N-30D 1 a2062007zn-30d.txt N-30D ANNUAL REPORT AUGUST 31, 2001 JPMorgan Funds [GRAPHIC] TAX FREE FUNDS Tax Free Income Fund Intermediate Tax Free Income Fund New York Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund California Intermediate Tax Free Fund [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS Letter to the Shareholders 1 JPMorgan Tax Free Income Fund Fund Commentary 3 JPMorgan Intermediate Tax Free Income Fund Fund Commentary 5 JPMorgan New York Intermediate Tax Free Income Fund Fund Commentary 7 JPMorgan New Jersey Tax Free Income Fund Fund Commentary 9 JPMorgan California Intermediate Tax Free Fund Fund Commentary 11 Portfolio of Investments 13 Financial Statements 51 Notes to Financial Statements 57 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. - U.S. companies express concern about business conditions for the rest of 2001. NOT FDIC INSURED May lose value / No bank guarantee JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN TAX FREE FUNDS LETTER TO THE SHAREHOLDERS October 9, 2001 Dear Shareholder: Like people everywhere, we here at JPMorgan Fleming 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 thinking on our website 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 Tax Free Funds includes in-depth information on some of our tax free fixed income funds, along with updates from the portfolio management team, 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. Investors, seeking a safe haven from the volatility in the equities market, moved some of the assets into the municipal bond market. Faced with the risk of a recession and the threat of inflation, the Federal Reserve Board shifted monetary policy to an easing bias 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. RENEWED INTEREST IN MUNICIPAL BONDS In response to the Fed's more accommodative monetary policy, the municipal bond market staged a rally during the first half of 2001. Investors also snapped up new supply, made available by issuers who refinanced their outstanding debt at substantially lower rates. 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 how much of an impact they will have. 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. In this environment, municipal securities are particularly attractive to many investors. 1 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. As a result, JPMorgan California Intermediate Tax Free Fund was acquired by J.P. Morgan California Bond Fund at the close of business on September 7, 2001. In these challenging times, your portfolio managers are doing an excellent job, maintaining good performance. They will continue to focus on current income, 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 JPMorgan Fleming 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 TAX FREE INCOME FUND AS OF AUGUST 31, 2001 (UNAUDITED) HOW THE FUND PERFORMED JPMorgan Tax Free Income Fund, which seeks to provide tax-exempt income through higher-quality municipal bonds, had a total return of 10.00% (Class I shares, without sales charges) for the year ended August 31, 2001. This compares with 10.19% for the Lehman Municipal Bond Index. HOW THE FUND WAS MANAGED As the period began, there was some concern by the Federal Reserve Board that interest rate increases were contributing to a slowdown in the U.S. economy. In December, the Fed moved to an easing stance, cut interest rates twice in January, and by the end of the reporting period, the Fed Funds rate was 3% lower. The 10-year Treasury rate decreased by approximately 1% and the 10-year municipal rate (AAA-rated general obligation debt) by .60%. Interest in municipal securities remained strong as investors sought a safe haven from ongoing equity market volatility. Buyers chose short-term issues causing the yield curve to steepen by nearly one percent. New issue supply picked up dramatically in the first quarter of 2001 as many issuers chose to refinance their outstanding debt at substantially lower rates. At the beginning of the period, the management team maintained a long duration position in anticipation of lower rates, which helped performance as interest rates fell. They purchased discount coupon bonds when available, which boosted performance in the fourth quarter of 2000. As the bond market rallied in response to the Fed's more accomodating monetary policy during the first half of 2001, the management team shortened duration and began moving towards a more neutral position. They also took advantage of the opportunity to upgrade the credit quality of the portfolio as the compression in yields between bonds of higher and lower quality persisted. Because the management team reduced exposure to California in November in response to what they believed to be overvalued price levels, the Fund was well positioned to buy during the selloff in California bonds that accompanied the electric utility deregulation crisis. Only issues of extremely high quality and unrelated to the state's electric utility crisis were purchased as their yields became greater than those available in the national market. By early summer, when stability returned, these securities had appreciated between 20 and 30 basis points. LOOKING AHEAD Uncertainty about the economy and continued stock market volatility could further increase municipal demand and drive up prices. The management team expects the Fed to continue to cut short-term interest rates in light of the ongoing economic slowdown. If the U.S. economy strengthens, they will look for opportunities to move to a shorter duration. They also anticipate an increase in supply towards the end of 2001 if current rate levels remain. They continue to believe that the municipal asset class will be a strong performer on an after-tax basis. 3 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEARS 10 YEARS ------ ------- -------- CLASS A SHARES WITHOUT SALES CHARGE 9.99% 6.50% 6.76% WITH SALES CHARGE 5.12% 5.52% 6.27% CLASS B SHARES WITHOUT CDSC 9.65% 6.43% 6.73% WITH CDSC 4.65% 6.12% 6.73% CLASS I SHARES 10.00% 6.50% 6.76%
10-YEAR PERFORMANCE (8/31/91 TO 8/31/01) [CHART]
JPMORGAN TAX FREE LEHMAN LIPPER GENERAL INCOME FUND (CLASS I) MUNI BOND INDEX MUNI DEBT FUNDS INDEX --------------------- --------------- --------------------- 8/91 $10,000 $10,000 $10,000 9/91 $10,125 $10,130 $10,135 10/91 $10,248 $10,221 $10,229 11/91 $10,258 $10,250 $10,242 12/91 $10,436 $10,470 $10,487 1/92 $10,479 $10,494 $10,481 2/92 $10,488 $10,497 $10,496 3/92 $10,480 $10,502 $10,501 4/92 $10,580 $10,595 $10,600 5/92 $10,689 $10,720 $10,747 6/92 $10,885 $10,900 $10,949 7/92 $11,229 $11,227 $11,333 8/92 $11,112 $11,118 $11,152 9/92 $11,173 $11,191 $11,197 10/92 $11,040 $11,081 $11,000 11/92 $11,277 $11,279 $11,279 12/92 $11,388 $11,394 $11,421 1/93 $11,537 $11,526 $11,556 2/93 $11,898 $11,944 $12,019 3/93 $11,857 $11,817 $11,881 4/93 $11,929 $11,936 $12,007 5/93 $11,994 $12,003 $12,071 6/93 $12,141 $12,204 $12,283 7/93 $12,157 $12,220 $12,276 8/93 $12,378 $12,436 $12,552 9/93 $12,571 $12,578 $12,696 10/93 $12,575 $12,602 $12,717 11/93 $12,488 $12,491 $12,588 12/93 $12,678 $12,754 $12,840 1/94 $12,790 $12,900 $12,981 2/94 $12,549 $12,566 $12,663 3/94 $12,261 $12,054 $12,134 4/94 $12,225 $12,157 $12,174 5/94 $12,279 $12,262 $12,281 6/94 $12,236 $12,188 $12,204 7/94 $12,354 $12,411 $12,413 8/94 $12,434 $12,454 $12,453 9/94 $12,326 $12,271 $12,260 10/94 $12,153 $12,053 $12,026 11/94 $11,874 $11,834 $11,778 12/94 $12,186 $12,095 $12,064 1/95 $12,461 $12,441 $12,431 2/95 $12,748 $12,803 $12,802 3/95 $12,884 $12,950 $12,919 4/95 $12,979 $12,965 $12,919 5/95 $13,246 $13,379 $13,332 6/95 $13,164 $13,263 $13,182 7/95 $13,277 $13,389 $13,268 8/95 $13,356 $13,559 $13,419 9/95 $13,402 $13,644 $13,504 10/95 $13,607 $13,842 $13,717 11/95 $13,777 $14,072 $13,990 12/95 $13,946 $14,207 $14,151 1/96 $14,056 $14,315 $14,219 2/96 $14,056 $14,217 $14,116 3/96 $13,826 $14,035 $13,901 4/96 $13,781 $13,996 $13,842 5/96 $13,785 $13,991 $13,850 6/96 $13,901 $14,143 $13,979 7/96 $14,025 $14,270 $14,099 8/96 $14,048 $14,267 $14,092 9/96 $14,228 $14,467 $14,308 10/96 $14,392 $14,631 $14,467 11/96 $14,632 $14,898 $14,720 12/96 $14,517 $14,836 $14,658 1/97 $14,520 $14,864 $14,657 2/97 $14,635 $15,001 $14,786 3/97 $14,450 $14,801 $14,604 4/97 $14,590 $14,926 $14,729 5/97 $14,800 $15,151 $14,942 6/97 $14,940 $15,313 $15,118 7/97 $15,386 $15,737 $15,571 8/97 $15,223 $15,589 $15,394 9/97 $15,410 $15,775 $15,588 10/97 $15,505 $15,876 $15,691 11/97 $15,599 $15,969 $15,780 12/97 $15,839 $16,203 $16,036 1/98 $16,009 $16,370 $16,190 2/98 $16,002 $16,374 $16,190 3/98 $16,003 $16,389 $16,206 4/98 $15,902 $16,315 $16,107 5/98 $16,197 $16,573 $16,368 6/98 $16,243 $16,638 $16,427 7/98 $16,292 $16,679 $16,460 8/98 $16,591 $16,938 $16,717 9/98 $16,812 $17,150 $16,915 10/98 $16,760 $17,150 $16,855 11/98 $16,806 $17,210 $16,912 12/98 $16,866 $17,253 $16,942 1/99 $17,094 $17,458 $17,127 2/99 $16,981 $17,381 $17,031 3/99 $16,953 $17,406 $17,038 4/99 $17,027 $17,449 $17,086 5/99 $16,893 $17,348 $16,964 6/99 $16,599 $17,098 $16,696 7/99 $16,648 $17,160 $16,726 8/99 $16,485 $17,022 $16,527 9/99 $16,452 $17,029 $16,484 10/99 $16,260 $16,845 $16,255 11/99 $16,436 $17,024 $16,410 12/99 $16,316 $16,896 $16,254 1/00 $16,247 $16,822 $16,124 2/00 $16,445 $17,017 $16,353 3/00 $16,786 $17,388 $16,711 4/00 $16,687 $17,285 $16,595 5/00 $16,563 $17,195 $16,484 6/00 $16,989 $17,651 $16,910 7/00 $17,252 $17,896 $17,145 8/00 $17,493 $18,172 $17,414 9/00 $17,394 $18,078 $17,306 10/00 $17,576 $18,275 $17,486 11/00 $17,729 $18,413 $17,601 12/00 $18,224 $18,868 $18,055 1/01 $18,350 $19,055 $18,191 2/01 $18,447 $19,116 $18,276 3/01 $18,576 $19,288 $18,430 4/01 $18,244 $19,080 $18,172 5/01 $18,459 $19,286 $18,379 6/01 $18,614 $19,415 $18,531 7/01 $18,886 $19,702 $18,824 8/01 $19,242 $20,027 $19,163
Source: Lipper Analytical Services. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Sales charge for Class A Shares: 4.50%. Class B Shares CDSC: 5% for the one-year period, 2% for the five-year period and 0% for the ten-year period. Returns for Class I shares include performance of a predecessor account for the period dating back to 8/31/91, prior to the Fund's commencement of operations on 1/1/97. Returns for Class I shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. Class A and B Shares were introduced on 2/16/01. Performance is based on the historical expenses of the predecessor Class I Shares, which are lower than the expenses for Class A and B Shares. The Fund is currently waiving fees. The waiver may be terminated, which would reduce performance. The graph illustrates comparative performance of $10,000 (Class I), and assumes reinvestment of all distributions. Performance of the unmanaged average and index does not include sales charges, but includes reinvestment of all distributions. The Lehman Municipal Bond Index is a broad-based index that replicates the long-term, investment grade tax-exempt bond market. The Lipper Index consists of funds that invest in municipal bonds. Investors cannot invest directly in an index. Capital gains are subject to federal income tax, a portion of the Fund's income may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. 4 JPMORGAN INTERMEDIATE TAX FREE INCOME FUND AS OF AUGUST 31, 2001 (UNAUDITED) HOW THE FUND PERFORMED JPMorgan Intermediate Tax Free Income Fund, which seeks tax-exempt income primarily through municipal bonds, had a total return of 9.35% (Class I shares, without sales charges) for the year ended August 31, 2001. This compares with 9.65% for the Lehman Municipal Bond 3-10 Year Blended Index and 9.05% for the Lipper Intermediate Municipal Debt Funds Index. HOW THE FUND WAS MANAGED As the period began, there was some concern by the Federal Reserve that interest rate increases were contributing to a slowdown in the U.S. economy. In December, the Fed moved to an easing stance, cut interest rates twice in January, and by the end of the reporting period, the Fed Funds rate was 3% lower. The 10-year Treasury rate decreased by approximately 1% and the 10-year municipal rate (AAA-rated general obligation debt) by .60%. Interest in municipal securities remained strong as investors sought a safe haven from ongoing equity market volatility. Buyers chose short-term issues causing the yield curve to steepen by nearly one percent. New issue supply picked up dramatically in the first quarter of 2001 as many issuers chose to refinance their outstanding debt at substantially lower rates. At the beginning of the period, the management team maintained a long duration position in anticipation of lower rates, which helped performance as interest rates fell. They purchased discount coupon bonds when available, which boosted performance in the fourth quarter of 2000. As the bond market rallied in response to the Fed's more accommodative monetary policy during the first half of 2001, the management team shortened duration and began moving towards a more neutral position. They also took advantage of the opportunity to upgrade the credit quality of the portfolio as the compression in yields between bonds of higher and lower quality persisted. Because the management team reduced exposure to California in November in response to what they believed to be overvalued price levels, the Fund was well positioned to buy during the selloff in California bonds that accompanied the electric utility deregulation crisis. Only issues of extremely high quality and unrelated to the state's electric utility crisis were purchased as their yields became greater than those available in the national market. By early summer when stability returned, these securities had appreciated between 20 and 30 basis points. LOOKING AHEAD Uncertainty about the economy and continued stock market volatility could further increase municipal demand and drive up prices. The management team expects the Fed to continue to cut short-term interest rates in light of the ongoing economic slowdown. If the U.S. economy strengthens, they will look for opportunities to move to a shorter duration. They also anticipate an increase in supply in the third and fourth quarters of 2001 if current rate levels remain. The team continues to believe that the municipal asset class will be a strong performer on an after-tax basis. 5 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEARS 10 YEARS ------ ------- -------- CLASS I SHARES 9.35% 6.36% 6.73%
10-YEAR PERFORMANCE (8/31/91 TO 8/31/01) [CHART]
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND LEHMAN MUNI BOND LIPPER INTERMEDIATE (CLASS I) 3-10 YEAR BLENDED INDEX MUNI DEBT FUNDS INDEX ------------------------ ------------------------- ----------------------- 8/91 $10,000 $10,000 $10,000 9/91 $10,161 $10,153 $10,112 10/91 $10,252 $10,235 $10,201 11/91 $10,277 $10,253 $10,229 12/91 $10,487 $10,471 $10,433 1/92 $10,536 $10,493 $10,461 2/92 $10,492 $10,477 $10,471 3/92 $10,481 $10,462 $10,451 4/92 $10,581 $10,561 $10,532 5/92 $10,710 $10,685 $10,647 6/92 $10,894 $10,869 $10,796 7/92 $11,293 $11,226 $11,100 8/92 $11,127 $11,093 $10,987 9/92 $11,186 $11,185 $11,053 10/92 $11,035 $11,071 $10,954 11/92 $11,294 $11,274 $11,138 12/92 $11,400 $11,405 $11,236 1/93 $11,571 $11,596 $11,365 2/93 $12,005 $12,021 $11,706 3/93 $11,819 $11,845 $11,573 4/93 $11,907 $11,958 $11,666 5/93 $11,965 $12,000 $11,705 6/93 $12,155 $12,236 $11,864 7/93 $12,159 $12,267 $11,859 8/93 $12,402 $12,521 $12,070 9/93 $12,635 $12,675 $12,208 10/93 $12,624 $12,695 $12,228 11/93 $12,524 $12,591 $12,153 12/93 $12,744 $12,859 $12,352 1/94 $12,887 $13,017 $12,479 2/94 $12,580 $12,660 $12,215 3/94 $12,295 $12,177 $11,873 4/94 $12,319 $12,330 $11,923 5/94 $12,370 $12,409 $12,017 6/94 $12,328 $12,356 $11,982 7/94 $12,449 $12,563 $12,132 8/94 $12,505 $12,612 $12,178 9/94 $12,398 $12,442 $12,053 10/94 $12,228 $12,260 $11,920 11/94 $11,945 $12,029 $11,742 12/94 $12,239 $12,245 $11,917 1/95 $12,536 $12,562 $12,149 2/95 $12,849 $12,918 $12,401 3/95 $12,963 $13,092 $12,510 4/95 $13,052 $13,108 $12,538 5/95 $13,312 $13,524 $12,833 6/95 $13,236 $13,440 $12,793 7/95 $13,382 $13,637 $12,909 8/95 $13,502 $13,823 $13,036 9/95 $13,541 $13,911 $13,101 10/95 $13,722 $14,071 $13,225 11/95 $13,865 $14,260 $13,365 12/95 $14,000 $14,347 $13,451 1/96 $14,184 $14,492 $13,556 2/96 $14,154 $14,432 $13,514 3/96 $13,902 $14,253 $13,377 4/96 $13,881 $14,203 $13,353 5/96 $13,850 $14,164 $13,353 6/96 $13,932 $14,298 $13,436 7/96 $14,095 $14,435 $13,554 8/96 $14,079 $14,435 $13,560 9/96 $14,199 $14,584 $13,683 10/96 $14,351 $14,768 $13,817 11/96 $14,605 $15,066 $14,022 12/96 $14,526 $14,998 $13,984 1/97 $14,563 $15,057 $14,019 2/97 $14,683 $15,198 $14,124 3/97 $14,511 $14,995 $13,980 4/97 $14,606 $15,106 $14,053 5/97 $14,796 $15,320 $14,218 6/97 $14,945 $15,489 $14,349 7/97 $15,305 $15,924 $14,661 8/97 $15,192 $15,769 $14,548 9/97 $15,356 $15,970 $14,702 10/97 $15,452 $16,054 $14,773 11/97 $15,519 $16,128 $14,830 12/97 $15,719 $16,383 $15,020 1/98 $15,875 $16,565 $15,146 2/98 $15,864 $16,563 $15,154 3/98 $15,874 $16,552 $15,163 4/98 $15,794 $16,461 $15,093 5/98 $16,054 $16,740 $15,295 6/98 $16,091 $16,802 $15,347 7/98 $16,143 $16,829 $15,383 8/98 $16,420 $17,122 $15,604 9/98 $16,620 $17,377 $15,773 10/98 $16,628 $17,384 $15,777 11/98 $16,648 $17,384 $15,812 12/98 $16,750 $17,438 $15,863 1/99 $16,988 $17,705 $16,040 2/99 $16,863 $17,546 $15,955 3/99 $16,837 $17,537 $15,952 4/99 $16,887 $17,584 $15,997 5/99 $16,768 $17,461 $15,902 6/99 $16,488 $17,136 $15,686 7/99 $16,619 $17,251 $15,760 8/99 $16,609 $17,187 $15,687 9/99 $16,627 $17,246 $15,697 10/99 $16,552 $17,123 $15,587 11/99 $16,681 $17,310 $15,719 12/99 $16,656 $17,220 $15,649 1/00 $16,588 $17,149 $15,580 2/00 $16,678 $17,285 $15,700 3/00 $16,871 $17,622 $15,924 4/00 $16,799 $17,534 $15,857 5/00 $16,762 $17,430 $15,792 6/00 $17,120 $17,904 $16,118 7/00 $17,333 $18,151 $16,301 8/00 $17,528 $18,433 $16,504 9/00 $17,472 $18,348 $16,456 10/00 $17,619 $18,535 $16,592 11/00 $17,697 $18,635 $16,672 12/00 $18,082 $19,073 $17,007 1/01 $18,334 $19,319 $17,203 2/01 $18,365 $19,352 $17,258 3/01 $18,514 $19,516 $17,391 4/01 $18,317 $19,276 $17,234 5/01 $18,519 $19,487 $17,412 6/01 $18,648 $19,603 $17,520 7/01 $18,867 $19,872 $17,730 8/01 $19,177 $20,212 $17,998
Source: Lipper Analytical Services. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns include performance of a predecessor account for the period dating back to 8/31/91, prior to the Fund's commencement of operations on 1/1/97. Returns are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. The Fund is currently waiving fees. The waiver may be terminated, which would reduce performance. The graph illustrates comparative performance of $10,000 (Class I), and assumes reinvestment of all distributions. Performance of the unmanaged average and indices does not include sales charges, but includes reinvestment of all distributions. The Lehman Municipal Bond 3-10 year Blended Index replicates the 3, 5, 7 and 10 year term investment grade tax-exempt bond market. The Lipper Index consists of funds that invest in intermediate tax-exempt municipal bonds. Investors cannot invest directly in an index. Capital gains are subject to federal income tax, a portion of the Fund's income may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. 6 JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND AS OF AUGUST 31, 2001 (UNAUDITED) HOW THE FUND PERFORMED JPMorgan New York Intermediate Tax Free Income Fund, which seeks to provide tax-exempt income for New York residents through higher-quality, longer-term municipal bonds, had a total return of 9.68% (Class I shares, without sales charges) for the year ended August 31, 2001. This compares with 10.19% for the Lehman Municipal Bond Index. HOW THE FUND WAS MANAGED As the period began, the Federal Reserve was still in a tightening mode, although there was some concern that interest rate increases were contributing to a slowdown in the U.S. economy. In December, the Fed moved to an easing stance, then cut interest rates twice in January. By the end of the reporting period, interest rates were three percent lower than they were at the end of 2000. Interest in New York municipal securities remained strong as investors sought a safe haven from ongoing equity market volatility. As the Federal Reserve continued to ease monetary policy, buyers chose longer-term issues. Prices rose late in the period as investors snapped up existing supply following the flood of redemptions, maturities and coupon payments that typically occur in the spring and summer. As the yield curve began to flatten, the management team shortened duration and moved to a more neutral position. They upgraded the credit quality of the portfolio by purchasing more generic, insured issues. The team also bought discount coupon bonds when they were available. In addition, they made selective purchases of particularly attractive credits to take advantage of the higher prices these issues would command when they were sold. LOOKING AHEAD Uncertainty about the economy and continued stock market volatility may increase interest in municipal securities, driving up prices. If the U.S. economy strengthens, the management team will look for opportunities to move to a shorter duration. By the end of the period, the New York State budget had still not been passed. When it is finally approved, the management team expects the supply of municipals to increase as the appropriation debt is released. They hope to purchase some of those issues at attractive levels. 7 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEARS 10 YEARS ------ ------- -------- CLASS A SHARES WITHOUT SALES CHARGE 9.53% 6.34% 6.53% WITH SALES CHARGE 4.60% 5.36% 6.04% CLASS B SHARES WITHOUT CDSC 9.16% 6.27% 6.49% WITH CDSC 4.16% 5.95% 6.49% CLASS I SHARES 9.68% 6.37% 6.54%
10-YEAR PERFORMANCE (8/31/91 TO 8/31/01) [CHART]
