-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, E74iupa6hnz0IEXCorxhf2KcPC5ySu6ldx4IsIi/4E042XOdrrbPuBPf0AbuxZC8 sJy41xxplF2s6PgPLhGEPQ== 0000912057-02-040752.txt : 20021104 0000912057-02-040752.hdr.sgml : 20021104 20021104140934 ACCESSION NUMBER: 0000912057-02-040752 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020831 FILED AS OF DATE: 20021104 EFFECTIVENESS DATE: 20021104 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MUTUAL FUND TRUST CENTRAL INDEX KEY: 0000919034 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-08358 FILM NUMBER: 02807971 BUSINESS ADDRESS: STREET 1: 1 CHASE MANHATTAN PLAZA STREET 2: 3RD FLOOR CITY: NEW YORK STATE: NY ZIP: 10081 MAIL ADDRESS: STREET 1: ONE CHASE SQUARE 7TH FLOOR CITY: ROCHESTER STATE: NY ZIP: 14643 N-30D 1 a2090777zn-30d.txt N-30D ANNUAL REPORT AUGUST 31, 2002 JPMORGAN FUNDS [GRAPHIC] MONEY MARKET FUNDS 100% U.S. TREASURY SECURITIES MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND TREASURY PLUS MONEY MARKET FUND FEDERAL MONEY MARKET FUND CALIFORNIA TAX FREE MONEY MARKET FUND NEW YORK TAX FREE MONEY MARKET FUND TAX FREE MONEY MARKET FUND LIQUID ASSETS MONEY MARKET FUND PRIME MONEY MARKET FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS PRESIDENT'S LETTER 1 FUND FACTS: 100% U.S. TREASURY SECURITIES MONEY MARKET FUND 3 U.S. GOVERNMENT MONEY MARKET FUND 4 TREASURY PLUS MONEY MARKET FUND 5 FEDERAL MONEY MARKET FUND 6 CALIFORNIA TAX FREE MONEY MARKET FUND 7 NEW YORK TAX FREE MONEY MARKET FUND 8 TAX FREE MONEY MARKET FUND 9 LIQUID ASSETS MONEY MARKET FUND 10 PRIME MONEY MARKET FUND 11 PORTFOLIOS OF INVESTMENTS 12 FINANCIAL STATEMENTS 97 NOTES TO FINANCIAL STATEMENTS 112 FINANCIAL HIGHLIGHTS 142 HIGHLIGHTS - - THE U.S. ECONOMY SENT MIXED SIGNALS OVER THE PAST YEAR. - - FIXED-INCOME ACTIVITY DURING THE REPORTING PERIOD WAS CHARACTERIZED BY VOLATILITY. NOT FDIC INSURED MAY LOSE VALUE / NO BANK GUARANTEE JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC. JPMORGAN MONEY MARKET FUNDS PRESIDENT'S LETTER SEPTEMBER 20, 2002 DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Money Market Funds for the fiscal year ended August 31, 2002. Inside you'll find in-depth information on some of our money market funds along with updates from the portfolio management team. U.S. ECONOMY SENDING MIXED SIGNALS A year ago, the U.S. economy was looking stronger, suggesting to some that a recovery was imminent. But in early September, economic data weakened with declines in employment, industrial production and consumer confidence. Then came the tragic events of September 11th. The Federal Reserve Board maintained its accommodative monetary policy and by the end of 2001, the targeted Federal Funds rate stood at 1.75%, down from 4.75% at the beginning of 2001. By the beginning of 2002, the U.S. economy began to show signs of strength once again. However, a number of factors combined to undermine the recovery, including corporate governance issues, accounting fraud, credit downgrades and a decline in the equity markets. Fear and doubt overcame optimism, and the reaction in the financial markets was severe and negative. While understandable, the reaction seemed to be out of proportion, given economic fundamentals. Concerned that the U.S. might slip back into recession, the Fed signaled -- in August -- that it might ease interest rates later in the year. INTEREST RATES REMAIN LOW The market for fixed-income securities throughout the period was characterized by volatility and a lack of liquidity. The Fed's easing bias led to a drop in interest rates, especially in the shorter maturities. As investors sought quality, Treasury yields rallied and prices of many investment-grade bonds declined. Money markets became a safe haven for many investors concerned about the volatility in the equity and taxable fixed income markets. Before the Fed started lowering interest rates in January 2001, money market investors enjoyed yields of between five and six percent. But after 11 rate cuts, few money market funds offer yields higher than 2.5%. We believe a significant increase in short-term rates is unlikely until the economy is solidly back on track. In these dramatic and challenging times, your portfolio managers continue to have a positive outlook for the future. They are working hard to maintain good performance and will continue to focus on preservation of principal while trying 1 to obtain the highest possible yields in this low interest rate environment. The portfolio management team and all of us at JPMorgan Fleming Asset Management thank you for your continued investment and anticipate serving your investment needs for many years to come. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - -------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $5.2 BILLION Average maturity 57 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE - ----------------------------------- 1 day 0.0% 2-7 days 13.0% 8-30 days 24.5% 31-60 days 21.3% 61-90 days 21.1% 91-180 days 15.7% 181+ days 4.4%
