000 Lehman Brothers, 3.68%, dated 08/31/01, due 09/04/01, repurchase price $175,072, collateralized by U.S. Government Securities 175,000 ------------ Total Repurchase Agreements 379,155 (Cost $379,155) ------------ Total Investments-- 100.0% $ 29,178,683 (Cost $29,178,683)* ------------
See notes to financial statements. 24 JPMorgan TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- 100% State and Municipal Obligations -- 100.0% Alabama -- 1.2% $ 1,000 Alabama State, Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 2.00%, 09/04/01 $ 1,000 2,600 Birmingham, Alabama, Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, 2.10%, 09/05/01 2,600 3,200 Mcintosh, Alabama, Industrial Development Board, Environmental Improvement, Rev., FRDO, 2.50%, 09/05/01 3,200 2,400 Mobile, Alabama, Special Care Facilities Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 2.25%, 09/05/01 2,400 3,000 Mobile, Alabama, Special Care Financing Authority, Infirmary Health Systems, Inc., Ser. A, Rev., FRDO, 2.05%, 09/04/01 3,000 7,400 Stevenson, Alabama, Industrial Development Board, Environmental Improvement, The Mead Corp. Project, Ser. C, Rev., FRDO, 2.60%, 09/05/01 7,400 1,500 Stevenson, Alabama, Industrial Development Board, Environmental Improvement, Mead Corp. Project, Rev., FRDO, 2.60%, 09/05/01 1,500 1,900 University of Alabama, Hospital, Ser. B, Rev., FRDO, 2.00%, 09/05/01 1,900 ------------ 23,000 Alaska -- 2.0% 7,875 Alaska State, Housing Finance Corp., Floating Rate Trusts Receipts, Ser. N-13, Regulation D, Rev., FRDO, 2.10%, 06/21/02 7,875 7,835 Alaska State, Housing Finance Corp., FLOATS, Ser. L-20, Regulation D, FRDO, 2.05%, 09/05/01 7,866 2,850 Alaska State, Housing Finance Corp., FLOATS, Ser. L-25, Regulation D, Rev., FRDO, 2.05%, 09/04/01 2,850 6,600 Alaska State, Housing Finance Corp., FLOATS, Ser. PT-464, Rev., FRDO, 2.08%, 09/06/01 6,600 2,735 Anchorage, Alaska, FLOATS, Ser. PA-705, GO, FRDO, FGIC, 2.13%, 09/06/01 2,735 4,800 Valdez, Alaska, Marine Term, Exxon Pipeline Company Project, Ser.B, Rev., FRN, 2.50%, 09/04/01 4,800 1,700 Valdez, Alaska, Marine Terminal, Exxon Mobile Project, Rev., FRDO, 2.50%, 09/04/01 1,700 500 Valdez, Alaska, Marine Terminal, Exxon Pipeline Company Project, Ser. A, Rev., FRDO, 2.50%, 09/04/01 500 5,000 Valdez, Alaska, Marine Terminal, Ser. A-28, Regulation D, FRDO, 2.10%, 09/05/01 5,000 ------------ 39,926
See notes to financial statements. 25 PORTFOLIO OF INVESTMENTS (CONTINUED) As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Arizona -- 0.4% $ 3,200 Salt River, Arizona, Agricultural Improvement & Power District, Electric Systems, Salt River Project, Ser. B, Rev., 4.65%, 01/02/02 $ 3,211 500 Tempe, Arizona, Excise Tax, Rev., FRDO, 2.50%, 09/04/01 500 5,300 University of Arizona, Main Campus & Research, Ser. A, Rev., COP, FRDO, AMBAC, 2.00%, 09/05/01 5,300 ------------ 9,011 Arkansas -- 0.3% 5,500 Columbia County, Arkansas, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 2.25%, 09/06/01 5,500 California -- 2.7% 7,200 Anaheim, California, Housing Authority, Multi-Family Housing, Fountains of Anaheim Hills, Ser. A, Rev., FRDO, 4.95%, 08/20/02 7,268 15,000 California Higher Education Loan Authority, Student Loan Revenue, Ser. C, Rev., FRDO, 2.88%, 06/01/02 15,000 18,500 California Housing Finance Agency, Home Mortgage, Ser. I, Rev., 2.95%, 06/14/02 18,500 9,000 California State, Department of Water Resources, Center Valley Project, Floating Rate Trust Receipts, Ser. K-1, Regulation D, Rev., FRDO, 1.90%, 09/05/01 9,000 1,600 California State, Department of Water Resources, Ser. L-8, Reg. D, Rev. FRDO, FSA, 1.80%, 09/05/01 1,600 300 California State, Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 2.00%, 09/05/01 300 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 87-8, FRDO, 2.35%, 09/04/01 100 400 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 89-10, Special Assessment, FRDO, 2.35%, 09/04/01 400 900 Los Angeles, California, Regional Airports Improvement Corp., Los Angeles International Airport Terminal Facility, Lax Two Corp., Rev., FRDO, 2.55%, 09/04/01 900 1,600 Orange County, California, Apartment Development, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.85%, 09/06/01 1,600 ------------ 54,668 Colorado -- 2.3% 1,000 Arapahoe County, Colorado, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., ^, FRDO, 2.13%, 09/06/01 1,004 2,850 Arvada, Colorado, Rev., FRDO, 2.85%, 11/01/20 2,850 4,995 Colorado Department of Transportation, FLOATS, Ser. PA-832, Rev., FRDO, MBIA, 2.08%, 09/04/01 4,996
See notes to financial statements. 26 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Colorado -- Continued $ 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 2.00%, 09/06/01 $ 1,600 5,200 Colorado Springs, Colorado, Utilities, Municipal Securities Trust Receipts, Ser. SGA-88, Rev., FRDO, 2.60%, 09/04/01 5,200 2,500 Colorado Student Obligation Bond Authority, Student Loan, Senior Lien, Ser. A-3, Rev., FRDO, 2.10%, 09/05/01 2,500 3,400 Denver, Colorado, City & County Airport, Floating Rate Certificates, Ser. L-27, Regulation D, Rev., FRDO, 2.10%, 09/05/01 3,400 5,000 Denver, Colorado, City & County Airport, Floating Rate Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 2.10%, 09/06/01 5,000 10,000 Douglas County, Colorado, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 2.00%, 09/04/01 10,000 10,080 Jefferson County, Colorado, School District No. R-001, TRAN, 3.50%, 06/28/02 10,080 ------------ 46,630 Connecticut -- 0.9% 2,465 Connecticut State, Health & Educational Facilities Authority, Lawrence and Memorial Hospital, Ser. C, Rev., ^, MBIA, 6.25%, 07/01/02 2,584 10,000 Naugatuck, Connecticut, TAN, GO, 3.25%, 01/16/02 10,020 4,500 Waterbury, Connecticut, Floating Rate Receipts, Ser. L-13, Regulation D, GO, FRDO, 1.95%, 09/05/01 4,500 ------------ 17,104 District of Columbia -- 4.4% 7,500 District of Columbia Enterprise Zone, Rev., FRDO, 2.15%, 09/06/01 7,500 1,920 District of Columbia Housing Finance Agency, Ser. L-1, Regulation D, Rev., FRDO, 2.10%, 09/05/01 1,920 2,535 District of Columbia National Children's Center Inc., FRDO, 2.10%, 09/06/01 2,535 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., #, FRDO, 2.11%, 09/06/01 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, #, FRDO, 2.11%, 09/06/01 6,155 19,000 Metropolitan Washington, 2.50%, 11/06/01 19,000 11,000 Metropolitan Washington Airport, 2.60%, 09/26/01 11,000 6,500 Metropolitan Washington Airport, 2.60%, 10/23/01 6,500 5,000 Metropolitan Washington Airport, 2.70%, 10/09/01 5,000 2,100 Metropolitan Washington Airport, 2.80%, 10/01/01 2,100 2,450 Metropolitan Washington Airport Authority, Ser. L-4, Rev., FRDO, MBIA, 2.10%, 10/01/01 2,450 10,000 Metropolitan Washington Airport, Rev., 2.45%, 09/05/01 10,000 ------------ 88,660
See notes to financial statements. 27 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Florida -- 5.1% $ 400 Alachua County, Florida, Health Facilities Authority, Shands Teaching Hospital, Ser. B, Rev., FRDO, 2.05%, 09/04/01 $ 400 20,225 Broward County, Florida, School District, GO, TAN, 5.00%, 09/11/01 20,237 1,150 Collier County, Florida, Health Facilities Authority, The Moorings Inc. Project, Rev., FRDO, 2.05%, 09/05/01 1,150 2,645 Dade County, Florida, Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Rev., FRDO, 2.15%, 09/06/01 2,645 1,970 Dade County, Florida, Housing Finance Authority, Multi-Family Housing, Star Creek Apartments, Rev., FRDO, 2.15%, 09/06/01 1,970 1,275 Dade County, Florida, Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-344, Rev., FRDO, 2.18%, 09/04/01 1,282 5,700 Escambia County, Florida, Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-1228, Rev., FRDO, 2.13%, 09/06/01 5,705 5,275 Florida Housing Finance Agency, Multi-Family Housing, Banyon, Ser. L, Rev., FRDO, 1.95%, 09/05/01 5,275 12,500 Florida Local Government Finance Commission, 2.70%, 10/17/01 12,500 5,920 Florida State, Board of Education, Lottery Revenue, FLOATS, Ser. PA-887-R, Rev., FRDO, FGIC, 2.08%, 09/07/01 5,920 4,790 Gulf Breeze, Florida, Local Government Loan Program, Ser. B, Rev., FRDO, 2.05%, 09/06/01 4,790 3,000 Hillsborough County, Florida, 2.90%, 10/10/01 3,000 3,705 Jacksonville, Florida, Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 2.10%, 09/05/01 3,705 1,000 Jacksonville, Florida, Health Facilities Authority, River Garden Project, Rev., FRDO, 2.15%, 9/06/01 1,000 5,500 Miami-Dade County, Florida, School District Tax, Rev., TAN, 3.50%, 06/27/02 5,535 9,990 Municipal Securities Trust Certificates, Ser. 2000-9007, Class A, Rev., FRDO, 2.17%, 09/05/02 9,990 3,100 Orange County, Florida, Housing Finance Authority, Homeowner Rev., Ser. N-6, Regulation D, FRDO, 2.05%, 09/06/01 3,100 4,900 Orange County, Florida, Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Rev., FRDO, 1.95%, 09/05/01 4,900 400 Tampa, Florida, Sports Authority, Municipal Securities Trust Receipts, Ser. SGA-61, Rev., FRDO, 2.60%, 09/04/01 400 4,400 The University of North Florida Foundation Inc., Parking System, Rev., FRDO, 2.00%, 09/06/01 4,400
See notes to financial statements. 28 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Florida -- Continued $ 3,600 West Orange, Florida, Healthcare District, Ser. B, Rev., FRDO, 2.05%, 09/06/01 $ 3,600 ------------ 101,504 Georgia-- 3.3% 6,300 Atlanta, Georgia, Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 2.20%, 09/06/01 6,300 960 Bibb County, Georgia, Class A Certificates, Ser. C, FRDO, 2.13%, 09/06/01 960 200 Burke County, Georgia, Development Authority, PCR, Georgia Power Co., Plant Vogtle, 4th Ser., Rev., FRDO, 2.50%, 09/05/01 200 7,160 Clayton County, Georgia, Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, 1.95%, 09/05/01 7,160 12,850 De Kalb County, Georgia, Housing Authority, Multi- Family Housing, Robins Landing Project, Rev., FRDO, 2.10%, 09/06/01 12,850 1,000 Fulton County, Georgia, Development Authority, Arthritis Foundation Inc. Project, Rev., FRDO, 2.10%, 09/05/01 1,000 1,925 Fulton County, Georgia, Development Authority, Morehouse College Project, Rev., FRDO, 2.10%, 09/05/01 1,925 3,661 Georgia Municipal Association Pooled Bond, COP, FRDO, MBIA, 1.95%, 09/06/01 3,661 3,500 Georgia Municipal Electric Authority, Ser. CC, Rev., MBIA, IBC, 4.50%, 01/01/02 3,516 4,355 Metropolitan Atlanta, Georgia, Rapid Transportation Authority, Sales Tax, Ser. M, Rev., AMBAC, 6.15%, 07/03/02 4,439 3,900 Municipal Electric Authority of Georgia, General Resolution Projects, Sub Ser. B, Rev., FRDO, MBIA, 2.00%, 09/05/01 3,900 1,000 Municipal Electric Authority of Georgia, Project One, Ser. B, Rev., FRDO, 2.05%, 09/05/01 1,000 15,000 Northeast Georgia, Health Systems Inc., Hospital Authority of Hall County & The City of Gainesville, Ser. 2001-A, BAN, 4.00%, 02/01/02 15,000 3,000 Richmond County, Georgia, Board of Education, GO, 4.50%, 09/04/01 3,000 ------------ 64,911 Hawaii -- 1.5% 6,500 Hawaii State, Airport System, 3rd Ser., Rev., ^, AMBAC, 5.50%, 07/03/02 6,633 1,445 Hawaii State, Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, Rev., FRDO, 2.18%, 09/06/01 1,455 5,605 Honolulu, Hawaii, City & County, Ser. A, GO, ^, 6.30%, 03/01/02 5,863
See notes to financial statements. 29 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Hawaii -- Continued $ 1,000 Honolulu, Hawaii, City & County, Ser. A, GO, FRDO, 1.95%, 09/05/01 $ 1,000 14,050 Honolulu, Hawaii, GO, 2.60%, 09/06/01 14,050 ------------ 29,001 Idaho -- 0.9% 10,500 IDAHO HOUSING & FINANCE ASSOCIATION, SINGLE FAMILY MORTGAGE, SER. C, CLASS 1, REV., FRDO, 2.05%, 09/06/01 10,500 3,750 Idaho Housing & Finance Association, Single Family Housing, Ser. F-1, Class 1, Rev., FRDO, 2.05%, 09/05/01 3,750 3,000 Idaho State, GO, TAN, 3.75%, 06/28/02 3,028 ------------ 17,278 Illinois -- 8.0% 4,400 Chicago, Illinois, Equipment Notes, GO, FRDO, 4.38%, 09/17/01 4,400 6,700 Chicago, Illinois, O'Hare International Airport, Second Lien, Ser. B, Rev., FRDO, 1.95%, 09/04/01 6,700 14,500 Chicago, Illinois, O'Hare International Airport, Ser. A, Rev., FRDO, 1.95%, 09/05/01 14,500 10,600 Chicago, Illinois, O'Hare International Airport, Special Facilities, Ser. A, Rev., FRDO, 2.60%, 09/05/01 10,600 9,995 Chicago, Illinois, Single Family Mortgage, FLOATS, Ser. PT-555, Rev., FRDO, 2.13%, 09/06/01 9,995 4,785 Cook County, Illinois, GO, ^, AMBAC, 6.60%, 11/01/01 4,906 3,000 Cook County, Illinois, GO, ^, AMBAC, 6.75%, 11/01/01 3,076 9,430 Cook County, Illinois, GO, ^, AMBAC, 6.75%, 11/01/01 9,679 3,885 Cook County, Illinois, Municipal Trust Receipts, Ser. SG-7, FRDO, 2.13%, 09/06/01 3,885 3,555 Franklin Park, Illinois, Cook County, Municipal Securities Trust Receipts, Ser. SGB-14, GO, AMBAC, 2.11%, 09/06/01 3,555 1,300 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 2.15%, 09/05/01 1,300 1,685 Illinois Development Finance Authority, Toughy LTD Partnership Project, Rev., FRDO, 2.13%, 09/05/01 1,685 4,800 Illinois Health Facilities Authority, Carle Foundation, Rev., FRDO, 2.00%, 09/05/01 4,800 3,800 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Ser. A, Rev., FRDO, AMBAC, 2.10%, 09/05/01 3,800 4,050 Illinois Housing Development Authority, Floating Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 2.10%, 09/05/01 4,050
See notes to financial statements. 30 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Illinois -- Continued $ 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, 2.07%, 09/06/01 $ 7,600 2,985 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, 2.00%, 09/05/01 2,985 3,600 Illinois State, Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 2.10%, 09/06/01 3,600 3,005 Illinois State, Development Finance Authority, IDR, CFC International Inc. Project, Rev., FRDO, 2.13%, 09/06/01 3,005 12,000 Illinois State, Health Facilities, 2.35%, 10/01/01 12,000 1,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 2.60%, 09/04/01 1,075 3,900 Illinois State, Toll Highway Authority, Ser. B, Rev., FRDO, MBIA, 2.00%, 09/05/01 3,900 2,570 Lake County, Illinois, IDR, A.L. Hansen Manufacturing Project, Rev., FRDO, 2.10%, 09/06/01 2,570 2,325 Libertyville, Illinois, Industrial Revenue, Libertyville Manor Project, Rev., FRDO, 2.15%, 09/06/01 2,325 4,700 Madison County, Illinois, Environmental Improvement, Ser. A, Rev., FRDO, 2.60%, 09/04/01 4,700 6,900 Madison County, Illinois, Environmental Improvement, Shell Wood River Project, Ser. A, Rev., FRDO, 2.60%, 09/04/01 6,900 3,100 Madison County, Illinois, Environmental Improvement, Shell Wood River Refining, Ser. A, Rev., FRDO, 2.60%, 09/04/01 3,100 13,235 Will County, Illinois, Environmental Facilities, Exxon-Mobil Project, Rev., FRDO, 2.60%, 09/04/01 13,235 4,300 Will County, Illinois, Exempt Facilities, Amoco Chemicals, Rev., FRDO, 2.60%, 09/04/01 4,300 ------------ 158,226 Indiana -- 4.0% 5,000 DeKalb County, Indiana, Economic Development, New Process Steel Project, Rev., FRDO, 2.25%, 09/06/01 5,000 10,000 Indiana Development Corp., 2.75%, 09/10/01 10,000 1,100 Indiana Secondary Market Educational Loans Inc., Ser. B, Rev., FRDO, 2.10%, 09/05/01 1,100 3,900 Indiana State, Highway Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 2.60%, 09/04/01 3,900 12,110 Indiana State, Office Building Commission, 2.65%, 01/18/02 12,110 6,665 Indiana State, Office Building Commission Capital Complex, FLOATS, Ser. PT-381, Rev., FRDO, 2.08%, 09/06/01 6,665
See notes to financial statements. 31 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Indiana -- Continued $15,000 Indianapolis, Indiana, Airport Authority, 2.65%, 09/05/01 $ 15,000 8,000 Indianapolis, Indiana, Airport Authority, 2.65%, 09/06/01 8,000 8,850 Indianapolis, Indiana, Airport Authority, FLOATS, Ser. C7, Rev., FRDO, 2.20%, 09/05/01 8,850 910 Lafayette, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 2.12%, 09/06/01 910 475 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 2.12%, 09/06/01 475 2,560 Municipal Securities Trust Certificates, Ser. 1997-19A, Class A, Rev., #, ^, FRDO, 2.10%, 09/06/01 2,560 4,100 Whiting, Indiana, Environmental Facilities, Amoco Oil Co. Project, Rev., FRDO, 2.60%, 09/04/01 4,100 ------- 78,670 Iowa -- 0.3% 3,900 Des Moines, Iowa, 2.55%, 04/15/02 3,900 1,500 Des Moines, Iowa, Ser. A, 2.50%, 04/15/02 1,500 1,000 Des Moines, Iowa, Ser. A, 3.55%, 04/15/02 1,000 ------- 6,400 Kansas -- 0.6% 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 2.11%, 09/06/01 2,000 3,155 Lawrence, Kansas, Ser. II, GO, 4.75%, 10/01/01 3,159 2,850 Manhattan, Kansas, Ser. 1, GO, 4.75%, 12/17/01 2,853 2,050 Spring Hill, Kansas, Industrial Revenue, Abrasive Engineering Project, Rev., FRDO, 2.13%, 09/06/01 2,050 1,700 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 2.15%, 09/06/01 1,700 ------- 11,762 Kentucky -- 0.6% 3,000 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 2.05%, 09/05/01 3,000 2,540 Kentucky Development Finance Authority, Pooled Loan Project, Ser. A, Rev., FRDO, 2.05%, 09/06/01 2,540 4,025 Kentucky Higher Education Student Loan Corporation, FLOATS, Ser. PT-441, FRDO, 2.31%, 09/06/01 4,025 3,000 Kentucky Interlocal School Transportation Association, COP, TRAN, 3.75%, 06/28/02 3,025 ------- 12,590 Louisiana -- 1.5% 5,650 East Baton Rouge Parish, Louisiana, Solid Waste Disposal Authority, Exxon-Mobile Corp. Project, FRDO, 2.60%, 09/04/01 5,650 2,425 Iberia Parish, Louisiana, Industrial Development Board Inc., Cuming Insulation Corp. Project, Rev., FRDO, 2.15%, 09/06/01 2,425
See notes to financial statements. 32 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Louisiana -- Continued $ 3,000 Lake Charles, Louisiana, Harbor & Terminal, District Dock & Wharf, Conoco Inc. Project, Rev., FRDO, 2.05%, 09/05/01 $ 3,000 1,855 Louisiana Housing Finance Agency, Ser. A-52, Rev., FRDO, 2.10%, 09/05/01 1,855 9,995 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 2.06%, 09/06/01 9,995 2,370 Louisiana State, Ser. 217, GO, FRDO, MBIA, 2.09%, 09/06/01 2,370 4,000 Plaquemines, Louisiana, Port Harbor & Terminal District, Port Facilities, International Marine Terminal Project, Ser. B, Rev., FRDO, 3.19%, 03/15/02 4,004 ------- 29,299 Maine -- 0.4% 1,500 Maine State, Housing Authority, Ser. D, Rev., FRDO, 2.70%, 07/31/02 1,500 2,500 Maine State, Housing Authority, Ser. D2, Rev., FRDO, 2.75%, 07/21/02 2,500 3,310 Maine State, Turnpike Authority, FLOATS, Ser. PA-699, Rev., FRDO, 2.13%, 09/06/01 3,314 ------- 7,314 Maryland -- 0.9% 5,725 Baltimore County, Maryland, Oak Crest Village Inc. Project, Ser. A, Rev., FRDO, 2.10%, 09/06/01 5,725 500 Maryland State, Community Development Administration, Multi-Family Housing, Avalon Ridge Apartments Project, Rev., FRDO, 1.95%, 09/17/01 500 3,000 Maryland State, Community Development Administration, Multi-Family Housing, Parlane Apartments, Rev., FRDO, 2.10%, 09/05/01 3,000 5,105 Maryland State, Stadium Authority, Sports Facilities Lease, Rev., FRDO, 2.10%, 09/05/01 5,105 3,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO, 2.01%, 09/06/01 3,185 ------- 17,515 Massachusetts -- 1.4% 5,750 Massachusetts Bay, Transportation Authority, Municipal Securities Trust Receipts, Ser. SGA-123, FRDO, 2.10%, 09/05/01 5,750 3,300 Massachusetts State, Health & Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-97, Rev., FRDO, 2.60%, 09/04/01 3,302 2,000 Massachusetts State, Health & Educational Facilities Authority, Ser. D, Rev., ^, AMBAC, 6.63%, 09/20/01 2,080 3,000 Massachusetts State, Ser. A, GO, BAN, 5.00%, 09/06/01 3,000 2,100 Massachusetts State, Ser. A, GO, FRDO, 2.00%, 09/06/01 2,100
See notes to financial statements. 33 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Massachusetts -- Continued $ 2,000 Massachusetts Student Loan, New England Education Loan Marketing Corp., Issue A, Rev., FRDO, 5.80%, 03/01/02 $ 2,024 9,300 North Adams, Massachusetts, GO, BAN, 4.00%, 02/26/02 9,326 ------- 27,582 Michigan -- 3.1% 6,000 Detroit, Michigan, Economic Development Corp., Resource Recovery, Ser. A, Rev., AMBAC, 2.59%, 05/01/02 6,000 4,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 2.10%, 09/05/01 4,000 3,205 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 2.08%, 09/06/01 3,205 10,000 Michigan Municipal Bond Authority, Ser. C-1, Rev., 3.50%, 08/23/02 10,087 1,300 Michigan State, Building Authority, Floating Rate Certificates, Ser. 307, Rev., ^, FRDO, 2.09%, 09/06/01 1,305 1,200 Michigan State, Hospital Finance Authority, Mt. Clemens Hospital, Rev., FRDO, 2.05%, 09/05/01 1,200 7,800 Michigan State, Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 2.07%, 09/05/01 7,800 6,000 Michigan State, Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 2.05%, 09/05/01 6,000 1,025 Michigan State, Housing Development Authority, Ser. 2000-A, Rev., FRDO, 1.95%, 09/05/01 1,025 11,800 Michigan State, Ser. B, GO, GAN, FRDO, FSA, 2.00%, 09/05/01 11,800 1,175 Michigan State, Strategic Fund LTD, Wayne Disposal, Oakland Project, Rev., FRDO, 2.23%, 09/05/01 1,175 5,055 Michigan State, University, Ser. A, GO, Rev., FRDO, 1.85%, 09/05/01 5,055 2,800 University of Michigan, Hospital, Ser. A-2, Rev., FRDO, 2.55%, 09/04/01 2,800 ------- 61,452 Minnesota -- 0.1% 2,000 Beltrami County, Minnesota, Environmental Control, Rev., FRDO, 2.40%, 09/04/01 2,000 Mississippi-- 0.5% 1,700 Jackson County, Mississippi, PCR, Chevron USA Project, Rev., FRDO, 2.50%, 09/04/01 1,700 2,570 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms Inc. Project, Rev., FRDO, 2.20%, 09/04/01 2,570 5,795 Mississippi Home Corp., Single Family Housing, Class A Certificates, Ser. I, Rev., FRDO, 2.15%, 09/06/01 5,795 ------- 10,065
See notes to financial statements. 34 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Missouri -- 2.5% $ 7,180 Independence, Missouri, IDA, Multi-Family Housing, FLOATS, Ser. PT-314, Rev., FRDO, 2.08%, 09/06/01 $ 7,180 4,500 Kansas City, Missouri, IDA, Authority Hospital, Resh Health Services Systems, Rev., FRDO, MBIA, 2.50%, 09/04/01 4,500 3,275 Kansas City, Missouri, IDR, Livers Bronze Co. Project, Rev., FRDO, 2.25%, 09/06/01 3,275 3,000 Missouri Higher Education Loan Authority, Ser. B, Rev., FRDO, 2.10%, 09/05/01 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 2.30%, 09/05/01 1,600 5,295 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 2.73%, 07/03/02 5,295 3,375 Missouri State, Development Finance Board, Recreational Facilities, Greater St. Louis YMCA Project, Ser. B, Rev., FRDO, 2.10%, 09/06/01 3,375 1,600 Missouri State, Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 2.10%, 09/06/01 1,600 3,910 Missouri State, Housing Development Commission, Floating Rate Trust Receipts, Ser. A-64, Regulation D, Rev., FRDO, 2.10%, 09/05/01 3,917 7,770 Missouri State, Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 2.13%, 09/06/01 7,787 8,130 St. Louis, Missouri, Airport Revenue Authority, Rev., ^, FGIC, 6.00%, 07/03/02 8,504 ------- 50,033 Montana -- 0.2% 3,565 Montana State, Board of Housing, FLOATS, Ser. PT-356, Rev., FRDO, 2.18%, 09/06/01 3,565 Multiple States -- 4.8% 2,500 ABN-AMRO Munitops Certificates Trust, Ser. 2000-13, FRDO, 2.80%, 07/17/02 2,500 57,500 Charter Mac, Floating Rate Certificates, Ser. NAT-1, FRDO, 2.21%, 09/06/01 57,501 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 2.11%, 09/06/01 5,000 7,020 IBM Lease, FLOATS, Ser. PL-9, Ser. 2001-A, FRDO, 2.26%, 09/06/01 7,020 8,300 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS, Weekly Receipt, FRDO, 2.26%, 09/06/01 8,300 16,260 MBIA Capital Corp., FLOATS, FRDO, 2.21%, 09/06/01 16,260 ------- 96,581 Nebraska -- 0.6% 5,000 Nebraska Investment Finance Authority, Floating Rate Trust, Single Family Housing, Ser. N-7, Rev., FRDO, 2.10%, 09/05/01 5,000