JPMORGAN NEW YORK LIPPER NEW YORK INTERMEDIATE TAX FREE LEHMAN MUNI MUNI DEBT INCOME FUND (CLASS I) BOND INDEX FUNDS INDEX ----------------------- ------------- ----------------- 8/91 $10,000 $10,000 $10,000 9/91 $10,095 $10,130 $10,162 10/91 $10,237 $10,221 $10,264 11/91 $10,252 $10,250 $10,277 12/91 $10,462 $10,470 $10,488 1/92 $10,385 $10,494 $10,426 2/92 $10,431 $10,497 $10,467 3/92 $10,460 $10,502 $10,507 4/92 $10,557 $10,595 $10,626 5/92 $10,684 $10,720 $10,785 6/92 $10,962 $10,900 $11,010 7/92 $11,354 $11,227 $11,413 8/92 $11,175 $11,118 $11,245 9/92 $11,192 $11,191 $11,283 10/92 $11,039 $11,081 $11,101 11/92 $11,274 $11,279 $11,369 12/92 $11,412 $11,394 $11,516 1/93 $11,562 $11,526 $11,661 2/93 $11,968 $11,944 $12,116 3/93 $11,868 $11,817 $11,998 4/93 $11,986 $11,936 $12,125 5/93 $12,045 $12,003 $12,209 6/93 $12,204 $12,204 $12,414 7/93 $12,201 $12,220 $12,418 8/93 $12,437 $12,436 $12,685 9/93 $12,583 $12,578 $12,827 10/93 $12,561 $12,602 $12,850 11/93 $12,500 $12,491 $12,714 12/93 $12,699 $12,754 $12,974 1/94 $12,839 $12,900 $13,113 2/94 $12,506 $12,566 $12,789 3/94 $12,157 $12,054 $12,223 4/94 $12,127 $12,157 $12,229 5/94 $12,192 $12,262 $12,346 6/94 $12,139 $12,188 $12,263 7/94 $12,308 $12,411 $12,471 8/94 $12,364 $12,454 $12,519 9/94 $12,173 $12,271 $12,286 10/94 $11,989 $12,053 $12,028 11/94 $11,688 $11,834 $11,698 12/94 $11,961 $12,095 $12,012 1/95 $12,179 $12,441 $12,352 2/95 $12,541 $12,803 $12,749 3/95 $12,653 $12,950 $12,866 4/95 $12,732 $12,965 $12,883 5/95 $13,073 $13,379 $13,316 6/95 $12,946 $13,263 $13,140 7/95 $13,076 $13,389 $13,215 8/95 $13,199 $13,559 $13,369 9/95 $13,276 $13,644 $13,443 10/95 $13,457 $13,842 $13,671 11/95 $13,674 $14,072 $13,938 12/95 $13,806 $14,207 $14,082 1/96 $13,888 $14,315 $14,142 2/96 $13,840 $14,217 $14,013 3/96 $13,630 $14,035 $13,778 4/96 $13,588 $13,996 $13,720 5/96 $13,587 $13,991 $13,722 6/96 $13,693 $14,143 $13,866 7/96 $13,862 $14,270 $13,997 8/96 $13,845 $14,267 $13,967 9/96 $13,996 $14,467 $14,193 10/96 $14,130 $14,631 $14,335 11/96 $14,370 $14,898 $14,587 12/96 $14,229 $14,836 $14,518 1/97 $14,280 $14,864 $14,513 2/97 $14,403 $15,001 $14,648 3/97 $14,244 $14,801 $14,457 4/97 $14,353 $14,926 $14,584 5/97 $14,544 $15,151 $14,800 6/97 $14,671 $15,313 $14,951 7/97 $15,047 $15,737 $15,413 8/97 $14,887 $15,589 $15,231 9/97 $15,036 $15,775 $15,408 10/97 $15,125 $15,876 $15,500 11/97 $15,211 $15,969 $15,586 12/97 $15,433 $16,203 $15,849 1/98 $15,564 $16,370 $16,000 2/98 $15,561 $16,374 $15,998 3/98 $15,563 $16,389 $16,006 4/98 $15,475 $16,315 $15,883 5/98 $15,737 $16,573 $16,166 6/98 $15,780 $16,638 $16,238 7/98 $15,846 $16,679 $16,264 8/98 $16,133 $16,938 $16,538 9/98 $16,352 $17,150 $16,744 10/98 $16,308 $17,150 $16,681 11/98 $16,328 $17,210 $16,736 12/98 $16,429 $17,253 $16,767 1/99 $16,656 $17,458 $16,952 2/99 $16,535 $17,381 $16,854 3/99 $16,511 $17,406 $16,859 4/99 $16,553 $17,449 $16,904 5/99 $16,436 $17,348 $16,762 6/99 $16,154 $17,098 $16,476 7/99 $16,267 $17,160 $16,492 8/99 $16,194 $17,022 $16,274 9/99 $16,216 $17,029 $16,216 10/99 $16,094 $16,845 $15,937 11/99 $16,250 $17,024 $16,101 12/99 $16,198 $16,896 $15,938 1/00 $16,138 $16,822 $15,814 2/00 $16,290 $17,017 $16,051 3/00 $16,518 $17,388 $16,433 4/00 $16,457 $17,285 $16,305 5/00 $16,397 $17,195 $16,196 6/00 $16,748 $17,651 $16,648 7/00 $16,956 $17,896 $16,889 8/00 $17,172 $18,172 $17,151 9/00 $17,084 $18,078 $17,039 10/00 $17,245 $18,275 $17,230 11/00 $17,355 $18,413 $17,368 12/00 $17,789 $18,868 $17,875 1/01 $18,000 $19,055 $17,997 2/01 $18,053 $19,116 $18,060 3/01 $18,190 $19,288 $18,226 4/01 $18,001 $19,080 $18,009 5/01 $18,215 $19,286 $18,211 6/01 $18,352 $19,415 $18,356 7/01 $18,539 $19,702 $18,615 8/01 $18,845 $20,027 $18,913
Source: Lipper Analytical Services. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Sales charge for Class A Shares: 4.50%. Class B Shares CDSC: 5% for the one-year period, 2% for the five-year period and 0% for the ten-year period. Returns for Class I shares include performance of a predecessor account for the period dating back to 8/31/91, prior to the Fund's commencement of operations on 1/1/97. Returns for Class I shares are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. Class A and B Shares were introduced on 2/16/01. Performance is based on the historical expenses of the predecessor Class I Shares, which are lower than the expenses for Class A and B Shares. The Fund is currently waiving fees. The waiver may be terminated, which would reduce performance. The graph illustrates comparative performance of $10,000 (Class I), and assumes reinvestment of all distributions. Performance of the unmanaged average and index does not include sales charges, but includes reinvestment of all distributions. Comparison of Fund performance to the Lehman New York Municipal Bond Index is not presented as the Index lacks ten years of history. The Lehman Municipal Bond Index is a broad-based index that replicates the long-term, investment grade tax-exempt bond market. The Lipper Index consists of funds that invest in New York intermediate tax-exempt municipal bonds. Investors cannot invest directly in an index. Capital gains are subject to federal income tax, a portion of the Fund's income may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. 8 JPMORGAN NEW JERSEY TAX FREE INCOME FUND AS OF AUGUST 31, 2001 (UNAUDITED) HOW THE FUND PERFORMED JPMorgan New Jersey Tax Free Income Fund, which seeks to provide tax-exempt income for New Jersey residents through higher-quality municipal bonds, had a total return of 10.69% (Class I shares, without sales charges) for the year ended August 31, 2001. This compares with 10.19% for the Lehman Municipal Bond Index. HOW THE FUND WAS MANAGED As the period began, there was some concern by the Federal Reserve that interest rate increases were contributing to a slowdown in the U.S. economy. In December, the Fed moved to an easing stance, cut interest rates twice in January, and by the end of the reporting period the Fed Funds rate was 2.75% lower. The 10-year Treasury rate decreased by approximately 1% and the 10-year municipal rate (AAA-rated general obligation debt) by .60%. Interest in municipal securities remained strong as investors sought a safe haven from ongoing equity market volatility. Buyers chose short-term issues causing the yield curve to steepen by nearly one percent. New issue supply picked up dramatically in the first quarter of 2001 as many issuers chose to refinance their outstanding debt at substantially lower rates. At the beginning of the period, the management team maintained a long duration position in anticipation of lower rates, which helped performance as interest rates fell. They purchased discount coupon bonds when available, which boosted performance in the fourth quarter of 2000. As the bond market rallied in response to the Fed's more accomodating monetary policy during the first half of 2001, the management team shortened duration and began moving towards a more neutral position. They also took advantage of the opportunity to upgrade the credit quality of the portfolio as the compression in yields between bonds of higher and lower quality persisted. The management team also sold Puerto Rico bonds which were trading at high levels in line with California issues in the latter part of 2000 (income from Puerto Rico bonds is exempt from taxes in every state). With the proceeds, they purchased New Jersey bonds. To further benefit from falling rates, they began moving out of premium coupon bonds and into discount coupons given the latter's higher interest-rate sensitivity. This focus on discount coupon bonds proved beneficial in late 2000 and throughout the first two months of 2001. The Fund held its long duration into 2001 and continued to take advantage of high prices on Puerto Rico bonds by selling them and buying New Jersey bonds with 15- to 20-year maturities. LOOKING AHEAD Uncertainty about the economy and continued stock market volatility could further increase municipal demand and drive up prices. The management team expects the Fed to continue to cut short-term interest rates in light of the ongoing economic slowdown. If the U.S. economy strengthens, they will look for opportunities to move to a shorter duration. In fact, they believe that the sweet spot on the yield curve will be in the 15-17 year range and plan to continue to focus on that area. They also anticipate an increase in supply in the third and fourth quarters of 2001 if current rate levels remain. In their view, the municipal asset class will remain a strong performer on an after-tax basis. 9 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 5 YEARS 10 YEARS ------ ------- -------- CLASS I SHARES 10.69% 6.15% 6.63%
10-YEAR PERFORMANCE (8/31/91 TO 8/31/01) [CHART]
JPMORGAN NEW LIPPER NEW JERSEY TAX FREE LEHMAN LEHMAN 7-YEAR JERSEY MUNI DEBT INCOME FUND (CLASS I) MUNI BOND INDEX MUNI BOND INDEX FUNDS AVG. --------------------- --------------- --------------- ---------------- 8/91 $10,000 $10,000 $10,000 $10,000 9/91 $10,083 $10,130 $10,138 $10,116 10/91 $10,237 $10,221 $10,220 $10,201 11/91 $10,245 $10,250 $10,253 $10,213 12/91 $10,411 $10,470 $10,472 $10,429 1/92 $10,452 $10,494 $10,497 $10,435 2/92 $10,415 $10,497 $10,499 $10,455 3/92 $10,398 $10,502 $10,464 $10,449 4/92 $10,431 $10,595 $10,556 $10,533 5/92 $10,553 $10,720 $10,665 $10,697 6/92 $10,756 $10,900 $10,834 $10,874 7/92 $11,055 $11,227 $11,157 $11,248 8/92 $10,955 $11,118 $11,042 $11,092 9/92 $10,973 $11,191 $11,132 $11,127 10/92 $10,942 $11,081 $11,057 $10,916 11/92 $11,023 $11,279 $11,222 $11,206 12/92 $11,110 $11,394 $11,314 $11,350 1/93 $11,254 $11,526 $11,479 $11,485 2/93 $11,601 $11,944 $11,831 $11,931 3/93 $11,441 $11,817 $11,676 $11,782 4/93 $11,511 $11,936 $11,749 $11,917 5/93 $11,563 $12,003 $11,784 $11,998 6/93 $11,712 $12,204 $12,000 $12,212 7/93 $11,713 $12,220 $12,001 $12,220 8/93 $11,902 $12,436 $12,214 $12,489 9/93 $12,094 $12,578 $12,348 $12,628 10/93 $12,087 $12,602 $12,380 $12,636 11/93 $12,024 $12,491 $12,271 $12,501 12/93 $12,207 $12,754 $12,496 $12,761 1/94 $12,307 $12,900 $12,629 $12,899 2/94 $12,087 $12,566 $12,355 $12,545 3/94 $11,891 $12,054 $12,025 $11,981 4/94 $11,927 $12,157 $12,114 $12,029 5/94 $11,973 $12,262 $12,173 $12,122 6/94 $11,932 $12,188 $12,151 $12,044 7/94 $12,031 $12,411 $12,323 $12,260 8/94 $12,076 $12,454 $12,387 $12,311 9/94 $12,012 $12,271 $12,268 $12,109 10/94 $11,889 $12,053 $12,145 $11,868 11/94 $11,677 $11,834 $11,968 $11,600 12/94 $11,918 $12,095 $12,150 $11,916 1/95 $12,138 $12,441 $12,378 $12,263 2/95 $12,370 $12,803 $12,657 $12,586 3/95 $12,478 $12,950 $12,788 $12,696 4/95 $12,562 $12,965 $12,823 $12,705 5/95 $12,762 $13,379 $13,164 $13,093 6/95 $12,745 $13,263 $13,152 $12,958 7/95 $12,864 $13,389 $13,319 $13,039 8/95 $12,976 $13,559 $13,476 $13,176 9/95 $12,998 $13,644 $13,528 $13,258 10/95 $13,119 $13,842 $13,645 $13,453 11/95 $13,222 $14,072 $13,795 $13,687 12/95 $13,316 $14,207 $13,869 $13,829 1/96 $13,469 $14,315 $14,003 $13,903 2/96 $13,483 $14,217 $13,955 $13,787 3/96 $13,297 $14,035 $13,819 $13,576 4/96 $13,293 $13,996 $13,794 $13,525 5/96 $13,286 $13,991 $13,773 $13,540 6/96 $13,364 $14,143 $13,879 $13,667 7/96 $14,111 $14,270 $13,993 $13,798 8/96 $14,106 $14,267 $14,001 $13,786 9/96 $14,186 $14,467 $14,127 $13,961 10/96 $14,308 $14,631 $14,280 $14,102 11/96 $14,517 $14,898 $14,518 $14,336 12/96 $14,354 $14,836 $14,473 $14,276 1/97 $14,393 $14,864 $14,526 $14,284 2/97 $14,503 $15,001 $14,646 $14,400 3/97 $14,346 $14,801 $14,457 $14,229 4/97 $14,431 $14,926 $14,531 $14,345 5/97 $14,614 $15,151 $14,714 $14,529 6/97 $14,754 $15,313 $14,855 $14,664 7/97 $15,058 $15,737 $15,200 $15,069 8/97 $14,963 $15,589 $15,092 $14,915 9/97 $15,119 $15,775 $15,252 $15,088 10/97 $15,204 $15,876 $15,342 $15,171 11/97 $15,270 $15,969 $15,396 $15,254 12/97 $15,460 $16,203 $15,585 $15,480 1/98 $15,605 $16,370 $15,749 $15,621 2/98 $15,589 $16,374 $15,763 $15,612 3/98 $15,580 $16,389 $15,764 $15,618 4/98 $15,491 $16,315 $15,673 $15,530 5/98 $15,761 $16,573 $15,903 $15,774 6/98 $15,811 $16,638 $15,948 $15,834 7/98 $15,848 $16,679 $16,000 $15,858 8/98 $16,135 $16,938 $16,244 $16,109 9/98 $16,310 $17,150 $16,453 $16,302 10/98 $16,299 $17,150 $16,476 $16,266 11/98 $16,333 $17,210 $16,521 $16,316 12/98 $16,418 $17,253 $16,555 $16,343 1/99 $16,633 $17,458 $16,797 $16,519 2/99 $16,498 $17,381 $16,701 $16,420 3/99 $16,485 $17,406 $16,695 $16,428 4/99 $16,535 $17,449 $16,736 $16,468 5/99 $16,404 $17,348 $16,653 $16,354 6/99 $16,171 $17,098 $16,411 $16,091 7/99 $16,273 $17,160 $16,523 $16,129 8/99 $16,190 $17,022 $16,487 $15,920 9/99 $16,172 $17,029 $16,547 $15,864 10/99 $16,040 $16,845 $16,477 $15,613 11/99 $16,189 $17,024 $16,597 $15,777 12/99 $16,098 $16,896 $16,532 $15,597 1/00 $16,006 $16,822 $16,492 $15,471 2/00 $16,168 $17,017 $16,559 $15,663 3/00 $16,438 $17,388 $16,794 $16,006 4/00 $16,361 $17,285 $16,732 $15,894 5/00 $16,302 $17,195 $16,695 $15,776 6/00 $16,713 $17,651 $17,068 $16,199 7/00 $16,935 $17,896 $17,283 $16,437 8/00 $17,173 $18,172 $17,507 $16,682 9/00 $17,094 $18,078 $17,455 $16,572 10/00 $17,246 $18,275 $17,603 $16,734 11/00 $17,413 $18,413 $17,686 $16,840 12/00 $17,941 $18,868 $18,033 $17,293 1/01 $18,113 $19,055 $18,339 $17,422 2/01 $18,189 $19,116 $18,352 $17,509 3/01 $18,362 $19,288 $18,501 $17,658 4/01 $18,099 $19,080 $18,334 $17,452 5/01 $18,291 $19,286 $18,543 $17,626 6/01 $18,463 $19,415 $18,636 $17,785 7/01 $18,690 $19,702 $18,869 $18,043 8/01 $19,010 $20,027 $19,154 $18,326
Source: Lipper Analytical Services. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Returns include performance of a predecessor account for the period dating back to 8/31/91, prior to the Fund's commencement of operations on 1/1/97. Returns are adjusted to reflect historical expenses at the levels indicated (absent reimbursements) in the Expense Summary as disclosed in the prospectus at the Fund's commencement of operations. The account was not registered with the Securities and Exchange Commission and, therefore, was not subject to the investment restrictions imposed by law on registered mutual funds. If it had been registered, the performance may have been adversely affected. The Fund is currently waiving fees. The waiver may be terminated, which would reduce performance. The graph illustrates comparative performance of $10,000 (Class I), and assumes reinvestment of all distributions. Performance of the unmanaged average and indices does not include sales charges, but includes reinvestment of all distributions. Comparison of Fund performance to the Lehman Quality Intermediate Index is not presented as the Index lacks ten years of history. The Lehman Municipal Bond Index is a broad-based index that replicates the long-term, investment grade tax-exempt bond market. The Lehman 7-Year Municipal Bond Index replicates the intermediate-term, investment grade tax-exempt bond market. The Lipper Average consists of funds that invest in New Jersey tax-exempt municipal bonds. Investors cannot invest directly in an index. Capital gains are subject to federal income tax, a portion of the Fund's income may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. 10 JPMORGAN CALIFORNIA INTERMEDIATE TAX FREE FUND AS OF AUGUST 31, 2001 (UNAUDITED) HOW THE FUND PERFORMED JPMorgan California Intermediate Tax Free Fund, which seeks to provide current income exempt from federal and California personal income taxes, had a total return of 8.98% (Class A shares, without sales charges) for the year ended August 31, 2001. This compares with 8.50% for the Lehman California Intermediate Municipal Bond Index. After the reporting period ended, on September 7, 2001, the Fund was reorganized into the J.P. Morgan California Bond Fund. HOW THE FUND WAS MANAGED A change in the Federal Reserve Board's monetary policy, along with an energy crisis, contributed to volatility in the California municipal bond market. At the beginning of the reporting period, the Fed was still in a tightening mode, but as the U.S. economy continued to weaken, they moved to a long duration position in anticipation of lower interest rates. The final four months of 2000 were noteworthy for the compression in yields between bonds of higher and lower quality in a market with relatively little new supply. The management team took advantage by upgrading quality. Zero coupon bonds in the 10-15 year range had not compressed as much and, therefore, the management team focused its new purchases in these bonds. The Fund also sold some Puerto Rico and other territorial bonds (their income is exempt from California state income taxes) to go back into some California issues that were cheaper on a relative basis. The Fund's large cash position at the beginning of 2001 helped relative performance dramatically as the energy crunch turned into a full-scale crisis that caused California bonds to sharply underperform issues from other states. As California issues sold off, prices fell to relative levels not seen in many years, prompting the management team to begin carefully moving back into California issues. However, the Fund focused on revenue bonds whose payment of principal and interest is not expected to be affected by the energy crisis. The management team maintained the Fund's long duration position until late in the period. As the yield curve began to flatten, they moved to a neutral position. They were able to purchase issues from two major offerings, and upgraded the portfolio's credit quality by purchasing insured issues. They also bought attractively valued securities to take advantage of potential price appreciation. LOOKING AHEAD Uncertainty about the economy and continued stock market volatility may increase interest in municipal securities. This, in turn, may drive up bond prices. The management team expects the Fed to continue cutting short-term interest rates. If the U.S. economy strengthens, the management team will look for opportunities to move to a shorter duration. They will also consider buying California revenue bonds that have sold off during the crisis but have more secure payment streams. In addition, they expect $8.5 billion in municipals bonds to be issued in the market in the third quarter of 2001 and hope to purchase some of those issues at attractive prices. 11 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 5 YEARS 7/16/93 ------ ------- ---------- CLASS A SHARES WITHOUT SALES CHARGE 8.98% 6.42% 5.68% WITH SALES CHARGE 4.09% 5.45% 5.09%
LIFE OF FUND PERFORMANCE (7/16/93 TO 8/31/01) [CHART]
JPMORGAN CALIFORNIA LEHMAN CALIFORNIA LIPPER CALIFORNIA INTERMEDIATE TAX FREE LEHMAN INTERMEDIATE MUNI INTERMEDIATE MUNI FUND (CLASS A) MUNI BOND INDEX BOND INDEX DEBT FUNDS AVG. --------------------- --------------- ----------------- ----------------- 7/93 $9,550 $10,000 $10,000 $10,000 7/93 $9,485 $10,013 $10,009 $10,000 8/93 $9,644 $10,190 $10,195 $10,181 9/93 $9,750 $10,306 $10,311 $10,299 10/93 $9,780 $10,326 $10,320 $10,315 11/93 $9,705 $10,235 $10,237 $10,242 12/93 $9,809 $10,451 $10,419 $10,413 1/94 $9,935 $10,570 $10,549 $10,516 2/94 $9,740 $10,296 $10,307 $10,287 3/94 $9,455 $9,877 $10,020 $10,005 4/94 $9,474 $9,961 $10,082 $10,050 5/94 $9,552 $10,048 $10,150 $10,115 6/94 $9,533 $9,987 $10,129 $10,081 7/94 $9,653 $10,169 $10,260 $10,223 8/94 $9,695 $10,205 $10,321 $10,253 9/94 $9,617 $10,055 $10,222 $10,157 10/94 $9,488 $9,876 $10,125 $10,024 11/94 $9,390 $9,697 $9,973 $9,872 12/94 $9,492 $9,911 $10,091 $9,976 1/95 $9,698 $10,194 $10,305 $10,176 2/95 $9,936 $10,491 $10,569 $10,396 3/95 $10,030 $10,611 $10,682 $10,497 4/95 $10,043 $10,624 $10,709 $10,508 5/95 $10,304 $10,963 $10,999 $10,764 6/95 $10,202 $10,868 $10,962 $10,688 7/95 $10,298 $10,971 $11,108 $10,795 8/95 $10,427 $11,110 $11,236 $10,911 9/95 $10,480 $11,180 $11,296 $10,972 10/95 $10,617 $11,342 $11,402 $11,091 11/95 $10,787 $11,531 $11,546 $11,219 12/95 $10,852 $11,641 $11,593 $11,283 1/96 $10,940 $11,730 $11,717 $11,384 2/96 $10,885 $11,650 $11,695 $11,346 3/96 $10,765 $11,501 $11,565 $11,216 4/96 $10,752 $11,469 $11,546 $11,207 5/96 $10,750 $11,464 $11,531 $11,203 6/96 $10,848 $11,589 $11,618 $11,280 7/96 $10,926 $11,693 $11,718 $11,380 8/96 $10,947 $11,691 $11,725 $11,380 9/96 $11,058 $11,855 $11,838 $11,473 10/96 $11,177 $11,989 $11,975 $11,597 11/96 $11,343 $12,208 $12,184 $11,782 12/96 $11,308 $12,157 $12,182 $11,738 1/97 $11,339 $12,180 $12,230 $11,760 2/97 $11,426 $12,292 $12,322 $11,835 3/97 $11,284 $12,128 $12,170 $11,723 4/97 $11,352 $12,230 $12,231 $11,778 5/97 $11,479 $12,415 $12,404 $11,932 6/97 $11,570 $12,548 $12,524 $12,041 7/97 $11,893 $12,895 $12,828 $12,319 8/97 $11,763 $12,774 $12,728 $12,216 9/97 $11,878 $12,926 $12,863 $12,338 10/97 $11,931 $13,009 $12,913 $12,371 11/97 $11,976 $13,086 $12,950 $12,422 12/97 $12,152 $13,277 $13,099 $12,571 1/98 $12,305 $13,414 $13,251 $12,689 2/98 $12,300 $13,418 $13,279 $12,707 3/98 $12,273 $13,430 $13,256 $12,685 4/98 $12,185 $13,369 $13,181 $12,613 5/98 $12,388 $13,580 $13,367 $12,787 6/98 $12,433 $13,633 $13,403 $12,820 7/98 $12,467 $13,667 $13,470 $12,859 8/98 $12,681 $13,879 $13,691 $13,052 9/98 $12,908 $14,053 $13,911 $13,245 10/98 $12,854 $14,053 $13,914 $13,225 11/98 $12,885 $14,102 $13,963 $13,261 12/98 $12,891 $14,137 $13,964 $13,266 1/99 $13,073 $14,305 $14,148 $13,421 2/99 $12,997 $14,243 $14,093 $13,358 3/99 $12,989 $14,262 $14,131 $13,378 4/99 $13,032 $14,298 $14,124 $13,389 5/99 $12,936 $14,215 $14,049 $13,307 6/99 $12,721 $14,010 $13,851 $13,118 7/99 $12,790 $14,061 $13,981 $13,190 8/99 $12,717 $13,948 $13,931 $13,132 9/99 $12,759 $13,954 $14,020 $13,180 10/99 $12,646 $13,803 $13,928 $13,068 11/99 $12,808 $13,950 $14,042 $13,184 12/99 $12,739 $13,845 $13,913 $13,089 1/00 $12,747 $13,784 $13,992 $13,097 2/00 $12,884 $13,944 $14,069 $13,207 3/00 $13,080 $14,248 $14,276 $13,413 4/00 $13,034 $14,164 $14,167 $13,334 5/00 $12,990 $14,090 $14,206 $13,330 6/00 $13,324 $14,464 $14,525 $13,618 7/00 $13,469 $14,665 $14,724 $13,776 8/00 $13,733 $14,891 $14,954 $13,989 9/00 $13,659 $14,813 $14,869 $13,935 10/00 $13,779 $14,975 $14,956 $14,024 11/00 $13,856 $15,088 $15,024 $14,092 12/00 $14,159 $15,461 $15,264 $14,345 1/01 $14,336 $15,614 $15,536 $14,527 2/01 $14,351 $15,664 $15,533 $14,544 3/01 $14,401 $15,805 $15,603 $14,613 4/01 $14,156 $15,634 $15,319 $14,396 5/01 $14,378 $15,803 $15,585 $14,586 6/01 $14,513 $15,909 $15,663 $14,675 7/01 $14,689 $16,145 $15,920 $14,850 8/01 $14,967 $16,411 $16,213 $15,129