7-DAY SEC YIELD(1) - ------------------------------- Morgan Shares 1.16% Premier Shares 1.29% Agency Shares 1.50% Institutional Shares 1.55%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.07%, 1.27%, 1.43% and 1.41% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 3 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - -------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY AND ITS AGENCIES INCLUDING TREASURY BILLS, BONDS, NOTES, AND REPURCHASE AGREEMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $9.4 BILLION Average maturity 35 DAYS S&P rating* AAA Moody's rating* AAA NAIC rating* CLASS(1)
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE - ----------------------------------- 1 day 6.0% 2-7 days 60.5% 8-30 days 11.1% 31-60 days 2.1% 61-90 days 3.6% 91-180 days 5.7% 181+ days 11.0%
7-DAY SEC YIELD(1) - ------------------------------- Morgan Shares 1.32% Premier Shares 1.46% Agency Shares 1.65% Institutional Shares 1.71%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.23%, 1.34%, 1.59% and 1.59% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan U.S. Government Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 4 JPMORGAN TREASURY PLUS MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - ----------------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES AS WELL AS REPURCHASE AGREEMENTS AGREEMENTS WHICH ARE FULLY COLLATERALIZED BY OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, RESERVE AND INSTITUTIONAL SHARES Net assets $4.0 BILLION Average maturity 51 DAYS S&P rating* AAA Moody's rating* Aaa NAIC rating* EXEMPT
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) exempt status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE - --------------------------------- 1 day 0.0% 2-7 days 59.4% 8-30 days 18.2% 31-60 days 0.0% 61-90 days 7.5% 91-180 days 1.3% 181+ days 13.6%
7-DAY SEC YIELD(1) - ------------------------------- Morgan Shares 1.22% Premier Shares 1.36% Agency Shares 1.56% Reserve Shares 1.11% Institutional Shares 1.61%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.11%, 1.32%, 1.48%, 1.07% and 1.47% for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares and Institutional Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan Treasury Plus Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 5 JPMORGAN FEDERAL MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - ------------------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES AS WELL AS OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY AND ITS AGENCIES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $4.3 BILLION Average maturity 47 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE - --------------------------------- 1 day 20.4% 2-7 days 7.8% 8-30 days 33.2% 31-60 days 10.2% 61-90 days 11.0% 91-180 days 4.4% 181+ days 13.0%
7-DAY SEC YIELD(1) - ------------------------------- Morgan Shares 1.15% Premier Shares 1.40% Agency Shares 1.59% Institutional Shares 1.65%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.13%, 1.38%, 1.53% and 1.53% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan Federal Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 6 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - -------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments CALIFORNIA SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN SHARES Net assets $163.1 MILLION Average maturity 32 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE - ------------------------------- 1 day 5.5% 2-7 days 68.3% 8-30 days 3.9% 31-60 days 0.0% 61-90 days 5.7% 91-180 days 10.5% 181+ days 6.1%
YIELDS - ------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------- Morgan Shares 0.94% 1.68%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yield for Morgan Shares reflects the reimbursements or waivers of certain expenses. Without these subsidies, the yield would have been 0.80%. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 44.07%. * A portion of the Fund's income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. (UNAUDITED) 7 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - ---------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments NEW YORK SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN AND RESERVE SHARES Net assets $2.3 BILLION Average maturity 42 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE - ------------------------------- 1 day 7.0% 2-7 days 65.2% 8-30 days 2.4% 31-60 days 7.1% 61-90 days 3.1% 91-180 days 2.9% 181+ days 12.3%
YIELDS - ------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------- Morgan Shares 0.92% 1.68% Reserve Shares 0.72% 1.31%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares and Reserve Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.83% for Morgan Shares and 0.65% for Reserve Shares. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal, state and local tax rate used for this illustration is 45.21%. * A portion of the Fund's income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local taxes. (UNAUDITED) 8 JPMORGAN TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - --------------------------------------------------------------------------------------- Objective HIGH CURRENT TAX FREE INCOME CONSISTENT WITH CAPITAL PRESERVATION* Primary investments SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net assets $8.9 BILLION Average maturity 39 DAYS S&P rating** AAA Moody's rating NOT RATED NAIC rating NOT RATED
** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share.
MATURITY SCHEDULE - --------------------------------- 1 day 8.0% 2-7 days 69.3% 8-30 days 2.4% 31-60 days 3.0% 61-90 days 2.4% 91-180 days 5.1% 181+ days 9.8%
YIELDS - --------------------------------------------------- TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - --------------------------------------------------- Morgan Shares 0.91% 1.48% Premier Shares 1.05% 1.71% Agency Shares 1.24% 2.02% Institutional Shares 1.30% 2.12%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.81%, 1.02%, 1.17 and 1.17% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. (2) Taxable equivalent yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective federal tax rate used for this illustration is 38.60%. * A portion of the Fund's income distributions may be subject to the Alternative Minimum Tax (AMT), and some investors may be subject to certain state and local TAXES. (UNAUDITED) 9 JPMORGAN LIQUID ASSETS MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - ---------------------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR-DENOMINATED MONEY MARKET INSTRUMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY AND INSTITUTIONAL SHARES Net assets $1.2 BILLION Average maturity 59 DAYS S&P rating* NOT RATED Moody's rating* NOT RATED NAIC rating* NOT RATED
MATURITY SCHEDULE - --------------------------------- 1 day 0.2% 2-7 days 19.8% 8-30 days 20.7% 31-60 days 18.2% 61-90 days 23.8% 91-180 days 7.7% 181+ days 9.6%
7-DAY SEC YIELD(1) - ------------------------------ Morgan Shares 1.40% Premier Shares 1.54% Agency Shares 1.73% Institutional Shares 1.79%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.07%, 1.27%, 1.49% and 1.52% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan Liquid Assets Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 10 JPMORGAN PRIME MONEY MARKET FUND AS OF AUGUST 31, 2002
FUND FACTS - ----------------------------------------------------------------------------------------------------- Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary investments HIGH QUALITY, SHORT-TERM, U.S. DOLLAR-DENOMINATED MONEY MARKET INSTRUMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, SELECT, CASH MANAGEMENT, INSTITUTIONAL, RESERVE, B AND C SHARES Net assets $48.9 BILLION Average maturity 49 DAYS S&P rating* AAA Moody's rating* Aaa NAIC rating* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. It signifies that the Fund's safety is excellent and that it has superior capacity to maintain a $1 Net Asset Value per share. The National Association of Insurance Commissioners' (NAIC's) Class 1 status indicates that the Fund meets certain pricing and quality guidelines.
MATURITY SCHEDULE - --------------------------------- 1 day 1.2% 2-7 days 22.5% 8-30 days 29.7% 31-60 days 11.3% 61-90 days 20.0% 91-180 days 10.2% 181+ days 5.1%
7-DAY SEC YIELD(1) - ------------------------------ Morgan Shares 1.30% Premier Shares 1.44% Agency Shares 1.63% Select Shares 1.45% Cash Management Shares 0.92% Institutional Shares 1.69% Reserve Shares 1.19% B Shares 0.65% C Shares 0.65%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares, Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 1.28%, 1.42%, 1.57%, 1.41%, 0.90%, 1.57%, 1.16%, 0.63% and 0.63% for Morgan Shares, Premier Shares, Agency Shares, Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C Shares, respectively. JPMorgan Funds intends shortly to make holdings of the JPMorgan Prime Money Market Fund from prior day available to fund shareholders upon request. This facility will be described in the next prospectus of the fund. Please contact your JPMorgan Fleming representative to obtain further information regarding this facility and information on holdings. (UNAUDITED) 11 JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - -------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 