See notes to financial statements. 35 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Nebraska -- Continued $ 5,000 Nebraska Public Power District, Ser. A, Rev., 5.00%, 09/05/01 $ 5,010 1,500 Sidney, Nebraska, IDR, Pennington Seed Inc. Project, Rev., FRDO, 2.20%, 01/02/02 1,500 ------- 11,510 Nevada -- 1.7% 1,400 Clark County, Nevada, Airport Revenue, Sub-Lien, Ser. B-2, Rev., FRDO, 1.95%, 09/05/01 1,400 3,000 Las Vegas, Nevada, GO, ^, FGIC, 6.60%, 04/01/02 3,117 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 2.15%, 09/06/01 3,390 6,250 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 2.15%, 09/06/01 6,250 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 2.15%, 09/06/01 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 2.15%, 09/06/01 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 2.15%, 09/06/01 3,195 3,655 Nevada Housing Division, Single Family Housing, Ser. 2, Rev., 3.25%, 10/01/01 3,655 ------- 33,212 New Hampshire -- 0.1% 1,920 New Hampshire State, Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-115, Rev., FRDO, 2.18%, 09/04/01 1,920 New Jersey -- 0.8% 2,825 Hudson County, New Jersey, Ser. A-9, Regulation D, COP, FRDO, 1.80%, 09/06/01 2,825 1,470 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.80%, 09/06/01 1,470 6,700 New Jersey State, Housing & Mortgage Finance Agency, FLOATS, Ser. PT-118, Rev., 1.89%, 09/06/01 6,700 5,200 Passaic County, New Jersey, GO, BAN, 3.50%, 03/29/02 5,208 ------- 16,203 New Mexico -- 0.6% 300 Farmington, New Mexico, PCR, Arizona Public Services Co., Ser. A, Rev., FRDO, 2.55%, 09/04/01 300 5,375 New Mexico Educational Assistance Foundation, Student Loan Revenue, Ser. IV-A1, Rev., 6.30%, 03/01/02 5,461 6,400 New Mexico Finance Authority, Administrative Fee, Ser. A, Rev., FRDO, 2.00%, 09/05/01 6,400 ------- 12,161 New York -- 1.7% 965 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 96C-4901, Class A, #, FRDO, 2.10%, 09/06/01 965
See notes to financial statements. 36 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 1,520 Monroe County, New York, Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, 1.84%, 09/06/01 $ 1,520 1,800 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 2.40%, 09/04/01 1,800 1,200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 2.45%, 09/27/01 1,200 850 New York City, New York, Transitional Finance Authority, Future Tax Secured, Sub. Ser. B-2, Rev., FRDO, 2.55%, 09/04/01 850 2,300 New York, Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 2.40%, 09/04/01 2,300 9,965 New York, Municipal Securities Trust Receipts, Ser. 2000-9007, Class A, Rev., #, FRDO, FGIC, 2.10%, 09/05/01 9,965 15,000 Onondaga County, New York, IDA, Solid Waste Disposal Facilities, Solvay Paperboard Project, Ser. A, Rev., FRDO, 4.25%, 12/20/01 15,000 1,500 St. Lawrence County, New York, IDA, PCR, Reynolds Metals, Rev., FRDO, 2.40%, 09/04/01 1,500 ------- 35,100 North Carolina -- 1.2% 800 Guilford County, North Carolina, Industrial Facilities & PCFN, Neal Manufacturing, Rev., FRDO, 2.20%, 09/06/01 800 6,200 Mecklenburg County, North Carolina, Public Improvement, Ser. C, GO, FRDO, 2.05%, 09/05/01 6,200 1,700 North Carolina Educational Facilities Financing Agency, Greensboro College, Rev., FRDO, 2.05%, 09/05/01 1,700 3,000 North Carolina Medical Care Commission, Health Systems, Catholic Health East, Ser. D, Rev., FRDO, AMBAC, 1.95%, 09/06/01 3,000 3,000 North Carolina Medical Care Commission, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 2.10%, 09/04/01 3,000 1,300 Raleigh-Durham, North Carolina, Airport Authority, Special Facilities, American Airlines, Rev., Ser. A, FRDO, 2.50%, 09/04/01 1,300 8,510 University of North Carolina, Chapel Hill Hospital, FRDO, 2.50%, 09/04/01 8,510 ------- 24,510 North Dakota -- 0.1% 2,300 Grand Forks, North Dakota, Hospital Facilities, United Hospital Obligation Group, Rev., FRDO, 2.50%, 09/04/01 2,300 Ohio -- 1.0% 1,505 American Municipal Power-Ohio Inc., Omega JV2 Project, Rev., 4.25%, 09/06/01 1,510
See notes to financial statements. 37 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Ohio -- Continued $ 4,600 Columbus, Ohio, Ser. 1, GO, FRDO, 1.90%, 12/18/01 $ 4,600 5,000 Logan Hocking, Ohio, Local School District, GO, BAN, 3.50%, 12/18/01 5,012 200 Ohio State, Air Quality Development Authority, PCR, Ohio Edison Co., Ser. C, Rev., FRDO, 2.55%, 09/04/01 200 4,995 Ohio State, Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 3.20%, 09/06/01 4,995 2,800 Ohio State, Water Development Authority, Pollution Control Facilities, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 2.55%, 09/04/01 2,800 ------- 19,117 Oklahoma -- 1.6% 6,000 Norman, Oklahoma, Regional Hospital Authority, Rev., ^, 6.90%, 09/04/01 6,002 4,040 Oklahoma Housing Finance Agency, Single Family Housing, Homeownership Loan, Ser. PH-A-4, Rev., 3.25%, 09/17/01 4,040 6,000 Oklahoma State, Water Resource Board, State Loan Program, Rev., FRDO, 3.45%, 09/27/01 6,000 9,000 Oklahoma State, Water Resource Board, State Loan Program, Rev., FRDO, 3.58%, 09/06/01 9,000 6,500 Tulsa, Oklahoma, IRA, Justin Industries Project, Rev., FRDO, 2.95%, 09/06/01 6,500 ------- 31,542 Oregon -- 1.0% 8,200 Oregon State, Housing & Community Services Department, Convent Retirement, Ser. A, Rev., FRDO, 2.15%, 09/06/01 8,200 3,665 Oregon State, Housing & Community Services Department, Single Family Mortgages, Ser. J, Rev., 4.35%, 09/27/01 3,665 4,710 Oregon State, Ser. A-18, Regulation D, FRDO, 2.10%, 09/05/01 4,710 3,250 Oregon State, Veterans Welfare, Ser. 80-B, Rev., 4.35%, 10/01/01 3,250 400 Port Portland, Oregon, PCR, Reynold Metals, Rev., FRDO, 2.45%, 09/04/01 400 ------- 20,225 Pennsylvania -- 3.0% 8,300 Clarion County, Pennsylvania, Energy Development, IDA, 2.65%, 10/04/01 8,300 100 Delaware Valley, Pennsylvania, Regional Finance Authority, Local Government, Rev., FRDO, 2.05%, 09/05/01 100 7,300 Delaware Valley, Pennsylvania, Regional Finance Authority, Local Government, Ser. C, Rev., FRDO, 2.05%, 09/05/01 7,300 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 2.11%, 09/06/01 5,900
See notes to financial statements. 38 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Pennsylvania -- Continued $ 2,000 Harrisburg, Pennsylvania, Water Authority, Municipal Securities Trust Receipts, Ser. SGA-80, Rev., FRDO, 2.10%, 09/06/01 $ 2,000 5,500 Pennsylvania State, Higher Education Assistance Agency, Student Loan Revenue, Ser. A, Rev., FRDO, AMBAC, 2.15%, 09/05/01 5,500 8,800 Pennsylvania State, Higher Education Assistance Agency, Student Loan Revenue, Ser. A, Rev., FRDO, AMBAC, 2.15%, 09/05/01 8,800 2,425 Pennsylvania State, 2nd Ser., GO, 5.00%, 08/02/02 2,476 4,375 Philadelphia, Pennsylvania, City Funding Program, Intergovernmental Cooperative Authority, Special Tax, Rev., ^, 6.80%, 06/15/02 4,512 4,230 Philadelphia, Pennsylvania, IDA, Airport Authority, FLOATS, Ser. PT-417, Rev., FGIC, 2.81%, 06/13/02 4,230 3,495 Quakertown, Pennsylvania, General Authority, Pooled Financing Program, Ser. A, Rev., FRDO, 2.05%, 9/04/02 3,495 4,300 Quakertown, Pennsylvania, General Authority, Pooled Financing Program, Ser. A, Rev., FRDO, 2.05%, 09/04/01 4,300 400 South Fork, Pennsylvania, Hospital Authority, Conemaugh Health Systems, Ser. A, Rev., FRDO, MBIA, 2.50%, 09/04/01 400 3,000 Southeastern Pennsylvania Transportation Authority, Special Ser. SG-28, FGIC, 2.01%, 09/06/01 3,002 ------- 60,315 Puerto Rico -- 0.0% 350 Puerto Rico Commonwealth, FLOATS, Ser. PA-472, Rev., FRDO, 1.66%, 09/06/01 350 400 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.66%, 09/06/01 400 ------- 750 South Carolina -- 2.3% 3,000 Cherokee County, South Carolina, Industrial Revenue, Oshkosh Truck Project, Rev., FRDO, 2.30%, 09/05/01 3,000 2,150 Florence County, South Carolina, Solid Waste Disposal & Wastewater Treatment, Roche Carolina Inc., Rev., FRDO, 2.60%, 09/04/01 2,150 6,000 Greenville County, South Carolina, School District, Ser. B, GO, BAN, 3.75%, 04/24/02 6,042 3,000 Kershaw County, South Carolina, IDR, New South Inc. Project, Rev., FRDO, 2.15%, 09/06/01 3,000 7,000 South Carolina Electric, Piedmont Municipal Power Agency, Ser. B, Rev., FRDO, MBIA, 2.00%, 09/05/01 7,000 3,500 South Carolina Jobs Economic Development Authority, Catholic Diocese, South Carolina Project, Rev., FRDO, 2.15%, 09/06/01 3,500
See notes to financial statements. 39 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued South Carolina -- Continued $ 3,000 South Carolina Jobs Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 2.25%, 09/06/01 $ 3,000 4,250 South Carolina Jobs Economic Development Authority, Valley Proteins Inc. Project, FRDO, 2.25%, 09/06/01 4,250 6,000 South Carolina State, FLOATS, Ser. PT-1225, 2.01%, 09/06/01 6,000 5,210 South Carolina State, Housing Finance & Development, Rental Housing, Oak Ridge/McGuire, FRDO, 2.10%, 09/06/01 5,210 3,045 South Carolina State, Housing Finance & Development, Rental Housing, Waverly Place Project, Rev., FRDO, 2.10%, 09/06/01 3,045 ------- 46,197 South Dakota -- 0.5% 4,710 South Dakota Economic Development Finance Authority, Hastings Filters Inc. Project, Rev., FRDO, 2.20%, 09/06/01 4,710 4,500 South Dakota Housing Development Authority, Ser. N-1, Regulation D, Rev., FRDO, 2.10%, 09/05/01 4,500 ------- 9,210 Tennessee -- 3.6% 8,000 Blount County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. A-1A, Rev., FRDO, AMBAC, 2.55%, 09/04/01 8,000 100 Blount County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. A-1D, Rev., FRDO, AMBAC, 2.55%, 09/04/01 100 10,000 Blount County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. A-2C, Rev., FRDO, 2.55%,09/04/01 10,000 800 Clarksville, Tennessee, Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 2.10%, 09/04/01 800 3,000 Jackson, Tennessee, Industrial Development Board, Solid Waste Disposal, Steel Corp. Project, FRDO, 2.20%, 09/06/01 3,000 5,980 Nashville & Davidson Counties, Tennessee, Metropolitan Government Water & Sewer, Ser. L-23, Regulation D, FRDO, 2.05%, 09/05/01 5,980 6,995 Nashville & Davidson Counties, Tennessee, Metropolitan Government, FLOATS, Ser. PT-394, Rev., FRDO, 2.13%, 09/06/01 6,995 2,700 Nashville & Davidson Counties, Tennessee, Metropolitan Government, Industrial Development Board, Country Music Hall of Fame, Rev., FRDO, 2.00%, 09/06/01 2,700
See notes to financial statements. 40 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Tennessee -- Continued $ 4,000 Nashville & Davidson Counties, Tennessee, Metropolitan Government, Industrial Development Board, Rev., FRDO, 2.15%, 09/06/01 $ 4,000 1,000 Nashville & Davidson Counties, Tennessee, Metropolitan Government, Water & Sewer, Rev., ^, 6.00%, 01/01/02 1,028 1,500 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, 2.05%, 09/06/01 1,500 2,500 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, 2.05%, 09/06/01 2,500 1,110 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, 2.05%, 09/06/01 1,110 6,800 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, 2.05%, 09/06/01 6,800 1,600 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, 2.05%, 09/06/01 1,600 2,500 Sevier County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, 2.05%, 09/06/01 2,500 3,400 Sevier County, Tennessee, Public Building Authority, Rev., FRDO, AMBAC, 2.05%, 09/06/01 3,400 5,465 Shelby County, Tennessee, Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 2.00%, 09/06/01 5,465 600 South Pittsburgh, Tennessee, Industrial Development Board, Lodge Manufacturing Co. Project, Rev., FRDO, 2.20%, 09/05/01 600 3,635 Tennessee Housing Development Agency, FLOATS, Ser. PA-726R, Rev., FRDO, 2.13%, 09/05/01 3,635 ------- 71,713 Texas -- 15.4% 735 Alamo, Texas, Independent School District, Pharr-San Juan, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 2.10%, 09/05/01 735 600 Austin, Texas, Higher Education Authority, Concordia University at Austin, Rev., FRDO, 2.50%, 09/04/01 600 1,000 Brazos River Authority, Texas, PCR, TXU Electric Co., Ser. C, Rev., FRDO, 2.10%, 09/05/01 1,000 5,000 Brazos River Authority, Texas, PCR, Utilities Electric Co., Ser. B, Rev., FRDO, 2.55%, 09/04/01 5,000 8,900 Brazos River, Texas, Habor Navigation District, Ser. A, Rev., FRDO, 2.65%, 09/04/01 8,900
See notes to financial statements. 41 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Texas -- Continued $ 4,990 Brazos River, Texas, PCR, FLOATS, Ser. PA-829, Rev., FRDO, 2.26%, 09/06/01 $ 4,990 4,700 Brazos River, Texas, PCR, Texas Utilities Electric Co., FLOATS, Ser. C, Rev., FRDO, MBIA, 2.60%, 09/06/01 4,700 5,600 Calhoun County, Texas, Naval IDA, British Petroleum Co., Rev., FRDO, 2.70%, 09/04/01 5,600 9,200 Carroll, Texas, Independent School District, GO, FRDO, 2.05%, 09/06/01 9,200 10,150 Clear Creek, Texas, Independent School District, FLOATS, Ser. PA-687, GO, FRDO, 2.08%, 09/06/01 10,150 5,000 Dallas-Fort Worth, Texas, International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 2.10%, 09/06/01 5,000 1,955 Dallas-Fort Worth, Texas, Regional Airport, Municipal Securities Trust Receipts, Ser. SGA-49, Rev., FRDO, 2.60%, 09/04/01 1,955 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, #, FRDO, 2.11%, 09/06/01 3,910 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, #, FRDO, 2.11%, 09/06/01 2,420 2,400 Grapevine, Texas, IDR, American Airlines, Ser. A2, Rev., FRDO, 2.50%, 09/06/01 2,400 3,000 Grapevine, Texas, IDR, American Airlines, Ser. B2, Rev., FRDO, 2.50%, 09/04/01 3,000 1,200 Grapevine, Texas, Industrial Development Corp., American Airlines, Ser. A-4, Rev., FRDO, 2.50%, 09/04/01 1,200 9,000 Greater East Texas, Higher Education Authority, Ser. A, Rev., FRDO, 3.25%, 11/01/01 9,000 5,000 Greater East Texas, Higher Education, Ser. B, Rev., FRDO, 3.45%, 02/01/02 5,000 10,000 Greater Texas, Student Loan Corp., Student Loan, Ser. A, Rev., 3.45%, 02/01/02 10,000 3,000 Guadalupe Blanco River Authority, Texas, Industrial Development Corp., IDR, The BOC Group Inc. Project, Rev., FRDO, 2.05%, 09/06/01 3,000 5,500 Gulf Coast Waste Disposal Authority, Texas, Environmental Facilities, Amoco Oil Co. Project, Rev., FRDO, 2.60%, 09/04/01 5,500 3,000 Gulf Coast, Texas, IDA, Citgo Petroleum Corp. Project, Rev., FRDO, 2.65%, 09/04/01 3,000 800 Gulf Coast, Texas, Waste Disposal Authority, Environmental Facilities, Exxon-Mobil Project, Ser. B, Rev., FRDO, 2.60%, 09/04/01 800 5,000 Harlandale, Texas, Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 2.10%, 09/05/01 5,000 7,500 Harris County, Texas, GO, 2.40%, 10/04/01 7,500
See notes to financial statements. 42 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Texas -- Continued $ 1,700 Harris County, Texas, IDC, Shell Oil Co. Project, FRDO, 2.50%, 09/04/01 $ 1,700 7,600 Hays, Texas, Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., 2.15%, 09/06/01 7,600 3,900 Keller, Texas, Independent School District, Ser. 111, GO, FRDO, 2.60%, 09/04/01 3,900 1,300 Lone Star, Texas, Apartment Improvement Authority, Multiple Mode, Ser. B-1, Rev., FRDO, 2.50%, 09/04/01 1,300 4,200 Longview, Texas, Industrial Corp., Collins Industries Inc. Project, Rev., FRDO, 2.25%, 09/06/01 4,200 3,900 Lower Neches Valley Authority, Texas, Industrial Development Corp., Exempt Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 2.50%, 09/04/01 3,900 5,290 Mission, Texas, Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 2.10%, 09/05/01 5,290 3,700 North Texas Higher Education Authority, Student Loan Revenue, Ser. A, Rev., FRDO, 2.10%, 09/19/01 3,700 8,000 North Texas Higher Education Authority, Student Loan Revenue, Ser. B, Rev., FRDO, 2.10%, 09/05/01 8,000 7,700 North Texas Higher Education Authority, Student Loan Revenue, Ser. C, Rev., FRDO, AMBAC, 2.10%, 09/05/01 7,700 1,400 North Texas Higher Education Authority, Student Loan Revenue, Ser. F, Rev., FRDO, 2.10%, 09/26/01 1,400 5,000 Northside, Texas, Independent School District, Ser. A, GO, FRDO, 3.00%, 02/28/01 5,018 1,000 Nueces County, Texas, Port Corpus Christi Authority, Solid Waste Disposal, Koch Refining Co. Project, FRDO, 2.05%, 09/05/01 1,000 800 Port Arthur Navigation District, Texas, American Petrofina Inc., Rev., FRDO, 2.45%, 09/04/01 800 7,190 San Angelo, Texas, Independent School District, GO, FRDO, 2.03%, 09/06/01 7,190 6,300 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, ^, 2.08%, 09/06/01 6,300 4,000 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRN, 2.10%, 09/05/01 4,001 4,400 San Antonio, Texas, Water Revenue, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 2.10%, 09/05/01 4,406 600 Schertz/Seguin, Texas, Local Government Corp., Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 2.60%, 09/04/01 600 15,000 South Texas Higher Education Authority, Rev., FRDO, MBIA, 2.10%, 09/05/01 15,000
See notes to financial statements. 43 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Texas -- Continued $ 3,030 Tarrant County, Texas, Housing Finance Corp, Multi-Family Housing, Remington Project, Rev., FRDO, 2.00%, 09/05/01 $ 3,030 1,100 Texas State, Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 2.10%, 09/05/01 1,100 5,690 Texas State, Department of Housing, Ser. A, 2.60%, 10/24/01 5,690 5,240 Texas State, Department of Housing, Ser. A, 2.60%, 10/26/01 5,240 3,000 Texas State, Municipal Securities Trust Receipts, Ser. SGA-92, GO, FRDO, MBIA, 2.60%, 09/04/01 3,000 25,000 Texas State, Ser. A, TRAN, GO, 3.75%, 08/29/02 25,310 9,970 Texas State, Ser. SG-152, GO, FRDO, 2.60%, 09/04/01 9,970 3,000 Texas State, Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, Rev., FRDO, 2.08%, 09/06/01 3,000 4,300 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 2.10%, 09/05/01 4,300 20,000 Texas State, Veterans Housing Fund II, Ser. A-2, GO, FRDO, 2.10%, 09/05/01 20,001 10,000 University of Texas, 2.40%, 12/31/01 10,000 3,600 West Side Calhoun County, Texas, Naval District, Sewer & Solid Waste Disposal, BP Chemicals Inc. Project, Rev., FRDO, 2.60%, 09/04/01 3,600 ------------ 306,806 Utah -- 1.7% 11,200 Utah State, Board Of Regents, Student Loans, Ser. Q, Rev., FRDO, AMBAC, 2.10%, 09/05/01 11,200 5,000 Utah State, Housing Finance Agency, Single Family Housing, Rev., FRDO, 2.05%, 09/04/01 5,000 7,500 Utah State, Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 2.05%, 09/05/01 7,500 5,000 Utah State, Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 2.05%, 09/05/01 5,000 5,000 Utah State, Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 2.05%, 09/05/01 5,000 ------------ 33,700 Vermont -- 0.4% 8,150 Vermont State, Economic Development, 2.60%, 10/23/01 8,150 Virginia-- 1.0% 8,000 Chesapeake, Virginia, Veterans Hospital Authority, Chesapeake General Hospital, Ser. A, Rev., FRDO, 2.00%, 09/05/01 8,000 9,985 Fairfax County, Virginia, FLOATS, Ser. PT-489, Rev., FRDO, AMBAC, 2.08%, 09/06/01 9,985
See notes to financial statements. 44 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued Virginia -- Continued $ 2,000 Harrisonburg, Virginia, Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 2.12%, 09/06/01 $ 2,000 ------------ 19,985 Washington -- 2.7% 1,500 Clark County, Washington, Public Utilities District, FRDO, 2.60%, 09/04/01 1,500 950 King County, Washington, Housing Authority, Auburn Court Apartments Project, Rev., FRDO, 2.30%, 09/06/01 950 2,290 King County, Washington, School District No. 414, Lake Washington, GO, 5.00%, 12/01/01 2,293 2,000 Port Townsend, Washington, Industrial Development, Port Townsend Paper Corp., Ser. A, Rev., FRDO, 2.15%, 09/06/01 2,000 725 Redmond, Washington, Public Corp., Industrial Revenue, Integrated Circuits Project, Rev., FRDO, 2.00%, 09/06/01 725 13,100 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 2.08%, 09/06/01 13,100 1,830 Seattle, Washington, GO, 4.50%, 07/01/02 1,856 1,235 Seattle, Washington, Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 2.05%, 09/06/01 1,235 5,755 Seattle, Washington, Municipal Light & Power, Municipal Securities Trust Receipts, Ser. SGA-96, Rev., FRDO, MBIA, 2.60%, 09/04/01 5,757 1,000 Seattle, Washington, Port Authority, Ser. B, Rev., 6.10%, 11/01/01 1,005 2,500 Snohomish County, Washington, Public Utility District No. 1, Ser. A, Rev. FRDO, FSA, 2.00%, 09/05/01 2,500 1,300 Washington State Housing Finance Commission, Educational Development, Rev. FRDO, 2.50%, 09/04/01 1,300 3,170 Washington State Housing Finance Commission, Single Family Housing, Rev., 3.25%, 04/01/02 3,170 2,900 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 2.10%, 09/06/01 2,900 6,030 Washington State Public Power Supply System, Nuclear Project No. 3, Ser. A, Rev., 5.00%, 07/01/02 6,144 7,495 Washington State Public Power Supply System, Ser. 261, Rev., FRDO, 2.26%, 09/06/01 7,523 ------------ 53,958 West Virginia -- 0.5% 4,600 West Virginia Economic Development, IDA, Rev., FRDO, 2.15%, 09/06/01 4,600
See notes to financial statements. 45 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued West Virginia -- Continued $ 5,765 West Virginia State Building Commission, Community Lease, FLOATS, Ser. PA-520, Rev., FRDO, 2.13%, 09/06/01 $ 5,765 ------------ 10,365 Wisconsin -- 2.1% 5,520 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 2.13%, 09/06/01 5,520 2,235 Janesville, Wisconsin, GO, FSA, 4.40%, 05/01/02 2,255 1,150 Milwaukee County, Wisconsin, Ser. A, GO, 4.50%, 10/01/01 1,150 5,000 Milwaukee, Wisconsin, Rev., GO, BAN, 3.50%, 08/29/02 5,050 14,455 Municipal Securities Trust Certificates, Ser. 1999-70, Class A, Rev., FRDO, 2.10%, 09/05/01 14,455 2,500 University of Wisconsin, Hospital & Clinics Authority, Rev., FRDO, 2.00%, 09/05/01 2,500 3,250 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 2.15%, 09/05/01 3,250 7,220 Wisconsin Public Power Inc. System, Power Supply System, Municipal Securities Trust Receipts, Ser. SGA-2, Rev., FRDO, 2.10%, 09/05/01 7,274 ------------ 41,454 Wyoming -- 2.5% 8,200 Campbell County, Wyoming, First Mortgage Housing Revenue, IDR, Rev. FRDO, 3.05%, 12/03/01 8,200 2,500 Lincoln County, Wyoming, PCR, Exxon Project, 2.45%, 09/04/01 2,500 900 Lincoln County, Wyoming, PCR, Exxon Project, Ser. C, Rev., FRDO, 2.60%, 09/04/01 900 1,100 Lincoln County, Wyoming, Pollution Control, Exxon Project, Ser. D, Rev., FRN, 2.45%, 09/04/01 1,100 15,100 Platte County, Wyoming, Tri-State Generation, PCR, Ser. A, Rev., FRDO, 2.55%, 09/04/01 15,100 5,000 Sublette County, Wyoming, PCR, Exxon Project, Ser. SG-152, Rev., FRDO, 2.60%, 09/04/01 5,000 2,200 Uinta County, Wyoming, PCR, Chevron U.S.A. Inc. Project, Rev., FRDO, 2.50%, 09/04/01 2,200 14,415 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., FRDO, 2.13%, 09/06/01 14,415 ------------ 49,415 ------------ Total Investments -- 100.0% $ 1,990,065 (Cost $1,990,065)* ------------