Source: Lipper Analytical Services. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Sales charge for Class A Shares: 4.50%. The graph illustrates comparative performance of $10,000 (Class A), assumes reinvestment of all distributions and includes a 4.50% sales charge. Performance of the unmanaged average and indices does not include sales charges, but includes reinvestment of all distributions. The Lehman Municipal Bond Index is a broad-based index that replicates the long-term, investment grade tax-exempt bond market. The Lehman California Intermediate Municipal Bond Index replicates the California intermediate-term, investment grade tax-exempt bond market. The Lipper Average consists of funds that invest in California intermediate-term, investment-grade municipal bonds. Investors cannot invest directly in an index. Capital gains are subject to federal income tax, a portion of the Fund's income may be subject to the Alternative Minimum Tax and some investors may be subject to certain state and local taxes. 12 JPMORGAN TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- 95.9% ALABAMA -- 0.5% $ 4,000 Jefferson County, Alabama, Sewer, Ser. D, Warrants, Rev., FGIC, 5.75%, 02/01/22 $ 4,222 ARIZONA -- 0.8% 5,300 Pima County, Arizona, Unified School District No. 1, Tucson, GO, FGIC, 7.50%, 07/01/10 6,712 ARKANSAS -- 0.6% 5,000 Arkansas State, Federal Highway Grant Anticipation, Ser. A, GO, 5.25%, 08/01/05 5,388 CALIFORNIA -- 11.1% 2,000 California State, GO, MBIA-IBC, 6.50%, 11/01/09 2,396 1,000 California State, Ser. B, GO, 10.00%, 08/01/02 1,065 1,000 California State, Veterans Bonds, Ser. AM, GO, 9.00%, 10/01/05 1,220 21,000 California Statewide Communities Development Authority, Sherman Oaks Project, Ser. A, Rev., AMBAC, 5.00%, 08/01/22 21,689 12,455 Contra Costa, California, Water District, Improvement Bond Act of 1915, Ser. K, Rev., FSA, 4.50%, 10/01/27 11,858 10,385 Contra Costa, California, Water District, Improvement Bond Act of 1915, Ser. K, Rev., FSA, 4.50%, 10/01/31 9,844 1,000 Fullerton University Foundation, California, Auxiliary Organization, Ser. A, Rev., MBIA, 5.75%, 07/01/30 1,093 15,000 Los Angeles, California, Department of Water & Power, Ser. A, Rev., 5.13%, 07/01/41 15,165 4,000 Los Angeles, California, Harbor Department, Rev., ^, 7.60%, 10/01/18 5,132 3,000 Modesto, California, Irrigation District Financing Authority, Ser. A, Rev., MBIA, 6.00%, 10/01/15 3,312 9,930 Pomona, California, Unified School District, Ser. A, GO, MBIA, 6.15%, 08/01/15 11,699 2,510 Riverside, California, Electric, Rev., FSA, 5.25%, 10/01/15 2,746 13,600 San Joaquin Hills, California, Transportation Corridor Agency Toll Road, Cabs, Senior Lien, Rev., ^, 0.00%, 01/01/24 4,426 2,800 South Orange County, California, Public Financing Authority, Special Tax, Senior Lien, Ser. A, @, MBIA, 6.20%, 09/01/13 3,044 -------- 94,689 COLORADO -- 2.6% 1,190 Adams County, Colorado, School District No. 12, GO, FGIC, 6.20%, 12/15/10 1,274 1,145 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/11 1,253 100 Colorado Water Resources & Power Development Authority, Drinking Water, Ser. A, Rev., 5.25%, 09/01/13 108
See notes to financial statements. 13 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED COLORADO -- CONTINUED $ 2,000 Denver, Colorado, City & County Airport, Ser. A, Rev., AMBAC, 6.00%, 11/15/17 $ 2,197 570 Douglas County, Colorado, Sales & Use Tax, Open Space, Rev., FSA, 5.35%, 10/15/14 614 6,000 Garfield, Pitkin & Eagle Counties, Colorado, School District No. Re 1 Roarge, GO, ^ , MBIA, 6.60%, 06/15/04 6,647 3,050 Platte River Power Authority, Colorado, Ser. DD, Rev., MBIA, 6.00%, 06/01/05 3,353 4,400 Platte River Power Authority, Colorado, Ser. DD, Rev., MBIA, 6.00%, 06/01/06 4,906 1,620 Platte River Power Authority, Colorado, Ser. DD, Rev., MBIA, 6.00%, 06/01/07 1,824 -------- 22,176 CONNECTICUT -- 4.1% 1,425 Connecticut State Housing Finance Authority, Housing Mortgage Finance Program, Ser. C1, Rev., 6.60%, 11/15/23 1,475 15,675 Connecticut State, Ser. B, GO, 5.00%, 06/15/06 16,881 11,375 Connecticut State, Ser. C, GO, 5.00%, 12/15/05 12,265 4,200 Mashantucket Western Pequot Tribe, Connecticut, Special Obligation, Sub Ser. A, Rev., 5.50%, 09/01/28 4,144 -------- 34,765 DELAWARE -- 0.7% 5,000 Delaware State, Economic Development Authority, Osteopathic Hospital Association of Delaware, Ser. A, Rev., ^, 6.90%, 01/01/18 6,130 FLORIDA -- 3.4% 2,200 Dade County, Florida, Special Obligation, Miami Beach Convention Center Project, Special Tax, ^, FGIC, 8.63%, 12/01/07 2,678 3,000 Florida State, Division of Bond Finance Dept., General Services, Department of Environmental Protection, Preservation 2000, Ser. A, Rev., FGIC, 5.38%, 07/01/11 3,293 3,670 Greater Orlando, Florida, Aviation Authority, Airport Facilities, Ser. A, Rev., FGIC, 6.50%, 10/01/12 3,868 3,205 Hillsborough County, Florida, Aviation Authority, Tampa International Airport, Ser. B, Rev., FGIC, 6.00%, 10/01/18 3,723 3,800 Lakeland, Florida, Electric & Water, First Lien, Ser. B, Rev., FSA, 6.05%, 10/01/14 4,455 3,130 Orange County, Florida, Health Facilities Authority, Ser. A, Rev., ^, MBIA, 6.25%, 10/01/12 3,718 1,295 Orange County, Florida, Health Facilities Authority, Ser. A, Rev., MBIA, 6.25%, 10/01/12 1,523 1,630 Orange County, Florida, Health Facilities Authority, Ser. C, Rev., ^, MBIA, 6.25%, 10/01/12 1,936
See notes to financial statements. 14 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED FLORIDA -- CONTINUED $ 680 Orange County, Florida, Health Facilities Authority, Ser. C, Rev., MBIA, 6.25%, 10/01/12 $ 800 2,505 Orange County, Florida, Tourist Development, Ser. A, GO, AMBAC, 6.50%, 10/01/10 2,656 495 Orange County, Florida, Tourist Development, Ser. A, Rev., ^, AMBAC, 6.50%, 10/01/10 526 -------- 29,176 GEORGIA -- 6.5% 5,000 Burke County, Georgia, Development Authority, PCR, Oglethorpe Power Co., Rev., ^, MBIA, 8.00%, 01/01/03 5,493 10,000 Dalton, Georgia, Development Authority, Rev., @, MBIA, 5.50%, 08/15/26 10,904 7,640 De Kalb County, Georgia, Housing Authority, Apartment Development, Fox Hollow Apartments, Rev., ^, 7.00%, 05/15/07 8,956 1,000 De Kalb County, Georgia, Water & Sewer Systems, Rev., 5.25%, 10/01/11 1,100 7,000 Georgia Municipal Electric Authority, Power, Ser. Z, Rev., MBIA-IBC, 5.50%, 01/01/20 7,683 15 Georgia State, Residential Finance Authority, Single Family Mortgage, Ser. A, Rev., 8.40%, 12/01/18 15 5,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Sales Tax, Second Indenture, Ser. A, Rev., ^, MBIA, 6.90%, 07/01/04 5,630 10,485 Metropolitan Atlanta Rapid Transit Authority, Georgia, Sales Tax, Ser. P, Rev., AMBAC, 6.25%, 07/01/20 12,515 3,110 Savannah, Georgia, Economic Development Authority, College of Art & Design Inc. Project, Rev., 6.60%, 10/01/15 3,329 -------- 55,625 HAWAII -- 0.7% 5,000 Honolulu, Hawaii, City & County, Ser. A, GO, 7.35%, 07/01/08 6,052 ILLINOIS -- 1.5% 75 Chicago, Illinois, O'Hare International Airport, Ser. A, Rev., 7.50%, 01/01/03 76 3,990 Cook County, Illinois, Community High School District No. 219, Niles Township, GO, FGIC, 8.00%, 12/01/15 5,427 594 Illinois Health Facilities Authority, Ser. A, Rev., ^, MBIA, 7.90%, 08/15/03 640 764 Illinois Health Facilities Authority, Ser. A, Rev., MBIA, 7.90%, 08/15/03 767 3,250 Illinois Housing Development Authority, Multi-Family Housing, Ser. 1991-A, Rev., 8.25%, 07/01/16 3,323 2,425 Regional Transportation Authority, Illinois, Rev., MBIA, 6.25%, 07/01/15 2,875 -------- 13,108
See notes to financial statements. 15 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED IOWA -- 0.6% $ 5,000 Muscatine, Iowa, Electric, Ser. A, Rev., AMBAC, +, 5.50%, 01/01/11 $ 5,472 KANSAS -- 0.2% 1,735 Johnson County, Kansas, Water District No. 001, Special Obligation, Rev., 5.00%, 12/01/10 1,881 KENTUCKY -- 1.1% 8,000 Louisville & Jefferson Counties, Kentucky, Metropolitan Sewer District, Sewer & Drain System, Ser. A, Rev., ^, AMBAC, 6.50%, 11/15/04 9,021 LOUISIANA -- 1.1% 2,000 Orleans Parish, Louisiana, School Board, Defeased, Rev., ^, MBIA, 8.85%, 02/01/06 2,446 2,000 Orleans Parish, Louisiana, School Board, Defeased, Rev., ^, MBIA, 8.90%, 02/01/07 2,523 4,000 Orleans Parish, Louisiana, School Board, GO, ^, FGIC, 7.50%, 09/01/05 4,648 -------- 9,617 MASSACHUSETTS -- 5.3% 3,500 Chelsea, Massachusetts, School Project Loan Act of 1948, GO, ^, AMBAC, 6.50%, 06/15/04 3,902 2,750 Haverhill, Massachusetts, Unlimited Tax, Ser. A, GO, ^, FGIC, 7.00%, 06/15/02 2,902 25,000 Massachusetts State, Construction Loan, Ser. C, GO, 5.25%, 12/01/07 27,391 9,000 Massachusetts State, Port Authority, Ser. B, Rev., FSA, 5.50%, 07/01/13 9,636 1,000 New England Education Loan Marketing Corp., Massachusetts Student Loan, Sub-Issue H, Rev., 6.90%, 11/01/09 1,130 -------- 44,961 MICHIGAN -- 0.7% 5,000 Michigan State, Strategic Fund LTD, Detroit Edison Co., Ser. CC, Rev., FRDO, AMBAC, 4.85%, 09/01/11 5,226 500 Wayne County, Michigan, Building Authority, Ser. A, GO, ^, 8.00%, 03/01/02 523 -------- 5,749 MISSISSIPPI -- 0.7% 5,500 Mississippi State, GO, 5.50%, 09/01/10 6,127 MISSOURI -- 0.2% 1,105 Sikeston, Missouri, Electric, Rev., MBIA, 6.00%, 06/01/16 1,286 NEVADA -- 0.0% 65 Nevada Housing Division, Single Family Housing, Ser. A-3, Rev., 8.20%, 10/01/19 66
See notes to financial statements 16 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED NEW HAMPSHIRE -- 0.4% $ 3,240 Manchester, New Hampshire, Housing & Redevelopment Authority, Ser. A, Rev., 6.75%, 01/01/15 $ 3,663 NEW JERSEY -- 4.4% 4,000 Essex County, New Jersey, General Improvement, GO, FGIC, 4.50%, 06/01/13 4,066 4,200 Freehold, New Jersey, Regional High School, GO, FGIC, 5.60%, 03/01/16 4,597 3,455 Middletown Township, New Jersey, Board of Education, GO, ^, @, MBIA, 5.80%, 08/01/07 3,878 5,215 New Jersey Economic Development Authority, Educational Testing Service, Ser. B, Rev., ^, MBIA, 6.25%, 05/15/25 5,877 1,500 New Jersey Sports & Exposition Authority, Rev., ^, 8.30%, 01/01/03 1,610 565 New Jersey Sports & Exposition Authority, Ser. A, Rev., ^, 6.50%, 03/01/02 588 2,905 New Jersey Sports & Exposition Authority, Ser. A, Rev., 6.50%, 03/01/19 3,015 1,500 New Jersey State, Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 5.70%, 07/01/28 1,447 5,000 New Jersey State, Highway Authority, Garden State Parkway, Rev., 6.20%, 01/01/10 5,800 1,000 New Jersey State, Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 1,145 5,000 New Jersey State, Transportation Trust Fund Authority, Transportation Systems, Ser. B, Rev., MBIA, 6.50%, 06/15/10 5,959 -------- 37,982 NEW MEXICO -- 0.7% 5,000 Bernalillo County, New Mexico, Gross Receipts, Tax, Ser. B, Rev., 5.70%, 04/01/27 5,655 NEW YORK -- 21.0% 410 New York City, New York, IDA, Civic Facility, Mt. St. Vincent College, Rev., 7.00%, 05/01/08 435 3,500 New York City, New York, IDA, IDR, Brooklyn Navy Yard Cogen Partners Project, Rev., 6.20%, 10/01/22 3,753 15,000 New York City, New York, Municipal Water Finance Authority, Ser. E, Rev., +, 5.00%, 06/15/26 14,873 2,850 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., 5.75%, 06/15/30 3,057 5,215 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev. FGIC, 5.50%, 06/15/23 5,404 2,000 New York City, New York, Ser. A, GO, 5.38%, 08/01/15 2,121
See notes to financial statements. 17 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED NEW YORK -- CONTINUED $12,000 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/08 $13,642 2,450 New York City, New York, Ser. A, GO, MBIA-IBC, 6.25%, 08/01/09 2,756 4,000 New York City, New York, Ser. B, GO, MBIA, 6.50%, 08/15/10 4,793 8,000 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., 5.50%, 11/01/24 8,452 9,000 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., 5.50%, 11/01/29 9,475 5,000 New York State, Dorm Authority, City University System, Ser. A, Rev., FSA, 5.75%, 07/01/13 5,742 1,500 New York State, Dorm Authority, Nursing Home, Ser. A, Rev., MBIA, 5.50%, 08/01/30 1,572 2,000 New York State, Dorm Authority, Pratt Institute, Rev., 6.00%, 07/01/28 2,189 4,500 New York State, Dorm Authority, University of Rochester, Ser. A, Rev., ^, 6.40%, 07/01/04 5,034 6,000 New York State, Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp., Ser. A, Rev., FGIC, 7.20%, 07/01/29 6,776 2,000 New York State, Environmental Facilities Corp., PCR, Ser. B, Rev., 7.10%, 09/15/11 2,028 2,650 New York State, Environmental Facilities Corp., PCR, Ser. D, Rev., 6.85%, 11/15/11 3,011 4,100 New York State, GO, ^, 6.30%, 09/15/02 4,344 395 New York State, Housing Finance Agency, Health Facilities, Monroe County, Ser. A, Rev., 7.63%, 05/01/05 402 4,000 New York State, Housing Finance Agency, State University Construction, Ser. A, Rev., ^, 7.90%, 11/01/06 4,580 2,780 New York State, Medical Care Facilities Finance Agency, Hospital and Nursing Home, Ser. C, Rev., ^, 6.25%, 08/15/12 3,061 2,000 New York State, Medical Care Facilities Finance Agency, Special Obligation, Mental Health Services Improvement Facilities, Ser. A, Rev., ^, 8.30%, 05/01/04 2,269 10,155 New York State, Mortgage Agency, Homeowner Mortgage, Ser. 85, Rev., 5.70%, 10/01/17 10,676 5,000 New York State, Ser. F, GO, 5.25%, 09/15/10 5,463 2,500 New York State, Urban Development Corp., Correctional Capital Facilities, Rev., MBIA-IBC, 5.70%, 01/01/27 2,656 1,175 Niagara, New York, Frontier Transportation Authority, Greater Buffalo International Airport, Ser. B, Rev., AMBAC, 5.75%, 04/01/04 1,254 6,270 Port Authority of New York & New Jersey, Consolidated Bonds 78th Ser., Rev., 6.50%, 04/15/11 6,483
See notes to financial statements. 18 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED NEW YORK -- CONTINUED $26,000 Port Authority of New York & New Jersey, Consolidated Bonds 93rd Ser., Rev., @, 6.13%, 06/01/94 $ 30,296 9,000 Triborough Bridge & Tunnel Authority, New York, Convention Center Project, Ser. E, Rev., 7.25%, 01/01/10 10,507 2,000 Utica, New York, IDA, Civic Facility, Munson-Williams-Proctor Institute Project, Ser. A, Rev., 5.38%, 07/15/19 2,096 -------- 179,200 NORTH DAKOTA -- 0.7% 5,000 Mercer County, North Dakota, PCR, Antelope Valley Station, Rev., AMBAC, 7.20%, 06/30/13 6,189 OHIO-- 1.7% 11,000 Cleveland, Ohio, Public Power System, First Mortgage, Ser. A, Rev., ^, @, MBIA, 7.00%, 11/15/04 12,553 2,000 Dublin, Ohio, Refunding & Public Improvement, Ser. A, GO, 5.25%, 12/01/14 2,145 -------- 14,698 OKLAHOMA -- 3.0% 4,260 Oklahoma Development Finance Authority, Samuel Roberts Noble Foundation, Inc., Rev., 5.00%, 05/01/09 4,543 4,810 Oklahoma Development Finance Authority, Samuel Roberts Noble Foundation, Inc., Rev., 5.50%, 05/01/11 5,225 1,960 Oklahoma Housing Finance Agency, Single Family Housing, Ser. B-2, Rev., 6.80%, 09/01/26 2,138 7,500 Oklahoma State, Turnpike Authority, Second Ser., Ser. A, Rev., FGIC, 5.25%, 01/01/13 8,051 5,000 Tulsa, Oklahoma, Metropolitan Utility Authority, Rev., MBIA, 5.75%, 09/01/19 5,272 -------- 25,229 OREGON -- 2.7% 5,780 Oregon State, Higher Education Building, Ser. A, GO, ^, 6.45%, 08/01/04 6,405 6,565 Portland, Oregon, Sewer Systems, Ser. A, Rev., FGIC, 5.00%, 06/01/15 6,723 3,795 Salem, Oregon, Hospital Facilities Authority, Salem Hospital, Rev., 5.25%, 08/15/14 3,973 5,000 Washington County, Oregon, Sewer Agency, Senior Lien, Ser. A, Rev., FGIC, 5.75%, 10/01/10 5,673 -------- 22,774
See notes to financial statements. 19 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED PENNSYLVANIA -- 3.2% $ 2,255 Allegheny County, Pennsylvania, Hospital Development Authority, South Hills Health, Ser. B, Rev., 6.75%, 05/01/25 $ 2,455 1,000 Allegheny County, Pennsylvania, IDA, Health Care Facilities, Presbyterian Senior Care, Rev., 5.75%, 01/01/23 827 3,180 Carbon County, Pennsylvania, IDA, Panther Creek Partners Project, Rev., 6.65%, 05/01/10 3,309 13,500 Delaware Valley, Pennsylvania, Regional Finance Authority, Local Government, Ser. A, Rev., AMBAC, 5.50%, 08/01/28 14,763 2,580 Pennsylvania State, Higher Educational Facilities Authority, Ser. T, Rev, AMBAC, 5.00%, 06/15/05 2,750 2,690 Pennsylvania State, Higher Educational Facilities Authority, Ser. T, Rev, AMBAC, 5.00%, 06/15/06 2,886 -------- 26,990 PUERTO RICO -- 5.5% 5,655 Puerto Rico Commonwealth, GO, MBIA, 6.00%, 07/01/16 6,687 5,000 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. B, Rev., 6.00%, 07/01/39 5,614 1,500 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. T, Rev., ^, 6.63%, 07/01/02 1,575 20,000 Puerto Rico Commonwealth, Public Finance Corp., Ser. A, Rev., MBIA, 5.00%, 08/01/29 20,232 60 Puerto Rico Commonwealth, Urban Renewal & Housing Corp., Rev., 7.88%, 10/01/04 61 5,000 Puerto Rico Electric Power Authority, Ser. Y, Rev., MBIA, 7.00%, 07/01/07 5,954 2,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 2,838 3,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, 6.25%, 07/01/11 3,585 -------- 46,546 SOUTH CAROLINA -- 3.2% 6,000 Richland County, South Carolina, School District No. 1, GO, 4.63%, 03/01/22 5,743 14,870 South Carolina State, Capital Improvement, State Highway, Ser. B, GO, 5.00%, 04/01/11 16,031 5,000 South Carolina State, Public Service Authority, Ser. A, Rev., AMBAC, 6.25%, 01/01/22 5,403 -------- 27,177 SOUTH DAKOTA -- 0.4% 3,000 Heartland Consumers Power District, South Dakota, Rev., ^, 7.00%, 01/01/16 3,579 100 South Dakota Housing Development Authority, Homeownership Mortgage, Ser. A, Rev., 5.88%, 05/01/12 104 -------- 3,683
See notes to financial statements. 20 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED TENNESSEE -- 0.7% $ 3,000 Knox County, Tennessee, Health, Educational & Housing Facilities Board, University Health Systems Inc., Rev., 5.63%, 04/01/29 $ 2,989 3,000 Metropolitan Government of Nashville & Davidson Counties, Tennessee, Water & Sewer, Rev., FGIC, 5.20%, 01/01/13 3,254 -------- 6,243 TEXAS -- 4.9% 6,500 Austin, Texas, Utility System, Rev., MBIA-IBC, 6.00%, 11/15/13 7,567 2,115 Dallas-Fort Worth, Texas, Regional Airport, Ser. A, FGIC, 7.38%, 11/01/08 2,373 2,945 Dallas-Fort Worth, Texas, Regional Airport, Ser. A, FGIC, 7.38%, 11/01/09 3,304 2,000 Dallas-Fort Worth, Texas, Regional Airport, Ser. A, FGIC, 7.38%, 11/01/11 2,241 2,500 Houston, Texas, Water Conveyance System, Ser. F, COP, AMBAC, 7.20%, 12/15/05 2,877 2,000 Houston, Texas, Water Conveyance System, Ser. F, COP, AMBAC, 7.20%, 12/15/06 2,343 5,000 Plano, Texas, Independent School District, GO, 5.25%, 02/15/15 5,270 14,540 Texas State, Public Finance Authority, Ser. A, GO, 5.25%, 10/01/11 15,897 -------- 41,872 UTAH -- 0.1% 1,000 Sevier County, Utah, Sevier School District, GO, ^, MBIA, 9.20%, 05/01/03 1,105 WASHINGTON-- 0.9% 7,000 Energy Northwest of Washington, Electric, Ser. B, Rev., MBIA, 5.50%, 07/01/18 7,558 250 Washington State, Public Power Supply System, Nuclear Project No. 1, Ser. B, Rev., 7.25%, 07/01/09 292 -------- 7,850 -------- Total Long-Term Municipal Securities $819,079 (Cost $765,376) --------
See notes to financial statements. 21 As of August 31, 2001 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE SHORT-TERM INVESTMENTS -- 4.1% MUNICIPAL SECURITIES -- 1.9% ALABAMA -- 0.4% $ 2,000 Stevenson, Alabama, Industrial Development Board, Environmental Improvement, Mead Corp. Project, Rev., FRDO, 2.60%, 09/04/01 $ 2,000 1,000 Stevenson, Alabama, Industrial Development Board, Environmental Improvement, Mead Corp. Project, Ser. B, Rev., FRDO, 2.60%, 09/04/01 1,000 -------- 3,000 CALIFORNIA -- 0.0% 100 California PCFA, PCR, OMS Equity Stanislaus Project, Resource Recovery, Rev., FRDO, 2.40%, 09/04/01 100 100 Irvine Ranch, California, Water District, Consolidated Bonds, Rev., FRDO, 2.35%, 09/04/01 100 -------- 200 MULTIPLE STATES -- 1.4% 11,700 Puttable Floating Option Tax-Exempt Receipts, Ser. PPT-34, 2.62%, 09/07/01 11,700 NEW JERSEY -- 0.1% 1,000 New Jersey Economic Development Authority, El Dorado Terminals, Ser. B, Rev., FRDO, 2.25%, 09/04/01 1,000 -------- Total Municipal Securities 15,900 (Cost $15,900) -------- SHARES MONEY MARKET FUNDS-- 2.2% 9,102 Provident Municipal Cash Money Market Fund 9,102 9,912 Provident Municipal Money Market Fund 9,912 -------- Total Money Market Funds 19,014 (Cost $19,014) -------- Total Short-Term Investments 34,914 (Cost $34,914) -------- Total Investments -- 100.0% $853,993 (Cost $800,290) --------
See notes to financial statements. 22 JPMorgan INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG-TERM MUNICIPAL SECURITIES -- 96.2% ---------------------------------------------------------------------------------- ALABAMA -- 1.4% $8,485 Alabama State, Public School & College Authority, Capital Improvement, Ser. D, Rev., 5.25%, 08/01/05 $ 9,130 1,000 Shelby County, Alabama, Board of Education, Capital Outlay School Warrants, AMBAC, 5.70%, 02/01/09 1,074 -------- 10,204 CALIFORNIA -- 4.4% 3,000 Alameda County, California, Ser. A, COP, MBIA 5.38%, 12/01/12 3,394 3,500 Alameda County, California, Ser. A, COP, MBIA, 5.38%, 12/01/13 3,943 5,000 Los Angeles County, California, Public Works Financing Authority, Regional Park & Open Space District, Ser. A, Rev., ^, @, MBIA-IBC, 6.00%, 10/01/04 5,602 5,000 Los Angeles, California, Department of Water & Power, Power Systems, Ser. A-A-1, Rev., 5.25%, 07/01/04 5,352 9,315 Los Angeles, California, Ser. A, GO, 5.00%, 09/01/1210,133 4,060 Riverside, California, Electric, Rev., FSA, 5.25%, 10/01/13 4,512 -------- 32,936 COLORADO -- 0.4% 3,000 Eagle, Garfield & Routt Counties, Colorado, School District No. 50-J, GO, ^, FGIC, 6.13%, 12/01/04 3,353 CONNECTICUT -- 0.7% 4,735 Connecticut State, Special Tax Obligation, Transportation Infrastructure, Ser. A, Rev., FGIC, 5.40%, 06/01/09 5,047 DELAWARE -- 0.4% 3,000 Delaware Transportation Authority, Transportation System, Rev., AMBAC, 6.00%, 07/01/05 3,304 FLORIDA -- 1.8% 4,775 Broward County, Florida, Resource Recovery, Wheelabrator South Broward, Rev., 5.00%, 12/01/07 5,023 2,000 Dade County, Florida, Aviation, Ser. B, Rev., AMBAC, 6.40%, 10/01/06 2,231 1,495 Florida State, Board of Education, Capital Outlay, Public Education, Ser. B, GO, 5.25%, 06/01/12 1,635 2,000 Florida State, Department of Corrections, Okeechobee Correctional, COP, AMBAC, 6.00%, 03/01/08 2,182 2,350 Miami-Dade County, Florida, Aviation, Ser. A, Rev., FGIC, 5.25%, 10/01/07 2,533 -------- 13,604 GEORGIA -- 1.0% 1,720 Forsyth County, Georgia, School District, GO, 5.00%, 07/01/12 1,856 5,000 Georgia Municipal Electric Authority, Ser. DD, Rev., @, MBIA-IBC, 7.00%, 01/01/08 5,896 -------- 7,752