100.0% U.S. Treasury Bills, $ 100,000 1.60%, 01/16/03 $ 99,389 74,734 1.60%, 01/23/03 74,256 359,415 1.61%, 11/21/02 358,111 350,000 1.61%, 01/09/03 347,965 416,202 1.64%, 11/07/02 414,930 525,235 1.66%, 09/19/02 524,798 678,911 1.67%, 09/05/02 678,784 309,107 1.69%, 10/03/02 308,644 375,440 1.70%, 09/26/02 374,996 389,057 1.74%, 09/12/02 388,850 402,989 1.74%, 10/17/02 402,093 200,000 1.76%, 12/05/02 199,074 404,191 1.77%, 10/10/02 403,414 332,593 1.86%, 10/31/02 331,560 U.S. Treasury Notes & Bonds, 150,000 4.25%, 03/31/03 151,572 100,000 5.13%, 12/31/02 101,031 75,000 5.75%, 08/15/03 77,812 ------------------------------------------------------- Total Investments -- 100.0% $5,237,279 (Cost $5,237,279) * -------------------------------------------------------
See notes to financial statements. 12 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 54.1% Federal Farm Credit Bank, $ 42,400 1.93%, 12/02/02 $ 42,400 75,000 2.95%, 04/01/03 74,992 8,000 DN, 2.17%, 11/06/02 7,968 550,000 FRN, 1.62%, 09/19/02 549,999 100,000 FRN, 1.67%, 05/02/03 99,993 12,500 FRN, 1.73%, 12/17/02 12,500 70,000 FRN, 1.75%, 02/03/03 70,000 92,000 FRN, 1.77%, 05/08/03 91,991 58,000 FRN, 1.77%, 08/08/03 58,000 Federal Home Loan Bank, 45,000 2.01%, 09/05/03 45,000 52,000 2.05%, 08/15/03 52,000 77,000 2.17%, 07/10/03 77,000 67,500 2.23%, 07/10/03 67,500 29,400 2.75%, 04/08/03 29,400 40,000 2.75%, 04/09/03 40,000 50,000 2.80%, 04/10/03 50,000 84,102 DN, 1.73%, 09/20/02 84,025 3,850 DN, 1.90%, 11/06/02 3,837 24,436 DN, 1.94%, 11/13/02 24,340 45,000 FRN, 1.77%, 07/25/03 45,000 70,000 Ser. CS03, 2.53%, 04/04/03 70,000 25,000 Ser. DQ03, 2.55%, 04/08/03 25,000 25,000 Ser. DT02, 2.45%, 12/17/02 24,999 Federal Home Loan Mortgage Corp., 50,000 4.75%, 03/15/03 50,509 1,614 6.25%, 10/15/02 1,623 63,350 DN, 1.74%, 09/05/02 63,338 58,000 DN, 1.94%, 09/18/02 57,947 30,000 DN, 1.95%, 09/27/02 29,958 83,320 DN, 1.71%, 09/24/02 83,229 26,275 DN, 1.73%, 10/17/02 26,217 89,900 DN, 1.75%, 12/20/02 89,419 200,000 DN, 1.80%, 09/03/02 199,980 96,500 DN, 1.92%, 07/17/03 94,858 168,590 DN, 2.06%, 11/07/02 167,945 1,478 DN, 2.10%, 12/11/02 1,469 Federal National Mortgage Association, 80,000 5.75%, 04/15/03 81,400 58,355 6.38%, 10/15/02 58,674 142,900 DN, 1.75%, 12/31/02 142,059 200,000 DN, 1.80%, 09/03/02 199,980 66,000 DN, 1.81%, 10/28/02 65,811 90,000 DN, 1.81%, 08/22/03 88,389 95,000 DN, 1.88%, 12/04/02 94,532 10,000 DN, 1.89%, 11/27/02 9,954 88,000 DN, 1.93%, 11/06/02 87,688 60,000 DN, 1.95%, 09/23/02 59,929 45,000 DN, 1.98%, 12/20/02 44,728
See notes to financial statements. 13 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- U.S. Government Agency Securities -- Continued $ 71,000 DN, 1.99%, 06/27/03 $ 69,827 23,275 DN, 2.15%, 09/18/02 23,251 6,429 DN, 2.23%, 11/01/02 6,405 60,300 DN, 2.46%, 02/14/03 59,616 36,875 DN, 2.48%, 02/07/03 36,472 72,757 DN, 2.53%, 04/04/03 71,659 47,300 DN, 2.54%, 04/15/03 46,545 158,000 FRN, 1.66%, 11/04/02 157,988 234,000 FRN, 1.67%, 10/04/02 233,995 50,000 FRN, 1.69%, 11/29/02 49,997 50,000 FRN, 1.75%, 03/20/03 49,999 407,000 MTN, FRN, 1.69%, 12/05/02 406,986 Student Loan Marketing Association, 30,000 DN, 2.45%, 11/15/02 29,847 125,000 FRN, 1.75%, 01/24/03 125,000 100,000 MTN, FRN, 1.66%, 09/27/02 99,997 100,000 MTN, FRN, 1.67%, 09/27/02 99,997 50,000 MTN, FRN, 1.74%, 01/24/03 50,000 ----------------------------------------------------------- Total U.S. Government Agency Securities 5,063,161 (Cost $5,063,161) ----------------------------------------------------------- REPURCHASE AGREEMENTS -- 45.9% 500,000 Credit Suisse First Boston, Inc., 1.86%, dated 08/30/02, due 09/03/02, repurchase price, $500,103, collateralized by U.S. Government Agency Securities 500,000 658,852 Deutsche Bank Securities, Inc., 1.89%, dated 08/30/02, due 09/03/02, repurchase price, $658,990, collateralized by U.S. Government Agency Securities 658,852 500,000 Goldman Sachs & Co., 1.86%, dated 08/30/02, due 09/03/02, repurchase price, $500,103, collateralized by U.S. Government Agency Securities 500,000 641,796 Greenwich Capital Markets, Inc., 1.89%, dated 08/30/02, due 09/03/02, repurchase price, $641,931, collateralized by U.S. Government Agency Securities 641,796 1,000,000 Merrill Lynch & Co., 1.91%, dated 08/30/02, due 09/03/02, repurchase price, $1,000,212, collateralized by U.S. Government Agency Securities 1,000,000