See notes to financial statements. 46 JPMorgan NEW YORK TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- 100.0% California -- 0.0% $ 300 Coronado, California, Community Development Agency, Coronado Community Development Project, Tax Allocation, ^, 6.30%, 09/04/01 $ 306 760 Oxnard, California, Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 2.00%, 09/05/01 760 ------------ 1,066 New York -- 98.9% 12,000 ABN AMRO Munitops, Certificates Trust, New York, Ser. 1999-13, #, FRDO, 1.95%, 09/05/01 12,000 2,460 Albany, New York, GO, BAN, 3.25%, 09/20/01 2,461 570 Albany, New York, IDA, IDR, Newkirk Productions Inc. Project, Ser. A, Rev., FRDO, 2.00%, 09/06/01 570 6,182 Allegany-Limestone, New York, Central School District, GO, BAN, 3.50%, 02/06/02 6,187 5,541 Andover, New York, Central School District, GO, BAN, 3.00%, 01/25/02 5,545 2,500 Arcade, New York, GO, BAN, 5.00%, 09/13/01 2,500 5,000 Auburn, New York, City School District, GO, BAN, 3.00%, 04/01/02 5,013 1,450 Babylon, New York, IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 1.95%, 09/05/01 1,450 10,905 Babylon, New York, IDA, Resource Recovery, OFS Equity Babylon Project, Rev., FRDO, 2.40%, 09/04/01 10,905 2,000 Bethpage, New York, Union Free School District, GO, BAN, 3.75%, 09/13/01 2,000 6,475 Bolivar-Richburg, New York, Central School District, GO, BAN, 3.75%, 04/19/02 6,495 1,500 Bolivar-Richburg, New York, Central School District, GO, BAN, 3.75%, 05/03/02 1,502 2,771 Brookhaven, New York, IDA, IDR, Waverly Association LLC, Rev., FRDO, 2.00%, 09/06/01 2,771 700 Broome County, New York, IDA, IDR, Binghamton Realty Project, Rev., FRDO, 1.85%, 09/05/01 700 2,300 Brunswick, New York, Central School District, GO, RAN, 3.38%, 03/28/02 2,302 48,040 Buffalo, New York, Ser. 2001/2002-A, GO, RAN, 3.60%, 06/27/02 48,155 2,630 Buffalo, New York, Ser. C, GO, FGIC, 4.00%, 12/03/01 2,636 2,300 Buffalo, New York, Sewer Authority, GO, BAN, 3.40%, 06/20/02 2,305 3,200 Candor, New York, Central School District, GO, BAN, 3.25%, 06/17/02 3,207 1,350 Cobleskill-Richmondville, New York, Central School District, GO, RAN, 3.13%, 06/27/02 1,353 565 Coram, New York, Fire District, GO, FSA, 4.25%, 04/15/02 568 2,800 Dutchess County, New York, IDA, Civic Facility, Marist College, Ser. A, Rev., FRDO, 1.80%, 09/07/01 2,800
See notes to financial statements. 47 PORTFOLIO OF INVESTMENTS (CONTINUED) As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 2,450 Dutchess County, New York, IDA, IDR, Laerdal Medical Corp. Project, Rev., FRDO, 2.00%, 09/05/01 $ 2,450 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.91%, 09/06/01 3,300 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.91%, 09/06/01 5,990 10,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 1.91%, 09/06/01 10,000 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 1.91%, 09/06/01 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 1.91%, 09/06/01 9,910 20,880 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 95-3202, Class A, FRDO, #, 1.91%, 09/06/01 20,881 18,900 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 95-3203, Class A, FRDO, #, 1.91%, 09/06/01 18,901 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 1.91%, 09/06/01 12,155 11,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3203, Class A, FRDO, #, 1.91%, 09/06/01 11,000 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 1.91%, 09/06/01 14,850 4,000 East Greenbush, New York, Ser. D, GO, BAN, 4.63%, 09/26/01 4,000 4,500 Eastport-South Manor, New York, Central School District, GO, TAN, 3.25%, 06/28/02 4,529 15,000 Edgemont, New York, Union Free School District of Greenburgh, GO, BAN, 3.00%, 09/12/02 15,075 2,700 Erie County, New York, Water Authority, Ser. A, Rev., FRDO, 1.75%, 09/05/01 2,700 1,400 Erie County, New York, Water Authority, Ser. B, Rev., FRDO, 1.75%, 09/05/01 1,400 2,500 Fabius-Pompey, New York, Central School District, GO, RAN, 3.00%, 06/28/02 2,504 5,800 Fairport, New York, Central School District, GO, RAN, 3.38%, 05/02/02 5,811 8,700 Gananda, New York, Central School District, GO, BAN, 3.40%, 01/30/02 8,704 6,956 Gananda, New York, Central School District, GO, BAN, 4.75%, 12/20/01 6,961 530 Glens Falls, New York, IDA, IDR, Broad Street Center Project, Rev., FRDO, 1.90%, 09/05/01 530 9,700 Gorham-Middlesex, New York, Central School District, GO, BAN, 3.25%, 01/25/02 9,712 1,000 Grand Central, New York, District Management Association, Capital Improvement, ^, 6.50%, 01/02/02 1,031 4,010 Great Neck North, New York, Water Authority, Water System, Ser. A, Rev., FRDO, 1.70%, 09/05/01 4,010 1,100 Guilderland, New York, IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 1.85%, 09/05/01 1,100
See notes to financial statements. 48 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 4,555 Hammondsport, New York, Central School District, GO, BAN, 3.00%, 06/20/02 $ 4,563 4,748 Honeoye, New York, Central School District, GO, BAN, 4.50%, 12/28/01 4,753 2,000 Islip, New York, IDA, IDR, Brentwood Distribution Co. Facility, Rev., FRDO, 2.00%, 09/07/01 2,000 2,000 Jamestown, New York, Community College Regional Board of Trustees, GO, RAN, 3.00%, 09/06/02 2,007 5,108 Jasper Troupsberg, New York, Central School District, GO, BAN, 3.00%, 06/18/02 5,115 5,000 Johnson City, New York, Central School District, GO, RAN, 3.25%, 06/28/02 5,016 8,000 Lakeland, New York, Central School District, Shrub Oak, Ser. A, GO, BAN, 4.75%, 11/21/01 8,006 5,000 Livonia, New York, Central School District, GO, BAN, 4.25%, 01/17/02 5,020 6,900 Malone, New York, Central School District, GO, BAN, 3.13%, 01/31/02 6,915 4,955 Margaretville, New York, Central School District, GO, BAN, 3.25%, 06/28/02 4,969 5,900 Marlboro, New York, Central School District, GO, BAN, 3.00%, 12/21/01 5,905 2,500 Marlboro, New York, Central School District, GO, TAN, 3.25%, 06/28/02 2,507 2,000 Mineola, New York, BAN, 4.75%, 12/14/01 2,011 2,751 Mineola, New York, BAN, 4.75%, 12/14/01 2,766 10,000 Monroe County, New York, IDA, Civic Facilities, St. Anns Home For Aged Project, Rev., FRDO, 1.70%, 09/05/01 10,000 1,400 Monroe County, New York, IDA, Public Improvements, Canal Ponds Park, Ser. D, Rev., FRDO, 1.90%, 09/05/01 1,400 1,700 Mount Morris, New York, Central School District, GO, RAN, 3.00%, 06/18/02 1,702 10,335 Municipal Securities Trust Certificates, Ser. 2000-109, Class A, Rev., FRDO, #, 2.60%, 09/04/01 10,335 17,500 Nassau County, New York, Interim Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-108, FRDO, 1.95%, 09/05/01 17,500 5,000 New York Board of Cooperative Educational Services, First Supervisory District, Rev., RAN, 3.13%, 06/28/02 5,015 2,500 New York Board of Cooperative Educational Services, Sole Supervisory District, GO, RAN, 3.25%, 06/21/02 2,504 4,600 New York Board of Cooperative Educational Services, Sole Supervisory District, GO, RAN, 3.25%, 06/28/02 4,611 5,000 New York Board of Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 3.25%, 09/07/01 5,000
See notes to financial statements. 49 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 9,950 New York Board of Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 4.50%, 12/28/01 $ 9,961 5,000 New York City, New York, Floating Rate Trust Certificates, Ser. L-29, Regulation D, GO, FRDO, 1.80%, 11/30/01 5,000 3,755 New York City, New York, FLOATS, Ser. PA-148, FRDO, 2.00%, 09/06/01 3,755 6,495 New York City, New York, FLOATS, Ser. PA-833, GO, FRDO, MBIA, IBC, 1.82%, 09/06/01 6,495 9,245 New York City, New York, FLOATS, Ser. PT-405, GO, FRDO, 1.82%, 09/06/01 9,245 4,730 New York City, New York, Health & Hospital Corp., Health Systems, Ser. B, Rev., FRDO, 1.85%, 09/05/01 4,730 6,160 New York City, New York, Health & Hospital Corp., Health Systems, Ser. E, Rev., FRDO, 1.80%, 09/05/01 6,160 7,255 New York City, New York, Health & Hospital Corp., Health Systems, Ser. F, Rev., FRDO, 1.85%, 09/05/01 7,255 3,400 New York City, New York, Housing Development Corp., Multi-Family Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 1.75%, 09/05/01 3,400 6,100 New York City, New York, Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 1.75%, 09/05/01 6,100 5,000 New York City, New York, Housing Development Corp., Multi-Family Housing, Broadway Development Corp., Rev., FRDO, 1.75%, 09/05/01 5,000 13,700 New York City, New York, Housing Development Corp., Multi-Family Housing, Carnegie Park, Ser. A, Rev., FRDO, 1.80%, 09/05/01 13,700 16,370 New York City, New York, Housing Development Corp., Multi-Family Housing, Columbus Apartments, Ser. A, Rev., FRDO, 1.80%, 09/05/01 16,370 3,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Columbus Green LLC, Ser. A, Rev., FRDO, 1.80%, 09/05/01 3,300 8,100 New York City, New York, Housing Development Corp., Multi-Family Housing, James Tower Development, Ser. A, Rev., FRDO, 1.80%, 09/05/01 8,100 17,500 New York City, New York, Housing Development Corp., Multi-Family Housing, Monterey, Ser. A, Rev., FRDO, 1.80%, 09/05/01 17,500 10,000 New York City, New York, Housing Development Corp., Multi-Family Housing, Rev., FRDO, 1.85%, 09/05/01 10,000 3,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Ser. A, Rev., FRDO, 1.75%, 09/05/01 3,300 7,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Ser. A, Rev., FRDO, 1.80%, 09/05/01 7,300
See notes to financial statements. 50 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 2,400 New York City, New York, Housing Development Corp., Multi-Family Housing, Ser. A, Rev., FRDO, 1.85%, 09/05/01 $ 2,400 2,040 New York City, New York, Housing Development Corp., Multi-Family Housing, Ser. B, Rev., 3.05%, 11/01/01 2,040 2,070 New York City, New York, Housing Development Corp., Multi-Family Housing, Ser. B, Rev., 3.05%, 05/01/02 2,070 1,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Sullivan Street Project, Ser. A, Rev., FRDO, 1.85%, 09/05/01 1,300 5,600 New York City, New York, Housing Development Corp., Multi-Family Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.85%, 09/05/01 5,600 2,900 New York City, New York, IDA, Civic Facilities, Calhoun School Inc. Project, Rev., FRDO, 1.80%, 09/07/01 2,900 2,250 New York City, New York, IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.90%, 09/06/01 2,250 4,730 New York City, New York, IDA, Civic Facilities, Jamaica First Pkg., LLC Project, Rev., FRDO, 1.80%, 09/06/01 4,730 7,500 New York City, New York, IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.90%, 09/05/01 7,507 3,200 New York City, New York, IDA, IDR, DXB Videotape Inc. Project, Rev., FRDO, 2.05%, 09/05/01 3,200 5,400 New York City, New York, IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.95%, 09/05/01 5,400 4,700 New York City, New York, Metro Transit Authority, GO, 2.20%, 11/08/01 4,700 10,900 New York City, New York, Metro Transit Authority, GO, 2.25%, 12/10/01 10,900 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, GO, FRDO, 1.82%, 09/06/01 1,300 5,525 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, 1.91%, 09/06/01 5,525 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 1.90%, 09/06/01 12,865 2,400 New York City, New York, Municipal Water Finance Authority, FLOATS, Ser. PA-523, Rev., FGIC, 1.78%, 09/06/01 2,401 15,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, 2.63%, 09/07/01 15,000 15,960 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, 1.80%, 09/05/01 15,960
See notes to financial statements. 51 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $14,995 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-454, Rev., FRDO, 1.78%, 09/06/01 $ 14,995 9,685 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 1.90%, 09/05/01 9,685 7,255 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 1.90%, 09/05/01 7,255 2,390 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, 1.91%, 09/06/01 2,390 29,300 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-26, Rev., FRDO, 1.91%, 09/06/01 29,301 3,700 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.91%, 09/06/01 3,700 4,400 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FGIC, FRDO, 2.40%, 09/04/01 4,400 3,040 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FGIC, FRDO, 2.40%, 09/04/01 3,040 4,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. F-1, Rev., FRDO, 2.40%, 09/04/01 4,000 17,300 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. G, Rev., FGIC, FRDO, 2.45%, 09/04/01 17,300 10,985 New York City, New York, Ser. B, Sub. Ser. B-6, GO, FRDO, 2.55%, 09/04/01 10,985 4,200 New York City, New York, Ser. B-1, Sub. Ser B-2, GO, FRDO, 2.40%, 09/04/01 4,200 5,285 New York City, New York, Ser. B-1, Sub. Ser. B-8, GO, FRDO, 1.75%, 09/05/01 5,285 400 New York City, New York, Ser. B-2, Sub. Ser. B-3, GO, FRDO, 2.40%, 09/04/01 400 5,700 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, 2.55%, 09/04/01 5,700 4,000 New York City, New York, Ser. F, GO, ^, 6.10%, 02/15/02 4,050 2,095 New York City, New York, Ser. F-4, GO, FRDO, 1.75%, 09/05/01 2,095 16,050 New York City, New York, Ser. F-5, GO, FRDO, 1.75%, 09/05/01 16,050
See notes to financial statements. 52 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 4,500 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 2.55%, 09/04/01 $ 4,500 1,200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 2.45%, 09/04/01 1,200 5,900 New York City, New York, Ser. H, Sub Ser. H-4, GO, FRDO, AMBAC, 1.85%, 09/05/01 5,900 1,900 New York City, New York, Sub. Ser. A-5, GO, FRDO, 2.40%, 09/04/01 1,900 3,300 New York City, New York, Sub. Ser. E-4, GO, FRDO, 2.50%, 09/04/01 3,300 4,600 New York City, New York, Sub. Ser. E-6, GO, FRDO, 2.45%, 09/04/01 4,608 9,995 New York City, New York, Transitional Finance Authority, FLOATS, Ser. PA-830, Rev., FRDO, 1.78%, 09/06/01 9,995 7,215 New York City, New York, Transitional Finance Authority, FLOATS, Ser. PA-831, Rev., FRDO, 1.78%, 09/06/01 7,217 9,610 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 1.70%, 09/05/01 9,610 1,940 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A-1, Rev., FRDO, 1.70%, 09/05/01 1,940 20,400 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 1.75%, 09/05/01 20,400 1,700 New York City, New York, Transitional Finance Authority, Future Tax Secured, Sub. Ser. B-2, Rev., FRDO, 2.55%, 09/04/01 1,700 2,710 New York City, New York, Transitional Finance Authority, Future Tax Secured, Sub. Ser. B-3, Rev., FRDO, 1.70%, 09/05/01 2,710 17,300 New York City, New York, Transitional Finance Authority, Future Tax, Ser. C, FRDO, 1.85%, 09/05/01 17,300 4,900 New York City, New York, Transitional Finance Authority, Metropolitan Transportation Authority, Triborough, Floating Rate Trust Receipts, Ser. PMD-10, COP, FRDO, 2.01%, 09/06/01 4,900 4,165 New York City, New York, Trust Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, 1.75%, 09/05/01 4,165 2,672 New York City, New York, Trust Cultural Resources, Carnegie Hall, Rev., FRDO, 2.00%, 09/05/01 2,672 1,600 New York City, New York, Trust Cultural Resources, Ser. 162, Rev., FRDO, 1.89%, 09/06/01 1,601 11,000 New York Metropolitan Transportation Authority, 2.60%, 09/27/01 11,000 5,665 New York Mortgage Agency, FLOATS, Ser. PA-870, Rev., FRDO, 1.86%, 09/06/01 5,665
See notes to financial statements. 53 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 8,865 New York State, Commissioner of General Services Executive Department, COP, 4.00%, 03/01/02 $ 8,893 5,000 New York State, Dorm Authority, Beaverwyck Inc., Rev., FRDO, 1.85%, 09/05/01 5,000 9,645 New York State, Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, 1.78%, 09/06/01 9,645 13,770 New York State, Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.78%, 09/06/01 13,770 6,995 New York State, Dorm Authority, FLOATS, Ser. PA-434, Rev., FRDO, FSA, 1.78%, 09/06/01 6,995 3,545 New York State, Dorm Authority, FLOATS, Ser. PA-449, Rev., FRDO, 1.78%, 09/06/01 3,545 9,340 New York State, Dorm Authority, FLOATS, Ser. PA-541, Rev., FRDO, 1.78%, 09/06/01 9,340 3,000 New York State, Dorm Authority, FLOATS, Ser. PA-640, Rev., FRDO, 1.78%, 009/06/01 3,000 9,825 New York State, Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA, IBC, 1.78%, 09/06/01 9,825 970 New York State, Dorm Authority, FLOATS, Ser. PT-130, Rev., FRDO, 1.78%, 09/06/01 970 5,645 New York State, Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, 1.80%, 09/05/01 5,645 6,600 New York State, Dorm Authority, New York Public Library, Ser. B, Rev., FRDO, 1.80%, 09/05/01 6,600 900 New York State, Dorm Authority, Oxford University Press Inc., Rev., FRDO, 2.45%, 09/05/01 900 2,000 New York State, Dorm Authority, Ser. SGA-132, Rev., FRDO, 1.90%, 09/05/01 2,001 1,140 New York State, Dorm Authority, Siena College, MBIA, 4.25%, 07/01/02 1,155 8,345 New York State, Energy Research & Development Authority, Facilities, FLOATS, Ser. PA-411, Rev., FRDO, 1.78%, 09/06/01 8,345 3,500 New York State, Energy Research & Development Authority, PCR, New York Electric & Gas, Ser. B, Rev., FRDO, 2.45%, 09/04/01 3,500 7,760 New York State, Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp. Project, Ser. A, Rev., FRDO, 2.45%, 09/04/01 7,760 1,600 New York State, Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp. Project, Ser. A, Rev., FRDO, 2.55%, 09/04/01 1,600 11,800 New York State, Energy Research & Development Authority, PCR, Orange & Rockland Utilities Project, Ser. A, Rev., FRDO, 1.75%, 09/05/01 11,800 10,100 New York State, Energy Research & Development Authority, PCR, Orange & Rockland Utilities Project, Ser. A, Rev., FRDO, 1.75%, 09/05/01 10,100 3,500 New York State, Energy Research & Development Authority, PCR, Rochester Gas & Electric Corp., Ser. B, Rev., FRDO, 1.70%, 09/05/01 3,500
See notes to financial statements. 54 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 5,800 New York State, Energy Research & Development Authority, PCR, Rochester Gas & Electric Corp., Ser. C, Rev., MBIA, FRDO, 1.75%, 09/05/01 $ 5,800 1,200 New York State, Environmental Facilities Corp., OFS Equity Huntington Project, Rev., FRDO, 2.55%, 09/04/01 1,200 9,995 New York State, Environmental Facilities Corp., PCR, FLOATS, Ser. PA-500R, Rev., FRDO, 1.78%, 09/06/01 9,995 10,625 New York State, Environmental Facilities Corp., PCR, FLOATS, Ser. PA-853, Rev., FRDO, 1.78%, 09/06/01 10,625 5,300 New York State, Environmental Facilities Corp., Solid Waste Disposal, General Electric Capital Corp., Ser. A, Rev., FRDO, 4.55%, 11/30/01 5,320 2,500 New York State, General Services Dept., COP, 4.25%, 09/04/01 2,500 19,200 New York State, Housing Finance Agency, 101 West End Ave. Housing, Ser. A, Rev., FRDO, 1.90%, 09/05/01 19,200 9,150 New York State, Housing Finance Agency, 101 West End Ave. Housing, Ser. A, Rev., FRDO, 1.90%, 09/05/01 9,150 8,700 New York State, Housing Finance Agency, 101 West End Ave. Housing, Ser. A, Rev., FRDO, 1.90%, 09/05/01 8,700 11,000 New York State, Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 1.90%, 09/05/01 11,000 2,300 New York State, Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.80%, 09/05/01 2,300 5,100 New York State, Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.80%, 09/05/01 5,100 1,850 New York State, Housing Finance Agency, 363 West 30th Street Housing, Ser. A, Rev., FRDO, 1.80% 09/05/01 1,850 2,495 New York State, Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 1.98%, 09/06/01 2,495 8,820 New York State, Housing Finance Agency, FLOATS, Ser. PA-423, Rev., FRDO, 1.86%, 09/06/01 8,820 8,200 New York State, Housing Finance Agency, Multi-Family Housing, Liberty View, Ser. A, Rev., FRDO, 1.80%, 09/05/01 8,200 4,600 New York State, Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.75%, 09/05/01 4,600 3,300 New York State, Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 2.00%, 09/05/01 3,300
See notes to financial statements. 55 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 9,770 New York State, Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 1.70%, 09/05/01 $ 9,770 5,100 New York State, Housing Finance Agency, Residential, Ser. A, Rev., FRDO, 2.00%, 09/05/01 5,100 13,800 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.85%, 09/05/01 13,800 9,200 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.85%, 09/05/01 9,200 29,000 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.75%, 09/05/01 29,000 7,000 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.80%, 09/05/01 7,000 8,400 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.85%, 09/05/01 8,400 17,000 New York State, Housing Finance Agency, Ser. A, Rev., FRDO, 1.85%, 09/05/01 17,000 4,000 New York State, Housing Finance Agency, Ser. A-150, Rev., FRDO, 1.90%, 09/05/01 4,000 7,000 New York State, Housing Finance Agency, Ser. A-66, Rev., FRDO, 1.80%, 09/05/01 7,000 3,400 New York State, Housing Finance Agency, Ser. A-W-2, Rev., FRDO, 1.75%, 09/05/01 3,400 16,000 New York State, Housing Finance Agency, Ser. A-W-2, Rev., FRDO, 1.80%, 09/05/01 16,000 6,080 New York State, Housing Finance Agency, FLOATS, Ser. PA-805, FRDO, FSA, 1.78%, 09/06/01 6,080 2,500 New York State, Housing Financing Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 2.35%, 09/05/01 2,500 2,000 New York State, Housing Finance Agency, Service Contract Obligation, Ser. A, Rev., FRDO, 1.70%, 09/05/01 2,000 10,000 New York State, Housing Finance Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 1.85%, 09/05/01 10,000 21,900 New York State, Housing Finance Agency, Tribeca, Ser. A, Rev., FRDO, 1.85%, 09/05/01 21,900 4,200 New York State, Housing Finance Agency, Union Square South Housing, Rev., FRDO, 1.85%, 09/05/01 4,200 10,000 New York State, Housing Finance Agency, Worth Street Housing, Ser. A, Rev., FRDO, 1.85%, 09/05/01 10,000 5,940 New York State, Job Development Authority, Ser. A-1 through A-42, Rev., FRDO, 2.40%, 09/04/01 5,940 7,790 New York State, Job Development Authority, Ser. B-1 through B-21, Rev., FRDO, 2.40%, 09/04/01 7,790 5,800 New York State, Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, 1.78%, 09/06/01 5,800 14,925 New York State, Local Government Assistance Corp., FLOATS, Ser. PT-410, Rev., FRDO, 1.78%, 09/06/01 14,925 5,100 New York State, Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 2.60%, 09/04/01 5,100