See notes to financial statements. 23 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG-TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- HAWAII -- 0.3% $ 2,000 Honolulu, Hawaii, City & County, Ser. A, GO, 7.35%, 07/01/06 $ 2,344 ILLINOIS -- 12.1% 1,500 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, Capital Improvement Bonds, GO, ^, 7.00%, 01/01/08 1,766 10,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, Capital Improvement, GO, 5.50%, 12/01/12 11,175 5,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, GO, 5.50%, 12/01/08 5,541 10,025 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, GO, 5.50%, 12/01/09 11,139 7,200 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, GO, 5.95%, 12/01/07 8,139 6,055 Chicago, Illinois, O'Hare International Airport, Passenger Facilities Charge, Ser. A, Rev., AMBAC, 5.38%, 01/01/07 6,551 1,245 Chicago, Illinois, Park District, Harbor Facilities, Rev., 5.38%, 01/01/06 1,338 1,810 Illinois State, 1st Ser., GO, 5.25%, 08/01/05 1,944 2,565 Illinois State, 1st Ser., GO, 5.50%, 08/01/06 2,804 4,000 Illinois State, 1st Ser., GO, 5.50%, 08/01/07 4,395 1,320 Illinois State, GO, 5.50%, 08/01/06 1,419 10,000 Illinois State, GO, FSA, 5.50%, 04/01/10 10,925 2,000 Illinois State, GO, MBIA, 5.25%, 06/01/10 2,159 1,000 Regional Transportation Authority, Illinois, Ser. B, Rev., AMBAC, 6.40%, 06/01/12 1,189 8,120 Springfield, Illinois, Electric, Senior Lien, Rev., +, MBIA, 5.50%, 03/01/10 8,935 9,620 Springfield, Illinois, Electric, Senior Lien, Rev., +, MBIA, 5.50%, 03/01/11 10,631 -------- 90,050 INDIANA -- 2.6% 2,600 Indiana Municipal Power Agency, Power Supply Systems, Ser. B, Rev., MBIA, 5.63%, 01/01/05 2,795 5,500 Indiana Municipal Power Agency, Power Supply Systems, Ser. B, Rev., MBIA, 5.80%, 01/01/08 6,104 2,485 Indiana State, Office Building Commission Facilities, Ser. A, Rev., 5.00%, 07/01/04 2,617 7,315 Indianapolis, Indiana, Gas Utility, Distribution Systems, Ser. A, Rev., AMBAC, 5.75%, 08/15/08 8,165 -------- 19,681 IOWA -- 0.7% 5,000 Muscatine, Iowa, Electric, Ser. A, Rev., +, AMBAC, 5.50%, 01/01/09 5,450 KANSAS -- 0.3% 1,860 Johnson County, Kansas, Unified School District No. 233, Ser. B, GO, FGIC, 5.50%, 09/01/15 2,076
See notes to financial statements. 24 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- KENTUCKY -- 0.0% $ 275 Owensboro, Kentucky, Electric Light & Power, Rev., ^, 10.50%, 01/01/04 $ 291 LOUISIANA -- 0.5% 3,500 Lake Charles, Louisiana, Harbor & Terminal District, Reynolds Metals Co. Project, Rev., 5.50%, 05/01/06 3,593 MARYLAND -- 4.2% 3,335 Maryland State, Stadium Authority, Convention Center Expansion, Rev., AMBAC, 5.75%, 12/15/08 3,607 3,535 Maryland State, Stadium Authority, Convention Center Expansion, Rev., AMBAC, 5.80%, 12/15/09 3,813 15,640 Maryland State, State & Local Facilities Loan, Third Ser., GO, 5.80%, 10/15/08 16,853 6,500 Maryland State, Transportation Authority, Transportation Facilities Project, Special Obligation, Rev., 5.80%, 07/01/06 7,226 -------- 31,499 MASSACHUSETTS -- 5.2% 5,000 Chelsea, Massachusetts, School Project Loan Act of 1948, GO, ^, AMBAC, 5.90%, 06/15/04 5,494 2,045 Massachusetts Bay, Transportation Authority, General Transportation Systems, Ser. A, Rev., MBIA, 5.50%, 03/01/14 2,282 8,055 Massachusetts State, Construction Loan, Ser. C, GO, 5.00%, 12/01/06 8,702 3,000 Massachusetts State, Housing Finance Agency, Residential Development, Ser. C, Rev., 6.45%, 05/15/04 3,120 10,000 Massachusetts State, Turnpike Authority, Ser. A, Rev., ^, 5.00%, 01/01/13 10,715 2,000 Massachusetts State, Water Resources Authority, Ser. A, Rev., FSA, 5.50%, 08/01/13 2,240 3,000 Massachusetts State, Water Resources Authority, Ser. C, Rev., FGIC, 5.25%, 12/01/15 3,271 1,980 Southeastern Massachusetts, University Building Authority Project, Ser. A, Rev., AMBAC, 5.90%, 05/01/09 2,151 1,000 Southeastern Massachusetts, University Building Authority Project, Ser. A, Rev., AMBAC, 5.90%, 05/01/10 1,083 -------- 39,058 MICHIGAN -- 4.4% 2,030 Michigan State, Environmental Protection Program, GO, 5.50%, 11/01/04 2,187 10,750 Michigan State, Trunk Line, Ser. A, Rev., 5.25%, 11/01/13 11,742 3,565 Michigan State, Underground Storage Tank Financial Assurance Authority, Ser. I, Rev., AMBAC, 5.75%, 05/01/10 3,854 10,000 Wayne Charter County, Michigan, Airport, Ser. A, Rev., MBIA, 5.25%, 12/01/06 10,772
See notes to financial statements. 25 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- MICHIGAN -- CONTINUED $ 3,780 Wayne Charter County, Michigan, Airport, Ser. A, Rev., MBIA, 5.50%, 12/01/07 $ 4,130 -------- 32,685 MINNESOTA -- 0.5% 3,000 University of Minnesota, Ser. A, Rev., 5.75%, 07/01/153,416 MISSISSIPPI -- 0.9% 4,000 Mississippi State, Capital Improvements Issue, Ser. I, GO, 5.50%, 11/01/06 4,405 2,000 Mississippi State, GO, 5.75%, 12/01/12 2,291 -------- 6,696 MISSOURI -- 0.2% 1,105 Missouri State, Environmental Improvement & Energy Resources Authority, State Revolving Funds Program, Ser. B, Rev., 5.50%, 07/01/12 1,238 NEBRASKA -- 0.4% 2,635 American Public Energy Agency, Nebraska, Gas Supply, Public Gas Agency Project, Ser. A, Rev., AMBAC, 5.25%, 06/01/11 2,781 NEVADA -- 2.1% 2,415 Henderson, Nevada, Water & Sewer, Ser. A, GO, FGIC, 5.50%, 09/01/08 2,661 1,000 Nevada State, GO, 6.75%, 07/01/03 1,003 1,000 Nevada State, Municipal Bond Bank, Project No.20-23-A, GO, ^, 7.20%, 07/01/02 1,013 5,390 Nevada State, Ser. A, GO, 5.00%, 07/01/10 5,742 5,000 Nevada State, Ser. A, GO, 5.60%, 07/15/06 5,345 -------- 15,764 NEW JERSEY -- 8.0% 3,245 Elizabeth, New Jersey, GO, AMBAC, 6.25%, 08/15/08 3,602 10,000 New Jersey Building Authority, State Building, Rev., 5.75%, 06/15/09 11,159 955 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., MBIA, 5.80%, 07/01/08 1,042 8,800 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., MBIA, 5.80%, 07/01/09 9,603 7,000 New Jersey State, Transportation Trust Fund Authority, Ser. B, Rev., MBIA, 5.50%, 06/15/09 7,537 3,660 New Jersey State, Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/15 4,191 3,880 New Jersey State, Turnpike Authority, Rev., ^, 5.70%, 05/01/13 4,282 400 New Jersey State, Turnpike Authority, Rev., ^, 10.38%, 01/01/03 426
See notes to financial statements. 26 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- NEW JERSEY -- CONTINUED $ 3,895 New Jersey State, Turnpike Authority, Ser. G, Rev., ^, 5.75%, 01/01/09 $ 4,281 2,910 New Jersey Wastewater Treatment Trust, Ser. A, Rev., MBIA, 7.00%, 05/15/08 3,472 3,120 New Jersey Wastewater Treatment Trust, Ser. A, Rev., MBIA, 7.00%, 05/15/09 3,774 5,520 New Jersey Wastewater Treatment Trust, Ser. C, Rev., 6.88%, 06/15/07 6,479 -------- 59,848 NEW MEXICO -- 0.3% 2,075 Gallup, New Mexico, PCR, Plains Electric Generation, Rev., MBIA, 6.40%, 08/15/05 2,173 NEW YORK -- 7.8% 5,000 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev., FSA, 5.50%, 12/01/12 5,635 1,500 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev., FSA, 5.50%, 12/01/13 1,691 110 New York State, Dorm Authority, Pooled Capital Program, Rev., ^, FGIC, 7.80%, 12/01/05 112 770 New York State, Dorm Authority, St. John's University, Rev., AMBAC, 6.70%, 07/01/04 788 4,025 New York State, Dorm Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 4,536 1,500 New York State, Dorm Authority, State University Educational Facilities, Ser. A, Rev., FSA, 5.50%, 05/15/13 1,694 1,200 New York State, Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. D, Rev., 6.55%, 03/15/08 1,228 4,915 New York State, Housing Finance Agency, Housing Project Mortgage, Ser. A, Rev., FSA, 5.40%, 11/01/05 5,248 75 New York State, Medical Care Facilities, Finance Agency, Rev., ^, MBIA, 7.38%, 08/15/03 75 5,000 New York State, Ser. B, GO, 5.70%, 08/15/10 5,471 4,000 New York State, Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 04/01/10 4,412 3,385 New York State, Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.50%, 04/01/12 3,820 700 New York State, Thruway Authority, Highway & Bridge Trust Fund, Ser. B, Rev., ^, FGIC, 6.00%, 04/01/04 771 5,000 New York State, Thruway Authority, Service Contract, Local Highway & Bridge, Rev., 5.10%, 04/01/08 5,433 10,000 New York State, Thruway Authority, Service Contract, Local Highway & Bridge, Rev., 5.20%, 04/01/09 10,876 3,910 Port Authority of New York & New Jersey, Consolidated Bonds 112th Ser., Rev., 5.00%, 12/01/05 4,186 1,500 Suffolk County, New York, IDA, IDR, Nissequogue Cogen Partners Facility, Rev., 4.88%, 01/01/08 1,505
See notes to financial statements. 27 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 990 Westchester County, New York, IDA, Resource Recovery, Resco Co. Project, Ser. A, Rev., AMBAC, 5.60%, 07/01/07 $ 1,066 -------- 58,547 NORTH CAROLINA -- 0.6% 2,000 Cabarrus County, North Carolina, Installment Financing Contract, COP, 5.75%, 04/01/11 2,251 2,000 Cabarrus County, North Carolina, Installment Financing Contract, COP, 5.75%, 04/01/12 2,259 -------- 4,510 OHIO -- 2.2% 4,000 Montgomery County, Ohio, Solid Waste, Rev., MBIA, 5.50%, 11/01/10 4,302 1,000 Ohio State University, General Receipts, Ser. A, Rev., 5.75%, 12/01/13 1,119 1,000 Ohio State University, General Receipts, Ser. A, Rev., 5.75%, 12/01/14 1,111 3,360 Ohio State, Building Authority, State Facilities, Adult Correctional, Ser. A, Rev., ^, MBIA, 5.75%, 10/01/04 3,669 6,000 Ohio State, Turnpike Commission, Ser. A, Rev., ^, MBIA, 5.40%, 02/15/06 6,614 -------- 16,815 OKLAHOMA -- 0.7% 5,000 Oklahoma Development Finance Authority, Samuel Roberts Noble Foundation, Inc., Rev., 5.00%, 05/01/09 5,332 OREGON -- 1.3% 5,300 Oregon State, State Board of Higher Education, Ser. A, GO, ^, 6.00%, 08/01/06 6,029 3,000 Washington County, Oregon, School District No. 3, Hillsboro, GO, ^, MBIA, 6.00%, 11/01/05 3,337 -------- 9,366 PENNSYLVANIA -- 1.0% 2,990 Carbon County, Pennsylvania, IDA, Panther Creek Partners Project, Rev., 6.65%, 05/01/10 3,111 2,000 Pennsylvania State, Second Ser., GO, 5.00%, 08/01/09 2,154 1,750 Pennsylvania State, Turnpike Commission, Ser. T, Rev., +, FGIC, 5.00%, 12/01/04 1,861 -------- 7,126 PUERTO RICO -- 2.4% 10,000 Puerto Rico Commonwealth, GO, MBIA-IBC, 5.50%, 07/01/08 11,207 5,500 Puerto Rico Commonwealth, GO, MBIA-IBC, 5.50%, 07/01/09 6,188 845 Puerto Rico Industrial, Medical & Environmental PCFFA, Renasa Inc., Squibb Corp. Project, Rev., 6.50%, 07/01/04 848 -------- 18,243
See notes to financial statements. 28 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- SOUTH CAROLINA -- 0.6% $ 3,885 Charleston, South Carolina, Waterworks & Sewer, Capital Improvement, Rev., 5.13%, 01/01/11 $ 4,200 TENNESSEE -- 0.9% 5,335 Tennergy Corp., Tennessee, Gas, Rev., MBIA, 5.00%, 06/01/09 5,522 1,000 Tennessee State, Ser. A, GO, 5.00%, 05/01/13 1,068 -------- 6,590 TEXAS -- 8.8% 2,000 Austin, Texas, Independent School District, Public Property Finance Contractual Obligation, GO, MBIA, 5.25%, 02/01/08 2,164 5,255 Austin, Texas, Utility Systems, Rev., MBIA-IBC, 5.80%, 11/15/06 5,846 6,200 Dallas, Texas, Civic Center, Improvement, Rev., MBIA, 5.25%, 08/15/07 6,737 4,845 Dallas, Texas, GO, 5.00%, 02/15/09 5,200 6,220 Harris County, Texas, GO, 5.88%, 10/01/07 6,979 8,675 Houston, Texas, Ser. A, GO, 5.50%, 03/01/08 9,512 4,975 Houston, Texas, Water & Sewer Systems, Ser. B, Rev., MBIA-IBC, 6.40%, 12/01/09 5,293 1,520 Katy, Texas, Independent School District, Ser. A, GO, 5.00%, 02/15/11 1,621 7,500 Texas State, Ser. A, GO, @, 6.00%, 10/01/09 8,572 1,320 Texas Water Development Board, State Revolving Fund, Senior Lien, Rev., 6.20%, 07/15/05 1,386 4,700 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.00%, 07/15/07 5,048 3,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.25%, 07/15/09 3,238 1,000 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. A, Rev., 5.63%, 07/15/11 1,102 3,175 Texas Water Development Board, State Revolving Fund, Senior Lien, Ser. B, Rev., 5.25%, 07/15/08 3,446 -------- 66,144 UTAH -- 1.6% 3,800 Intermountain Power Agency, Utah, Power Supply, Ser. B, Rev., MBIA, 6.50%, 07/01/10 4,476 2,850 Salt Lake City, Utah, GO, 5.50%, 06/15/11 3,155 3,915 Utah State, Building Ownership Authority, State Facilities Master Lease Program, Ser. C, Rev., FSA, 5.50%, 05/15/08 4,298 -------- 11,929 VERMONT -- 1.7% 4,100 Burlington, Vermont, Electric, Ser. A, Rev., MBIA, 6.38%, 07/01/09 4,779 3,510 Vermont State, Ser. A, GO, ^, 6.40%, 01/15/05 3,938 3,510 Vermont State, Ser. A, GO, ^, 6.50%, 01/15/05 3,949 -------- 12,666
See notes to financial statements. 29
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- LONG TERM MUNICIPAL SECURITIES -- CONTINUED ---------------------------------------------------------------------------------- VIRGIN ISLANDS -- 1.5% $ 2,500 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 $ 2,701 5,000 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.50%, 10/01/06 5,337 3,070 Virgin Islands Water & Power Authority, Electric Systems, Rev., 5.25%, 07/01/07 3,233 -------- 11,271 VIRGINIA -- 4.9% 5,515 Chesapeake Bay Bridge & Tunnel Commission, Virginia, General Resolution, Rev., FGIC, 5.75%, 07/01/08 6,015 20,955 Fairfax County, Virginia, Public Improvement, Ser. A, GO, 4.50%, 06/01/04 21,869 3,135 Virginia Commonwealth, Transportation Board, Federal Highway Reimbursement Anticipation Notes, Rev., 5.50%, 10/01/06 3,458 5,000 Virginia State, Public School Authority, School Financing, Ser. A, Rev., 5.00%, 08/01/11 5,337 -------- 36,679 WASHINGTON -- 2.2% 10,000 Energy Northwest of Washington, Electric, Ser. B, Rev., MBIA, 5.50%, 07/01/18 10,797 5,000 Washington State, Ser. B, GO, 5.00%, 01/01/07 5,334 -------- 16,131 WISCONSIN -- 5.2% 3,025 Milwaukee County, Wisconsin, Corporate Purpose, Ser. A, GO, 5.38%, 09/01/05 3,274 2,350 Milwaukee County, Wisconsin, Corporate Purpose, Ser. A, GO, 5.63%, 09/01/10 2,609 5,000 Wisconsin State, Clean Water, Ser. 2, Rev., 5.50%, 06/01/11 5,579 6,000 Wisconsin State, GO, 6.20%, 05/01/06 6,725 1,000 Wisconsin State, GO, 6.25%, 05/01/12 1,179 2,775 Wisconsin State, Ser. 1, GO, 5.00%, 11/01/07 2,991 6,275 Wisconsin State, Ser. 1, GO, 5.50%, 11/01/11 7,016 4,450 Wisconsin State, Ser. 3, GO, 5.20%, 11/01/09 4,851 4,040 Wisconsin State, Transportation, Ser. A, Rev., 5.00%, 07/01/05 4,302 -------- 38,526 ---------------------------------------------------------------------------------- Total Long-Term Municipal Securities (Cost $677,038) 718,918 ---------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 3.8% ---------------------------------------------------------------------------------- Municipal Securities -- 0.2% ---------------------------- CALIFORNIA -- 0.2% 100 California PCFA, PCR, OMS Equity Stanislaus Project, Resource Recovery, Rev., FRDO, 2.40%, 09/04/01 100 200 Irvine Ranch, California, Water District, Capital Improvement Project, COP, FRDO, 2.30%, 09/04/01 200
See notes to financial statements. 30 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED ---------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,000 Irvine Ranch, California, Water District, District No. 102, 103, 105 & 106, GO, FRDO, 2.30%, 09/04/01 $ 1,000 100 Irvine Ranch, California, Water District, District No. 105, 140, 240 & 250, GO, FRDO, 2.30%, 09/04/01 100 100 Irvine Ranch, California, Water District, District No. 182, Ser. A, GO, FRDO, 2.30%, 09/04/01 100 100 Los Angeles, California, Regional Airports Improvement Corp., Los Angeles International Airport Terminal Facility, Rev., FRDO, 2.55%, 09/04/01 100 -------- 1,600 NEW YORK -- 0.0% 100 Port Authority of New York & New Jersey, Special Obligation, Versatile Structure Obligation, Ser. 6, Rev., FRDO, 2.60%, 09/04/01 100 ---------------------------------------------------------------------------------- Total Municipal Securities (Cost $1,700) 1,700 ---------------------------------------------------------------------------------- SHARES Money Market Funds-- 3.6% ------------------------- 13,288 Provident Municipal Cash Money Market Fund 13,288 13,782 Provident Municipal Money Market Fund 13,782 ---------------------------------------------------------------------------------- Total Money Market Funds (Cost $27,070) 27,070 ---------------------------------------------------------------------------------- Total Short-Term Investments (Cost $28,770) 28,770 ---------------------------------------------------------------------------------- Total Investments -- 100.0% (Cost $705,808) $747,688 ----------------------------------------------------------------------------------
See notes to financial statements. 31 JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long-Term Municipal Securities-- 86.8% New York-- 79.3% $2,000 Albany County, New York, Airport Authority, Rev., FSA, 5.30%, 12/15/15 $ 2,122 1,120 Allegany County, New York, IDA, Civic Facility, Alfred University, Rev., MBIA, 5.25%, 08/01/11 1,227 1,175 Amherst, New York, IDA, Civic Facility, Faculty-Student Housing Corp., Ser. A, Rev., AMBAC, 5.50%, 08/01/15 1,302 1,000 Amherst, New York, IDA, Civic Facility, Faculty-Student Housing Corp., Ser. B, Rev., 5.50%, 08/01/15 1,108 1,290 Amherst, New York, IDA, Civic Facility, Faculty-Student Housing, Ser. B, Rev., AMBAC, 5.75%, 08/01/15 1,452 150 Arkport, New York, Central School District, GO, FSA, 5.20%, 06/15/09 164 50 Arkport, New York, Central School District, GO, FSA, 5.20%, 06/15/10 54 500 Attica, New York, Central School District, GO, FSA, 5.00%, 06/15/15 522 420 Barker, New York, Central School District, GO, AMBAC, 5.13%, 06/01/04 445 480 Barker, New York, Central School District, GO, AMBAC, 5.15%, 06/01/06 519 2,000 Battery Park City Authority, New York, Ser. A, Rev., AMBAC, 5.50%, 11/01/26 2,085 1,040 Beacon, New York, City School District, GO, MBIA, 5.50%, 07/15/11 1,164 250 Brentwood, New York, Union Free School District, GO, FSA, 5.63%, 06/15/11 281 100 Brentwood, New York, Union Free School District, GO, FSA, 5.63%, 06/15/12 112 650 Brentwood, New York, Union Free School District, GO, FSA, 5.63%, 06/15/13 723 1,085 Brookhaven, New York, Public Improvement, GO, AMBAC, 5.30%, 11/15/11 1,211 590 Burnt Hills-Ballston Lake, New York, Central School District, GO, FGIC, 5.40%, 07/15/16 636 305 Burnt Hills-Ballston Lake, New York, Central School District, GO, FGIC, 5.50%, 07/15/17 329 375 Burnt Hills-Ballston Lake, New York, Central School District, GO, FGIC, 5.50%, 07/15/18 403 250 Chenango Forks, New York, Central School District, GO, FGIC, 5.63%, 06/15/11 281 850 Chenango Forks, New York, Central School District, GO, FGIC, 5.70%, 06/15/12 957 1,655 Cleveland Hill, New York, Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/13 1,833 1,730 Cleveland Hill, New York, Union Free School District, Cheektowaga, GO, FGIC, 5.50%, 10/15/14 1,902 175 Colonie, New York, Public Improvement, Ser. B, GO, 5.20%, 04/01/04 185 375 Colonie, New York, Public Improvement, Ser. B, GO, 5.20%, 04/01/05 401 565 Dutchess County, New York, Public Improvement, GO, +, 5.00%, 05/01/08 614
See notes to financial statements. 32 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $ 185 East Meadow, New York, Fire District, GO, FSA, 5.30%, 04/01/04 $ 196 250 East Meadow, New York, Fire District, GO, FSA, 5.30%, 04/01/05 268 250 East Meadow, New York, Fire District, GO, FSA, 5.30%, 04/01/06 271 885 Erie County, New York, Public Improvement, GO, FGIC, 6.00%, 01/15/05 912 855 Erie County, New York, Ser. B, GO, FGIC, 6.00%, 03/15/06 887 1,695 Erie County, New York, Water Authority, Improvement & Extension, Rev., ^, 5.75%, 12/01/08 1,860 1,050 Goshen, New York, Central School District, GO, FGIC, 5.00%, 06/15/16 1,118 1,050 Goshen, New York, Central School District, GO, FGIC, 5.00%, 06/15/17 1,111 1,050 Goshen, New York, Central School District, GO, FGIC, 5.00%, 06/15/18 1,105 1,000 Goshen, New York, Central School District, GO, FGIC, 5.00%, 06/15/19 1,046 540 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/02 549 550 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/03 568 400 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/07 422 400 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/08 421 535 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/09 562 675 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/10 707 575 Gowanda, New York, Central School District, School Improvement, GO, MBIA, 4.50%, 06/15/11 600 1,070 Lindenhurst, New York, Union Free School District, GO, FGIC, 5.25%, 07/15/12 1,170 1,295 Lindenhurst, New York, Union Free School District, GO, FGIC, 5.25%, 07/15/16 1,385 1,460 Lindenhurst, New York, Union Free School District, GO, FGIC, 5.25%, 07/15/17 1,549 10,000 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev, AMBAC, 5.25%, 12/01/05 10,888 3,000 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/08 3,367 5,000 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev., AMBAC, 5.50%, 12/01/11 5,630 9,000 Long Island Power Authority, New York, Electric Systems, Ser. A, Rev., FSA, 5.50%, 12/01/12 10,144 240 Longwood Central School District at Middle Island, New York, GO, FSA, 4.80%, 06/15/13 250 525 Mahopac, New York, Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/14 586 815 Mahopac, New York, Central School District, Ser. B, GO, MBIA, 5.60%, 06/15/15 904