See notes to financial statements. 14 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- $1,000,000 UBS Warburg LLC, 1.89%, dated 08/30/02, due 09/03/02, repurchase price, $1,000,210, collateralized by U.S. Government Agency Securities $1,000,000 ------------------------------------------------------------------- Total Repurchase Agreements 4,300,648 (Cost $4,300,648) - ------------------------------------------------------------------------------- Total Investments -- 100.0% $ 9,363,809 (Cost $9,363,809)* - -------------------------------------------------------------------------------
See notes to financial statements. 15 JPMORGAN TREASURY PLUS MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - -------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 54.7% U.S. Treasury Bills, $ 365,000 1.66%, 09/19/02 $ 364,697 365,000 1.68%, 09/26/02 364,575 565,000 1.69%, 09/05/02 564,893 200,000 1.86%, 10/31/02 199,379 100,000 1.86%, 11/07/02 99,654 U.S. Treasury Notes & Bonds, 295,000 3.63%, 08/31/03 300,433 190,000 4.25%, 03/31/03 191,988 50,000 5.13%, 12/31/02 50,520 50,000 5.75%, 04/30/03 51,070 ------------------------------------------------------------------- Total U.S. Treasury Securities 2,187,209 (Cost $2,187,209) ------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 45.3% 725,000 Deutsche Bank Securities, Inc., 1.83%, dated 08/30/02, due 09/03/02, repurchase price, $725,147, collaterized by U.S. Treasury Bills 725,000 1,600 Deutsche Bank Securities, Inc., 1.83%, dated 08/30/02, due 09/03/02, repurchase price, $1,600, collaterized by U.S. Treasury Bills 1,600 364,111 Salomon Smith Barney, Inc., 1.83%, dated 08/30/02, due 09/03/02, repurchase price, $364,185, collaterized by U.S. Treasury Bills 364,111 720,000 UBS Warburg LLC, 1.83%, dated 08/30/02, due 09/03/02, repurchase price, $720,146, collaterized by U.S. Treasury Bills 720,000 ------------------------------------------------------------------- Total Repurchase Agreements 1,810,711 (Cost $1,810,711) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $3,997,920 (Cost $3,997,920)* - -------------------------------------------------------------------------------
See notes to financial statements. 16 JPMORGAN FEDERAL MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - -------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 3.8% $ 40,000 U.S. Treasury Bill, 1.69%, 10/03/02 $ 39,940 125,000 U.S. Treasury Note, 5.75%, 10/31/02 125,807 ------------------------------------------------------------------ Total U.S. Treasury Securities 165,747 (Cost $165,747) ------------------------------------------------------------------ U.S. GOVERNMENT AGENCY SECURITIES -- 96.2% Federal Farm Credit Bank, 12,155 1.88%, 09/03/02 12,155 90,000 DN, 1.61%, 11/08/02 89,726 20,000 DN, 1.64%, 09/17/02 19,985 48,866 DN, 1.64%, 11/07/02 48,717 40,550 DN, 1.65%, 11/19/02 40,403 80,000 DN, 1.65%, 11/20/02 79,708 119,857 DN, 1.66%, 09/13/02 119,791 20,000 DN, 1.66%, 10/25/02 19,950 23,530 DN, 1.70%, 09/13/02 23,517 50,000 DN, 1.70%, 12/02/02 49,995 14,147 DN, 1.71%, 10/01/02 14,127 60,000 DN, 1.71%, 01/29/03 59,573 18,000 DN, 1.72%, 10/16/02 17,961 33,000 DN, 1.90%, 07/29/03 33,025 20,000 DN, 2.17%, 11/06/02 19,920 450,000 FRN, 1.62%, 09/19/02 450,000 50,000 FRN, 1.67%, 05/02/03 49,997 250,000 FRN, 1.67%, 07/03/03 250,000 140,000 