See notes to financial statements. 56 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $35,800 New York State, Local Government Assistance Corp., Ser. A, Rev., FRDO, 1.70%, 09/05/01 $ 35,800 26,400 New York State, Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.80%, 09/05/01 26,400 12,740 New York State, Local Government Assistance Corp., Ser. C, Rev., FRDO, 1.75%, 09/05/01 12,740 5,000 New York State, Local Government Assistance Corp., Ser. D, Rev., FRDO, 1.70%, 09/05/01 5,000 5,000 New York State, Local Government Assistance Corp., Ser. D, Rev., ^, 6.75%, 04/01/02 5,202 18,800 New York State, Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.75%, 09/05/01 18,800 9,700 New York State, Medical Care Facilities, Finance Corp., Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.78%, 09/06/01 9,700 5,920 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PA-408, Rev., FRDO, 1.78%, 09/06/01 5,920 12,125 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PA-72, Rev., FRDO, 1.78%, 09/06/01 12,125 6,140 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PA-82, Rev., FRDO, 1.86%, 09/06/01 6,164 8,045 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PT-100, Rev., FRDO, 1.78%, 09/06/01 8,045 4,090 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PT-109, Rev., FRDO, 1.78%, 09/06/01 4,090 6,165 New York State, Medical Care Facilities, Finance Agency, FLOATS, Ser. PT-17, Rev., FRDO, 1.78%, 09/06/01 6,165 10,730 New York State, Mortgage Agency, FLOATS, Ser. PA-657, Rev., FRDO, 1.78%, 09/06/01 10,730 5,125 New York State, Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 1.78%, 09/06/01 5,125 2,265 New York State, Mortgage Agency, FLOATS, Ser. PT-217, Rev., FRDO, 1.84%, 09/06/01 2,265 7,745 New York State, Mortgage Agency, FLOATS, Ser. PT-322, Rev., FRDO, 3.40%, 09/06/01 7,745 6,700 New York State, Ser. A, GO, FRDO, 3.20%, 02/07/02 6,700 53,305 New York State, Thruway Authority, Floating Rate Receipts, Ser. SGA-119, FRDO, 2.60%, 09/04/01 53,305 11,415 New York State, Thruway Authority, FLOATS, Ser. PA-532, Rev., FRDO, 1.78%, 09/06/01 11,415 1,030 New York State, Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 1.90%, 09/05/01 1,030 1,300 New York State, Thruway Authority, Rev., FRDO, 2.50%, 09/04/01 1,300
See notes to financial statements. 57 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 5,785 New York State, Thruway Authority Highway & Bridge, Ser. A, Rev., 4.00%, 04/01/02 $ 5,811 10,400 New York State, Urban Development Corporation, FLOATS, Ser. SG-150, Rev. FRDO, MBIA, 1.78%, 09/06/01 10,400 8,780 New York, Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, Rev., FRDO, 1.82%, 09/06/01 8,780 4,700 New York, Long Island Power Authority, Electric Systems, Sub. Ser. 2-C, Rev., FRDO, 2.40%, 09/04/01 4,700 5,000 New York, Long Island Power Authority, Electric Systems, Sub. Ser. 3-B, Rev., FRDO, 2.40%, 09/04/01 5,000 6,920 New York, Long Island Power Authority, Electric Systems, Sub. Ser. 7, Sub. Ser. 7-A, Rev., FRDO, +, 1.70%, 09/05/01 6,920 2,000 New York, Long Island Power Authority, Electric Systems, Sub. Ser. 7, Sub. Ser. 7-B, Rev., FRDO, 1.80%, 09/05/01 2,000 4,360 New York, Long Island, Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 1.82%, 09/06/01 4,360 28,400 New York, Metropolitan Transportation Authority, Transportation Facilities, Ser. 98-B, 2.55%, 09/06/01 28,400 6,815 New York, Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PA-683, Rev., FRDO, 1.78%, 09/06/01 6,815 9,425 New York, Metropolitan Transportation Authority, Dedicated Tax Fund, Municipal Securities Trust Receipts, Ser. SGA-81, Rev., FRDO, 1.90%, 09/05/01 9,425 8,985 New York, Metropolitan Transportation Authority, Municipal Securities Trust Receipts, Ser. SGA-82, Rev., FRDO, 1.90%, 09/05/01 8,985 2,000 New York, Metropolitan Transportation Authority, Transportation Facilities, Special Obligation, Ser. CP-1, BAN, 2.55%, 09/12/01 2,000 14,900 New York, Metropolitan Transportation Authority, Transportation Facilities, Special Obligation, Ser. CP-1, BAN, 2.60%, 09/12/01 14,900 15,000 New York, Metropolitan Transportation Authority, Transportation Facilities, Special Obligations, Ser. CP-1, BAN, 2.50%, 09/06/01 15,000 4,995 New York, Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., FRDO, 1.82%, 09/06/01 4,995 20,000 New York, Triborough Bridge & Tunnel Authority, Floating Rate Certificates, Ser. N-17, Regulation D, Rev., FRDO, 1.80%, 09/05/01 20,000 55,100 New York, Triborough Bridge & Tunnel Authority, ` Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, 1.80%, 09/05/01 55,100 4,115 New York, Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, 1.78%, 09/06/01 4,115
See notes to financial statements. 58 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 4,200 New York, Triborough Bridge & Tunnel Authority, FLOATS, Ser. SG-41, Rev., FRDO, 1.78%, 09/06/01 $ 4,200 38,380 New York, Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, 1.80%, 09/06/01 38,380 3,000 New York, Triborough Bridge & Tunnel Authority, Rev., ^, AMBAC, 6.25%, 01/02/02 3,078 10,000 New York, Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, 1.75%, 09/05/01 10,000 14,100 New York, Triborough Bridge & Tunnel Authority, Special Obligation, Ser. C, Rev., FRDO, 1.75%, 09/05/01 14,100 6,100 New York, Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, 1.75%, 09/05/01 6,100 15,000 Newburgh, New York, City School District, GO, RAN, 3.38%, 04/10/02 15,017 4,995 Niagara Falls, New York, Bridge Commission, FLOATS, Ser. PA-530, Rev., FRDO, 1.78%, 09/06/01 4,995 10,300 Niagara Falls, New York, Bridge Commission, Ser. A, Rev., FRDO, 1.75%, 09/05/01 10,300 3,375 Norwich, New York, Ser. A, GO, BAN, 3.50%, 03/28/02 3,382 8,273 Odessa-Montour, New York, Central School District, GO, BAN, 3.00%, 02/28/02 8,281 3,175 Oneida County, New York, IDA, Rev., FRDO, 2.00%, 09/06/01 3,175 4,400 Oneonta, New York, City School District, GO, RAN, 3.00%, 06/21/02 4,407 10,000 Onondaga County, New York, IDA, Solid Waste Disposal Facilities, Solvay Paperboard Project, Ser. A, Rev., FRDO, 4.25%, 12/20/01 10,000 5,000 Oyster Bay, New York, Ser. D, GO, BAN, 3.25%, 08/23/02 5,028 7,000 Oyster Bay, New York, Ser. D, GO, BAN, 3.50%, 08/23/02 7,056 4,048 Oyster Bay, New York, Ser. E, GO, BAN, 3.25%, 08/23/02 4,071 8,000 Oyster Bay, New York, Ser. A, BAN, 3.75%, 01/25/02 8,008 5,000 Oyster Bay, New York, Ser. B, GO, BAN, 3.50%, 04/26/02 5,003 16,825 Oyster Bay, New York, Ser. B, GO, BAN, 4.00%, 04/26/02 16,907 4,710 Oyster Bay, New York, Ser. C, GO, BAN, 4.00%, 04/26/02 4,733 1,179 Pamelia, New York, Sewer District No. 3, GO, BAN, 3.13%, 06/19/02 1,182 2,065 Pamelia, New York, Water District No. 5, GO, BAN, 3.13%, 06/19/02 2,070 8,000 Phelps-Clifton Springs, New York, Central School District, GO, BAN, 4.60%, 12/19/01 8,002
See notes to financial statements. 59 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 3,430 Port Authority of New York & New Jersey, FLOATS, Ser. PA-810, Rev., FRDO, MBIA, 1.84%, 09/06/01 $ 3,430 1,245 Port Jervis, New York, IDA, The Future Home Tech Inc., Rev., FRDO, 2.15%, 09/05/01 1,245 6,360 Poughkeepsie, New York, IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.90%, 09/06/01 6,360 12,658 Riverhead, New York, Central School District, 4th Ser., GO, BAN, 4.50%, 10/02/01 12,659 2,900 Riverhead, New York, Central School District, GO, BAN, 5.00%, 10/02/01 2,901 19,000 Riverhead, New York, Central School District, GO, TAN, 3.13%, 06/21/02 19,042 725 Rockland County, New York, IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.90%, 09/07/01 725 2,120 Rockland County, New York, IDA, Shock Technical Inc. Project, Rev., FRDO, 2.00%, 09/05/01 2,120 10,000 Rome, New York, City School District, GO, RAN, 3.50%, 06/28/02 10,024 515 Rondout Valley, New York, Central School District, Accord, GO, FSA, 4.25%, 03/01/02 517 7,550 Roosevelt, New York, Union Free School District, GO, RAN, 4.25%, 06/27/02 7,612 477 Sag Harbor, New York, Union Free School District, GO, FSA, 4.60%, 10/15/01 478 21,710 Schenectady, New York, City School District, GO, BAN, 3.30%, 06/28/02 21,736 6,000 Schenectady, New York, City School District, GO, RAN, 3.50%, 06/28/02 6,010 5,077 Scio, New York, Central School District, GO, BAN, 3.38%, 05/03/02 5,084 5,000 Shenendehowa, New York, Central School District, GO, RAN, 3.00%, 06/21/02 5,004 2,500 Solvay, New York, Union Free School District, GO, BAN, 3.25%, 06/27/02 2,508 2,000 Southeast, New York, IDA, IDR, Unilock New York Inc. Project, Rev., FRDO, 2.20%, 09/05/01 2,000 1,700 St. Lawrence County, New York, IDA, PCR, Reynolds Metals, Rev., FRDO, 2.40%, 09/04/01 1,700 1,700 Starpoint, New York, Central School District, GO, RAN, 3.13%, 10/01/01 1,700 9,840 Steuben-Allegany Counties, New York, Board Cooperative Educational Services, Sole Supervisory District, GO, RAN, 3.00%, 06/28/02 9,854 4,000 Suffolk County, New York, IDA, Civic Facilities, Guide Dog Foundation Inc., Rev., FRDO, 1.80%, 09/06/01 4,000 1,000 Suffolk County, New York, Rev., TAN, 4.75%, 09/10/01 1,000 10,000 Suffolk County, New York, Water Authority, Rev., BAN, FRDO, 1.85%, 09/05/01 10,000
See notes to financial statements. 60 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued New York -- Continued $ 2,700 Suffolk County, New York, Water Authority, Rev., FRDO, BAN, 1.85%, 09/05/01 $ 2,700 7,400 Sullivan County, New York, GO, BAN, 3.25%, 09/14/01 7,400 7,100 Syracuse, New York, Ser. A, GO, BAN, 3.38%, 05/10/02 7,113 5,500 Tompkins-Seneca-Tioga, New York, Board Of Cooperative Educational Services, GO, RAN, 3.50%, 06/28/02 5,518 85,900 Tsasc, Inc., New York, FLOATS, Ser. PA-797, Rev., FRDO, 2.11%, 09/06/01 85,906 10,000 Utica, New York, City School District, GO, RAN, 3.50%, 06/26/02 10,022 2,663 Utica, New York, City School District, Ser. A, GO, BAN, 3.75%, 02/15/02 2,666 6,000 VRDC/IVRC Trust, Tax Exempt, Ser. 93-C, Rev., #, FRDO, 2.05%, 09/05/01 6,000 3,878 Wayland-Cohocton, New York, Central School District, GO, BAN, 3.25%, 01/25/02 3,883 2,000 Westchester County, New York, Board Of Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 3.13%, 06/27/02 2,007 4,050 Westchester County, New York, IDA, Civic Facility, Northern Westchester Hospital, Rev., FRDO, 1.80%, 09/05/01 4,050 4,860 Westchester County, New York, IDA, Community Housing Innovations, Inc., Rev., FRDO, 1.80%, 09/06/01 4,860 8,000 Westchester County, New York, IDA, Levester Redevelopment Agency, FRDO, 2.05%, 09/07/01 8,000 4,750 Westfield, New York, Central School District, GO, RAN, 3.25%, 06/27/02 4,756 5,000 Yates County, New York, GO, BAN, 3.00%, 04/11/02 5,013 --------- 2,399,686 Puerto Rico -- 1.1% 9,625 Puerto Rico Commonwealth, 2.20%, 09/10/01 9,625 400 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.66%, 09/06/01 400 15,695 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA, 1.86%, 09/06/01 15,695 --------- 25,720 -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,426,472 (Cost $2,426,472)*
See notes to financial statements. 61 JPMorgan CALIFORNIA TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- 100% California -- 90.3% $ 800 Alameda-Contra Costa, California, School Financing Authority, Capital Improvements Financing Projects, Ser. I, COP, FRDO, 1.70%, 09/06/01 $ 800 345 Anaheim, California, Electric, Rev., 4.50%, 10/01/01 345 2,000 Anaheim, California, Housing Authority, Multi-Family Housing, Fountains of Anaheim Hills, Ser. A, Rev., FRDO, 4.95%, 02/15/33 2,019 150 California Educational Facilities Authority, FLOATS, Ser. PA-542, Rev., FRDO, 1.71%, 09/06/01 150 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 1.85%, 09/05/01 500 100 California Educational Facilities Authority, University of Southern California, Rev., 4.90%, 10/01/01 100 1,700 California Housing Finance Agency, FLOATS, Ser. PA-539R, Rev., FRDO, 1.71%, 09/06/01 1,700 1,500 California Housing Finance Agency, Home Mortgage, Ser. I, Rev., 2.95%, 06/14/02 1,500 1,000 California Housing Finance Agency, Home Mortgage, Ser. P, Rev., 2.67%, 08/01/02 1,000 1,000 California Housing Finance Agency, Home Mortgage, Ser. W, Rev., 3.90%, 10/01/01 1,000 100 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.85%, 09/05/01 100 1,000 California Housing Finance Agency, Ser. II-R-44, Rev., FRDO, 1.96%, 09/06/01 1,000 1,610 California Infrastructure & Economic Development, IDR, Pleasant Mattress Inc. Project, Ser. A, Rev., FRDO, 2.00%, 09/05/01 1,610 100 California PCFA, PCR, Shell Oil Co. Project, Ser. A, Rev., FRDO, 2.30%, 09/04/01 100 600 California PCFA, PCR, Shell Oil Co. Project, Ser. B, Rev., FRDO, 2.30%, 09/04/01 600 100 California PCFA, Solid Waste Disposal, Gilton Solid Waste Management, Ser. A, Rev., FRDO, 1.95%, 09/06/01 100 500 California School Cash Reserve Program Authority, Ser. A, Rev, AMBAC, 4.00%, 07/03/02 505 1,000 California State, Department of Water Resources, Center Valley Project, Floating Rate Trust Receipts, Ser. K-1, Regulation D, Rev., FRDO, 1.90%, 09/05/01 1,000 400 California State, Department of Water Resources, Ser. L-8, Reg. D, Rev. FRDO, FSA, 1.80%, 09/05/01 400 300 California State, Economic Development Financing Authority, Airport Facilities, Mercury Air Group, Rev., FRDO, 1.95%, 09/06/01 300 2,000 California State, Economic Development Financing Authority, IDR, Provena Foods Inc. Project, Rev., FRDO, 2.05%, 09/05/01 2,000
See notes to financial statements. 62 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued California -- Continued $1,300 California State, Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 2.00%, 09/05/01 $ 1,300 300 California State, Economic Development Financing Authority, IDR, Volk Enterprises Inc. Project, Rev., FRDO, 1.95%, 09/06/01 300 2,000 California State, Floating Rate Receipts, Ser. SG-85, FRDO, 1.79%, 09/06/01 2,000 3,900 California State, Floating Rate Receipts, Ser. SG-89, GO, FRDO, MBIA-IBC, 2.50%, 09/05/01 3,900 4,940 California State, Municipal Securities Trust Certificates, Ser. 1998-47, Class A, Rev., FRDO, #, 1.80%, 09/05/01 4,940 1,000 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, 1.85%, 09/05/01 1,000 2,800 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, 1.85%, 09/05/01 2,800 200 California State, Public Works Board Lease, Department of Corrections, State Prisons, Ser. A, Rev., 5.00%, 12/01/01 201 500 California State, Public Works Board Lease, Ser. A, Rev., 6.00%, 09/04/01 500 1,980 California State, Ser. L, Class A, 1.79%, 09/06/01 1,980 2,400 California Statewide Communities Development Authority, Ser. N-6, Regulation D, Rev., FRDO, 2.00%, 09/05/01 2,400 600 California, Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 1.90%, 09/05/01 600 655 Chula Vista, California, Ser. A, COP, 4.25%, 09/04/01 655 245 Citrus Heights, California, Water District, COP, 4.00%, 10/01/01 245 200 Contra Costa County, California, Ser. A, GO, TRAN, 5.25%, 10/01/01 200 200 Coronado, California, Community Development Project, Tax Allocation, FSA, 4.60%, 09/04/01 200 1,000 El Cajon, California, Redevelopment Agency, Tax Allocation, ^, AMBAC, 6.60%, 10/01/01 1,023 500 Fairfield, California, GO, TRAN, 5.25%, 09/28/01 501 600 Irvine Ranch, California, Water District, No. 105, 140, 240 & 250, Rev., FRDO, 2.35%, 04/01/33 600 200 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 89-10, Special Assessment, FRDO, 2.35%, 09/04/01 200 48 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 2.35%, 09/04/01 48 1,200 Livermore, California, Multi-Family Housing, Park, Ser. A, Rev., FRDO, 1.85%, 09/05/01 1,200 2,000 Los Angeles County, California, Metropolitan Transportation Authority, Floating Rate Receipts, Ser. SG-54, Rev., FRDO, 1.71%, 09/06/01 2,000
See notes to financial statements. 63 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued California -- Continued $2,000 Los Angeles County, California, Metropolitan Transportation Authority, Floating Rate Receipts, Ser. SG-55, Rev., FRDO, 1.71%, 09/06/01 $ 2,000 100 Los Angeles County, California, Metropolitan Transportation Authority, Proposition C, Second Ser., Ser. A, Rev., FRDO, 1.90%, 09/06/01 100 400 Los Angeles County, California, Public Works Financing Authority, Regulation Park & Open Space District, Ser. A, Rev., 5.00%, 10/01/01 400 1,000 Los Angeles, California, Community College District, Ser. II-R-71, GO, COP, FRDO, MBIA, 2.68%, 06/20/02 1,004 220 Los Angeles, California, Community Redevelopment Agency, Community Redevelopment Financing Authority, Pooled Financing, Monterey, Ser. E, Rev., 4.50%, 09/04/01 220 300 Los Angeles, California, Community Redevelopment Agency, Tax Allocation, Ser. C, ^, MBIA, 6.45%, 12/01/02 309 300 Los Angeles, California, Department of Power and Waterworks, Sub Ser. B-4, Rev., 1.70%, 09/06/01 300 590 Los Angeles, California, Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 1.80%, 09/04/01 590 485 Milpitas, California, Public Financing Authority, COP, 4.13%, 11/01/01 485 1,000 Modesto, California, Community Center Refinancing Project, COP, ^, AMBAC, 6.50%, 11/01/01 1,026 500 Mojave, California, Water Improvement, Morongo Basin, GO, ^, MBIA, 6.95%, 09/04/01 510 1,000 Monrovia, California, Unified School District, Municipal Securities Trust Receipt, Ser. SGA-70, Rev., FRDO, 1.80%, 09/05/01 1,000 1,000 Oakland-Alameda County, California, Coliseum Authority, Coliseum Project, Ser. C-1, Rev., FRDO, 1.50%, 09/05/01 1,000 100 Ontario, California, Redevelopment Agency, IDR, Safariland Project, Rev., FRDO, 2.00%, 09/05/01 100 300 Ontario, California, Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub. Ser. B, Rev., FRDO, 1.90%, 09/05/01 300 949 Orange County, California, Apartment Development, Niguel Summit 2, Ser. B, Rev., FRDO, 1.90%, 09/04/01 949 700 Orange County, California, Apartment Development, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.85%, 09/06/01 700 500 Orange County, California, Ser. A, COP, FRDO, 2.35%, 09/04/01 500 1,500 Oxnard, California, Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 2.00%, 09/05/01 1,500
See notes to financial statements. 64 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued California -- Continued $ 965 Palm Springs, California, Unified School District, GO, FSA, 2.75%, 02/01/02 $ 965 1,000 Pleasant Hill, California, Redevelopment Agency Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 2.00%, 09/05/01 1,000 390 Pomona, California, Public Financing Authority, Merged Redevelopment Project, Ser. AD, Tax Allocation, MBIA, 4.00%, 02/01/02 391 900 Riverside County, California, Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 1.90%, 11/07/01 900 500 Riverside County, California, Capital Project, Ser. A, COP, ^, 6.13%, 11/01/01 512 500 Riverside County, California, Riverside County Public Facilities, Ser. C, COP, FRDO, 1.80%, 09/04/01 500 220 Rosemead, California, School District, Ser. 2000-A, GO, MBIA, 8.00%, 02/01/02 224 100 Sacramento, California, City Financing Authority, Rev., ^, 6.80%, 11/01/01 103 235 Sacramento, California, Municipal Utilities District, Ser. D, Rev., FSA, 4.90%, 11/15/01 236 200 San Bernardino County, California, Housing Authority, Multi-Family Housing, Victoria Terrace Project, Ser. A, Rev., FRDO, 2.00%, 09/04/01 200 85 San Bernardino County, California, IDA, Aqua-Service, Rev., FRDO, 1.95%, 09/05/01 85 80 San Bernardino County, California, IDA, Master Halco Inc., Ser. II, Rev., FRDO, 2.00%, 09/04/01 80 400 San Diego, California, Housing Authority, Multi-Family Housing Project, Nobel Court LTD, Rev., FRDO, 1.85%, 09/06/01 400 300 San Diego, California, Multi-Family Housing, Issue A, Rev., FRDO, 1.85%, 09/06/01 300 100 San Francisco, California, City and County, Ser. 1, GO, FGIC, 4.10%, 06/15/02 101 390 San Francisco, California, State Building Authority Lease, Civic Center Complex, Ser. A, Rev., 4.30%, 12/01/01 391 2,000 San Gabriel Valley, California, 2.65%, 11/09/01 2,000 500 San Leandro, California, Multi-Family Housing, FNMA Agreement, Rev., FRDO, 1.85%, 09/05/01 500 500 Santa Ana, California, Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 1.90%, 09/06/01 500 650 Santa Ana, California, Unified School District, COP, FRDO, 1.70%, 09/05/01 650 625 Santa Clara County-El Camino, California, Hospital District, Hospital Facilities Authority, ACES, Lease, Valley Medical Center Project, Ser. B, Rev., FRDO, 1.90%, 09/04/01 625
See notes to financial statements. 65 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE Municipal Securities -- Continued California -- Continued $ 490 Santa Cruz County, California, Redevelopment Agency, Live Oak/Soquel Project, Tax Allocation, 4.25%, 09/04/01 $ 490 1,000 Santa Rosa, California, Elementary School District, GO, TRAN, 3.50%, 09/05/02 1,011 1,000 Sonoma Valley, California, Unified School District, GO, TRAN, 3.25%, 09/05/02 1,008 1,000 South Coast, California, Local Education Agencies, Rev., TRAN, 3.25%, 06/28/02 1,005 200 Southern California Metropolitan Water District, Ser. A-1, GO, 5.00%, 03/01/02 202 500 Southern California Metropolitan Water District, Waterworks, Ser. B, GO, 3.00%, 03/01/02 500 425 Upland, California, Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 1.80%, 09/06/01 425 140 Ventura, California, Unified School District, Ser. 1997-E, GO, MBIA, 6.50%, 08/01/02 145 1,500 West Contra Costa, California, Unified School District, GO, TRAN, 3.25%, 08/21/02 1,512 130 Westminster, California, Redevelopment Agency Project No. 1, Tax Allocation, ^, 6.20%, 08/01/02 137 ------------ 75,713 Puerto Rico -- 9.7% 250 Puerto Rico Commonwealth, FLOATS, Ser. PA-472, ` Rev., FRDO, 1.66%, 09/06/01 250 1,000 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, 1.66%, 09/06/01 1,000 700 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.66%, 09/06/01 700 1,000 Puerto Rico Commonwealth, Tax Exempt Promissory Note, 2.15%, 09/13/01 1,000 2,500 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.76%, 09/06/01 2,501 1,722 Puerto Rico Government Development Bank, 3.00%, 09/12/01 1,722 1,000 Puerto Rico Government Development Bank, 3.00%, 09/21/01 1,000 ------------ 8,173 -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 83,886 (Cost $83,886)*