See notes to financial statements. 33 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $1,090 Massapequa, New York, Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/09 $ 1,215 2,180 Massapequa, New York, Union Free School District, Ser. A, GO, FSA, 5.38%, 06/15/12 2,426 2,485 Massapequa, New York, Union Free School District, Ser. A, GO, FSA, 5.40%, 06/15/13 2,749 3,135 Massapequa, New York, Union Free School District, Ser. A, GO, FSA, 5.70%, 06/15/16 3,481 500 Metropolitan Transportation Authority, New York, Commuter Facilities, Ser. B, Rev., MBIA, 6.10%, 07/01/09 584 2,000 Metropolitan Transportation Authority, New York, Dedicated Tax Fund, Ser. A, Rev., MBIA, 5.50%, 04/01/16 2,136 3,080 Metropolitan Transportation Authority, New York, Transportation Facilities, Ser. A, Rev, MBIA, 5.50%, 07/01/08 3,200 510 Metropolitan Transportation Authority, New York, Transportation Facilities, Ser. C, Rev., FSA, 5.25%, 07/01/10 563 550 Monroe County, New York, IDA, Public Improvement, Canal Ponds Park, Ser. A, Rev., 7.00%, 06/15/13 578 775 Monroe County, New York, Public Improvement, GO, 4.50%, 06/01/10 813 1,230 Monroe County, New York, Public Improvement, GO, 6.00%, 03/01/12 1,439 1,000 Monroe County, New York, Public Improvement, GO, 6.00%, 03/01/14 1,176 1,000 Monroe County, New York, Public Improvement, GO, 6.00%, 03/01/18 1,171 1,000 Monroe County, New York, Public Improvement, GO, 6.00%, 03/01/19 1,168 1,020 Monticello, New York, Central School District, GO, FGIC, 5.63%, 06/15/06 1,131 2,400 Municipal Assistance Corp. for New York City, Ser. E, Rev., 6.00%, 07/01/05 2,655 6,740 Municipal Assistance Corp. for New York City, Ser. E, Rev., 6.00%, 07/01/06 7,572 6,500 Municipal Assistance Corp. for New York City, Ser. G, Rev., 6.00%, 07/01/08 7,419 2,000 Nassau County, New York, General Improvement, Ser. Q, GO, FGIC, 5.20%, 08/01/12 2,132 2,010 Nassau County, New York, IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.00%, 07/01/03 2,100 1,705 Nassau County, New York, IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.00%, 07/01/06 1,845 4,740 Nassau County, New York, IDA, Civic Facility, Hofstra University Project, Rev., MBIA, 5.25%, 07/01/09 5,235 1,000 Nassau County, New York, Ser. E, GO, 7.00%, 03/01/04 1,085
See notes to financial statements. 34 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $ 415 New York City, New York, IDA, Civic Facility, Mt. St. Vincent College, Rev., 7.00%, 05/01/08 $ 440 1,000 New York City, New York, IDA, Civic Facility, New School for Social Research, Ser. A, Rev., MBIA, 5.75%, 09/01/15 1,071 1,430 New York City, New York, IDA, Civic Facility, New York Blood Center Inc. Project, Rev., ^, 7.20%, 05/01/04 1,593 1,380 New York City, New York, IDA, Civic Facility, Polytechnic University Project, Rev., 5.00%, 11/01/04 1,434 1,435 New York City, New York, IDA, Civic Facility, Polytechnic University Project, Rev., 5.13%, 11/01/06 1,506 1,500 New York City, New York, IDA, Civic Facility, YMCA Greater New York Project, Rev., 5.80%, 08/01/16 1,537 3,010 New York City, New York, IDA, IDR, Brooklyn Navy Yard Cogen Partners Project, Rev., 6.20%, 10/01/22 3,228 3,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FGIC, 5.75%, 06/15/31 3,224 3,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. D, Rev, 5.50%, 06/15/10 3,366 500 New York City, New York, Ser. A, GO, ^, 6.10%, 08/01/02 516 1,000 New York City, New York, Ser. A, GO, 6.25%, 08/01/03 1,047 495 New York City, New York, Ser. A, GO, ^, 6.38%, 08/01/02 520 1,005 New York City, New York, Ser. A, GO, 6.38%, 08/01/05 1,054 60 New York City, New York, Ser. D, GO, ^, 7.65%, 02/01/02 62 2,500 New York City, New York, Ser. E, GO, FGIC, 6.00%, 08/01/07 2,826 1,410 New York City, New York, Ser. F, GO, 5.25%, 08/01/05 1,520 2,000 New York City, New York, Ser. F, GO, 5.75%, 02/01/12 2,159 200 New York City, New York, Ser. F, GO, ^, 8.25%, 11/15/01 205 200 New York City, New York, Ser. F, GO, 8.25%, 11/15/02 205 1,250 New York City, New York, Ser. G, GO, 5.75%, 02/01/04 1,332 1,000 New York City, New York, Ser. G, GO, FSA, 5.00%, 08/01/14 1,046 75 New York City, New York, Ser. H, GO, 6.88%, 02/01/02 76 460 New York City, New York, Ser. H, GO, ^, 7.00%, 02/01/02 476
See notes to financial statements. 35 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $ 40 New York City, New York, Ser. H, GO, 7.00%, 02/01/06 $ 41 980 New York City, New York, Ser. H, GO, ^, 7.10%, 02/01/02 1,014 20 New York City, New York, Ser. H, GO, ^, 7.10%, 02/01/12 21 1,000 New York City, New York, Transit Authority, Metropolitan Transportation Authority, Triborough, Ser. A, COP, AMBAC, 5.63%, 01/01/12 1,126 3,060 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 05/01/07 3,310 4,575 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 11/15/09 4,979 1,700 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.50%, 02/15/08 1,886 3,900 New York City, New York, Transitional Finance Authority, New York, Future Tax Secured, Ser. B, Rev., 5.50%, 02/01/13 4,346 1,550 New York City, New York, Trust Cultural Resources, Museum of Modern Art, Ser. A, Rev., AMBAC, 5.40%, 01/01/12 1,620 1,000 New York Convention Center, Operating Corp., Yale Building Acquisition Project, COP, 6.50%, 12/01/04 1,028 100 New York State, Dorm Authority, Canisius College, Rev., MBIA, 4.75%, 07/01/12 106 525 New York State, Dorm Authority, Canisius College, Rev., MBIA, 4.85%, 07/01/13 553 215 New York State, Dorm Authority, Canisius College, Rev., MBIA, 4.95%, 07/01/14 225 230 New York State, Dorm Authority, Canisius College, Rev., MBIA, 5.00%, 07/01/15 240 1,000 New York State, Dorm Authority, City University System, 3rd General Reserve, Ser. 1, Rev., AMBAC, 5.25%, 07/01/08 1,077 2,500 New York State, Dorm Authority, City University System, 3rd General Reserve, Ser. 2, Rev., FSA, 5.38%, 07/01/13 2,710 3,565 New York State, Dorm Authority, City University System, Ser. A, Rev., FSA, 5.75%, 07/01/13 4,094 2,000 New York State, Dorm Authority, City University System, Ser. B, Rev., FGIC, 5.75%, 07/01/07 2,249 2,470 New York State, Dorm Authority, City University System, Ser. D, Rev., FGIC, 7.00%, 07/01/09 2,858 3,080 New York State, Dorm Authority, City University System, Ser. D, Rev., FSA, 7.00%, 07/01/09 3,546 1,545 New York State, Dorm Authority, City University System, Ser. D, Special Obligation, MBIA-IBC, 5.75%, 07/01/06 1,719 1,000 New York State, Dorm Authority, Lenox Hill Hospital, Rev., 5.00%, 07/01/06 1,064
See notes to financial statements. 36 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $1,330 New York State, Dorm Authority, Lenox Hill Hospital, Rev., 5.00%, 07/01/07 $ 1,418 1,000 New York State, Dorm Authority, Lenox Hill Hospital, Rev., 5.25%, 07/01/08 1,080 470 New York State, Dorm Authority, Long Island University, Rev., 5.00%, 09/01/12 503 1,020 New York State, Dorm Authority, Long Island University, Rev., 5.13%, 09/01/10 1,113 1,000 New York State, Dorm Authority, Long Island University, Rev., 5.25%, 09/01/11 1,102 1,000 New York State, Dorm Authority, Memorial Sloan Kettering Cancer Center, Ser. C, Rev., MBIA, 5.50%, 07/01/09 1,116 1,000 New York State, Dorm Authority, Memorial Sloan Kettering Cancer Center, Ser. C, Rev., MBIA, 5.50%, 07/01/23 1,101 465 New York State, Dorm Authority, Mental Health Services, Facilities Improvement, Ser. B, Rev., MBIA, 5.50%, 02/15/12 515 1,665 New York State, Dorm Authority, Mental Health Services, Facilities Improvement, Ser. B, Rev., MBIA, 5.60%, 08/15/13 1,843 2,000 New York State, Dorm Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/09 2,277 1,000 New York State, Dorm Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/15 1,152 3,500 New York State, Dorm Authority, New York University, Ser. A, Rev., MBIA, 5.75%, 07/01/16 4,023 490 New York State, Dorm Authority, Nursing Home, Ser. A, Rev., MBIA-FHA, 5.50%, 08/01/20 520 2,015 New York State, Dorm Authority, Rockefeller University, Rev., 5.00%, 07/01/12 2,151 425 New York State, Dorm Authority, Ser. C, Rev., ^, 7.38%, 05/15/09 538 1,575 New York State, Dorm Authority, Ser. C, Rev., 7.38%, 05/15/10 1,863 1,105 New York State, Dorm Authority, Special Act School Districts Program, Rev., MBIA, 5.30%, 07/01/11 1,216 2,065 New York State, Dorm Authority, State Service Contract, Albany County, Rev., 5.25%, 04/01/12 2,212 340 New York State, Dorm Authority, State Service Contract, Albany County, Rev., 5.50%, 04/01/08 377 1,380 New York State, Dorm Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/06 1,519 6,500 New York State, Dorm Authority, State University Educational Facilities, Ser. A, Rev., FGIC, 5.50%, 05/15/13 7,326 5,000 New York State, Energy Research & Development Authority, PCR, New York State Electric and Gas Corp., Ser. E, Rev., MBIA, 5.90%, 12/01/06 5,650 7,200 New York State, Environmental Facilities Corp., PCR, State Water Revolving Fund, New York City Municipal Water, Rev., @, 5.75%, 06/15/12 8,281
See notes to financial statements. 37 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $5,415 New York State, Environmental Facilities Corp., PCR, State Water Revolving Fund, Ser. E, Rev., @, MBIA, 6.00%, 06/15/12 $ 6,356 1,000 New York State, GO, 2.75%, 07/01/04 996 1,155 New York State, Housing Finance Agency, Health Facilities, Monroe County, Ser. A, Rev., 7.63%, 05/01/05 1,176 300 New York State, Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., 6.95%, 08/15/12 312 270 New York State, Housing Finance Agency, Rev., 8.00%, 11/01/08 277 650 New York State, Housing Finance Agency, Service Contract Obligation, Ser. A, Rev., ^, 7.38%, 03/15/02 680 1,550 New York State, Housing Finance Agency, State University Construction, Ser. A, Rev., ^, 8.00%, 05/01/11 1,984 65 New York State, Medical Care Facilities Finance Agency, Mortgage Project, Ser. A, Rev., MBIA-IBC, 5.40%, 08/15/04 70 1,000 New York State, Municipal Bond Bank Agency, Special Program, Buffalo, Ser. A, Rev., 6.88%, 03/15/06 1,023 5,000 New York State, Thruway Authority, Highway & Bridge Trust Fund, Ser. A, Rev., FGIC, 5.25%, 04/01/08 5,498 3,000 New York State, Thruway Authority, Ser. D, Rev., 5.25%, 01/01/21 3,084 6,315 New York State, Thruway Authority, Service Contract, Local Highway & Bridge, 6.00%, 04/01/11 7,155 5,930 New York State, Thruway Authority, Service Contract, Local Highway & Bridge, Ser. A-2, Rev., MBIA, 5.38%, 04/01/10 6,508 1,490 New York State, Urban Development Corp., Community Enhancement Facilities, Ser. A, Rev., 5.00%, 04/01/03 1,545 50 New York State, Urban Development Corp., Correctional Facilities Service Contract, Ser. D, Rev., FSA, 5.00%, 01/01/14 53 250 New York State, Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.60%, 04/01/11 281 95 New York State, Urban Development Corp., Youth Facilities Services Contract, Ser. B, Rev., 5.88%, 04/01/14 106 515 Niagara, New York, Frontier Transportation Authority, Greater Buffalo International Airport, Ser. B, Rev., @, AMBAC, 5.75%, 04/01/04 550 415 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/02 426 445 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/04 470 200 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/05 212 520 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/08 553
See notes to financial statements. 38 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $ 540 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/09 $ 572 565 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/10 596 555 North Shore, New York, Central School District, Ser. A, GO, MBIA, 4.50%, 12/01/11 582 1,045 Oneida County, New York, GO, FGIC, 5.50%, 03/15/11 1,175 1,000 Oneida-Herkimer, New York, Solid Waste Management Authority, Solid Waste Systems, Rev., FSA, 5.50%, 04/01/11 1,110 3,000 Port Authority of New York & New Jersey, Special Obligation, 3rd Installment, Special Project, Ser. 4, Rev., 7.00%, 10/01/07 3,241 275 Randolph, New York, Central School District, GO, FGIC, 5.00%, 06/15/06 298 2,180 Rochester, New York, Ser. A, GO, AMBAC, 5.70%, 08/15/04 2,368 520 Rondout Valley, New York, Central School District, Ser. A, GO, FSA, 5.13%, 03/01/17 544 965 Rondout Valley, New York, Central School District, Ser. A, GO, FSA, 5.25%, 03/01/18 1,015 930 Rondout Valley, New York, Central School District, Ser. A, GO, FSA, 5.25%, 03/01/19 974 1,050 Scotia Glenville, New York, Central School District, GO, FGIC, 5.40%, 06/15/12 1,160 1,050 Scotia Glenville, New York, Central School District, GO, FGIC, 5.50%, 06/15/13 1,159 1,025 Scotia Glenville, New York, Central School District, GO, FGIC, 5.50%, 06/15/14 1,124 275 Shenendehowa, New York, Central School District, Clifton Park, GO, FSA, 5.50%, 07/15/11 310 500 Stillwater, New York, Central School District, GO, MBIA, 5.20%, 06/15/11 543 1,780 Suffolk County, New York, Public Improvement, Ser. C, GO, FGIC, 5.10%, 11/01/02 1,834 5,000 Suffolk County, New York, Southwest Sewer District, GO, MBIA, 6.00%, 02/01/05 5,485 1,065 Sullivan County, New York, Public Improvement, GO, MBIA, 5.00%, 03/15/08 1,113 7,125 Triborough Bridge & Tunnel Authority, New York, General Purpose, Ser. Y, Rev., @, 6.00%, 01/01/12 8,308 1,000 Utica, New York, IDA, Civic Facility, Munson William Porter Institute, Rev., 5.40%, 07/15/30 1,023 440 Utica, New York, Public Improvement, GO, 6.00%, 01/15/03 456 465 Utica, New York, Public Improvement, GO, 6.00%, 01/15/04 491 700 Utica, New York, Public Improvement, GO, 6.00%, 01/15/11 771 675 Utica, New York, Public Improvement, GO, 6.00%, 01/15/12 740 295 Utica, New York, Public Improvement, GO, 6.10%, 01/15/13 324
See notes to financial statements. 39 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued New York-- Continued $ 295 Utica, New York, Public Improvement, GO, 6.20%, 01/15/14 $ 325 320 Utica, New York, Public Improvement, GO, 6.25%, 01/15/15 352 565 Warwick Valley, New York, Central School District, GO, FSA, 5.50%, 01/15/14 621 600 Watertown, New York, City School District, GO, FSA, 5.63%, 06/15/16 655 1,365 Watertown, New York, City School District, GO, FSA, 5.63%, 06/15/17 1,484 1,245 Watertown, New York, City School District, GO, FSA, 5.63%, 06/15/18 1,347 1,150 Westchester County, New York, GO, ^, 6.70%, 11/01/06 1,350 170 Westchester County, New York, IDA, AGR Realty Co. Project, Rev., ^, 5.75%, 01/01/02 171 2,000 Westchester County, New York, IDA, Civic Facility, Children's Village Project, Ser. A, Rev., 5.30%, 03/15/14 2,113 985 Westchester County, New York, IDA, Civic Facility, Rippowam-Cisqua School Project, Rev., 5.75%, 06/01/29 993 2,000 Westchester County, New York, IDA, Resource Recovery, Resco Co. Project, Ser. A, Rev., AMBAC, 5.70%, 07/01/08 2,161 250 William Floyd Union Free School District of the Mastics-Moriches-Shirley, New York, Ser. B, GO, MBIA, 4.50%, 06/15/05 264 1,705 William Floyd Union Free School District of the Mastics-Moriches-Shirley, New York, Ser. B, GO, MBIA, 4.63%, 06/15/08 1,821 1,000 Windsor, New York, Central School District, GO, FGIC, 5.50%, 06/15/13 1,108 1,170 Windsor, New York, Central School District, GO, FGIC, 5.50%, 06/15/14 1,287 650 Windsor, New York, Central School District, GO, FGIC, 5.50%, 06/15/15 711 ------- 336,926 Puerto Rico-- 4.1% 160 Puerto Rico Commonwealth, Infrastructure Financing Authority, Special Obligation, Ser. A, ^, 4.75%, 10/01/12 170 3,500 Puerto Rico Commonwealth, Public Improvement, GO, ^, 6.00%, 07/01/05 3,945 4,390 Puerto Rico Electric Power Authority, Ser. AA, Rev., MBIA, 5.40%, 07/01/13 4,750 1,250 Puerto Rico Electric Power Authority, Ser. AA, Rev., MBIA, 6.25%, 07/01/10 1,482 1,000 Puerto Rico Electric Power Authority, Ser. DD, Rev., FSA, 5.00%, 07/01/11 1,079 1,300 Puerto Rico Electric Power Authority, Ser. HH, Rev., FSA, 5.50%, 07/01/10 1,469 1,800 Puerto Rico Electric Power Authority, Ser. X, Rev., 6.00%, 07/01/11 1,965
See notes to financial statements. 40 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Long Term Municipal Securities-- Continued Puerto Rico-- Continued $1,000 Puerto Rico Municipal Finance Agency, Ser. A, GO, 5.00%, 08/01/02 $ 1,023 1,500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 6.00%, 08/01/15 1,703 ---------- 17,586 Virgin Islands-- 3.4% 1,390 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 5.00%, 10/01/03 1,432 1,090 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 5.25%, 10/01/01 1,092 1,000 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 5.50%, 10/01/02 1,024 4,000 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 6.38%, 10/01/19 4,350 1,150 Virgin Islands Public Finance Authority, Matching Fund Lien Notes, Ser. A, Rev., ^, 7.25%, 10/01/02 1,231 2,000 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.00%, 10/01/01 2,003 3,075 Virgin Islands Public Finance Authority, Senior Lien, Fund Lien Notes, Ser. C, Rev., 5.00%, 10/01/02 3,136 ---------- 14,268 ---------- Total Long-Term Municipal Securities 368,780 (Cost $344,727) ---------- Short-Term Investments -- 13.2% Municipal Securities -- 11.9% New York -- 11.9% 4,000 New York City, New York, Housing Development Corp., Multi-Family Housing, Carnegie Park, Ser. A, Rev., FRDO, 1.80%, 09/05/01 4,000 5,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 2.40%, 09/04/01 5,000 1,050 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 2.40%, 09/04/01 1,050 4,400 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 2.40%, 09/04/01 4,400 8,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. F-1, Rev., FRDO, 2.40%, 09/04/01 8,000 7,000 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. G, Rev., FRDO, FGIC, 2.45%, 09/04/01 7,000
See notes to financial statements. 41 As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------- Short-Term Investments-- Continued New York-- Continued $ 300 New York City, New York, Ser. B, Sub. Ser. B-4, GO, FRDO, MBIA, 2.40%, 09/04/01 $ 300 4,500 New York City, New York, Sub Ser. A-4, GO, FRDO, 2.40%, 09/04/01 4,500 800 New York City, New York, Sub. Ser. A-5, GO, FRDO, 2.40%, 09/04/01 800 13,900 New York City, New York, Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 2.40%, 09/04/01 13,900 1,000 New York State, Energy Research & Development Authority, PCR, Rochester Gas & Electric Corp., Ser. C, Rev., FRDO, MBIA, 1.75%, 09/05/01 1,000 400 New York State, Thruway Authority, Floating Rate Receipts, Ser. SGA-119, FRDO, 2.60%, 09/04/01 400 ---------- 50,350 ---------- Total Municipal Securities 50,350 (Cost $50,350) ---------- Shares Money Market Fund -- 1.3% 5,366 Provident New York Money Market Fund 5,366 (Cost $5,366) ---------- Total Short-Term Investments 55,716 (Cost $55,716) ---------- Total Investments-- 100.0% $424,496 (Cost $400,443) ----------
See notes to financial statements. 42 JPMorgan NEW JERSEY TAX FREE INCOME FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- 98.7% NEW JERSEY -- 87.7% $1,160 Atlantic City, New Jersey, GO, FSA, 5.00%, 12/15/10 $ 1,255 965 Bayonne, New Jersey, GO, AMBAC, 5.00%, 07/15/04 1,022 395 Bayshore Regional Sewer Authority, New Jersey, Rev., MBIA, 5.50%, 04/01/12 426 335 Bloomfield Township, New Jersey, GO, FGIC, 5.20%, 06/15/11 363 260 Bloomfield Township, New Jersey, GO, FGIC, 5.20%, 06/15/12 280 50 Brick Township, New Jersey, Improvement, GO, FSA, 5.40%, 05/01/07 55 250 Camden County, New Jersey, Improvement Authority, Health Systems, Catholic Health East, Ser. B, Rev., AMBAC, 5.25%, 11/15/12 271 1,625 Cherry Hill Township, New Jersey, School District, GO, 4.70%, 02/15/08 1,720 345 Cinnaminson Township, New Jersey, School District, GO, FGIC, 5.20%, 08/01/10 377 100 Colts Neck Township, New Jersey, Board of Education, Ser. B, GO, MBIA, ^, 6.63%, 01/01/05 113 600 Delaware River & Bay Authority, Delaware & New Jersey, Rev., FGIC, 5.20%, 01/01/10 640 1,700 Delaware River Port Authority of Pennsylvania & New Jersey, Port District Project, Ser. B, Rev., FSA, 5.70%, 01/01/21 1,843 100 Deptford Township, New Jersey, Municipal Utilities Authority, Rev., AMBAC, 4.88%, 02/01/10 107 315 Deptford Township, New Jersey, Municipal Utilities Authority, Rev., AMBAC, 5.00%, 02/01/12 335 350 Deptford Township, New Jersey, Municipal Utilities Authority, Rev., AMBAC, 5.25%, 02/01/14 375 360 East Orange, New Jersey, Water Utilities, GO, AMBAC, 5.50%, 06/15/05 391 570 Edison Township, New Jersey, School District, GO, 6.50%, 06/01/04 623 1,120 Egg Harbor Township, New Jersey, School District, GO, FGIC, 5.00%, 07/15/16 1,173 2,500 Essex County, New Jersey, General Improvement, GO, FGIC, 4.50%, 06/01/11 2,584 1,385 Ewing Township, New Jersey, School District, School Bonds, GO, FGIC, 5.30%, 08/01/09 1,513 205 Galloway Township, New Jersey, GO, AMBAC, +, 4.50%, 11/01/12 212 320 Galloway Township, New Jersey, GO, AMBAC, +, 4.50%, 11/01/14 325 315 Galloway Township, New Jersey, GO, AMBAC, +, 4.75%, 11/01/16 323 300 Galloway Township, New Jersey, GO, AMBAC, +, 5.00%, 11/01/06 324 500 Galloway Township, New Jersey, GO, AMBAC, +, 5.00%, 11/01/09 542
See notes to financial statements. 43
PRINCIPAL AMOUNT ISSUER VALUE LONG TERM MUNICIPAL SECURITIES -- CONTINUED NEW JERSEY -- CONTINUED $ 300 Galloway Township, New Jersey, GO, AMBAC, +, 5.00%, 11/01/10 $ 325 160 Gloucester County, New Jersey, Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.35%, 08/01/09 177 220 Gloucester County, New Jersey, Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.55%, 08/01/12 245 225 Gloucester County, New Jersey, Improvement Authority, County Guaranteed, Ser. A, Rev., MBIA, 5.70%, 08/01/15 250 1,140 Hamilton Township, Atlantic County, New Jersey, School District, GO, FGIC, 5.88%, 12/15/07 1,196 220 Hawthorne, New Jersey, General Improvement, GO, FGIC, 5.00%, 10/01/08 240 220 Hawthorne, New Jersey, General Improvement, GO, FGIC, 5.00%, 10/01/09 240 220 Hawthorne, New Jersey, General Improvement, GO, FGIC, 5.00%, 10/01/10 240 220 Hawthorne, New Jersey, General Improvement, GO, FGIC, 5.00%, 10/01/12 236 130 Hawthorne, New Jersey, General Improvement, GO, FGIC, 5.00%, 10/01/13 139 500 Hunterdon, New Jersey, Central Regional High School District, GO, FSA, 5.40%, 05/01/09 536 430 Lodi, New Jersey, GO, AMBAC, 4.00%, 10/01/04 443 525 Lodi, New Jersey, GO, AMBAC, 4.00%, 10/01/06 542 100 Long Hill Township, New Jersey, GO, 5.15%, 08/15/06 109 275 Long Hill Township, New Jersey, GO, 5.15%, 08/15/07 300 275 Long Hill Township, New Jersey, GO, 5.15%, 08/15/08 300 380 Lopatcong Township, New Jersey, Board of Education, GO, FSA, 5.63%, 07/15/13 426 400 Lopatcong Township, New Jersey, Board of Education, GO, FSA, 5.70%, 07/15/16 450 500 Lopatcong Township, New Jersey, Board of Education, GO, FSA, 5.70%, 07/15/23 563 100 Mainland, New Jersey, Regional High School District, GO, 5.20%, 11/15/06 109 105 Mainland, New Jersey, Regional High School District, GO, 5.20%, 11/15/07 115 110 Mainland, New Jersey, Regional High School District, GO, 5.25%, 11/15/08 121 110 Mainland, New Jersey, Regional High School District, GO, 5.25%, 11/15/09 121 115 Mainland, New Jersey, Regional High School District, GO, 5.25%, 11/15/10 126 120 Mainland, New Jersey, Regional High School District, GO, 5.25%, 11/15/11 131 1,460 Marlboro Township, New Jersey, Board of Education, GO, FSA, 5.00%, 07/15/06 1,574