FRN, 1.73%, 10/17/02 140,000 50,000 FRN, 1.73%, 12/17/02 50,000 35,000 FRN, 1.75%, 02/03/03 35,000 55,000 FRN, 1.77%, 05/08/03 54,994 25,000 FRN, 1.77%, 06/30/03 25,000 10,000 FRN, 1.77%, 07/30/03 10,000 40,000 FRN, 1.77%, 08/08/03 40,000 97,500 MTN, FRN, 1.73%, 12/26/02 97,500 Federal Home Loan Bank, 35,000 2.01%, 09/05/03 35,000 40,000 2.05%, 08/15/03 40,000 20,000 2.17%, 07/10/03 20,000 50,000 2.80%, 04/10/03 50,000 100,000 2.80%, 04/11/03 100,000 40,000 2.81%, 04/11/03 40,000 20,000 DN, 1.64%, 11/06/02 19,940 25,291 DN, 1.74%, 09/04/02 25,287 12,040 DN, 1.75%, 12/20/02 11,976 22,000 DN, 1.93%, 11/13/02 21,914 163,201 DN, 1.97%, 09/20/02 163,031 30,000 FRN, 1.77%, 07/25/03 30,000 23,000 FRN, 1.65%, 02/14/03 22,996 50,000 Ser. CS03, 2.53%, 04/04/03 50,000 50,000 Ser. CX03, 2.54%, 04/04/03 50,000
See notes to financial statements. 17 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- U.S. Government Agency Securities -- Continued $ 10,000 Ser. DT02, 2.45%, 12/17/02 $ 10,000 50,000 Ser. DU03, 2.56%, 04/08/03 50,000 50,000 Ser. EH03, 2.76%, 04/08/03 50,000 50,000 Ser. EI03, 2.76%, 04/09/03 50,000 25,500 Ser. EP02, 2.25%, 12/27/02 25,483 Student Loan Marketing Association, 7,100 DN, 1.64%, 09/16/02 7,095 193,399 DN, 1.70%, 10/01/02 193,125 254,500 DN, 1.79%, 09/03/02 254,474 35,000 DN, 2.31%, 01/31/03 34,659 35,000 DN, 2.45%, 11/15/02 34,821 75,000 FRN, 1.75%, 01/24/03 75,000 100,000 MTN, FRN, 1.66%, 09/27/02 99,997 100,000 MTN, FRN, 1.67%, 09/27/02 99,997 50,000 MTN, FRN, 1.74%, 01/24/03 50,000 Tennessee Valley Authority, 83,000 DN, 1.64%, 09/23/02 82,917 22,000 DN, 1.64%, 10/09/02 21,962 75,000 DN, 1.64%, 10/10/02 74,867 50,000 DN, 1.65%, 09/16/02 49,966 165,000 DN, 1.65%, 09/20/02 164,857 100,000 DN, 1.70%, 09/12/02 99,948 150,000 DN, 1.70%, 09/13/02 149,915 ----------------------------------------------------------- Total U.S. Government Agency Securities 4,210,271 (Cost $4,210,271) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $4,376,018 (Cost $4,376,018)* - --------------------------------------------------------------------------------
See notes to financial statements. 18 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - ------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% California -- 89.4% $ 800 Alameda-Contra Costa School Financing Authority, Capital Improvements Financing Projects, COP, Ser. I, COP, FRDO, AMBAC, 1.35%, 09/05/02 $ 800 3,135 Auburn Union School District, COP, FRDO, FSA, 1.25%, 09/05/02 3,135 575 California Communities Housing Finance Agency, Subordinated, Ser. B, Rev., FRDO, 1.35%, 09/05/02 575 200 California Economic Development Financing Authority, Airport Facilities, Mercury Air Group, Inc., Rev., FRDO, 1.30%, 09/05/02 200 1,300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.35%, 09/04/02 1,300 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 1.40%, 09/05/02 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 1.33%, 09/05/02 150 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 1.30%, 09/04/02 500 1,700 California Housing Finance Agency, FLOATS, Ser. PA-539R, Rev., FRDO, 1.33%, 09/05/02 1,700 1,155 California Housing Finance Agency, FLOATS, Ser. PA-58, FRDO, 1.33%, 09/05/02 1,155 4,380 California Housing Finance Agency, FLOATS, Ser. PT-614, Rev., FRDO, 1.46%, 09/05/02 4,380 1,200 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, FSA, 1.78%, 09/03/02 1,200 1,000 California Housing Finance Agency, Home Mortgage, Ser. R, Rev., FRDO, AMBAC, 1.80%, 09/03/02 1,000 300 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, MBIA, 1.78%, 09/03/02 300 1,000 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.81%, 09/03/02 1,000 100 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.20%, 09/04/02 100 1,000 California Housing Finance Agency, Single Family Housing, Ser. II-R-44, Rev., FRDO, AMBAC, 1.41%, 09/05/02 1,000 900 California Housing Finance Angency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.81%, 09/03/02 900 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 1.35%, 09/04/02 1,000