See notes to financial statements. 66 JPMORGAN MONEY MARKET FUNDS PORTFOLIO OF INVESTMENTS (CONTINUED) INDEX: * -- The cost of securities is substantially the same for federal income tax purposes. # -- Security may only be sold to qualified institutional buyers. ^ -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Notes. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. Eagles -- Earnings of accrual generated on local exempt securities. FGIC -- Financial Guaranty Insurance Corp. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at August 31, 2001. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at August 31, 2001. FSA -- Financial Securities Assistance. GAN -- Grant Anticipation Note. GIC -- Guaranteed Investment Contract. GO -- General Obligation. IDA -- Industrial Development Authority. IDC -- Industrial Development Corp. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCFA -- Pollution Control Financing Authority. PCR -- Pollution Control Revenue. RAN -- Revenue Anticipation Notes. Rev. -- Revenue Bond. Ser. -- Series. SUB -- Step-Up Bond. The maturity date shown is the call date. The interest rate shown is the rate in effect at August 31, 2001. TAN -- Tax Anticipation Notes. TRAN -- Tax & Revenue Anticipation Notes. See notes to financial statements. 67 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES As of August 31, 2001 (Amounts in Thousands, Except Per Share Amounts)
100% U.S. TREASURY U.S. TREASURY SECURITIES GOVERNMENT PLUS MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND ASSETS: Investment securities, at value $5,335,751 $9,168,095 $2,887,184 Cash 1 1 -- Receivables: Interest 1,074 18,366 4,486 Fund shares sold 26,431 35,917 28,383 -------------------------------------------------------------------------------- Total Assets 5,363,257 9,222,379 2,920,053 -------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased -- -- 49,925 Dividends 13,826 25,507 7,020 Fund shares redeemed 15,855 21,352 24,344 Deferred trustee compensation 829 1,518 569 Accrued liabilities: Investment advisory fees 448 754 220 Administration fees 336 377 132 Shareholder servicing fees 1,259 1,725 385 Distribution fees 78 219 111 Custody fees 119 119 27 Other 699 842 61 -------------------------------------------------------------------------------- Total Liabilities 33,449 52,413 82,794 -------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,329,230 9,169,943 2,837,362 Accumulated distributions in excess of net investment income (98) (8) (59) Accumulated net realized gain (loss) on investments 676 31 (44) -------------------------------------------------------------------------------- Net Assets $5,329,808 $9,169,966 $2,837,259 -------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) Vista Shares 4,026,797 4,150,093 1,567,203 Premier Shares 132,891 1,251,196 326,195 Institutional Shares 1,169,599 3,768,707 944,045 Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 $ 1.00 -------------------------------------------------------------------------------- Cost of Investments $5,335,751 $9,168,095 $2,887,184 --------------------------------------------------------------------------------
See notes to financial statements. 68 STATEMENT OF ASSETS AND LIABILITIES As of August 31, 2001 (Amounts in Thousands, Except Per Share Amounts)
FEDERAL PRIME TAX FREE MONEY MONEY MONEY MARKET MARKET MARKET FUND II FUND II FUND ASSETS: Investment securities, at value $2,003,738 $29,178,683 $1,990,065 Cash -- 9,080 943 Receivables: Investment securities sold 99,822 888 30 Interest 4,459 106,521 11,502 Fund shares sold 4,726 469,348 5,228 Expense reimbursement from Distributor 8 -- 8 -------------------------------------------------------------------------------- Total Assets 2,112,753 29,764,520 2,007,776 -------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased -- -- 56,344 Dividends 6,234 87,737 3,476 Fund shares redeemed 2,181 379,400 3,450 Deferred trustee compensation 239 3,099 315 Accrued liabilities: Investment advisory fees 179 2,547 166 Administration fees 179 2,292 166 Shareholder servicing fees 270 4,179 207 Distribution fees 56 9 76 Custody fees 61 440 58 Other 419 1,861 60 -------------------------------------------------------------------------------- Total Liabilities 9,818 481,564 64,318 -------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,102,907 29,282,186 1,944,153 Accumulated distributions in excess of net investment income (94) (146) (38) Accumulated net realized gain (loss) on investments 122 916 (657) -------------------------------------------------------------------------------- Net Assets $2,102,935 $29,282,956 $1,943,458 -------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) Vista Shares 658,322 10,366,531 907,292 Premier Shares 275,085 2,153,934 115,581 Institutional Shares 1,168,491 16,734,588 921,305 Reserve Shares 1,001 10,001 1 B Shares -- 17,746 -- C Shares -- 303 -- Net Asset Value, offering and redemption price per share (all classes) * $ 1.00 $ 1.00 $ 1.00 -------------------------------------------------------------------------------- Cost of Investments $2,003,738 $29,178,683 $1,990,065 --------------------------------------------------------------------------------
* Redemption price for Class B and C Shares may be reduced by contigent deferred sales charge. See notes to financial statements. 69 STATEMENT OF ASSETS AND LIABILITIES As of August 31, 2001 (Amounts in Thousands, Except Per Share Amounts)
NEW YORK CALIFORNIA TAX FREE TAX FREE MONEY MONEY MARKET MARKET FUND FUND ASSETS: Investment securities, at value $2,426,472 $83,886 Cash -- 114 Receivables: Investment securities sold 30,000 401 Fund shares sold 9,183 57 Interest 13,326 537 Expense reimbursement from Distributor 8 -- -------------------------------------------------------------------------------- Total Assets 2,478,989 84,995 -------------------------------------------------------------------------------- LIABILITIES: Payables: To Custodian 233 -- Investment securities purchased 28,181 2,019 Dividends 3,585 131 Fund shares redeemed 6,532 -- Deferred trustee compensation 311 13 Accrued liabilities: Investment advisory fees 206 7 Administration Fees 103 4 Shareholder servicing fees 720 7 Distribution fees 82 7 Custody fees 59 16 Other 247 36 -------------------------------------------------------------------------------- Total Liabilities 40,259 2,240 -------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,438,714 82,773 Accumulated undistributed/ (distributions in excess of) net investment income 16 (3) Accumulated net realized loss on investments -- (15) -------------------------------------------------------------------------------- Net Assets $2,438,730 $82,755 -------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) Vista Shares 2,438,815 82,774 Reserve Shares 1 -- Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 -------------------------------------------------------------------------------- Cost of Investments $2,426,472 $83,886 --------------------------------------------------------------------------------
See notes to financial statements. 70 STATEMENT OF OPERATIONS For the year ended August 31, 2001 (Amounts in Thousands)
100% U.S. TREASURY U.S. TREASURY SECURITIES GOVERNMENT PLUS MONEY MONEY MONEY MARKET MARKET MARKET FUND FUND FUND ----------------------------------------------------------------------------------- INTEREST INCOME: $276,334 $441,964 $135,613 ----------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 5,353 8,216 2,583 Administration fees 5,353 8,216 2,583 Shareholder servicing fees -- Vista Shares 13,742 13,786 4,852 Shareholder servicing fees -- Premier Shares 329 2,874 722 Shareholder servicing fees -- Institutional Shares 1,295 3,128 908 Distribution fees -- Vista Shares 3,926 3,939 1,386 Distribution fees -- Premier Shares -- 1,150 -- Custodian fees 411 502 165 Printing and postage 35 30 13 Professional fees 101 105 67 Registration expenses 960 553 642 Transfer agent fees -- Vista Shares 666 475 170 Transfer agent fees -- Premier Shares 39 95 39 Transfer agent fees -- Institutional Shares 63 46 45 Trustees' fees 738 1,291 466 Other 95 198 148 ----------------------------------------------------------------------------------- Total expenses 33,106 44,604 14,789 ----------------------------------------------------------------------------------- Less amounts waived 5,546 7,024 2,653 Less earnings credits 9 76 30 Less expense reimbursements 516 952 358 ----------------------------------------------------------------------------------- Net expenses 27,035 36,552 11,748 ----------------------------------------------------------------------------------- Net investment income 249,299 405,412 123,865 ----------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on on investment transactions 2,293 252 (8) ----------------------------------------------------------------------------------- Net increase in net assets from operations $251,592 $405,664 $123,857 -----------------------------------------------------------------------------------
See notes to financial statements. 71 STATEMENT OF OPERATIONS For the year ended August 31, 2001 (Amounts in Thousands)
FEDERAL PRIME TAX FREE MONEY MONEY MONEY MARKET MARKET MARKET FUND II FUND II FUND ------------------------------------------------------------------------------------------ INTEREST INCOME: $94,624 $1,452,311 $67,142 ------------------------------------------------------------------------------------------ EXPENSES: Investment advisory fees 1,767 26,821 1,842 Administration fees 1,767 26,821 1,842 Shareholder servicing fees -- Vista Shares 2,231 31,039 3,224 Shareholder servicing fees -- Premier Shares 728 5,275 269 Shareholder servicing fees -- Institutional Shares 838 15,826 814 Shareholder servicing fees -- Reserve Shares -- 6 -- Shareholder servicing fees -- B Shares -- 36 -- Shareholder servicing fees -- C Shares -- 1 -- Distribution fees -- Vista Shares 637 -- 921 Distribution fees -- Reserve Shares -- 5 -- Distribution fees -- B Shares -- 108 -- Distribution fees -- C Shares -- 1 -- Custodian fees 190 1,602 256 Printing and postage 14 158 23 Professional fees 46 307 40 Registration expenses 108 1,365 276 Transfer agent fees -- Vista Shares 354 2,115 112 Transfer agent fees -- Premier Shares 38 164 24 Transfer agent fees -- Institutional Shares 47 135 41 Transfer agent fees -- Reserve Shares 19 20 19 Transfer agent fees -- B Shares -- 3 -- Trustees' fees 219 2,987 274 Other -- 2,379 181 ------------------------------------------------------------------------------------------ Total expenses 9,003 117,174 10,158 ------------------------------------------------------------------------------------------ Less amounts waived 760 12,018 1,736 Less earnings credits 21 132 106 Less expense reimbursements 167 1,912 217 ------------------------------------------------------------------------------------------ Net expenses 8,055 103,112 8,099 ------------------------------------------------------------------------------------------ Net investment income 86,569 1,349,199 59,043 ------------------------------------------------------------------------------------------ REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on on investment transactions 184 1,067 (203) ------------------------------------------------------------------------------------------ Net increase in net assets from operations $86,753 $1,350,266 $58,840 ------------------------------------------------------------------------------------------
See notes to financial statements. 72 STATEMENT OF OPERATIONS For the year ended August 31, 2001 (Amounts in Thousands)
NEW YORK CALIFORNIA TAX FREE TAX FREE MONEY MONEY MARKET MARKET FUND FUND ------------------------------------------------------------------------------------------ INTEREST INCOME: $74,165 $2,871 ------------------------------------------------------------------------------------------ EXPENSES: Investment advisory fees 2,136 89 Administration fees 2,136 89 Shareholder servicing fees -- Vista Shares 7,477 311 Distribution fees -- Vista Shares 2,136 89 Custodian fees 253 72 Printing and postage 8 1 Professional fees 43 31 Registration expenses 169 8 Transfer agent fees -- Vista Shares 351 22 Transfer agent fees -- Reserve Shares 19 -- Trustees' fees 281 12 Other 201 12 ------------------------------------------------------------------------------------------ Total expenses 15,210 736 ------------------------------------------------------------------------------------------ Less amounts waived 2,350 233 Less earnings credits 51 6 Less expense reimbursements 213 8 ------------------------------------------------------------------------------------------ Net expenses 12,596 489 ------------------------------------------------------------------------------------------ Net investment income 61,569 2,382 ------------------------------------------------------------------------------------------ REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on on investment transactions 4 (3) ------------------------------------------------------------------------------------------ Net increase in net assets from operations $61,573 $2,379 ------------------------------------------------------------------------------------------
See notes to financial statements. 73 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT TREASURY PLUS MONEY MARKET MONEY MARKET MONEY MARKET FUND FUND FUND --------------------- -------------------- --------------------- YEAR ENDED YEAR ENDED YEAR ENDED AUGUST 31, AUGUST 31, AUGUST 31, --------------------- -------------------- --------------------- 2001 2000 2001 2000 2001 2000 ------------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 249,299 $ 214,942 $ 405,412 $ 400,842 $ 123,865 $ 142,715 Net realized gain (loss) on investments 2,293 183 252 25 (8) 7 ------------------------------------------------------------------------------------------------------------------------------------ Increase in net assets from operations 251,592 215,125 405,664 400,867 123,857 142,722 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (249,278) (214,925) (405,413) (400,848) (123,864) (142,713) Net realized gain on investment transactions (1,627) (200) (201) -- (42) (62) ------------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders (250,905) (215,125) (405,614) (400,848) (123,906) (142,775) ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) from capital share transactions 806,510 291,140 1,999,342 (202,496) 338,383 (690,943) ------------------------------------------------------------------------------------------------------------------------------------ Total increase (decrease) in net assets 807,197 291,140 1,999,392 (202,477) 338,334 (690,996) NET ASSETS: Beginning of period 4,522,611 4,231,471 7,170,574 7,373,051 2,498,925 3,189,921 ------------------------------------------------------------------------------------------------------------------------------------ End of period $5,329,808 $4,522,611 $9,169,966 $7,170,574 $2,837,259 $2,498,925 ------------------------------------------------------------------------------------------------------------------------------------ Accumulated distributions in excess of net investment income $ (98) $ (119) $ (8) $ (7) $ (59) $ (60) ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 74 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
FEDERAL PRIME TAX FREE MONEY MARKET MONEY MARKET MONEY MARKET FUND II FUND II FUND ------------------------- ------------------------ -------------------- YEAR ENDED YEAR ENDED YEAR ENDED AUGUST 31, AUGUST 31, AUGUST 31, ------------------------- ------------------------ -------------------- 2001 2000 2001 2000 2001 2000 ------------------------------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 86,569 $ 60,450 $ 1,349,199 $ 615,937 $ 59,043 $ 54,183 Net realized gain (loss) on investments 184 (24) 1,067 (60) (203) (60) Change in net unrealized appreciation of investments -- -- -- 3,884 -- -- ------------------------------------------------------------------------------------------------------------------------------------ Increase in net assets from operations 86,753 60,426 1,350,266 619,761 58,840 54,123 ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (86,615) (60,450) (1,349,240) (615,944) (59,104) (54,097) Net realized gain on investment transactions (30) -- (89) (121) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders (86,645) (60,450) (1,349,329) (616,065) (59,104) (54,097) ------------------------------------------------------------------------------------------------------------------------------------ Net increase from capital share transactions 960,673 45,691 16,524,717 2,947,065 289,058 294,372 ------------------------------------------------------------------------------------------------------------------------------------ Total increase in net assets 960,781 45,667 16,525,654 2,950,761 288,794 294,398 NET ASSETS: Beginning of period 1,142,154 1,096,487 12,757,302 9,806,541 1,654,664 1,360,266 ------------------------------------------------------------------------------------------------------------------------------------ End of period $2,102,935 $1,142,154 $29,282,956 $12,757,302 $1,943,458 $1,654,664 ------------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed/(distributions in excess of) net investment income $ (94) $ (48) $ (146) $ (131) $ (38) $ 23 ------------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 75 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
NEW YORK TAX FREE CALIFORNIA TAX FREE MONEY MARKET MONEY MARKET FUND FUND --------------------------- ------------------------ YEAR ENDED YEAR ENDED AUGUST 31, AUGUST 31, --------------------------- ------------------------ 2001 2000 2001 2000 ------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 61,569 $ 53,819 $ 2,382 $ 1,912 Net realized gain (loss) on investments 4 60 (3) -- ------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 61,573 53,879 2,379 1,912 ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (61,588) (53,800) (2,382) (1,912) Net realized gain on investment transactions (27) -- -- -- ------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (61,615) (53,800) (2,382) (1,912) ------------------------------------------------------------------------------------------------------------------- Net increase from capital share transactions 607,560 326,622 5,239 9,879 ------------------------------------------------------------------------------------------------------------------- Total increase in net assets 607,518 326,701 5,236 9,879 NET ASSETS: Beginning of period 1,831,212 1,504,511 77,519 67,640 ------------------------------------------------------------------------------------------------------------------- End of period $2,438,730 $1,831,212 $82,755 $77,519 ------------------------------------------------------------------------------------------------------------------- Accumulated undistributed/(distributions in excess of) net investment income $ 16 $ 60 $ (3) $ (3) -------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 76 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Mutual Fund Trust (the "Trust") was organized as a Massachusetts business trust, and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end, management investment company. Effective February 21, 2001, the following eight separate portfolios of the Trust (collectively, the "Funds") were renamed with the approval of the Board of Trustees of the Trust:
NEW NAME OLD NAME ------------------------------------------------------------------------------------------------------ JPMorgan 100% U.S. Treasury Securities Money Chase Vista 100% U.S. Treasury Securities Market Fund ("USTS") Money Market Fund JPMorgan U.S. Government Money Market Fund Chase Vista U.S. Government Money Market ("USG") Fund JPMorgan Treasury Plus Money Market Fund ("TP") Chase Vista Treasury Plus Money Market Fund JPMorgan Federal Money Market Fund II ("FED") Chase Vista Federal Money Market Fund JPMorgan Prime Money Market Fund II ("PRM") Chase Vista Prime Money Market Fund JPMorgan Tax Free Money Market Fund ("TF") Chase Vista Tax Free Money Market Fund JPMorgan New York Tax Free Money Market Fund Chase Vista New York Tax Free Money ("NYTF") Market Fund JPMorgan California Tax Free Money Market Fund Chase Vista California Tax Free Money ("CTF") Market Fund