See notes to financial statements. 44
PRINCIPAL AMOUNT ISSUER VALUE LONG TERM MUNICIPAL SECURITIES -- CONTINUED NEW JERSEY -- CONTINUED $ 400 Medford Township, New Jersey, GO, FGIC, 5.30%, 07/15/09 $ 443 2,000 Middletown Township, New Jersey, Board of Education, GO, ^, MBIA, 5.85%, 08/01/07 2,250 350 Monmouth County, New Jersey, Improvement Authority, Governmental Loan, Rev., AMBAC, 4.95%, 12/01/11 376 1,050 Monmouth County, New Jersey, Improvement Authority, Governmental Loan, Rev., AMBAC, 5.10%, 12/01/13 1,124 725 Monmouth County, New Jersey, Improvement Authority, Governmental Loan, Rev., AMBAC, 5.20%, 12/01/14 778 2,065 Monmouth County, New Jersey, Improvement Authority, Governmental Loan, Rev., AMBAC, 5.30%, 12/01/16 2,207 300 Montclair Township, New Jersey, GO, FSA, 5.40%, 01/15/08 330 1,710 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., MBIA, 5.80%, 07/01/08 1,866 1,200 New Jersey Economic Development Authority, Market Transition Facility, Senior Lien, Ser. A, Rev., MBIA, 5.80%, 07/01/09 1,309 1,105 New Jersey Economic Development Authority, Municipal Loan Pool, Rev., FSA, 5.25%, 11/15/11 1,211 1,160 New Jersey Economic Development Authority, Municipal Loan Pool, Rev., FSA, 5.25%, 11/15/12 1,264 1,060 New Jersey Economic Development Authority, New Jersey Performing Arts Center Project, Ser. A, Rev., AMBAC, 6.00%, 06/15/08 1,206 380 New Jersey Health Care Facilities, Financing Authority, St. Elizabeth Hospital Obligation Group, Rev., 6.00%, 07/01/14 374 670 New Jersey Sports & Exposition Authority, Ser. A, Rev., 6.50%, 03/01/07 696 720 New Jersey State, Educational Facilities Authority, Capital Improvement Fund, Ser. A, Rev., 5.00%, 09/01/08 779 2,545 New Jersey State, Educational Facilities Authority, Drew University Issue, Ser. C, Rev., MBIA, 5.25%, 07/01/13 2,729 335 New Jersey State, Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., 4.88%, 07/01/04 341 1,000 New Jersey State, Educational Facilities Authority, Fairleigh Dickinson University, Ser. G, Rev., @, 5.70%, 07/01/28 965 1,000 New Jersey State, Educational Facilities Authority, Princeton University, Ser. E, Rev., 5.25%, 07/01/13 1,084 1,250 New Jersey State, Educational Facilities Authority, Seton Hall University, Rev., AMBAC, 5.25%, 07/01/13 1,352 400 New Jersey State, Ser. D, GO, 6.00%, 02/15/11 463
See notes to financial statements. 45
PRINCIPAL AMOUNT ISSUER VALUE LONG TERM MUNICIPAL SECURITIES -- CONTINUED NEW JERSEY -- CONTINUED $ 110 New Jersey State, Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.00%, 06/15/12 $ 116 1,000 New Jersey State, Transportation Trust Fund Authority, Transportation Systems, Ser. A, Rev., 5.75%, 06/15/16 1,143 1,000 New Jersey State, Turnpike Authority, Ser. A, Rev., MBIA, 5.50%, 01/01/07 1,098 1,000 New Jersey Wastewater Treatment Trust, Ser. D, Rev., MBIA, 7.00%, 07/01/10 1,230 1,570 North Bergen Township, New Jersey, GO, AMBAC, 5.00%, 08/15/11 1,665 130 North Brunswick Township, New Jersey, GO, FSA, 5.25%, 04/01/04 138 1,140 North Jersey District Water Supply, Wanaque South Project, Rev., MBIA, 5.50%, 07/01/03 1,198 1,140 Northwest Bergen County, New Jersey, Utilities Authority, Utilities System, Rev., MBIA, 6.00%, 07/15/07 1,212 1,500 Port Authority of New York & New Jersey, Consolidated Bonds 93rd Ser., Rev., 6.13%, 06/01/94 1,748 1,435 Port Authority of New York & New Jersey, Consolidated Bonds 114th Ser., Rev., 4.75%, 08/01/33 1,394 1,475 Port Authority of New York & New Jersey, Special Obligation, JFK International Airport Terminal #6, Rev., MBIA, 6.25%, 12/01/08 1,701 2,755 Port Authority of New York & New Jersey, Special Obligation, JFK International Airport Terminal #6, Rev., @, MBIA, 6.25%, 12/01/09 3,200 305 Rahway, New Jersey, COP, MBIA, 5.00%, 02/15/06 328 430 Rahway, New Jersey, COP, MBIA, 5.30%, 02/15/11 476 495 Ridgefield, New Jersey, GO, MBIA, 6.20%, 03/15/04 536 35 Summit, New Jersey, GO, 5.70%, 06/01/10 39 1,105 Summit, New Jersey, GO, 5.70%, 06/01/11 1,241 1,001 Union County, New Jersey, General Improvement, GO, 4.75%, 12/15/15 1,022 435 Union County, New Jersey, Improvement Authority, Plainfield Board of Education Project, Rev., FGIC, 6.25%, 08/01/07 497 1,465 West New York And New Jersey, Improvement, GO, AMBAC, 4.75%, 08/15/05 1,555 1,100 West Orange, New Jersey, GO, 5.45%, 02/15/15 1,183 1,100 West Orange, New Jersey, GO, 5.45%, 02/15/16 1,176 -------- 73,489 PUERTO RICO -- 8.9% 1,200 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. W, Rev., @, MBIA-IBC, 5.50%, 07/01/15 1,358 3,000 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. Y, Rev., MBIA-IBC, 5.00%, 07/01/36 3,032 1,000 Puerto Rico Electric Power Authority, Ser. AA, REV., MBIA, 6.25%, 07/01/10 1,186
See notes to financial statements. 46
PRINCIPAL AMOUNT ISSUER VALUE LONG TERM MUNICIPAL SECURITIES -- CONTINUED PUERTO RICO -- CONTINUED $ 750 Puerto Rico, Public Buildings Authority, Government Facilities, Ser. B, Rev., AMBAC, 5.00%, 07/01/27 $ 758 1,000 University of Puerto Rico, Ser. O, Rev., MBIA, 5.75%, 06/01/17 1,107 -------- 7,441 VIRGIN ISLANDS -- 2.1% 1,155 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 5.50%, 10/01/02 1,183 500 Virgin Islands Public Finance Authority, Gross Receipts, Tax Lien Notes, Ser. A, Rev., 6.38%, 10/01/19 544 -------- 1,727 -------- Total Long-Term Municipal Securities 82,657 (Cost $77,738) SHORT-TERM INVESTMENT -- 1.3% SHARES MONEY MARKET FUND -- 1.3% 1,099 Blackrock New Jersey Municipal Money Market Fund 1,099 (Cost $1,099) -------- TOTAL INVESTMENTS -- 100.0% $83,756 (Cost $78,837)
See notes to financial statements. 47 JPMORGAN CALIFORNIA INTERMEDIATE TAX FREE FUND PORTFOLIO OF INVESTMENTS As of August 31, 2001 (Amounts in Thousands)
PRINCIPAL AMOUNT ISSUER VALUE LONG TERM MUNICIPAL SECURITIES -- 92.4% CALIFORNIA -- 84.1% $ 250 Alameda County, California, Ser. A, COP, MBIA, 5.38%, 12/01/09 $ 282 520 Bay Area Government Association, California, Bay Area Rapid Transit, Capital Grant, Ser. A, GO, AMBAC, 5.00%, 06/15/05 560 250 Bell Community Redevelopment Agency, California, Bell Redevelopment Project Area, Ser. B, Tax Allocation, FSA, 6.30%, 11/01/13 273 310 Burlingame, California, Financing Authority, Rev., 4.75%, 10/15/11 331 140 California Educational Facilities Authority, Dominican University, Rev., 4.85%, 12/01/06 147 750 California Educational Facilities Authority, Stanford University, Ser. P, Rev., 5.25%, 12/01/13 837 300 California State, GO, ^, MBIA-IBC, 6.25%, 10/01/02 317 490 Carson, California, Redevelopment Agency, Redevelopment Project Area No. 1, Tax Allocation, MBIA, 5.50%, 10/01/14 557 350 Coachella Valley, California, Recreation & Park District, Improvement Bond Act of 1915, Special Assessment, MBIA, +, 4.63%, 09/02/10 373 1,850 Contra Costa, California, Water District, Ser. G, Rev., @, ^, 5.75%, 10/01/04 2,060 1,000 Fallbrook, California, Unified High School District, San Diego County, GO, FGIC, 5.38%, 09/01/12 1,122 700 Foothill/Eastern Corridor Agency, California Toll Road, Rev., 5.00%, 01/15/06 744 100 Fullerton University Foundation, California, Auxiliary Organization, Ser. A, Rev., MBIA, 5.50%, 07/01/10 113 100 Fullerton University Foundation, California, Auxiliary Organization, Ser. A, Rev., MBIA, 5.50%, 07/01/11 113 200 Golden West Schools Financing Authority, California, Capital Appreciation, Ser. A, Rev., @, 0.00%, 02/01/12 128 570 Golden West Schools Financing Authority, California, Ser. A, Rev., MBIA, 5.80%, 02/01/16 660 500 Los Angeles County, California, Community Facilities District No. 3, Improvement Area B, Special Tax, Ser. A, 5.63%, 09/01/11 569 500 Los Angeles, California, Department of Water & Power, Power Systems, Ser. A-A-1, Rev., 5.25%, 07/01/04 535 125 Los Angeles, California, Unified School District, Ser. A, GO, FGIC, 6.00%, 07/01/15 148 300 Metropolitan Water District, Southern California, Waterworks, Ser. A, Rev., 5.25%, 07/01/10 334 600 Metropolitan Water District, Southern California, Waterworks, Ser. A, Rev., 5.38%, 07/01/12 675 340 Northern California Power Agency, Public Power, Ser. A, ^, AMBAC, 5.80%, 07/01/09 395 560 Northern California Power Agency, Public Power, Ser. A, AMBAC, 5.80%, 07/01/09 643
See notes to financial statements. 48
PRINCIPAL AMOUNT ISSUER VALUE LONG-TERM MUNICIPAL SECURITIES -- CONTINUED CALIFORNIA -- CONTINUED $ 425 Port Oakland, California, Ser. K, Rev., FGIC, 5.25%, 11/01/07 $ 466 360 Rancho, California, Water District Financing Authority, Ser. A, Rev., FSA, 5.50%, 08/01/10 408 35 Richmond, California, Wastewater, Rev., FGIC, 5.20%, 08/01/11 39 250 Sacramento County, California, Sanitation District, Financing Authority, Ser. A, Rev., 5.25%, 12/01/12 277 150 Sacramento County, California, Sanitation District, Financing Authority, Ser. A, Rev., 5.75%, 12/01/10 173 900 Sacramento, California, Public Facilities Project, ` COP, 6.00%, 07/01/12 922 500 San Francisco, California, City & County Public Utilities Commission, Ser. A, Rev., 6.25%, 11/01/07 575 190 San Juan, California, Unified School District, GO, FSA, 5.25%, 08/01/09 212 250 San Mateo County, California, Joint Powers Authority, Capital Projects Program, Rev., MBIA, 6.50%, 07/01/15 308 275 Sanger, California, Unified School District, GO, MBIA, 5.25%, 02/01/10 305 1,000 Santa Clara County, California, Financing Authority, Ser. A, Rev., AMBAC, 5.75%, 11/15/13 1,162 1,200 South Orange County, California, Public Financing Authority, Special Tax, Senior Lien, Ser. A, MBIA, 6.20%, 09/01/13 1,305 1,000 University of California, Medical Center, Rev., AMBAC, 10.00%, 07/01/06 1,301 205 Ventura, California, Unified School District, Election of 1997, Ser. E, GO, MBIA, 6.50%, 08/01/06 237 240 Ventura, California, Unified School District, Election of 1997, Ser. E, GO, MBIA, 6.50%, 08/01/07 282 -------- 19,888 PUERTO RICO -- 6.5% 235 Children's Trust Fund, Puerto Rico, Tobacco Settlement, Rev., 5.00%, 07/01/06 246 420 Puerto Rico Commonwealth, Highway & Transportation Authority, Ser. W, Rev., MBIA-IBC, 5.50%, 07/01/15 475 115 Puerto Rico Commonwealth, Public Improvement, GO, 5.00%, 07/01/07 124 125 Puerto Rico Electric Power Authority, Ser. Z, Rev., 5.10%, 07/01/06 135 500 Puerto Rico Municipal Finance Agency, Ser. A, GO, FSA, 5.75%, 08/01/13 563 -------- 1,543 VIRGIN ISLANDS -- 1.8% 400 Virgin Islands Public Finance Authority, Gross Receipts, Taxes Lien Notes, Ser. A, Rev., 5.63%, 10/01/10 432 -------- Total Long Term Municipal Securities (Cost $20,386) 21,863
See notes to financial statements. 49
PRINCIPAL AMOUNT ISSUER VALUE SHORT-TERM INVESTMENTS -- 7.6% MUNICIPAL SECURITIES -- 5.5% CALIFORNIA -- 5.5% $ 300 Irvine Ranch, California, Water District, Consolidated Bonds, Rev., FRDO, 2.35%, 09/04/01 $ 300 300 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 2.30%, 09/04/01 300 500 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 2.35%, 09/04/01 500 100 Orange County, California, Ser. A, COP, FRDO, 2.35%, 09/04/01 100 100 Western Riverside County, California, Regional Wastewater Authority, Regional Wastewater Treatment, Rev., FRDO, 2.35%, 09/04/01 100 -------- Total Municipal Securities (Cost $1,300) 1,300 Shares MONEY MARKET FUND -- 2.1% 491 Provident California Money Market Fund (Cost $491) 491 -------- Total Short-Term Investments (Cost ($1,791) 1,791 -------- Total Investments-- 100.0% (Cost $22,177) $23,654
INDEX: + -- Delayed delivery security. ^ -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. @ -- All or a portion of the security is segregated for delayed delivery securities. AMBAC -- AMBAC Assurance Corp. COP -- Certificates of Participation. Dorm -- Dormitory. FHA -- Federal Housing Authority. FGIC -- Financial Guaranty Insurance Co. 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. FSA -- Financial Securities Assurance, Inc. GO -- General Obligation. IBC -- Insured Bond Certificates. IDA -- Industrial Development Agency. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Assoc. PCFA -- Pollution Control Financing Authority. PCFFA -- Pollution Control Facilities Financing Authority. PCR -- Pollution Control Revenue. Rev. -- Revenue Bond. Ser. -- Series. See notes to financial statements. 50 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES As of August 31, 2001 (Amounts in Thousands, Except Per Share Amounts)
NEW YORK INTERMEDIATE INTERMEDIATE TAX FREE TAX FREE TAX FREE INCOME FUND INCOME FUND INCOME FUND =================================================================================================== ASSETS: Investment securities, at value $853,993 $747,688 $424,496 Other assets 8 5 2 Receivables: Investment securities sold 23,934 2,990 -- Interest 10,484 8,601 4,609 Fund shares sold 313 15 4,252 --------------------------------------------------------------------------------------------------- Total Assets 888,732 759,299 433,359 --------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 20,219 26,431 612 Fund shares redeemed 363 1,454 198 Dividends 2,911 2,391 1,008 Accrued liabilities: Investment advisory fees 218 185 106 Administration fees 109 93 43 Shareholder servicing fees 178 154 76 Distribution fees 5 -- 7 Custodian fees 48 35 38 Other 209 212 194 --------------------------------------------------------------------------------------------------- Total Liabilities 24,260 30,955 2,282 --------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 815,267 682,236 408,088 Accumulated undistributed/(overdistributed) net investment income 104 40 (102) Accumulated net realized gain (loss) on investments and futures transactions (4,602) 4,188 (962) Net unrealized appreciation of investments 53,703 41,880 24,053 --------------------------------------------------------------------------------------------------- Net Assets $864,472 $728,344 $431,077 =================================================================================================== Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) Class A Shares 8,914 -- 15,940 Class B Shares 1,163 -- 1,615 Institutional Class Shares 121,513 66,366 40,879 Net Asset Value: Class A Shares (and redemption price) $6.57 -- $ 7.37 Class B Shares * $6.58 -- $7.38 Institutional Class Shares (and redemption price) $6.57 $10.98 $7.38 Class A Maximum Public Offering Price Per Share (net asset value per share/95.5%) $6.88 -- $ 7.72 Cost of Investments $800,290 $705,808 $400,443 ===================================================================================================
* Redemption price may be reduced by contigent deferred sales charge. See notes to financial statements. 51
CALIFORNIA NEW JERSEY INTERMEDIATE TAX FREE TAX FREE INCOME FUND FUND ================================================================================== ASSETS: Investment securities, at value $83,756 $23,654 Cash -- 1 Other assets 1 -- Receivables: Investment securities sold 1,174 124 Interest 771 295 Fund shares sold 24 -- ---------------------------------------------------------------------------------- Total Assets 85,726 24,074 ---------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 3,103 368 Fund shares redeemed -- 177 Dividends 274 42 Accrued liabilities: Investment advisory fees 21 -- Administration fees 8 -- Shareholder servicing fees 10 -- Custodian fees 18 13 Other 66 22 ---------------------------------------------------------------------------------- Total Liabilities 3,500 622 ---------------------------------------------------------------------------------- NET ASSETS: Paid in capital 76,432 21,735 Accumulated undistributed/(overdistributed) net investment income (66) 186 Accumulated net realized gain on investments and futures transactions 941 54 Net unrealized appreciation of investments 4,919 1,477 ---------------------------------------------------------------------------------- Net Assets $82,226 $23,452 ---------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) Class A Shares -- 2,244 Institutional Class Shares 7,960 -- Net Asset Value: Class A Shares (and redemption price) -- $10.45 Institutional Class Shares (and redemption price) $10.33 -- Class A Maximum Public Offering Price Per Share (net asset value per share/95.5%) -- $10.94 Cost of Investments $78,837 $22,177 ==================================================================================
See notes to financial statements. 52 STATEMENT OF OPERATIONS For the year ended August 31, 2001 (Amounts in Thousands)
NEW YORK INTERMEDIATE INTERMEDIATE TAX FREE TAX FREE TAX FREE INCOME FUND INCOME FUND INCOME FUND =================================================================================================== INTEREST INCOME: $42,795 $34,243 $16,270 =================================================================================================== EXPENSES: Investment advisory fees 2,420 2,121 1,010 Administration fees 1,210 1,061 505 Shareholder servicing fees 2,017 1,768 841 Distribution fees 107 -- 153 Custodian fees 123 116 119 Printing and postage 16 24 9 Professional fees 29 34 21 Registration expenses 39 30 41 Transfer agent fees 104 27 101 Trustees' fees 135 105 64 Other 83 47 35 --------------------------------------------------------------------------------------------------- Total expenses 6,283 5,333 2,899 --------------------------------------------------------------------------------------------------- Less amounts waived 136 -- 266 Less earnings credits 9 3 3 Less expense reimbursements 101 76 50 --------------------------------------------------------------------------------------------------- Net expenses 6,037 5,254 2,580 --------------------------------------------------------------------------------------------------- Net investment income 36,758 28,989 13,690 --------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on: Investments 7,517 8,319 2,530 Futures transactions (1,475) (218) (180) Change in net unrealized appreciation/ depreciation of: Investments 33,982 25,908 14,889 Futures contracts (276) (40) -- =================================================================================================== Net realized and unrealized gain on investments and futures transactions 39,748 33,969 17,239 =================================================================================================== Net increase in net assets from operations $76,506 $62,958 $30,929 ===================================================================================================
See notes to financial statements. 53
CALIFORNIA NEW JERSEY INTERMEDIATE TAX FREE TAX FREE INCOME FUND FUND =============================================================================== INTEREST INCOME: $3,908 $ 990 =============================================================================== EXPENSES: Investment advisory fees 237 62 Administration fees 119 30 Shareholder servicing fees 198 52 Distribution fees -- 52 Custodian fees 78 54 Printing and postage 2 1 Professional fees 32 19 Registration expenses 27 4 Transfer agent fees 24 42 Trustees' fees 12 5 Other 8 3 ------------------------------------------------------------------------------- Total expenses 737 324 ------------------------------------------------------------------------------- Less amounts waived 134 196 Less earnings credits 1 -- Less expense reimbursements 8 4 ------------------------------------------------------------------------------- Net expenses 594 124 ------------------------------------------------------------------------------- Net investment income 3,314 866 ------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on: Investments 730 189 Futures transactions 255 13 Change in net unrealized appreciation/ depreciation of: Investments 3,731 719 Futures contracts (40) (2) =============================================================================== Net realized and unrealized gain on investments and futures transactions 4,676 919 =============================================================================== Net increase in net assets from operations $7,990 $1,785 ===============================================================================
See notes to financial statements. 54 STATEMENT OF CHANGES IN NET ASSETS For the year ended August 31, (Amounts in Thousands)