See notes to financial statements. 19 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- California -- Continued $ 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 1.35%, 09/04/02 $ 1,610 1,950 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 1.35%, 09/04/02 1,950 400 California PCFA, PCR, Exxon-Mobil Project, Rev., FRDO, 1.75%, 09/03/02 400 1,650 California PCFA, Resource Recovery, Burney Forest Products Project, Ser. A, Rev., FRDO, 1.81%, 09/03/02 1,650 100 California PCFA, Solid Waste Disposal, Gilton Solid Waste Management, Ser. A, Rev., FRDO, 1.30%, 09/05/02 100 635 California School Facilities Financing Corp., Capital Improvement Financing Project, COP, Ser. B, FRDO, 1.30%, 09/04/02 635 2,200 California State Department of Water Resources, Floating Rate Trust Receipts, Ser. K-2, Regulation D, Rev., FRDO, 1.45%, 09/04/02 2,200 4,995 California State Public Works Board, FLOATS, Ser. PA-865, Rev., FRDO, AMBAC, 1.33%, 09/05/02 5,000 2,000 California State, Floating Rate Trust Receipts, Ser. SG-85, GO, FRDO, FGIC, 1.35%, 09/05/02 2,000 1,000 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 1.35%, 09/04/02 1,000 1,500 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.35%, 09/04/02 1,500 5,000 California State, Ser. B, Rev., RAW, 1.90%, 11/27/02 5,001 14,000 California State, Ser. C, Rev., RAW, 2.00%, 01/30/03 14,007 2,820 California Statewide Communities Development Authority, Chino Basin Muncipal Water Project, Rev., FRDO, 1.35%, 09/04/02 2,820 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 2.00%, 01/02/03 3,000 1,500 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.70%, 07/01/03 1,500 1,775 Chino Basin Regional Financing Authority, Inland Empire Utilities, Ser. A, Rev., FRDO, AMBAC, 1.20%, 09/05/02 1,775 400 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue, Ser. A, Rev., FRDO, 1.15%, 09/03/02 400 5,000 Delano, California, Floating Rate Trust Receipts, COP, Ser. L-38, Regulation D, FRDO, 1.35%, 09/04/02 5,000 400 El Dorado County Bond Authority, Capital Facilities Project, Rev., FSA, 4.10%, 11/01/02 402
See notes to financial statements. 20 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- California -- Continued $ 4,600 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 1.34%, 09/05/02 $ 4,600 300 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 1.75%, 09/03/02 300 100 Irvine Ranch Water District, Improvement Districts, GO, FRDO, 1.75%, 09/03/02 100 10 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 89-10, Special Assessment, FRDO, 1.85%, 09/03/02 10 300 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 1.75%, 09/03/02 300 48 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 1.85%, 09/03/02 48 3,000 La Quinta Redevelopment Agency, Tax Allocation, Multi-Family Housing, MiraFlores Apartments, Ser. A, Rev., FRDO, 1.35%, 09/05/02 3,000 300 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 1.20%, 09/04/02 300 2,400 Los Angeles County Housing Authority, Multi-Family Housing, Canyon Country Villas Project, Ser. H, Rev., FRDO, 1.20%, 09/03/02 2,400 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Ser. A, Rev., FRDO, MBIA, 1.25%, 09/05/02 100 415 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-54, FRDO, 1.33%, 09/05/02 415 2,000 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-55, Rev., FRDO, MBIA, 1.33%, 09/05/02 2,000 4,300 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.25%, 09/05/02 4,300 580 Los Angeles Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 1.20%, 09/07/02 580 100 Los Angeles, California, Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.30%, 09/05/02 100 3,540 Los Angeles, California, Multi-Family Housing, Rev., FRDO, 1.28%, 09/04/02 3,540 1,000 Los Angeles, California, Wastewater Systems, Sub Ser. A, Rev., FRDO, FGIC, 1.88%, 11/07/02 1,000 400 M-S-R Public Power Agency, San Juan Project, Sub-Lien, Ser. E, Rev., FRDO, MBIA, 1.25%, 09/05/02 400 2,250 Marysville Joint Unified School District, GO, TRAN, 3.50%, 09/20/02 2,251