As of August 31, 2001, the Funds offer various classes of shares as follows: FUND CLASSES OFFERED ------------------------------------------------------------- USTS Vista, Premier, Institutional USG Vista, Premier, Institutional TP Vista, Premier, Institutional FED Vista, Premier, Institutional, Reserve PRM Vista, Premier, Institutional, Reserve, B Shares, C Shares TF Vista, Premier, Institutional, Reserve NYTF Vista, Reserve CTF Vista All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing expenses and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreement. THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized cost which approximates market value. The 77 Trust's use of amortized cost is subject to the Trust's compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act. B. REPURCHASE AND REVERSE REPURCHASE AGREEMENTS -- It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank, subcustodian or a bank in which the custodian bank has entered into a subcustodian agreement or is segregated in the Federal Reserve Book Entry System. If the seller of a repurchase agreement defaults and the value of the collateral declines, or if the seller enters into an insolvency proceeding, realization of the collateral may be delayed or limited. At all times that a reverse repurchase agreement is outstanding, the Fund segregates assets with a value at least equal to its obligation under the agreement. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities. The Fund's use of the proceeds of the reverse repurchase agreement may also effectively be restricted pending such decisions. During the year ended August 31, 2001, PRM entered into two reverse repurchase agreements totaling $98,760,000 at 6.55%. Interest expense totaled $53,907, which is included in Other expenses on the Statement of Operations. The agreements, which matured September 25, 2000, were collateralized by Federal Home Loan Bank notes with a par value totaling $100,000,000, due November 24, 2000 and December 8, 2000, respectively. C. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for as of the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued adjusted for amortization of premiums and accretion of discounts. D. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net income, including net realized gain on investments. In addition, the Fund intends to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. E. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from generally accepted accounting principles. To the extent these "book/tax" 78 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 income tax-basis treatment. Dividends and distributions which exceed net investment income or net realized capital gains for financial reporting purposes but not for tax purposes are reported as distributions in excess of net investment income or net realized capital gains. F. INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses are allocated proportionately among each of the Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses (e.g. transfer agent fees), are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. 2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Each Trust has entered into a separate Investment Advisory Agreements, pursuant to which J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM" or "Adviser") (formerly Chase Fleming Asset Management (USA) Inc. and Chase Asset Management Inc.) acts as the investment adviser to the Funds. JPMFAM is a direct wholly-owned subsidiary of J.P. Morgan Chase & Co. As investment adviser, JPMFAM supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.10% of the average daily net assets for each respective Fund. Prior to February 22, 2001, The Chase Manhattan Bank ("Chase"), also a direct wholly owned subsidiary of J.P. Morgan Chase & Co., acted as the investment advisor to each Fund and JPMFAM acted as the investment sub-adviser to each Fund. Pursuant to a Sub-Advisory Agreement between Chase and JPMFAM for each fund other than TF, JPMFAM was entitled to receive a fee, payable by Chase from its advisory fee, at an annual rate equal to 0.03% of each Fund's average daily net assets. B. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, Chase (the "Administrator") provides certain administration services and facilities to each Fund at a fee accrued daily and paid monthly at the annual rate equal to 0.05% of the respective Fund's average daily net assets. The Administrator voluntarily waived fees as outlined in Note 2.E. below. The Trustees have approved an increase in the Funds' administration fee. Effective September 10, 2001, the administration fee payable to Chase will be increased to 0.10% of average daily net 79 assets for complex wide money market fund assets up to $100 billion and 0.05% on assets in excess of $100 billion. C. DISTRIBUTION AND SUB-ADMINISTRATIONS FEES -- Pursuant to a Distribution and Sub-Administration Agreement, J.P. Morgan Fund Distributors, Inc. (the "Distributor") (formerly Vista Fund Distributors, Inc.), a wholly-owned subsidiary of The BISYS Group, Inc., acts as the Trust's exclusive underwriter and promotes and arranges for the sale of each Fund's shares. In addition, the Distributor provides certain sub-administration services to the Trust, including providing officers, clerical staff and office space for an annual fee accrued daily and paid monthly of 0.05% of the average daily net assets of each Fund through September 9, 2001. Effective September 10, 2001, BISYS Fund Services, L.P. ("BISYS") has been named as the Funds' Sub-Administrator. For its services as Sub-Administrator, BISYS will receive a portion of the fees payable to Chase as Administrator. The Trustees have adopted plans of distribution under the 1940 Act for the Premier Shares of USG (the "Premier Plan"), for the Vista Shares of each Fund (the "Vista Plan") except for PRM, for the Reserve Shares of FED, PRM, TF and NYTF (the "Reserve Plan") and for the B Shares and C Shares of PRM (the "B Plan" and "C Plan", respectively). There are no distribution plans for the Institutional Shares. The Premier, Vista, Reserve, B and C Share Plans pay the Distributor a distribution fee. The fee is accrued daily and paid monthly at an annual rate of: 0.10% of the average daily net assets of the Vista Class of each Fund (except PRM), 0.10% of the average daily net assets of the USG Premier Class, 0.30% of the average daily net assets of the Reserve Class of FED, PRM, TF and NYTF, and 0.75% of the average daily net assets of the B Shares and C Shares of PRM. The Distributor voluntarily waived fees as outlined in Note 2.E. below. D. SHAREHOLDER AND FUND SERVICING FEES -- The Trust adopted Administrative Service Plans which, among other things, provide that the Trust on behalf of the Funds may obtain the services of one or more Shareholder Servicing Agents. For its services, each Shareholder Servicing Agent receives a fee. The fee is accrued daily and paid monthly at an annual rate of 0.35% of the average daily net assets of the Vista and Reserve Classes, 0.25% of the average daily net assets of the Premier, B Share and C Share Classes, and 0.10% of the average daily net assets of the Institutional Class of each Fund. Chase and certain of its affiliates are the only Shareholder Servicing Agents. The Shareholder Servicing Agents have voluntarily waived fees as outlined in Note 2.E. below. 80 E. WAIVER OF FEES -- For the year ended August 31, 2001, the Funds' vendors voluntarily waived fees for each of the Funds as follows (amounts in thousands):
SHAREHOLDER ADMINISTRATION SERVICING DISTRIBUTION ------------------------------------------------------------------------------------ USTS $1,812 $ 711 $3,023 USG 3,986 801 2,237 TP 1,033 1,620 -- FED -- 759 1 PRM 2,682 9,331 5 TF -- 1,736 -- NYTF 1,068 -- 1,282 CTF 4 188 41
F. OTHER -- Certain officers of the Trust are officers of the Distributor or of its parent corporation, BISYS. Effective July 30, 2001, The Bank of New York provides portfolio accounting and custody services to the Funds. Prior to July 30, 2001, Chase provided similar services and was compensated from September 1, 2000 to July 29, 2001 as follows (in thousands): USTS $ 372 USG 378 TP 117 FED 154 PRM 1,307 TF 138 NYTF 180 CTF 59
Custodian fees were subject to reduction by earning credits earned by each Fund, based on cash balances held by Chase as custodian. Such earnings credits are presented separately in the Statement of Operations. The Funds could have invested the cash balances utilized in connection with the earnings credit arrangements in income producing assets if they had not entered into such arrangements. The Distributor voluntarily reimbursed expenses for each of the Funds as follows (amounts in thousands): FED $19 PRM 11 TF 19 NYTF 19
81 3. FEDERAL INCOME TAX MATTERS At August 31, 2001, the following Funds have capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders.
EXPIRATION FUND AMOUNT DATE -------------------------------------------------------------------------------- TP $ 35,980 Aug. 31, 2009 TF 336,447 Aug. 31, 2002 29,205 Aug. 31, 2003 812 Aug. 31, 2004 28,042 Aug. 31, 2006 198,416 Aug. 31, 2009 ------- 592,922 CTF 8,932 Aug. 31, 2004 652 Aug. 31, 2005 903 Aug. 31, 2006 ------- 10,487
During the year ended August 31, 2001, USG, FED, NYTF and CTF utilized capital loss carryforwards of $19,463, $6,078, $1,760 and $2,103, respectively. Capital losses incurred after October 31, within a Fund's fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The following Funds have incurred the following post-October realized losses.
FUND AMOUNT -------------------------------------------------------- TP $ 8,127 TF 64,934 CTF 5,103
4. CONCENTRATION OF CREDIT RISK As of August 31, 2001, PRM invested 32.1% of its total investments in securities issued by institutions in the financial services industry including banks, broker dealers and insurance companies. General economic conditions, as well as exposure to credit losses arising from possible financial difficulties of borrowers, play an important role in the operation of the financial services industry. TF, NYTF and CTF invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities, with NYTF primarily investing in issuers in the State of New York, and CTF primarily investing in issuers in the State of California. As of August 31, 2001, TF invested 15.2% of its net assets in issuers in the State of Texas. The issuers' abilities to meet their obligations may be affected by economic or political developments in a specific state or region. 82 5. TRUSTEE COMPENSATION The Funds adopted an unfunded noncontributory defined benefit pension plan covering all independent trustees of the Funds who will have served as an independent trustee for at least five years at the time of retirement. Benefits under this plan are based on compensation and years of service. Pension expenses for the period from September 1, 2000 to May 15, 2001, included in Trustees Fees in the Statement of Operations, were as follows (in thousands):
PENSION FUND EXPENSES -------------------------------------------------------- USTS $ 69 USG 107 TP 37 FED 20 PRM 289 TF 24 NYTF 25 CTF 1
On February 22, 2001, the Board of Trustees voted to terminate the Plan, effective May 15, 2001, and in furtherance of this determination agreed to pay Trustees an amount equal, in the aggregate, to $10.95 million, of which $5.3 million had been previously accrued by the Chase Vista Funds. The remaining $5.65 million was reimbursed by Chase on May 16, 2001. Certain of the trustees have elected to defer receipt of such amount pursuant to a deferred compensation plan. The amount of the Chase reimbursement, included in the Trustees' Fees and expense reimbursements in the Statement of Operations, and the amounts rolled into the deferred compensation plan are listed below (in thousands):
DEFERRED CHASE COMPENSATION FUND NAME REIMBURSEMENT ROLLOVER -------------------------------------------------------------------------------- USTS $ 516 $ 829 USG 952 1,518 TP 358 569 FED 148 239 PRM 1,901 3,099 TF 198 315 NYTF 194 311 CTF 8 13
6. REORGANIZATIONS On October 20, 2000, PRM acquired all the net assets of Chase Vista Cash Management Fund (CM) pursuant to a Reorganization Plan approved by CM shareholders on October 5, 2000. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CM received shares in PRM with a value equal to their holdings in CM. Holders of Vista Class Shares in CM received Vista Class Shares in PRM, holders of Premier Class Shares in CM received Premier Class Shares in PRM and holders of Institutional Class Shares in CM received Institutional Class Shares in PRM. 83 The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization:
AFTER BEFORE REORGANIZATION REORGANIZATION --------------------------------- ---------------- CM PRM PRM --------------- --------------- ---------------- Vista Shares Shares 6,780,303,378 2,020,776,873 8,801,080,251 Net Assets $ 6,779,513,682 $ 2,017,127,824 $ 8,796,641,506 Net Asset Value $1.00 $1.00 $1.00 Premier Shares Shares 383,299,637 1,852,607,948 2,235,907,585 Net Assets $ 383,301,511 $ 1,852,650,154 $ 2,235,951,665 Net Asset Value $1.00 $1.00 $1.00 Institutional Shares Shares 3,333,130,912 9,511,943,317 12,845,074,229 Net Assets $ 3,332,909,551 $ 9,515,447,112 $12,848,356,663 Net Asset Value $1.00 $1.00 $1.00 Reserve Shares Shares 1,211 1,211 Net Assets $ 1,211 $ 1,211 Net Asset Value $1.00 $1.00 B Shares Shares 20,765,128 20,765,128 Net Assets $ 20,763,172 $ 20,763,172 Net Asset Value $1.00 $1.00 C Shares Shares 139,800 139,800 Net Assets $ 139,808 $ 139,808 Net Asset Value $1.00 $1.00
On February 16, 2001, PRM acquired all the net assets of Chase Money Market Fund (CMMF) pursuant to a Reorganization Plan approved by CMMF shareholders on January 26, 2001. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CMMF received shares in PRM with a value equal to their holdings in CMMF. Holders of Investor Class Shares in CMMF received Vista Class Shares in PRM, holders of Premier Class Shares in CMMF received Premier Class Shares in PRM. 84 The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization:
AFTER BEFORE REORGANIZATION REORGANIZATION -------------------------------- --------------- CMMF PRM PRM ------------ --------------- --------------- Vista Shares Shares 10,186,612,136 10,192,134,877 Net Assets $10,182,180,207 $ 10,187,704,072 Net Asset Value $1.00 $1.00 Premier Shares Shares 2,041,521,265 2,148,011,818 Net Assets $ 2,041,548,458 $ 2,148,063,620 Net Asset Value $1.00 $1.00 Institutional Shares Shares 18,927,279,631 18,927,279,631 Net Assets $18,930,648,847 $ 18,930,648,847 Net Asset Value $1.00 $1.00 Reserve Shares Shares 1,232 1,232 Net Assets $ 1,231 $ 1,231 Net Asset Value $1.00 $1.00 B Shares Shares 11,626,267 11,626,267 Net Assets $ 11,624,360 $ 11,624,360 Net Asset Value $1.00 $1.00 C Shares Shares 186,694 186,694 Net Assets $ 186,703 $ 186,703 Net Asset Value $1.00 $1.00 Investor Shares Shares 5,522,741 Net Assets $ 5,523,865 Net Asset Value $1.00 Premier Shares Shares 106,490,553 Net Assets $106,515,162 Net Asset Value $1.00
On April 3, 2001, the Board of Trustees of Mutual Fund Trust approved a Plan of Reorganization (the "Reorganization Plan") between the Funds listed below. Under the Reorganization Plan, the acquired Fund would transfer all of its assets and liabilities to the acquiring Fund in a tax-free reorganization. In exchange, shareholders of the acquired Fund would receive shares of the acquiring Fund with a value equal to their respective holdings in the acquired Fund. The costs and expenses associated with the Reorganization will be borne by the Adviser and not by the Funds (or by the shareholders of either Fund). The Reorganization can be consummated only if, among other things, it is approved by the vote of a majority (as defined by the 1940 Act) of outstanding voting securities of the Acquired Funds. 85 ACQUIRING FUND ACQUIRED FUND -------------------------------------------------------------------------- TP J.P. Morgan Treasury Money Market Reserves Fund TP J.P. Morgan Institutional Treasury Money Market Fund TP J.P. Morgan Institutional Service Treasury Money Market Fund FED J.P. Morgan Federal Money Market Fund FED J.P. Morgan Institutional Federal Money Market Fund FED J.P. Morgan Institutional Service Federal Money Market Fund PRM J.P. Morgan Prime Money Market Fund PRM J.P. Morgan Institutional Prime Money Market Fund PRM J.P. Morgan Institutional Service Prime Money Market Fund PRM J.P. Morgan Prime Money Market Reserves Fund PRM J.P. Morgan Institutional Prime Direct Money Market Fund PRM J.P. Morgan Prime Cash Management Fund TF J.P. Morgan Tax Exempt Money Market Fund TF J.P. Morgan Institutional Tax Exempt Money Market Fund TF J.P. Morgan Institutional Service Tax Exempt Money Market Fund At two special meetings of shareholders (the "Meetings") held on July 3, 2001, and July 25, 2001, the shareholders of the Acquired Funds approved the Plan of Reorganization. In addition, the shareholders voted and approved the Board of Trustees. Only shareholders of record as of the close of business on April 6, 2001, were entitle to notice of, and to vote at, the meeting. 7. CORPORATE EVENT The merger of the J. P. Morgan & Co Incorporated with and into The Chase Manhattan Corporation (renamed J.P. Morgan Chase and Co.), the parent of the Funds' Adviser, JPMFAM, was consummated on December 31, 2000. JPFAM continues to serve as the Funds' Adviser. 8. SUBSEQUENT EVENTS Prior to the open of business on September 10, 2001, the Acquiring Funds acquired all the net assets of the Target Funds, as shown in the tables below, pursuant to the Plan of Reorganization approved by the Target Funds' shareholders on July 3, 2001 and July 25, 2001. The transactions were structured for tax purposes to qualify as tax-free 86 reorganizations under the Internal Revenue Code. Under each Reorganization Plan, shareholders of the Target Funds received shares in the Acquiring Funds with a value equal to their holdings in the Target Funds. Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds:
ACQUIRING SHARES TARGET FUNDS FUND RECEIVED ------------------------------------------------------------------------------------------------- J.P. Morgan Treasury Money Market Reserves Fund TP Reserve Shares J.P. Morgan Institutional Treasury Money Market Fund TP Institutional Shares J.P. Morgan Institutional Service Treasury Money TP Premier Shares Market Fund J.P. Morgan Federal Money Market Fund FED Premier Shares J.P. Morgan Institutional Federal Money Market Fund FED Institutional Shares J.P. Morgan Institutional Service Federal Money FED Premier Shares Market Fund J.P. Morgan Prime Money Market Fund PRM Select Shares J.P. Morgan Institutional Prime Money Market Fund PRM Institutional Shares J.P. Morgan Institutional Service Prime Money PRM Premier Shares Market Fund J.P. Morgan Prime Money Market Reserves Fund PRM Reserve Shares J.P. Morgan Institutional Prime Direct Money PRM Agency Shares Market Fund J.P. Morgan Prime Cash Management Fund PRM Cash Management Shares J.P. Morgan Tax Exempt Money Market Fund TF Premier Shares J.P. Morgan Institutional Tax Exempt Money Market Fund TF Institutional Shares J.P. Morgan Institutional Service Tax Exempt Money TF Premier Shares Market Fund
The following is a summary of Shares Outstanding, Beneficial Interest Outstanding, Net Assets and Net Asset Value Per Share immediately before and after the Reorganizations:
JPMORGAN TREASURY PLUS MONEY MARKET FUND REORGANIZATION ------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE --------------------------------------------------------- TARGET FUNDS Institutional Treasury Money Market Fund 310,752,024 -- 310,665,537 1.00 Institutional Service Treasury Money Market Fund 507,600,238 -- 507,445,292 1.00 Treasury Money Market Reserves Fund 94,137,490 -- 94,097,641 1.00 ACQUIRING FUND JPMorgan Treasury Plus Money Market Fund Vista Shares (Renamed Morgan Shares) 1,352,315,272 1,352,125,614 1.00 Premier Shares 325,007,736 324,991,704 1.00 Institutional Shares (Renamed Agency Shares) 965,202,328 965,225,637 1.00 POST REORGANIZATION FUND JPMorgan Treasury Plus Money Market Fund Morgan Shares 1,352,315,272 1,352,125,614 1.00 Premier Shares 832,607,974 832,436,996 1.00 Agency Shares 965,202,328 965,225,637 1.00 Institutional Shares 310,752,024 310,665,537 1.00 Reserve Shares 94,137,490 94,097,641 1.00
87
JPMORGAN FEDERAL MONEY MARKET FUND II REORGANIZATION ------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE ------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Federal Money Market Fund 1,683,861,363 -- 1,683,379,758 1.00 J.P. Morgan Institutional Federal Money Market Fund 2,447,081,263 -- 2,447,079,483 1.00 J.P. Morgan Institutional Service Federal Money Market Fund 27,507,538 -- 27,507,865 1.00 ACQUIRING FUND JPMorgan Federal Money Market Fund II (Renamed JPMorgan Federal Money Market Fund) Vista Shares (Renamed Morgan Shares) 657,731,953 657,736,692 1.00 Premier Shares 281,549,932 281,551,461 1.00 Institutional Shares (Renamed Agency Shares) 1,176,515,832 1,176,546,344 1.00 Reserve Shares 1,001,055 1,001,236 1.00 POST REORGANIZATION FUND JPMorgan Federal Money Market Fund Morgan Shares 658,733,007 658,737,928 1.00 Premier Shares 1,992,918,833 1,992,439,085 1.00 Agency Shares 1,176,515,832 1,176,546,344 1.00 Institutional Shares 2,447,081,263 2,447,079,483 1.00 JPMORGAN PRIME MONEY MARKET FUND II REORGANIZATION ------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE ------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Prime Money Market Fund 2,959,208,807 -- 2,959,282,813 1.00 J.P. Morgan Institutional Prime Money Market Fund 19,840,552,945 -- 19,841,087,447 1.00 J.P. Morgan Institutional Service Prime Money Market Fund 993,962,496 -- 993,883,143 1.00 J.P. Morgan Prime Cash Management Fund 139,284,658 -- 139,282,898 1.00 J.P. Morgan Institutional Direct Prime Money Market Fund 27,613,255 -- 27,613,872 1.00 J.P. Morgan Prime Money Market Reserves Fund 121,016,187 -- 121,009,281 1.00 ACQUIRING FUND JPMorgan Prime Money Market Fund II (Renamed JPMorgan Prime Money Market Fund) Vista Shares (Renamed Morgan Shares) 10,478,091,501 10,477,967,443 1.00 B Shares Shares 17,510,823 17,501,942 1.00 C Shares Shares 303,012 303,021 1.00 Premier Shares 2,282,312,288 2,282,319,856 1.00 Institutional Shares (Renamed Agency Shares) 17,352,444,267 17,352,408,266 1.00 Reserve Shares 10,001,262 10,002,074 1.00
88
JPMORGAN PRIME MONEY MARKET FUND II REORGANIZATION ------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE ------------------------------------------------------------------------- POST REORGANIZATION FUND JPMorgan Prime Money Market Fund Morgan Shares 10,478,091,501 10,477,967,443 1.00 B Shares 17,510,823 17,501,942 1.00 C Shares 303,012 303,021 1.00 Premier Shares 3,276,274,784 3,276,202,999 1.00 Agency Shares 17,380,057,522 17,380,022,138 1.00 Institutional Shares 19,840,552,945 19,841,087,447 1.00 Reserve Shares 131,017,449 131,011,355 1.00 Cash Management Shares 139,284,658 139,282,898 1.00 Select Shares 2,959,208,807 2,959,282,813 1.00 JPMORGAN TAX FREE MONEY MARKET FUND REORGANIZATION ------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE ------------------------------------------------------------------------- TARGET FUNDS J.P. Morgan Tax Exempt Money Market Fund 1,989,831,806 -- 1,989,763,693 1.00 J.P. Morgan Institutional Tax Exempt Money Market Fund 1,606,636,301 -- 1,606,663,631 1.00 J.P. Morgan Institutional Service Tax Exempt Money Market Fund 62,223,947 -- 62,226,733 1.00 ACQUIRING FUND JPMorgan Tax Free Money Market Fund Vista Shares (Renamed Morgan Shares) 859,836,498 859,225,077 1.00 Premier Shares 119,034,150 119,019,395 1.00 Institutional Shares (Renamed Agency Shares) 887,548,019 887,450,479 1.00 Reserve Shares 1,235 1,235 1.00 POST REORGANIZATION FUND JPMorgan Tax Free Money Market Fund Morgan Shares 859,837,733 859,226,312 1.00 Premier Shares 2,171,089,903 2,171,009,821 1.00 Agency Shares 887,548,019 887,450,479 1.00 Institutional Shares 1,606,636,301 1,606,663,631 1.00
89 8. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands): 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