INTERMEDIATE TAX FREE TAX FREE INCOME FUND INCOME FUND --------------------- ------------------- 2001 2000 2001 2000 =============================================================================================================== INCREASE IN NET ASSETS FROM OPERATIONS: Net investment income $ 36,758 $ 36,498 $ 28,989 $ 31,544 Net realized gain (loss) on investments and futures transactions 6,042 (8,782) 8,101 (3,903) Change in net unrealized appreciation of investments and futures contracts 33,706 16,318 25,868 10,143 --------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 76,506 44,034 62,958 37,784 --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (36,662) (36,500) (29,003) (31,525) Net realized gain on investment transactions -- -- -- (3,807) Total distributions to shareholders (36,662) (36,500) (29,003) (35,332) --------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 71,823 1,173 215 (37,025) --------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 111,667 8,707 34,170 (34,573) NET ASSETS: Beginning of period 752,805 744,098 694,174 728,747 --------------------------------------------------------------------------------------------------------------- End of period $864,472 $752,805 $728,344 $694,174 =============================================================================================================== NEW YORK INTERMEDIATE TAX FREE INCOME FUND -------------------- 2001 2000 ================================================================================= INCREASE IN NET ASSETS FROM OPERATIONS: Net investment income $ 13,690 $ 12,743 Net realized gain (loss) on investments and futures transactions 2,350 (2,145) Change in net unrealized appreciation of investments and futures contracts 14,889 5,793 --------------------------------------------------------------------------------- Increase in net assets from operations 30,929 16,391 --------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (13,703) (12,793) Net realized gain on investment transactions -- (83) Total distributions to shareholders (13,703) (12,876) --------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 137,272 (21,544) --------------------------------------------------------------------------------- Total increase (decrease) in net assets 154,498 (18,029) NET ASSETS: Beginning of period 276,579 294,608 --------------------------------------------------------------------------------- End of period $431,077 $276,579 =================================================================================
See notes to financial statements. 55
NEW JERSEY CALIFORNIA TAX FREE INTERMEDIATE INCOME FUND TAX FREE FUND --------------------- ------------------- 2001 2000 2001 2000 =============================================================================================================================== INCREASE IN NET ASSETS FROM OPERATIONS: Net investment income $ 3,314 $ 3,144 $ 866 $ 865 Net realized gain (loss) on investments and futures transactions 985 26 202 (148) Change in net unrealized appreciation of investments and futures contracts 3,691 950 717 739 ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 7,990 4,120 1,785 1,456 ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (3,314) (3,149) (866) (868) Net realized gain on investment transactions -- -- -- (217) ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (3,314) (3,149) (866) (1,085) ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 5,031 3,901 3,204 (2,031) ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 9,707 4,872 4,123 (1,660) NET ASSETS: Beginning of period 72,519 67,647 19,329 20,989 ------------------------------------------------------------------------------------------------------------------------------- End of period $82,226 $72,519 $23,452 $19,329 ===============================================================================================================================
See notes to financial statements. 56 JPMorgan FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Mutual Fund Select Trust and Mutual Fund Trust (the "Trusts") were organized as Massachusetts business trusts and are registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end, non-diversified management investment companies. Effective February 28, 2001, the following five separate portfolios of the Trusts (collectively, the "Funds") were renamed with the approval of the Board of Trustees of the Trusts:
NEW NAME OLD NAME ---------------------------------------------------------------------------------------------------------------------------------- JPMorgan Tax Free Income Fund ("TFI") Chase Vista Select Tax Free Income Fund JPMorgan Intermediate Tax Free Income Fund ("ITFI") Chase Vista Select Intermediate Tax Free Income Fund JPMorgan New York Intermediate Tax Free Income Fund ("NYTFI") Chase Vista Select New York Intermediate Tax Free Income Fund JPMorgan New Jersey Tax Free Income Fund ("NJTFI") Chase Vista Select New Jersey Tax Free Income Fund JPMorgan California Intermediate Tax Free Fund ("CITF") Chase Vista California Intermediate Tax Free Fund
TFI, ITFI, NYTFI and NJTFI are each a series of Mutual Fund Select Trust. CITF is a series of Mutual Fund Trust. The Funds offer various classes of shares as follows:
FUND CLASSES OFFERED ------------------------------------------------------------------------------------------------------------------------------------ TFI Class A, Class B, Institutional ITFI Institutional NYTFI Class A, Class B, Institutional NJTFI Institutional CITF Class A
Class A Shares generally provide for a front-end sales charge while Class B Shares provide for a contingent deferred sales charge. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing expenses and each class has exclusive voting rights with respect to its distribution and shareholder servicing agreement. No sales charges are assessed with respect to the Institutional Class ("Class I"). 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 -- Fixed income securities (other than short-term obligations), including listed issues, are valued using matrix pricing systems of a major dealer in bonds which take 57 in to account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, without exclusive reliance upon quoted exchange or over-the-counter prices. Short-term debt securities with 61 days or more to maturity at time of purchase are valued, through the 61st day prior to maturity, at market value based on quotations obtained from market makers or other appropriate sources; thereafter, the value on the 61st day is amortized on a straight-line basis over the remaining number of days to maturity. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, which approximates market. B. REPURCHASE AGREEMENTS -- It is the 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, sub-custodian or a bank with which the custodian bank has entered into a sub-custodian 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 an insolvency proceeding, realization of the collateral may be delayed or limited. 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. Purchases of when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. Each Fund segregates assets with a current value at least equal to the amount of its when-issued or delayed delivery purchase commitments. D. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation/depreciation until the contract is closed or settled. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. The risks of entering into futures contracts include the possibility that the change in value of the contract may not correlate with the changes in value of the underlying securities. The risk of loss associated with a long futures contract is limited to the value of the 58 contract. The investment in short futures contracts subjects the Fund to unlimited risk of loss. The Funds invest in U.S. Treasury and/or municipal bond futures contracts as a hedge to modify the duration of the portfolio holdings. As of August 31, 2001, the Funds had no futures contracts open. E. 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 investment income and 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. F. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature, (i.e., that they result from other than timing of recognition--"temporary differences") such amounts are reclassified within the capital accounts based on their Federal income tax-basis treatment. The following amounts were reclassified within the capital accounts (in thousands):
ACCUMULATED UNDISTRIBUTED/ (OVERDISTRIBUTED) PAID-IN CAPITAL NET INVESTMENT INCOME -------------------------------------------------------------------------------- TFI (5) 5 ITFI (5) 5 NYTFI (2) 2 NJTFI (1) 1
The reclassifications relate to non-deductible organization costs. G. ALLOCATION OF 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 Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating 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. 59 H. ORGANIZATION COSTS -- Organization and initial registration costs incurred in connection with establishing each of the Funds, except for CITF, have been deferred and are being amortized on a straight-line basis over a sixty month period beginning with the commencement of operations of each Fund. 2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Each Trust has entered into 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 0.30% of the average daily net assets for each respective Fund. The Adviser (and its predecessors) voluntarily waived fees as outlined in Note 2.F. below. 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-Investment Advisory Agreement between Chase and JPMFAM, JPMFAM was entitled to receive a fee, payable by Chase from its advisory fee, at an annual rate equal to 0.15% of each Fund's average daily net assets. B. ADMINISTRATION FEE -- Pursuant to an Administration Agreement, Chase (the "Administrator") provides certain administration services to the Trusts at an annual fee computed daily and paid monthly of 0.10% of the respective Fund's average daily net assets. The Administrator voluntarily waived fees as outlined in Note 2.F. below. The Trustees have approved an increase in the Funds' administration fee. Effective September 10, 2001, the administration fee payable to Chase was increased to 0.15% of average daily net assets for complex wide non-money market fund assets up to $25 billion and 0.075% on assets in excess of $25 billion. C. DISTRIBUTION AND SUB-ADMINISTRATION 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 Trusts' 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 Trusts, including provid- 60 ing officers, clerical staff and office space for an annual fee computed 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 Distribution Plans for Class A Shares of TFI, NYTFI and CITF, and for Class B Shares of TFI and NYTFI in accordance with Rule 12b-1 under the 1940 Act. There is no Distribution Plan for Institutional Class Shares. The Distribution Plans provide that each Fund shall pay distribution fees at annual rate not to exceed 0.25% of each Fund's average daily net assets for Class A Shares and 0.75% of each Fund's average daily net assets for Class B Shares. The Distributor voluntarily waived fees as outlined in Note 2.F. below. D. SHAREHOLDER SERVICING FEES -- The Trusts have adopted an Administrative Services Plan which, among other things, provides that the Trusts 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 computed daily and paid monthly at an annual rate of 0.25% of the average daily net assets of each Fund. Chase and certain affiliates are the only Shareholder Servicing Agents. The Shareholder Servicing Agents voluntarily waived fees as outlined in Note 2.F. below. E. CUSTODIAN AND ACCOUNTING FEES -- Chase provides portfolio accounting and custody services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. Custodian fees are subject to reduction by 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. F. WAIVERS OF FEES -- For the year ended August 31, 2001, the Funds' vendors voluntarily waived fees for each of the Funds as follows (in thousands):
INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION ----------------------------------------------------------------------------------------------- TFI $-- $-- $ 64 $ 72 NYTFI -- 98 61 107 NJTFI -- 32 102 -- CITF 62 30 52 52
61 The Adviser voluntarily reimbursed expenses of the Funds in the amounts as shown on the Statement of Operations. G. OTHER -- Certain officers of the Trust are officers of the Distributor or of its parent corporation, BISYS. Deferred organization costs are included in Other assets in the Statement of Assets and Liabilities, and amortization of such costs is included in Other expenses in the Statement of Operations. 3. INVESTMENT TRANSACTIONS The cost of purchases and proceeds from sales of investments (excluding short-term investments) for the year ended August 31, 2001, were as follows (amounts in thousands):
TFI ITFI NYTFI NJTFI CITF ------------------------------------------------------------------------------------------------- Purchases $447,841 $301,727 $121,431 $43,564 $9,586 Sales 458,466 305,319 102,822 36,374 7,556
4. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation/(depreciation) in value of the investment securities as of August 31, 2001, are as follows (amounts in thousands):
TFI ITFI NYTFI NJTFI CITF -------------------------------------------------------------------------------------------------- Aggregate cost $800,290 $705,818 $400,443 $78,837 $22,177 -------- -------- -------- ------- ------- Gross unrealized appreciation $ 54,019 $ 41,870 $ 24,130 $ 4,944 $ 1,477 Gross unrealized depreciation (316) -- (77) (25) -- -------- -------- -------- ------- ------- Net unrealized appreciation $ 53,703 $ 41,870 $ 24,053 $ 4,919 $ 1,477 ======== ======== ======== ======= =======
As of 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 AMOUNT DATE ------------------------------------------------------------------------------------------------ TFI $4,602,375 August 31, 2008 NYTFI 276,055 August 31, 2007 686,180 August 31, 2008
During the year ended August 31, 2001, TFI, ITFI, NYTFI, NJTFI and CITF utilized capital loss carryforwards of $133,099, $1,684,817, $578,347, $3,760 and $103,805 respectively. 5. CONCENTRATION OF CREDIT RISK The Funds invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the 62 United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities. NYTFI, CITF and NJTFI primarily invest in issuers in the States of New York, California and New Jersey, respectively. TFI invested approximately 21.0% of its net assets in issuers in New York State. The issuer's abilities to meet their obligations may be affected by economic or political developments in a specific state or region. 6. TRUSTEE COMPENSATION The Funds have 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 EXPENSES --------------------------------------------------------------------------------------------- TFI $8 ITFI 7 NYTFI 3 NJTFI 1 CITF --
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 and the amounts rolled into the deferred compensation plan are listed below (in thousands):
CHASE DEFERRED FUND NAME REIMBURSEMENT COMPENSATION ROLLOVER --------------------------------------------------------------------------------------------- TFI $101 $162 ITFI 76 121 NYTFI 50 79 NJTFI 8 13 CITF 4 6
7. BANK BORROWINGS The Funds may borrow money for temporary or emergency purposes. Any borrowings representing more than 5% of a Fund's total assets must be repaid before the Fund may make additional investments. The funds have entered into an agreement, enabling them to participate 63 with other JPMorgan Funds in an unsecured line of credit with a syndicate of banks, which permits borrowings up to $350 million, collectively. Interest is charged to each fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.10% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. Borrowings are payable on demand. The Funds had no borrowings outstanding as of August 31, 2001, nor at any time during the year. 8. REORGANIZATIONS On February 16, 2001, TFI and NYTFI (the "Acquiring Funds") acquired all the net assets of Chase Vista Tax Free Income Fund ("CVTFI") and Chase Vista New York Tax Free Income Fund ("CVNYTFI") (collectively, the "Target Funds"), respectively, pursuant to Reorganization Plans approved by the Target Funds' shareholders on January 26, 2001. The transactions were structured for tax purposes to qualify as tax-free 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. Holders of Class A Shares in the Target Funds received Class A Shares in the Acquiring Funds and holders of Class B Shares in the Target Funds received Class B Shares in the Acquiring Funds. The following is a summary of shares outstanding, net assets, net asset values per share and net unrealized appreciation immediately before and after the reorganization:
BEFORE AFTER BEFORE AFTER REORGANIZATION REORGANIZATION REORGANIZATION REORGANIZATION -------------------------- -------------- -------------------------- --------------- CVTFI TFI TFI CVNYTFI NYTFI NYTFI ------------ ------------ -------------- ------------ ------------ --------------- Class A Shares 4,211,871 8,194,617 6,653,356 10,754,108 Net Assets $ 52,784,038 $ 52,784,038 $ 77,620,280 $ 77,620,280 Net Asset Value $ 12.53 $ 6.44 $ 11.67 $ 7.22 Class B Shares 832,033 1,609,734 1,088,287 1,754,524 Net Assets $ 10,370,788 $ 10,370,788 $ 12,669,055 $ 12,669,055 Net Asset Value $ 12.46 $ 6.44 $ 11.64 $ 7.22 Class I Shares 122,398,528 122,398,528 39,361,372 39,361,372 Net Assets $788,020,648 $788,020,648 $284,263,522 $284,263,522 Net Asset Value $ 6.44 $ 6.44 $ 7.22 $ 7.22 Net Unrealized Appreciation $ 2,198,910 $ 39,531,740 $ 41,730,650 $ 2,920,739 $ 13,199,123 $ 16,119,862
64 9. CORPORATE EVENT The merger of J.P. Morgan & Co. Incorporated with and into The Chase Manhattan Corporation (renamed J.P. Morgan Chase & Co.), the parent of the Funds' Adviser, JPMFAM, was consummated on December 31, 2000. JPMFAM continues to serve as the Funds' Adviser. 10. SUBSEQUENT EVENTS Prior to the open of business on September 10, 2001, ITFI, NYTFI and J.P. Morgan California Bond Fund ("CBF") (the "Acquiring Funds") acquired all the net assets of J.P. Morgan Tax Exempt Bond Fund ("TEBF"), J.P. Morgan Institutional Tax Exempt Bond Fund ("ITEBF"), J.P. Morgan New York Tax Exempt Bond Fund ("NYTEBF"), J.P. Morgan Institutional New York Tax Exempt Bond Fund ("INYTEBF") and CITF (collectively, 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 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 TEBF and NYTEBF received Select Shares (formerly Institutional Shares) of the Acquiring Funds, shareholders of ITEBF and INYTEBF received Institutional Shares of the Acquiring Funds and holders of Class A Shares in CITF received Class A Shares in CBF. The following is a summary of Shares Outstanding, Beneficial Interest Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation immediately before and after the Reorganizations:
JPMORGAN INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION --------------------------------------------------------------------------- BENEFICIAL NET ASSET NET INTEREST SHARES VALUE UNREALIZED OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION ----------- ----------- -------------- --------- ------------ Target Funds J.P. Morgan Tax Exempt Bond Fund 29,590,258 $ 353,981,523 $11.96 $ 19,565,844 J.P. Morgan Institutional Tax Exempt Bond Fund 52,587,469 $ 552,679,323 $10.51 $ 23,465,790 Acquiring Fund JPMorgan Intermediate Tax Free Income Fund $ 39,281,252 Institutional Class (Renamed Select) 66,353,086 $ 725,783,509 $10.94 Post Reorganization JPMorgan Intermediate Tax Free Income Fund $ 82,312,886 Select Class 98,702,216 $1,079,765,032 $10.94 Institutional Class 50,520,503 $ 552,679,323 $10.94
65
JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND REORGANIZATION ------------------------------------------------------------------------- BENEFICIAL NET ASSET NET INTEREST SHARES VALUE UNREALIZED OUTSTANDING OUTSTANDING NET ASSETS PER SHARE APPRECIATION ----------- ----------- ------------ --------- ------------ Target Funds J.P. Morgan New York Tax Exempt Bond Fund 14,665,092 $159,183,754 $10.85 $ 6,079,214 J.P. Morgan Institutional New York Tax Exempt Bond Fund 28,061,630 $307,395,012 $10.95 $ 8,950,542 Acquiring Fund JPMorgan New York Intermediate Tax Free Income Fund $ 21,041,190 Class A 16,630,782 $121,763,195 $ 7.32 Class B 1,614,640 $ 11,829,231 $ 7.33 Institutional Class (Renamed Select) 40,979,532 $300,267,551 $ 7.33 Post Reorganization JPMorgan New York Intermediate Tax Free Income Fund $ 36,070,946 Class A 16,630,782 $121,763,195 $ 7.32 Class B 1,614,640 $ 11,829,231 $ 7.33 Select Class 62,687,070 $459,451,305 $ 7.33 Institutional Class 41,920,170 $307,395,012 $ 7.33
JPMORGAN CALIFORNIA BOND FUND REORGANIZATION -------------------------------------------------------- NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE APPRECIATION ----------- ------------ --------- ------------ Target Funds JPMorgan California Intermediate Tax Free Fund $1,449,626 Class A 2,257,417 $ 23,318,969 $10.33 Acquiring Fund J. P. Morgan California Bond Fund $8,202,064 Select Class 2,891,220 $ 31,511,432 $10.90 Institutional Class 13,011,529 $139,461,460 $10.72 Post Reorganization JPMorgan California Bond Fund $9,651,690 Class A 2,139,369 $ 23,318,969 $10.90 Select Class 2,891,220 $ 31,511,432 $10.90 Institutional Class 13,011,529 $139,461,460 $10.72
66 10. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands):
TAX FREE INCOME FUND ----------------------------------------------------------------------------------------------------------- CLASS A CLASS B CLASS I ----------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001* ----------------------------------------------------------------------------------------------------------- Shares sold $ 46,987 7,317 $ 1,544 241 $ 94,888 14,899 Shares issued in connection with Fund merger (Note 8) 52,784 8,195 10,371 1,610 -- -- Shares issued in reinvestment of distributions 904 140 105 16 78 12 Shares redeemed (43,322) (6,738) (4,520) (704) (87,996) (13,775) ----------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 57,353 8,914 $ 7,500 1,163 $ 6,970 1,136 =========================================================================================================== YEAR ENDED AUGUST 31, 2000 ----------------------------------------------------------------------------------------------------------- Shares sold $ 94,232 15,513 Shares issued in reinvestment of distributions 55 9 Shares redeemed (93,114) (15,332) ----------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 1,173 190 ===========================================================================================================
* For Class A and B Shares, from commencement of offering on February 16, 2001.