VISTA PREMIER INSTITUTIONAL -------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES -------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 -------------------------------------------------------------------------------------------------------------- Shares sold $ 13,140,511 13,140,511 $ 325,092 325,092 $ 7,842,454 7,842,454 Shares issued in reinvestment of distributions 137,086 137,086 4,156 4,156 33,523 33,523 Shares redeemed (12,786,028) (12,786,028) (312,201) (312,201) (7,578,083) (7,578,083) -------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 491,569 491,569 $ 17,047 17,047 $ 297,894 297,894 ============================================================================================================== YEAR ENDED AUGUST 31, 2000 -------------------------------------------------------------------------------------------------------------- Shares sold $ 12,269,163 12,269,163 $ 398,033 398,033 $ 5,690,875 5,690,875 Shares issued in reinvestment of distributions 127,472 127,472 3,353 3,353 32,950 32,950 Shares redeemed (12,174,395) (12,174,395) (309,408) (309,408) (5,746,903) (5,746,903) -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 222,240 222,240 $ 91,978 91,978 $ (23,078) (23,078) ==============================================================================================================
U.S. GOVERNMENT MONEY MARKET FUND
VISTA PREMIER INSTITUTIONAL ----------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 ----------------------------------------------------------------------------------------------------------------- Shares sold $ 20,843,375 20,843,375 $ 6,623,555 6,623,555 $ 29,308,896 29,308,896 Shares issued in reinvestment of distributions 93,157 93,157 32,113 32,113 81,549 81,549 Shares redeemed (20,184,637) (20,184,637) (6,538,491) (6,538,491) (28,260,175) (28,260,175) ----------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 751,895 751,895 $ 117,177 117,177 $ 1,130,270 1,130,270 ================================================================================================================= YEAR ENDED AUGUST 31, 2000 ----------------------------------------------------------------------------------------------------------------- Shares sold $ 21,070,138 21,070,138 $ 7,472,951 7,472,951 $ 24,558,779 24,558,779 Shares issued in reinvestment of distributions 99,652 99,652 30,191 30,191 78,208 78,208 Shares redeemed (21,310,059) (21,310,059) (7,291,128) (7,291,128) (24,911,228) (24,911,228) ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (140,269) (140,269) $ 212,014 212,014 $ (274,241) (274,241) =================================================================================================================
90 Capital share transactions were as follows for the periods presented (amounts in thousands): TREASURY PLUS MONEY MARKET FUND
VISTA PREMIER INSTITUTIONAL --------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES --------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 Shares sold $ 10,396,218 10,396,218 $ 3,622,450 3,622,450 $ 9,407,909 9,407,909 Shares issued in reinvestment of distributions 43,920 43,920 5,895 5,895 34,515 34,515 Shares redeemed (10,239,944) (10,239,944) (3,530,256) (3,530,256) (9,402,324) (9,402,324) --------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 200,194 200,194 $ 98,089 98,089 $ 40,100 40,100 =============================================================================================================== YEAR ENDED AUGUST 31, 2000 --------------------------------------------------------------------------------------------------------------- Shares sold $ 10,985,282 10,985,282 $ 2,838,587 2,838,587 $ 9,562,850 9,562,850 Shares issued in reinvestment of distributions 54,114 54,114 5,041 5,041 36,706 36,706 Shares redeemed (11,406,802) (11,406,802) (3,091,819) (3,091,819) (9,674,902) (9,674,902) --------------------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $ (367,406) (367,406) $ (248,191) (248,191) $ (75,346) (75,346) ===============================================================================================================
FEDERAL MONEY MARKET FUND II
VISTA PREMIER INSTITUTIONAL RESERVE * ------------------------------------------------------------------------------------------------------------------------------ AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED AUGUST 31, 2001 ------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 1,485,620 1,485,620 $ 407,669 407,669 $ 3,894,947 3,894,947 $1,000 1,000 Shares issued in reinvestment of distributions 22,888 22,888 13,383 13,383 10,627 10,627 -- -- Shares redeemed (1,426,792) (1,426,792) (424,807) (424,807) (3,023,862) (3,023,862) -- -- ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 81,716 81,716 $ (3,755) (3,755) $ 881,712 881,712 $1,000 1,000 ============================================================================================================================== YEAR ENDED AUGUST 31, 2000 ------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 1,370,953 1,370,953 $ 373,817 373,817 $ 2,941,384 2,941,384 $ 1 1 Shares issued in reinvestment of distributions 22,852 22,852 13,241 13,241 4,454 4,454 -- -- Shares redeemed (1,367,229) (1,367,229) (406,427) (406,427) (2,907,355) (2,907,355) -- -- ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 26,576 26,576 $ (19,369) (19,369) $ 38,483 38,483 $ 1 1 ==============================================================================================================================
* Reserve Shares commencement of offering, 7/31/00. 91 Capital share transactions were as follows for the periods presented (amounts in thousands): PRIME MONEY MARKET FUND II
VISTA PREMIER INSTITUTIONAL --------------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES --------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 --------------------------------------------------------------------------------------------------------------------- Shares sold $ 38,599,182 38,599,182 $ 18,866,671 18,866,646 $ 124,034,431 124,034,434 Shares issued in connection with the acquisition of Chase Vista Cash Management Fund (Note 5) 6,779,514 6,780,303 383,301 383,300 3,332,910 3,333,131 Shares issued in connection with the acquisition of Chase Money Market Fund Fund (Note 5) 5,523 5,523 106,515 106,491 -- -- Shares issued in reinvestment of distributions 343,167 343,167 61,365 61,365 606,782 606,782 Shares redeemed (36,840,350) (36,840,350) (19,105,080) (19,105,080) (120,666,278) (120,666,278) --------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 8,887,036 8,887,825 $ 312,772 312,722 $ 7,307,845 7,308,069 ===================================================================================================================== YEAR ENDED AUGUST 31, 2000 --------------------------------------------------------------------------------------------------------------------- Shares sold $ 7,131,346 7,131,346 $ 13,034,051 13,034,051 $ 82,896,178 82,896,178 Shares issued in reinvestment of distributions 39,797 39,797 37,777 37,777 352,349 352,349 Shares redeemed (6,207,576) (6,207,576) (12,325,229) (12,325,229) (81,986,141) (81,986,141) --------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 963,567 963,567 $ 746,599 746,599 $ 1,262,386 1,262,386 ===================================================================================================================== RESERVE * B C --------------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES --------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 --------------------------------------------------------------------------------------------------------------------- Shares sold $ 18,251 18,251 $ 101,869 101,869 $ 1,351 1,351 Shares issued in reinvestment of distributions -- -- 524 524 8 8 Shares redeemed (8,251) (8,251) (95,588) (95,588) (1,100) (1,100) --------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 10,000 10,000 $ 6,805 6,805 $ 259 259 ===================================================================================================================== YEAR ENDED AUGUST 31, 2000 --------------------------------------------------------------------------------------------------------------------- Shares sold $ 1 1 $ 135,290 135,290 $ 7,817 7,817 Shares issued in reinvestment of distributions -- -- 806 806 8 8 Shares redeemed -- -- (161,484) (161,484) (7,925) (7,925) --------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1 1 $ (25,388) (25,388) $ (100) (100) =====================================================================================================================
* Reserve Shares commencement of offering, 7/31/00. 92 Capital share transactions were as follows for the periods presented (amounts in thousands): TAX FREE MONEY MARKET FUND
VISTA PREMIER INSTITUTIONAL RESERVE * ---------------------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,801,668 2,801,668 $ 313,800 313,800 $ 5,008,019 5,008,023 $ -- -- Shares issued in reinvestment of distributions 13,108 13,108 1,933 1,933 15,717 15,717 -- -- Shares redeemed (2,802,028) (2,802,028) (320,151) (320,151) (4,743,008) (4,743,008) -- -- ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 12,748 12,748 $ (4,418) (4,418) $ 280,728 280,732 $ -- -- ============================================================================================================================ YEAR ENDED AUGUST 31, 2000 ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,078,075 2,078,075 $ 343,481 343,481 $ 3,019,983 3,019,983 $ 1 1 Shares issued in reinvestment of distributions 12,007 12,007 2,982 2,982 9,475 9,475 -- -- Shares redeemed (1,949,740) (1,949,740) (356,488) (356,488) (2,865,404) (2,865,404) -- -- ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 140,342 140,342 $ (10,025) (10,025) $ 164,054 164,054 $ 1 1 ============================================================================================================================
* Reserve Shares commencement of offering, 7/31/00. NEW YORK TAX FREE MONEY MARKET FUND
VISTA RESERVE * --------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES --------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 --------------------------------------------------------------------------------- Shares sold $ 4,128,849 4,128,849 $ -- -- Shares issued in reinvestment of distributions 44,695 44,695 -- -- Shares redeemed (3,565,984) (3,565,984) -- -- --------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 607,560 607,560 $ -- -- ================================================================================= YEAR ENDED AUGUST 31, 2000 --------------------------------------------------------------------------------- Shares sold $ 3,464,112 3,464,112 $ 1 1 Shares issued in reinvestment of distributions 37,398 37,398 -- -- Shares redeemed (3,174,889) (3,174,889) -- -- --------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 326,621 326,621 $ 1 1 =================================================================================
* Reserve Shares commencement of offering, 7/31/00. 93 Capital share transactions were as follows for the periods presented (amounts in thousands): CALIFORNIA TAX FREE MONEY MARKET FUND
VISTA ----------------------------------------------------------------------------------------- AMOUNT SHARES ----------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 ----------------------------------------------------------------------------------------- Shares sold $ 262,625 262,625 Shares issued in reinvestment of distributions 919 919 Shares redeemed (258,305) (258,305) ----------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 5,239 5,239 ========================================================================================= YEAR ENDED AUGUST 31, 2000 ----------------------------------------------------------------------------------------- Shares sold $ 243,038 243,038 Shares issued in reinvestment of distributions 732 732 Shares redeemed (233,891) (233,891) ----------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 9,879 9,879 =========================================================================================
94 FINANCIAL HIGHLIGHTS
100% U.S. TREASURY SECURITIES MONEY MARKET FUND^ -------------------------------------------------------------------------------------- VISTA SHARES PREMIER SHARES ------------------------------------------- ----------------------------------------- YEAR ENDED AUGUST 31, YEAR ENDED AUGUST 31, ------------------------------------------- ----------------------------------------- 2001 2000 1999 1998 1997 2001 2000 1999 1998 1997 --------- ------- ------- ------- ------- ------- ------- ------ ------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- ------- -------- -------- -------- ------- ------ --------- ------- Income from Investment Operations: Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.04 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.04 0.05 0.05 -------- -------- ------- -------- -------- -------- ------- ------ --------- ------- Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======= ======== ======== ======== ======= ====== ========= ======= Total Return 4.75% 5.02% 4.31% 4.92% 4.87% 4.84% 5.12% 4.40% 5.00% 4.91% Ratios/Supplemental Data: Net Assets, End of Period (millions) $4,027 $3,535 $3,312 $3,051 $2,376 $ 133 $ 116 $ 24 $ 22 $ 6 Ratios to Average Net Assets: Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.48% 0.49% 0.50% 0.51% 0.55% Net Investment Income 4.59% 4.92% 4.15% 4.78% 4.74% 4.70% 5.02% 4.22% 4.99% 4.80% Expenses Without Waivers, Reimbursements and Earnings Credits 0.71% 0.71% 0.71% 0.71% 0.71% 0.52% 0.53% 0.56% 0.78% 0.80% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.47% 4.80% 4.03% 4.66% 4.62% 4.66% 4.98% 4.16% 4.72% 4.55%
^Formerly Chase Vista 100% U.S. Treasury Securities Money Market Fund. See notes to financial statements. 95 FINANCIAL HIGHLIGHTS
100% U.S. TREASURY SECURITIES MONEY MARKET FUND^ --------------------------------------------- INSTITUTIONAL SHARES --------------------------------------------- YEAR ENDED AUGUST 31, --------------------------------------------- 2001 2000 1999 1998 1997 --------- -------- -------- ------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $1.00 $1.00 $ 1.00 $1.00 -------- --------- ------- -------- --------- Income from Investment Operations: Net Investment Income 0.05 0.05 0.05 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.05 0.05 0.05 -------- --------- ------- -------- --------- Net Asset Value, End of Period $ 1.00 $1.00 $1.00 $1.00 $1.00 ======== ========= ======= ======== ========= Total Return 5.11% 5.38% 4.67% 5.30% 5.20% Ratios/Supplemental Data: Net Assets, End of Period (millions) $1,170 $ 872 $ 895 $1,796 $ 81 Ratios to Average Net Assets: Expenses 0.25% 0.25% 0.24% 0.21% 0.27% Net Investment Income 4.93% 5.26% 4.51% 5.13% 5.06% Expenses Without Waivers, Reimbursements and Earnings Credits 0.35% 0.34% 0.32% 0.25% 0.27% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.83% 5.17% 4.43% 5.09% 5.06%
^Formerly Chase Vista 100% U.S. Treasury Securities Money Market Fund. See notes to financial statements. 96 FINANCIAL HIGHLIGHTS
U.S. GOVERNMENT MONEY MARKET FUND^ --------------------------------------------- VISTA SHARES --------------------------------------------- YEAR ENDED AUGUST 31, --------------------------------------------- 2001 2000 1999 1998 1997 --------- -------- -------- -------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 --------- -------- -------- -------- -------- Income from Investment Operations: Net Investment Income 0.05 0.05 0.04 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.04 0.05 0.05 --------- -------- -------- -------- -------- Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========= ======== ======== ======== ======== Total Return 4.93% 5.48% 4.55% 5.14% 5.04% Ratios/Supplemental Data: Net Assets, End of Period (millions) $4,150 $3,398 $3,538 $3,033 $2,139 Ratios to Average Net Assets: Expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net Investment Income 4.80% 5.35% 4.46% 5.01% 4.93% Expenses Without Waivers, Reimbursements and Earnings Credits 0.69% 0.69% 0.69% 0.70% 0.72% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.70% 5.25% 4.36% 4.90% 4.80%
^Formerly Chase Vista U.S. Government Money Market Fund. See notes to financial statements. 97 FINANCIAL HIGHLIGHTS
U.S. GOVERNMENT MONEY MARKET FUND^ ------------------------------------------------------------------------------------- PREMIER SHARES INSTITUTIONAL SHARES ----------------------------------------- ------------------------------------------ YEAR ENDED AUGUST 31, YEAR ENDED AUGUST 31, ----------------------------------------- ------------------------------------------ 2001 2000 1999 1998 1997 2001 2000 1999 1998 1997 -------- ------- ------- -------- -------- ------- -------- -------- ------- ------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $1.00 $ 1.00 $1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------- -------- ------- -------- ------- -------- -------- -------- -------- ------- Income from Investment Operations: Net Investment Income 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.05 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.05 0.05 0.05 0.05 0.06 0.05 0.05 0.05 ------- -------- ------- -------- ------- -------- -------- -------- -------- ------- Net Asset Value, End of Period $ 1.00 $ 1.00 $1.00 $ 1.00 $1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======= ======== ======= ======== ======= ======== ======== ======== ======== ======= Total Return 5.08% 5.62% 4.70% 5.25% 5.08% 5.28% 5.83% 4.92% 5.51% 5.40% Ratios/Supplemental Data: Net Assets, End of Period (millions) $1,251 $1,134 $ 922 $1,084 $ 837 $3,769 $2,639 $2,913 $2,797 $2,955 Ratios to Average Net Assets: Expenses 0.45% 0.45% 0.45% 0.48% 0.55% 0.26% 0.26% 0.25% 0.24% 0.24% Net Investment Income 4.95% 5.50% 4.60% 5.12% 4.97% 5.09% 5.66% 4.80% 5.36% 5.29% Expenses Without Waivers, Reimbursements and Earnings Credits 0.59% 0.58% 0.58% 0.60% 0.60% 0.33% 0.33% 0.31% 0.24% 0.24% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.81% 5.37% 4.47% 5.00% 4.92% 5.02% 5.59% 4.74% 5.36% 5.29%
^Formerly Chase Vista U.S. Government Money Market Fund. See notes to financial statements. 98 FINANCIAL HIGHLIGHTS
TREASURY PLUS MONEY MARKET FUND^ ------------------------------------------------------------------------------------ VISTA SHARES PREMIER SHARES -------------------------------------------- -------------------------------------- YEAR ENDED AUGUST 31, YEAR ENDED AUGUST 31, -------------------------------------------- -------------------------------------- 2001 2000 1999 1998 1997 2001 2000 1999 1998 1997 -------- -------- -------- -------- ------- ------- ------- ------- ------- ------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------ ------ ------ ------- ----- ----- ----- ----- ------ Income from Investment Operations: Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.04 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.04 0.05 0.05 ------- ------ ------ ------ ------- ----- ----- ----- ----- ------ Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ====== ====== ====== ======= ===== ===== ===== ===== ====== Total Return 4.77% 5.29% 4.39% 5.05% 4.89% 4.91% 5.44% 4.54% 5.18% 4.98% Ratios/Supplemental Data: Net Assets, End of Period (millions) $1,567 $1,367 $1,734 $1,316 $1,606 $ 326 $ 228 $ 476 $ 155 $ 131 Ratios to Average Net Assets: Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.45% 0.45% 0.45% 0.46% 0.51% Net Investment Income 4.70% 5.14% 4.27% 4.92% 4.79% 4.84% 5.28% 4.42% 5.06% 4.88% Expenses Without Waivers, Reimbursements and Earnings Credits 0.72% 0.71% 0.69% 0.70% 0.70% 0.52% 0.51% 0.50% 0.50% 0.53% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.57% 5.02% 4.17% 4.81% 4.68% 4.77% 5.22% 4.37% 5.02% 4.86%
^Formerly Chase Vista Treasury Plus Money Market Fund. See notes to financial statements. 99 FINANCIAL HIGHLIGHTS
TREASURY PLUS MONEY MARKET FUND^ -------------------------------------------- INSTITUTIONAL SHARES -------------------------------------------- YEAR ENDED AUGUST 31, -------------------------------------------- 2001 2000 1999 1998 1997 -------- -------- -------- ------- --------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- -------- Income from Investment Operations: Net Investment Income 0.05 0.06 0.05 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.06 0.05 0.05 0.05 ------- ------- ------- ------- -------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======== Total Return 5.12% 5.65% 4.75% 5.44% 5.24% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 944 $ 904 $ 980 $ 876 $ 292 Ratios to Average Net Assets: Expenses 0.25% 0.25% 0.24% 0.21% 0.26% Net Investment Income 5.04% 5.48% 4.61% 5.29% 5.16% Expenses Without Waivers, Reimbursements and Earnings Credits 0.36% 0.36% 0.31% 0.25% 0.26% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.93% 5.37% 4.54% 5.25% 5.16%
^Formerly Chase Vista Treasury Plus Money Market Fund. See notes to financial statements. 100 FINANCIAL HIGHLIGHTS
FEDERAL MONEY MARKET FUND II^ --------------------------------------------------------------------------------- VISTA SHARES PREMIER SHARES --------------------------------------- ---------------------------------------- YEAR ENDED AUGUST 31, YEAR ENDED AUGUST 31, --------------------------------------- ---------------------------------------- 2001 2000 1999 1998 1997 2001 2000 1999 1998 1997 ------- ------ ------- ------ ------ ------ ------- ------ ------- ------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- ------- ------- -------- ------- ------- -------- Income from Investment Operations: Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.05 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.05 0.04 0.05 0.05 0.05 0.05 0.05 0.05 0.05 ------- ------- ------- ------- ------- ------- -------- ------- ------- -------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======= ======= ======== ======= ======= ======== Total Return 4.84% 5.29% 4.46% 4.94% 4.91% 5.07% 5.50% 4.67% 5.22% 5.12% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 658 $ 576 $ 550 $ 359 $ 301 $ 276 $ 279 $ 298 $ 313 $ 400 Ratios to Average Net Assets: Expenses 0.70% 0.70% 0.70% 0.70% 0.70% 0.49% 0.50% 0.50% 0.50% 0.50% Net Investment Income 4.57% 5.17% 4.35% 4.88% 4.79% 4.78% 5.35% 4.56% 5.07% 5.01% Expenses Without Waivers, Reimbursements and Earnings Credits 0.74% 0.75% 0.78% 0.84% 0.82% 0.49% 0.50% 0.50% 0.51% 0.52% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.53% 5.12% 4.27% 4.74% 4.67% 4.78% 5.35% 4.56% 5.06% 4.99%
^Formerly Chase Vista Federal Money Market Fund. See notes to financial statements. 101 FINANCIAL HIGHLIGHTS
FEDERAL MONEY MARKET FUND II^ --------------------------------------------------------------- INSTITUTIONAL SHARES RESERVE SHARES ----------------------------------------- ------------------- YEAR YEAR ENDED AUGUST 31, ENDED 7/31/00* ----------------------------------------- ---------- Through 2001 2000 1999 1998 1997 8/31/01 8/31/00 -------- ------- ------- -------- ------ ---------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- ------- ------- ------- Income from Investment Operations: Net Investment Income 0.05 0.06 0.05 0.05 0.05 -- 0.01 Less Dividends from Net Investment Income 0.05 0.06 0.05 0.05 0.05 -- 0.01 ------- ------- ------- ------- ------- ------- ------- Net Asset Value, End of Period $ 1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ======= ======= ======= Total Return 5.30% 5.75% 4.92% 5.46% 5.35% 4.73% 0.49% Ratios/Supplemental Data: Net Assets, End of Period (millions) $1,169 $ 287 $ 248 $ 198 $ 131 $ 1 $ + Ratios to Average Net Assets#: Expenses 0.26% 0.26% 0.26% 0.27% 0.27% 0.79% 0.79% Net Investment Income 5.01% 5.61% 4.79% 5.32% 5.23% 4.48% 5.08% Expenses Without Waivers, Reimbursements and Earnings Credits 0.34% 0.34% 0.34% 0.27% 0.27% 14.93%^^ 1.44% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.93% 5.53% 4.71% 5.32% 5.23% (9.66%)^^ 4.43%
* Commencement of offering of class of shares. + Amount rounds to less than one million. ^ Formerly Chase Vista Federal Money Market Fund. # Short periods have been annualized. ^^ Due to the size of net assets and fund expenses, ratios may seem disproportionate with other classes. See notes to financial statements. 102
PRIME MONEY MARKET FUND II^ --------------------------------------------------- PREMIER SHARES --------------------------------------------------- YEAR ENDED AUGUST 31, --------------------------------------------------- 2001 2000 1999 1998 1997 --------- -------- ---------- -------- ---------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 ------- ------- ------- ------- -------- Income from Investment Operations: Net Investment Income 0.05 0.06 0.05 0.05 0.05 Less Dividends from Net Investment Income 0.05 0.06 0.05 0.05 0.05 ------- ------- ------- ------- -------- Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 ======= ======= ======= ======= ======== Total Return 5.25% 5.81% 4.90% 5.44% 5.34% Ratios/Supplemental Data: Net Assets, End of Period (millions) $2,153 $1,841 $1,094 $ 590 $ 499 Ratios to Average Net Assets: Expenses 0.45% 0.45% 0.45% 0.45% 0.45% Net Investment Income 4.96% 5.67% 4.77% 5.29% 5.17% Expenses Without Waivers, Reimbursements and Earnings Credits 0.49% 0.49% 0.49% 0.51% 0.53% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.92% 5.63% 4.73% 5.23% 5.09%
^ Formerly Chase Vista Prime Money Market Fund. See notes to financial statements. 103
PRIME MONEY MARKET FUND II^ ------------------------------------------------------ INSTITUTIONAL SHARES ------------------------------------------------------ YEAR ENDED AUGUST 31, ------------------------------------------------------ 2001 2000 1999 1998 1997 --------- --------- -------- --------- ---------- Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- ---------- Income from Investment Operations: Net Investment Income 0.05 0.06 0.05 0.06 0.05 Less Dividends from Net Investment Income 0.05 0.06 0.05 0.06 0.05 -------- -------- -------- -------- ---------- Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ========== Total Return 5.45% 6.01% 5.10% 5.65% 5.49% Ratios/Supplemental Data: Net Assets, End of Period (millions) $16,676 $9,430 $8,161 $4,722 $1,348 Ratios to Average Net Assets: Expenses 0.26% 0.26% 0.26% 0.24% 0.25% Net Investment Income 5.15% 5.86% 4.96% 5.50% 5.37% Expenses Without Waivers, Reimbursements and Earnings Credits 0.33% 0.33% 0.33% 0.24% 0.25% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 5.08% 5.79% 4.89% 5.50% 5.37%
^ Formerly Chase Vista Prime Money Market Fund. See notes to financial statements. 104
PRIME MONEY MARKET FUND II^ ---------------------------------------------------- B SHARES ---------------------------------------------------- YEAR ENDED AUGUST 31, ---------------------------------------------------- 2001 2000 1999 1998 1997 -------- -------- -------- --------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 -------- -------- -------- --------- -------- Income from Investment Operations: Net Investment Income 0.04 0.05 0.04 0.05 0.04 Less Dividends from Net Investment Income 0.04 0.05 0.04 0.05 0.04 -------- -------- -------- --------- -------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 ======== ======== ======== ========= ======== Total Return 4.43% 4.97% 4.07% 4.60% 4.33% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 18 $ 11 $ 36 $ 29 $ 10 Ratios to Average Net Assets: Expenses 1.24% 1.25% 1.25% 1.25% 1.35% Net Investment Income 4.17% 4.87% 4.00% 4.49% 4.27% Expenses Without Waivers, Reimbursements and Earnings Credits 1.26% 1.27% 1.47% 1.50% 1.53% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.15% 4.85% 3.78% 4.24% 4.09%
^ Formerly Chase Vista Prime Money Market Fund. See notes to financial statements. 105
PRIME MONEY MARKET FUND II^ ---------------------------------------------------------------------------------------- C SHARES VISTA SHARES RESERVE SHARES --------------------------------------- --------------------------- ----------------- YEAR YEAR YEAR ENDED 5/14/98* ENDED 10/1/98* ENDED 7/31/00* ------------------------------ THROUGH ------------------- THROUGH --------- THROUGH 8/31/01 8/31/00 8/31/99 8/31/98 8/31/01 8/31/00 8/31/99 8/31/01 8/31/00 ---------- --------- --------- -------- --------- --------- -------- --------- ------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 ------- ------- ------- ------- --------- -------- ------- ------- -------- Income from Investment Operations: Net Investment Income 0.04 0.05 0.04 0.01 0.05 0.06 0.04 0.05 0.01 Less Dividends from Net Investment Income 0.04 0.05 0.04 0.01 0.05 0.06 0.04 0.05 0.01 ------- ------- ------- ------- --------- -------- ------- ------- -------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 ======= ======= ======= ======= ========= ======== ======= ======= ======== Total Return 4.43% 4.95% 3.85% 1.29% 5.10% 5.65% 4.26% 4.88% 0.50% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ + $ + $ 1 $ 1 $10,367 $1,475 $ 515 $ 10 $ + Ratios to Average Net Assets#: Expenses 1.24% 1.26% 1.45% 1.50% 0.59% 0.59% 0.59% 0.79% 0.79% Net Investment Income 4.17% 4.86% 3.75% 4.21% 4.82% 5.53% 4.61% 4.62% 5.33% Expenses Without Waivers, Reimbursements and Earnings Credits 1.26% 1.26% 1.45% 1.50% 0.61% 0.61% 0.72% 2.17% 1.45% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 4.15% 4.86% 3.75% 4.21% 4.80% 5.51% 4.48% 3.24% 4.67%
* Commencement of offering of classes of shares. + Amount rounds to less than one million. ^ Formerly Chase Vista Prime Money Market Fund. # Short periods have been annualized. See notes to financial statements. 106
TAX FREE MONEY MARKET FUND^ ------------------------------------------------------------------------------- VISTA SHARES RESERVE SHARES --------------------------------------------------- ------------------------- YEAR YEAR ENDED AUGUST 31, ENDED 7/31/00* --------------------------------------------------- ---------- THROUGH 2001 2000 1999 1998 1997 8/31/01 8/31/00 --------- --------- -------- -------- -------- ----------- ------------ Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 -------- -------- -------- -------- -------- -------- ------------ Income from Investment Operations: Net Investment Income 0.03 0.03 0.03 0.03 0.03 0.03 -- Less Dividends from Net Investment Income 0.03 0.03 0.03 0.03 0.03 0.03 -- -------- -------- -------- -------- -------- -------- ------------ Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ======== ======== ======== ======== ======== ======== ============ Total Return 3.13% 3.37% 2.73% 3.10% 3.12% 2.91% 0.30% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 907 $ 895 $ 754 $ 733 $ 566 $ + $ + Ratios to Average Net Assets#: Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.90% 0.79% Net Investment Income 3.09% 3.33% 2.68% 3.05% 3.08% 2.78% 3.13% Expenses Without Waivers, Reimbursements and Earnings Credits 0.72% 0.75% 0.73% 0.72% 0.73% 1560.31%^^ 1.44% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 2.96% 3.17% 2.54% 2.92% 2.94% (1556.63)%^^ 2.48%
* Commencement of offering of class of shares. + Amount rounds to less than one million. ^ Formerly Chase Vista Tax Free Money Market Fund. # Short periods have been annualized. ^^ Due to the size of net assets and fund expenses, ratios may seem disproportionate with other classes See notes to financial statements. 107
TAX FREE MONEY MARKET FUND^ ---------------------------------------------------- PREMIER SHARES ---------------------------------------------------- YEAR ENDED AUGUST 31, ---------------------------------------------------- 2001 2000 1999 1998 1997 --------- --------- --------- --------- -------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 ------- -------- -------- ------- ------- Income from Investment Operations: Net Investment Income 0.03 0.03 0.03 0.03 0.03 Less Dividends from Net Investment Income 0.03 0.03 0.03 0.03 0.03 ------- -------- -------- ------- ------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======== ======== ======= ======= Total Return 3.21% 3.41% 2.78% 3.17% 3.19% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 116 $ 120 $ 130 $ 133 $ 105 Ratio to Average Net Assets: Expenses 0.51% 0.55% 0.54% 0.53% 0.53% Net Investment Income 3.17% 3.40% 2.74% 3.10% 3.13% Expenses Without Waivers, Reimbursements and Earnings Credits 0.53% 0.59% 0.56% 0.53% 0.53% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 3.15% 3.26% 2.72% 3.10% 3.13%
^ Formerly Chase Vista Tax Free Money Market Fund. See notes to financial statements. 108
TAX FREE MONEY MARKET FUND^ ----------------------------------------------------- INSTITUTIONAL SHARES ----------------------------------------------------- YEAR ENDED AUGUST 31, ----------------------------------------------------- 2001 2000 1999 1998 1997 ------- -------- -------- -------- ---------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 ------- -------- -------- -------- ---------- Income from Investment Operations: Net Investment Income 0.03 0.04 0.03 0.03 0.04 Less Dividends from Net Investment Income 0.03 0.04 0.03 0.03 0.04 ------- -------- -------- -------- ---------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======== ======== ======== ========== Total Return 3.47% 3.71% 3.07% 3.45% 3.45% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 921 $ 640 $ 476 $ 410 $ 286 Ratio to Average Net Assets: Expenses 0.26% 0.26% 0.26% 0.26% 0.26% Net Investment Income 3.42% 3.67% 3.01% 3.37% 3.41% Expenses Without Waivers, Reimbursements and Earnings Credits 0.36% 0.39% 0.35% 0.26% 0.26% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 3.32% 3.54% 2.92% 3.37% 3.41%
^ Formerly Chase Vista Tax Free Money Market Fund. See notes to financial statements. 109
NEW YORK TAX FREE MONEY MARKET FUND^ ------------------------------------------------------------------------------- VISTA SHARES RESERVE SHARES --------------------------------------------------- -------------------------- YEAR YEAR ENDED AUGUST 31, ENDED 7/31/00* --------------------------------------------------- ----------- THROUGH 2001 2000 1999 1998 1997 8/31/01 8/31/00 --------- --------- --------- --------- -------- ----------- ------------ Per Share Operating Performance Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 --------- --------- --------- --------- -------- ----------- ------------ Income from Investment Operations: Net Investment Income 0.03 0.03 0.03 0.03 0.03 0.03 -- Less Dividends from Net Investment Income 0.03 0.03 0.03 0.03 0.03 0.03 -- --------- --------- --------- --------- -------- ----------- ------------ Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $1.00 $1.00 $1.00 ========= ========= ========= ========= ======== =========== ============ Total Return 2.98% 3.27% 2.66% 3.03% 3.02% 2.77% 0.28% Ratios/Supplemental Data: Net Assets, End of Period (millions) $2,439 $1,831 $1,505 $1,372 $ 957 $ + $ + Ratio to Average Net Assets#: Expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.90% 0.79% Net Investment Income 2.88% 3.24% 2.61% 2.97% 2.97% 2.57% 3.04% Expenses Without Waivers, Reimbursements and Earnings Credits 0.71% 0.70% 0.71% 0.72% 0.73% 1560.21%^^ 1.49% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 2.76% 3.13% 2.49% 2.84% 2.83% (1556.74)%^^ 2.34%
* Commencement of offering of class of shares. + Amount rounds to less than one million. ^ Formerly Chase Vista New York Tax Free Money Market Fund. # Short periods have been annualized. ^^ Due to the size of net assets and fund expenses, ratios may seem disproportionate with other classes. See notes to financial statements. 110
CALIFORNIA TAX FREE MONEY MARKET FUND^ ---------------------------------------------------- VISTA SHARES ---------------------------------------------------- YEAR ENDED AUGUST 31, ---------------------------------------------------- 2001 2000 1999 1998 1997 --------- --------- -------- --------- --------- Per Share Operating Performance Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 --------- --------- -------- --------- --------- Income from Investment Operations: Net Investment Income 0.03 0.03 0.03 0.03 0.03 Less Dividends from Net Investment Income 0.03 0.03 0.03 0.03 0.03 --------- --------- -------- --------- --------- Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 ========= ========= ======== ========= ========= Total Return 2.70% 3.00% 2.66% 2.97% 3.02% Ratios/Supplemental Data: Net Assets, End of Period (millions) $ 83 $ 78 $ 68 $ 50 $ 46 Ratio of Average Net Assets: Expenses 0.55% 0.55% 0.55% 0.55% 0.56% Net Investment Income 2.68% 3.03% 2.55% 2.89% 2.99% Expenses Without Waivers, Reimbursements and Earnings Credits 0.83% 0.90% 0.94% 0.93% 0.86% Net Investment Income Without Waivers, Reimbursements and Earnings Credits 2.40% 2.68% 2.16% 2.51% 2.69%
^ Formerly Chase Vista California Tax Free Money Market Fund. See notes to financial statements. 111 JPMORGAN REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees and Shareholders of Mutual Fund Trust In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund II, JPMorgan Prime Money Market Fund II, JPMorgan Tax Free Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan California Tax Free Money Market Fund (separate portfolios of Mutual Fund Trust, hereafter referred to as the "Funds") at August 31, 2001, and the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereinafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2001 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP 1177 Avenue of the Americas New York, New York 10036 October 19, 2001 112 JPMORGAN FUNDS FUNDS SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) A Special Meeting of Shareholders was held on October 5, 2000 at 1211 Avenue of the Americas, New York, New York for purposes of approving an Agreement and Plan of Reorganization (the "Reorganization Plan") between Chase Vista Prime Money Market Fund (the "acquiring fund") and Chase Vista Cash Management Fund (the "acquired fund"), each a series of Mutual Fund Trust. Under the Reorganization Plan, the acquired fund would transfer all of its asset and liabilities to the acquiring fund in a tax-free reorganization. In exchange, shareholders of the acquired fund would receive shares of the acquiring fund with a value equal to their respective holdings in the acquired fund. A majority of shareholders of Chase Vista Cash Management Fund approved the Reorganization Plan by the following vote: For 5,404,982,866 Against 98,099,682 Abstain 228,283,848 A Special Meeting of Shareholders was held on January 26, 2001 at One Chase Square, Rochester, New York 14643 for purposes of approving an Agreement and Plan of Reorganization (the "Reorganization Plan") between Chase Vista Prime Money Market Fund (the "acquiring fund"), a series of Mutual Fund Trust, and Chase Money Market Fund (the "acquired fund"), a series of Mutual Fund Investment Trust. Under the Reorganization Plan, the acquired fund would transfer all of its asset and liabilities to the acquiring fund in a tax-free reorganization. In exchange, shareholders of the acquired fund would receive shares of the acquiring fund with a value equal to their respective holdings in the acquired fund. A majority of shareholders of Chase Money Market Fund approved the Reorganization Plan by the following vote: For 152,977,629 Against 911,172 Abstain 5,944,315 113 A Special Meeting of Shareholders was held on July 25, 2001 at 1211 Avenue of the Americas, New York, New York for purposes of approving an Agreement and Plan of Reorganization (the "Reorganization Plan"). Under the Reorganization Plan, the "Acquired Fund" would transfer all of its assets and liabilities to the "Acquiring Fund" in a tax-free reorganization. In exchange, shareholders of the Acquired Fund would receive select shares of the Acquiring Fund with a value equal to their respective holdings in the Acquired Fund. A majority of shareholders of the following Acquired Funds approved the Reorganization Plan by the following vote:
ACQUIRING FUND ACQUIRED FUND FOR AGAINST ABSTAIN TP J.P. Morgan Treasury Money Market Reserves Fund 412,498,994 -- 812,618 TP J.P. Morgan Institutional Treasury Money Market Fund 406,123,005 -- 3,898 TP J.P. Morgan Institutional Service Treasury Money Market Fund 303,881,432 16,482,334 -- FED J.P. Morgan Federal Money Market Fund 1,120,009,044 40,964,854 12,944,814 FED J.P. Morgan Institutional Federal Money Market Fund 1,434,229,403 31,426,004 39,046,708 FED J.P. Morgan Institutional Service Federal Money Market Fund 10,784,036 -- -- PRM J.P. Morgan Prime Money Market Fund 1,988,485,658 21,004,046 27,607,064 PRM J.P. Morgan Institutional Prime Money Market Fund 6,704,805,022 242,594,635 20,580,476 PRM J.P. Morgan Institutional Service Prime Money Market Fund 563,946,788 -- -- PRM J.P. Morgan Prime Money Market Reserves Fund 208,744,366 -- -- PRM J.P. Morgan Institutional Prime Direct Money Market Fund 20,385,940 -- -- PRM J.P. Morgan Prime Cash Management Fund 416,265,063 424,543 264,104 TF J.P. Morgan Tax Exempt Money Market Fund 1,020,493,839 47,579,672 113,090,614 TF J.P. Morgan Institutional Tax Exempt Money Market Fund 854,689,347 2,000,000 -- TF J.P. Morgan Institutional Service Tax Exempt Money Market Fund 43,002,591 -- --
A Special Meeting of Shareholders was held on July 25, 2001 at 1211 Avenue of the Americas, New York, New York for purposes of approving the election of eight Trustees. A majority of shareholders of USTS, USG, TP, FED, PRM, TF, NYTF and CTF approved the election of each Trustee. The number of votes cast in this matter were:
AFFIRMATIVE NEGATIVE William J. Armstrong 27,066,384,665 1,505,205,801 Roland R. Eppley Jr. 27,076,412,704 1,495,177,761 Ann Maynard Gray 27,063,241,725 1,508,348,741 Matthew Healey 27,081,493,887 1,490,096,579 Fergus Reid, III 27,064,052,617 1,507,537,848 James J. Schonbachler 27,070,115,682 1,501,484,649 Leonard M. Spalding, Jr. 27,080,298,908 1,491,291,558 H. Richard Vartabedian 27,082,089,663 1,489,500,803
114 TAX LETTER (UNAUDITED) JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND (USTS) JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND (USG) JPMORGAN TREASURY PLUS MONEY MARKET FUND (TP) JPMORGAN FEDERAL MONEY MARKET FUND II (FED) JPMORGAN PRIME MONEY MARKET FUND II (PRM) JPMORGAN TAX FREE MONEY MARKET FUND (TF) JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND (NYTF) JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND (CTF) Certain tax information regarding the JPMorgan Money Market Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2001. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2001. The information necessary to complete your income tax returns for the calendar year ending December 31, 2001 will be received under separate cover. The following schedule presents the source and percentage of income from government obligations for the fiscal year ended August 31, 2001.
USTS USG TP FED PRM U.S. Treasury Obligations 100.00% 0.06% 20.96% 4.50% -- Federal Farm Credit Bank -- 1.10% -- 8.41% -- Federal Home Loan Bank -- 26.53% -- 72.13% 3.55% Student Loan Marketing Association -- 15.02% -- 10.74% -- Tennessee Valley Authority -- -- -- 0.32% -- Federal National Mortgage Association -- 38.98% -- 0.18% 0.38%
Also, for the fiscal year ended August 31, 2001: - The dividends paid from net investment income are 100%, 100% and 100% exempt from Federal income tax for TF, NYTF and CTF, respectively. - For shareholders who are subject to the Alternative Minimum Tax, the income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 21.54%, 15.07% and 17.14% for TF, NYTF, and CTF, respectively. 115 This page intentionally left blank. JPMORGAN FAMILY OF FUNDS U.S. EQUITY FUNDS Balanced Fund Capital Growth Fund Core Equity Fund Disciplined Equity Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Growth Fund II Equity Income Fund The Growth Fund of Washington Large Cap Growth Fund Market Neutral Fund Mid Cap Value Fund Small Cap Growth Fund SmartIndex(TM) Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund SELECT FUNDS Select Balanced Fund Select Equity Income Fund Select Growth & Income Fund Select Large Cap Equity Fund Select Large Cap Growth Fund Select Mid Cap Equity Fund Select Small Cap Equity Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Small Company Opportunities Fund Tax Aware U.S. Equity Fund INTERNATIONAL EQUITY FUNDS Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming Japan Fund SPECIALTY FUNDS Focus Fund Global 50 Fund Global Healthcare Fund H&Q IPO & Emerging Company Fund H&Q Technology Fund FIXED INCOME FUNDS Bond Fund Bond Fund II Fleming Emerging Markets Debt Fund Global Strategic Income Fund Intermediate Bond Fund Short-Term Bond Fund Short-Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAXFREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund ANNUAL REPORT INVESTMENT ADVISOR JPMorgan Fleming Asset Management ADMINISTRATOR, SHAREHOLDER AND FUND SERVICING AGENT The Chase Manhattan Bank CUSTODIAN The Bank of New York DISTRIBUTOR J.P. Morgan Fund Distributors, Inc. TRANSFER AGENT DST Systems, Inc. LEGAL COUNSEL Simpson Thacher & Bartlett INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The Chase Manhattan Bank. Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distributions to prospective investors in the funds unless preceded or accompanied by a prospectus. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and ongoing expenses. Please read it carefully before you invest or send money. JPMorgan Funds Fulfillment Center 393 Manley Street West Bridgewater, MA 02379-1039 (C)J.P. Morgan Chase & Co., 2001 All Rights Reserved. October 2001 AN-MM-1001