INTERMEDIATE TAX FREE INCOME FUND ---------------------------------------------------------------------------------------- CLASS I ---------------------------------------------------------------------------------------- AMOUNT SHARES ---------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 ---------------------------------------------------------------------------------------- Shares sold $ 75,543 7,086 Shares issued in reinvestment of distributions 51 5 Shares redeemed (75,379) (7,081) ---------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 215 10 ======================================================================================== YEAR ENDED AUGUST 31, 2000 ---------------------------------------------------------------------------------------- Shares sold $ 66,780 6,521 Shares issued in reinvestment of distributions 3,806 372 Shares redeemed (107,611) (10,502) ---------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $ (37,025) (3,609) ========================================================================================
67
NEW YORK INTERMEDIATE TAX FREE INCOME FUND --------------------------------------------------------------------------------------------------------------------------- CLASS A CLASS B CLASS I --------------------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES --------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001* --------------------------------------------------------------------------------------------------------------------------- Shares sold $ 51,962 7,162 $ 2,343 324 $ 53,130 7,409 Shares issued in connection with Fund merger (Note 8) 77,620 10,754 12,669 1,754 -- -- Shares issued in reinvestment of distributions 1,193 165 129 18 12 2 Shares redeemed (15,434) (2,141) (3,469) (481) (42,883) (5,999) --------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 115,341 15,940 $ 11,672 1,615 $ 10,259 1,412 =========================================================================================================================== YEAR ENDED AUGUST 31, 2000 --------------------------------------------------------------------------------------------------------------------------- Shares sold $ 42,794 6,259 Shares issued in reinvestment of distributions 89 13 Shares redeemed (64,427) (9,421) --------------------------------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $ (21,544) (3,149) ===========================================================================================================================
* For Class A and B Shares, from commencement of offering on February 16, 2001.
NEW JERSEY TAX FREE INCOME FUND -------------------------------------------------------------------------------------------------- CLASS I -------------------------------------------------------------------------------------------------- AMOUNT SHARES -------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 -------------------------------------------------------------------------------------------------- Shares sold $ 15,530 1,557 Shares issued in reinvestment of distributions 13 1 Shares redeemed (10,512) (1,049) -------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 5,031 509 ================================================================================================== YEAR ENDED AUGUST 31, 2000 -------------------------------------------------------------------------------------------------- Shares sold $ 12,035 1,271 Shares issued in reinvestment of distributions 6 1 Shares redeemed (8,140) (862) -------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 3,901 410 ==================================================================================================
68
CALIFORNIA INTERMEDIATE TAX FREE FUND -------------------------------------------------------------------------------------------------- CLASS A -------------------------------------------------------------------------------------------------- AMOUNT SHARES -------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2001 -------------------------------------------------------------------------------------------------- Shares sold $ 5,854 572 Shares issued in reinvestment of distributions 421 41 Shares redeemed (3,071) (303) -------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 3,204 310 ================================================================================================== YEAR ENDED AUGUST 31, 2000 -------------------------------------------------------------------------------------------------- Shares sold $ 653 67 Shares issued in reinvestment of distributions 591 61 Shares redeemed (3,275) (338) -------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $(2,031) (210) ==================================================================================================
69 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS
TAX FREE INCOME FUND @ ---------------------------------------------------------------------------- CLASS A CLASS B INSTITUTIONAL CLASS ------- ------- ---------------------------------------------------- 2/16/01^ 2/16/01^ YEAR ENDED 1/1/97* THROUGH THROUGH ---------------------------------------- THROUGH 8/31/01 8/31/01 8/31/01 8/31/00 8/31/99 8/31/98 8/31/97 ------- ------- ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 6.44 $ 6.44 $ 6.25 $ 6.19 $ 6.60 $ 6.45 $ 6.39 ------- ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income 0.15 0.12 0.29 0.30 0.34 0.35 0.24 Net gains or losses in securities (both realized and unrealized) 0.13 0.14 0.32 0.06 (0.37) 0.21 0.06 ------- ------- ------- ------- ------- ------- ------- Total from investment operations 0.28 0.26 0.61 0.36 (0.03) 0.56 0.30 ------- ------- ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income 0.15 0.12 0.29 0.30 0.34 0.35 0.24 Distributions from capital gains -- -- -- -- 0.04 0.06 -- ------- ------- ------- ------- ------- ------- ------- Total distributions 0.15 0.12 0.29 0.30 0.38 0.41 0.24 ------- ------- ------- ------- ------- ------- ------- Net asset value, end of period $ 6.57 $ 6.58 $ 6.57 $ 6.25 $ 6.19 $ 6.60 $ 6.45 ======= ======= ======= ======= ======= ======= ======= Total return(1) 4.46% 4.13% 10.00% 6.11% (0.63%) 8.99% 4.86% Ratios/supplemental data: Net assets, end of period (millions) $ 59 $ 7 $ 798 $ 753 $ 744 $ 761 $ 677 Ratios to average net assets:# Expenses 0.75% 1.64% 0.74% 0.57% 0.03% 0.02% 0.02% Net investment income 4.55% 3.66% 4.56% 4.98% 5.25% 5.39% 5.73% Expenses without waivers, reimbursements and earnings credits 1.23% 1.74% 0.76% 0.66% 0.50% 0.50% 0.49% Net investment income without waivers, reimbursements and earnings credits 4.07% 3.56% 4.54% 4.89% 4.78% 4.91% 5.26% Portfolio turnover rate 57% 57% 57% 35% 39% 47% 48% ------------------------------------------------------------------------------------------------------------------------------
@ Formerly Chase Vista Select Tax Free Income Fund. * Commencement of operations. ^ Commencement of offering of class of shares. (1) Total return figures do not include the effect of any front-end or deferred sales load. # Short periods have been annualized. See notes to financial statements. 70
INTERMEDIATE TAX FREE INCOME FUND @ -------------------------------------------------------- INSTITUTIONAL CLASS -------------------------------------------------------- YEAR ENDED 1/1/97* ------------------------------------------ THROUGH 8/31/01 8/31/00 8/31/99 8/31/98 8/31/97 ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 10.46 $ 10.42 $ 10.93 $ 10.85 $ 10.75 ------- ------- ------- ------- ------- Income from investment operations: Net investment income 0.44 0.46 0.52 0.56 0.39 Net gains or losses in securities (both realized and unrealized) 0.52 0.10 (0.39) 0.29 0.10 ------- ------- ------- ------- ------- Total from investment operations 0.96 0.56 0.13 0.85 0.49 ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income 0.44 0.46 0.52 0.56 0.39 Distributions from capital gains -- 0.06 0.12 0.21 -- ------- ------- ------- ------- ------- Total distributions 0.44 0.52 0.64 0.77 0.39 ------- ------- ------- ------- ------- Net asset value, end of period $ 10.98 $ 10.46 $ 10.42 $ 10.93 $ 10.85 ======= ======= ======= ======= ======= Total return 9.35% 5.54% 1.15% 8.08% 4.58% Ratios/supplemental data: Net assets, end of period (millions) $ 728 $ 694 $ 729 $ 717 $ 631 Ratios to average net assets:# Expenses 0.74% 0.57% 0.03% 0.02% 0.02% Net investment income 4.10% 4.49% 4.81% 5.10% 5.40% Expenses without waivers, reimbursements and earnings credits 0.75% 0.66% 0.50% 0.50% 0.50% Net investment income without waivers, reimbursements and earnings credits 4.09% 4.40% 4.34% 4.62% 4.92% Portfolio turnover rate 43% 60% 62% 71% 60% -----------------------------------------------------------------------------------------------------
@ Formerly Chase Vista Select Intermediate Tax Free Income Fund. * Commencement of operations. # Short periods have been annualized. See notes to financial statements. 71
NEW YORK INTERMEDIATE TAX FREE INCOME FUND @ -------------------------------------------------------------------------- CLASS A CLASS B INSTITUTIONAL CLASS ------- ------- ---------------------------------------------------- 2/16/01^ 2/16/01^ YEAR ENDED 1/1/97* THROUGH THROUGH ----------------------------------------- THROUGH 8/31/01 8/31/01 8/31/01 8/31/00 8/31/99 8/31/98 8/31/97 ------- ------- ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 7.22 $ 7.22 $ 7.01 $ 6.91 $ 7.29 $ 7.15 $ 7.09 ------- ------- ------- ------- ------- ------- ------- Income from investment operations: Net investment income 0.15 0.12 0.29 0.31 0.35 0.37 0.26 Net gains or losses in securities (both realized and unrealized) 0.15 0.16 0.37 0.10 (0.31) 0.21 0.06 ------- ------- ------- ------- ------- ------- ------- Total from investment operations 0.30 0.28 0.66 0.41 0.04 0.58 0.32 ------- ------- ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income 0.15 0.12 0.29 0.31 0.35 0.37 0.26 Distributions from capital gains -- -- -- -- 0.07 0.07 -- ------- ------- ------- ------- ------- ------- ------- Total distributions 0.15 0.12 0.29 0.31 0.42 0.44 0.26 ------- ------- ------- ------- ------- ------- ------- Net asset value, end of period $ 7.37 $ 7.38 $ 7.38 $ 7.01 $ 6.91 $ 7.29 $ 7.15 ======= ======= ======= ======= ======= ======= ======= Total return(1) 4.26% 3.91% 9.68% 6.13% 0.38% 8.37% 4.62% Ratios/supplemental data: Net assets, end of period (millions) $ 117 $ 12 $ 302 $ 277 $ 295 $ 283 $ 235 Ratios to average net assets:# Expenses 0.75% 1.64% 0.75% 0.58% 0.04% 0.03% 0.03% Net investment income 4.10% 3.21% 4.10% 4.48% 4.85% 5.08% 5.52% Expenses without waivers, reimbursements and earnings credits 1.21% 1.72% 0.79% 0.70% 0.53% 0.53% 0.53% Net investment income without waivers, reimbursements and earnings credits 3.64% 3.13% 4.06% 4.36% 4.36% 4.58% 5.02% Portfolio turnover rate 33% 33% 33% 46% 39% 66% 32% ----------------------------------------------------------------------------------------------------------------------
@ Formerly Chase Vista Select New York Intermediate Tax Free Income Fund. * Commencement of operations. ^ Commencement of offering of class of shares. (1) Total return figures do not include the effect of any front-end or deferred sales load. # Short periods have been annualized. See notes to financial statements. 72
NEW JERSEY TAX FREE INCOME FUND @ ------------------------------------------------------------ INSTITUTIONAL CLASS ------------------------------------------------------------ YEAR ENDED 1/1/97* ----------------------------------------------- THROUGH 8/31/01 8/31/00 8/31/99 8/31/98 8/31/97 ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 9.73 $ 9.61 $10.24 $10.04 $ 9.99 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.42 0.44 0.49 0.52 0.37 Net gains or losses in securities (both realized and unrealized) 0.60 0.12 (0.45) 0.24 0.05 ------ ------ ------ ------ ------ Total from investment operations 1.02 0.56 0.04 0.76 0.42 ------ ------ ------ ------ ------ Less distributions: Dividends from net investment income 0.42 0.44 0.49 0.52 0.37 Distributions from capital gains -- -- 0.18 0.04 ------ ------ ------ ------ ------ Total distributions 0.42 0.44 0.67 0.56 0.37 ------ ------ ------ ------ ------ Net asset value, end of period $10.33 $ 9.73 $ 9.61 $10.24 $10.04 ====== ====== ====== ====== ====== Total return 10.69% 6.08% 0.37% 7.82% 4.20% Ratios/supplemental data: Net assets, end of period (millions) $ 82 $ 73 $ 68 $ 71 $ 64 Ratios to average net assets:# Expenses 0.75% 0.59% 0.04% 0.02% 0.02% Net investment income 4.18% 4.67% 4.94% 5.16% 5.52% Expenses without waivers, reimbursements and earnings credits 0.93% 0.82% 0.63% 0.63% 0.57% Net investment income without waivers, reimbursements and earnings credits 4.00% 4.44% 4.35% 4.55% 4.97% Portfolio turnover rate 48% 48% 24% 60% 14% ---------------------------------------------------------------------------------------------------------
@ Formerly Chase Vista Select New Jersey Tax Free Income Fund. * Commencement of operations. # Short periods have been annualized. See notes to financial statements. 73
CALIFORNIA INTERMEDIATE TAX FREE FUND @ ------------------------------------------------------- CLASS A ------------------------------------------------------- YEAR ENDED ------------------------------------------------------- 8/31/01 8/31/00 8/31/99 8/31/98 8/31/97 ------- ------- ------- ------- ------- Per share operating performance: Net asset value, beginning of period $ 10.00 $ 9.79 $ 10.29 $ 10.07 $ 9.81 ------- ------- ------- ------- ------- Income from investment operations: Net investment income 0.43 0.42 0.41 0.45 0.46 Net gains or losses in securities (both realized and unrealized) 0.45 0.31 (0.37) 0.32 0.26 ------- ------- ------- ------- ------- Total from investment operations 0.88 0.73 0.04 0.77 0.72 ------- ------- ------- ------- ------- Less distributions: Dividends from net investment income 0.43 0.42 0.41 0.45 0.33 Distributions from capital gains -- 0.10 0.13 0.10 0.13 ------- ------- ------- ------- ------- Total distributions 0.43 0.52 0.54 0.55 0.46 ------- ------- ------- ------- ------- Net asset value, end of period $ 10.45 $ 10.00 $ 9.79 $ 10.29 $ 10.07 ======= ======= ======= ======= ======= Total return(1) 8.98% 7.83% 0.28% 7.81% 7.46% Ratios/supplemental data: Net assets, end of period (millions) $ 23 $ 19 $ 21 $ 24 $ 26 Ratios to average net assets:# Expenses 0.60% 0.60% 0.60% 0.60% 0.60% Net investment income 4.20% 4.35% 3.99% 4.38% 4.65% Expenses without waivers, reimbursements and earnings credits 1.57% 1.55% 1.46% 1.44% 1.33% Net investment income without waivers, reimbursements and earnings credits 3.23% 3.40% 3.13% 3.54% 3.92% Portfolio turnover rate 39% 116% 111% 44% 66% ------------------------------------------------------------------------------------------------------
@ Formerly Chase Vista California Intermediate Tax Free Fund. (1) Total return figures do not include the effect of any front-end sales load. # Short periods have been annualized. See notes to financial statements. 74 JPMORGAN FUNDS REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees and Shareholders of Mutual Fund Select Trust and 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 Tax Free Income Fund, JPMorgan New York Intermediate Tax Free Income Fund, JPMorgan New Jersey Tax Free Income Fund, JPMorgan Intermediate Tax Free Income Fund and JPMorgan California Intermediate Tax Free Fund (separate portfolios of Mutual Fund Select Trust and Mutual Fund Trust, hereafter referred to as the "funds") at August 31, 2001, 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 five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with 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 New York, New York October 17, 2001 75 JPMORGAN FUNDS SPECIAL MEETING OF SHAREHOLDERS (unaudited) 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 Select New York Intermediate Tax Free Income Fund and Chase Vista Select Tax Free Income Fund (the "acquiring funds"), both a series of Mutual Fund Select Trust and Chase Vista New York Tax Free Income Fund and Chase Vista Tax Free Income Fund (the "acquired funds"), both a series of Mutual Fund Trust. Under the Reorganization Plan, the acquired funds would transfer all of their asset and liabilities to the acquiring funds in a tax-free reorganization. In exchange, shareholders of the acquired funds would receive shares of the acquiring funds with a value equal to their respective holdings in the acquired funds. A majority of shareholders of Chase Vista New York Tax Free Income Fund and Chase Vista Tax Free Income Fund, respectively, approved the Reorganization Plan by the following votes:
CHASE VISTA NEW YORK CHASE VISTA TAX FREE TAX FREE INCOME FUND INCOME FUND -------------------------------------------------------------------------------- For 3,823,042 2,529,246 Against 346,885 58,795 Abstain 149,156 74,968
A Special Meeting of Shareholders was held on July 3, 2001 and July 25, 2001 at 1211 Avenue of the Americas, New York, New York 10036 for purposes of approving an Agreement and Plan of Reorganization (the "Reorganization Plan") between the following series of Mutual Fund Select Trust, Mutual Fund Trust, J.P. Morgan Funds, J.P. Morgan Institutional Funds and J.P. Morgan Series Trust:
ACQUIRING FUND: TARGET FUND(S): -------------------------------------------------------------------------------------------- JPMorgan Intermediate Tax Free Income Fund J.P. Morgan Tax Exempt Bond Fund J.P. Morgan Institutional Tax Exempt Bond Fund JPMorgan New York Intermediate Tax J.P. Morgan New York Tax Exempt Bond Fund Free Income Fund J.P. Morgan Institutional New York Tax Exempt Bond Fund J.P. Morgan California Bond Fund JPMorgan California Intermediate Tax Free Fund
Under the Reorganization Plan, the Target Funds would transfer all of their asset and liabilities to the Acquiring Funds in a tax-free reorganization. In exchange, shareholders of the Target Funds would receive shares of the Acquiring Funds with a value equal to their respective holdings in the Target Funds. A majority of shareholders of the J.P. Morgan Tax Exempt Bond Fund, J.P. Morgan Institutional Tax Exempt Bond Fund, J.P. Morgan New York Tax Exempt Bond Fund, J.P. Morgan Institutional New York Tax Exempt Bond Fund and J.P. Morgan California 76 Intermediate Tax Free Fund, respectively, approved the Reorganization Plan by the following votes:
J.P. MORGAN TAX J.P. MORGAN INSTITUTIONAL TAX EXEMPT BOND FUND EXEMPT BOND FUND -------------------------------------------------------------------------------- For 200,173,087 314,871,321 Against 3,642,480 2,440,143 Abstain 4,657,740 341,233 J.P. MORGAN NEW YORK J.P. MORGAN TAX EXEMPT INSTITUTIONAL NEW YORK BOND FUND TAX EXEMPT BOND FUND -------------------------------------------------------------------------------- For 79,423,633 128,913,428 Against 2,299,866 337,672 Abstain 1,457,629 259,372 JPMORGAN CALIFORNIA INTERMEDIATE TAX FREE FUND -------------------------------------------------------------------------------- For 1,262,724 Against 6,718 Abstain 27,685
A Special Meeting of Shareholders was held on July 3, 2001 and July 25, 2001 at 1211 Avenue of the Americas, New York, New York 10036 for purposes of approving the election of eight Trustees. A majority of shareholders of Mutual Fund Select Trust and JPMorgan California Intermediate Tax Free Fund, respectively, approved the election of each Trustee by the following votes: MUTUAL FUND SELECT TRUST:
AFFIRMATIVE NEGATIVE -------------------------------------------------------------------------------- William J. Armstrong 214,421,197 1,809,368 Roland R. Eppley 214,024,223 2,206,342 Ann Maynard Gray 214,421,865 1,808,700 Matthew Healey 214,419,997 1,810,568 Fergus Reid, III 214,022,426 2,208,139 James J. Schonbachler 214,421,865 1,808,700 Leonard M. Spalding, Jr. 214,420,959 1,809,606 H. Richard Vartabedian 214,413,522 1,817,043
JPMORGAN CALIFORNIA INTERMEDIATE TAX FREE FUND:
AFFIRMATIVE NEGATIVE ------------------------------------------------------------------------------- William J. Armstrong 1,404,119 17,810 Roland R. Eppley 1,400,984 20,945 Ann Maynard Gray 1,404,119 17,810 Matthew Healey 1,404,119 17,810 Fergus Reid, III 1,404,119 17,810 James J. Schonbachler 1,400,984 20,945 Leonard M. Spalding, Jr. 1,404,119 17,810 H. Richard Vartabedian 1,400,984 20,945
77 TAX LETTER (UNAUDITED) JPMORGAN TAX FREE INCOME FUND (TFI) JPMORGAN INTERMEDIATE TAX FREE INCOME FUND (ITFI) JPMORGAN NEW YORK INTERMEDIATE TAX FREE INCOME FUND (NYTFI) JPMORGAN NEW JERSEY TAX FREE INCOME FUND (NJTFI) JPMORGAN CALIFORNIA INTERMEDIATE TAX FREE FUND ("CITF") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds income and distributions for the taxable year ended August 31, 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. For the fiscal year ended August 31, 2001: - The dividends paid from net investment income are 99.93%, 100.00%, 99.96%, 100.00% and 100.00% exempt from Federal income tax for TFI, ITFI, NYTFI, NJTFI and CITF, respectively. - For shareholders who are subject to the Alternative Minimum Tax, the percentage of income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 6.31%, 4.67%, 3.17%, 7.78% and 2.54% for TFI, ITFI, NYTFI, NJTFI and CITF, respectively. 78 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 TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund 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 ADVISER JPMorgan Fleming Asset Management ADMINISTRATOR, SHAREHOLDER AND FUND SERVICING AGENT AND CUSTODIAN The Chase Manhattan Bank 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 distribution 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 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-TF-1001