See notes to financial statements. 21 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- California -- Continued $ 1,400 Metropolitan Water District of Southern California, Ser. B-2, Rev., FRDO, 1.25%, 09/05/02 $ 1,400 1,000 Monrovia Unified School District, Municipal Securities Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA, 1.35%, 09/04/02 1,000 2,100 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.33%, 09/05/02 2,100 1,000 Northern California Power Agency, Hydroelectric No. 1, Ser. A, Rev., FRDO, MBIA, 1.20%, 09/04/02 1,000 1,000 Northern California Power Agency, Hydroelectric No. 1, Ser. B, Rev., FRDO, MBIA, 1.25%, 09/04/02 1,000 1,000 Oakland, California, GO, TRAN, 3.00%, 07/29/03 1,014 1,000 Oakland-Alameda County Coliseum Authority, Coliseum Project, Ser. C-1, Rev., FRDO, 1.30%, 09/04/02 1,000 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 1.30%, 09/04/02 3,000 100 Ontario Redevelopment Agency, IDR, Safariland Project, Rev., FRDO, 1.25%, 09/04/02 100 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 1.20%, 09/04/02 300 300 Orange County Sanitation District, COP, Ser. B, FRDO, 1.85%, 09/03/02 300 200 Orange County Water District, Project B, COP, FRDO, 1.75%, 09/03/02 200 949 Orange County, Apartment Development, Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 1.20%, 09/03/02 949 1,900 Orange County, Apartment Development, Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.20%, 09/05/02 1,900 2,075 Oxnard Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 1.35%, 09/04/02 2,075 1,720 Pasadena, California, Rose Bowl Improvements Project, COP, FRDO, 1.25%, 09/04/02 1,720 1,000 Placentia, California, Rev., TRAN, 3.00%, 06/30/03 1,012 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 1.35%, 09/05/02 1,000 900 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 1.35%, 09/05/02 900 1,300 San Bernardino City Unified School District, School Financing Control Authority, Bridge Funding Program, COP, FRDO, FSA, 1.35%, 09/05/02 1,300
See notes to financial statements. 22 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- California -- Continued $ 550 San Bernardino County Housing Authority, Multi-Family Housing, Victoria Terrace Project, Ser. A, Rev., FRDO, 1.35%, 09/03/02 $ 550 2,000 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Rev., FRDO, 1.20%, 09/05/02 2,000 300 San Diego, California, Multi-Family Housing, Issue A, Rev., FRDO, 1.25%, 09/05/02 300 700 San Francisco City & County Airports Commission, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.80%, 09/05/02 700 800 San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien, Rev., ^, 6.75%, 01/02/03 830 2,000 San Jose, California, Multi-Family Housing, Pollard Plaza Apartments, Ser. D, Rev., FRDO, 1.35%, 09/05/02 2,000 500 San Leandro, California, Multi-Family Housing, Parkside, Rev., FRDO, 1.20%, 09/04/02 500 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 1.30%, 09/05/02 500 650 Santa Ana Unified School District, COP, FRDO, 1.25%, 09/04/02 650 625 Santa Clara County, El Camino Hospital District, Hospital Facilities Authority,Valley Medical Center Project, ACES, Ser. B, Rev., FRDO, 1.35%, 09/03/02 625 500 Santa Monica Community College District, Ser. A, GO, FSA, 3.00%, 08/01/03 507 1,000 Santa Rosa Elementary School District, GO, TRAN, 3.50%, 09/05/02 1,000 1,950 Selma, California, GO, TRAN, 3.25%, 06/30/03 1,966 1,000 Sonoma Valley Unified School District, GO, TRAN, 3.25%, 09/05/02 1,000 700 Southern California Public Power Authority, Transmission Project, Rev., FRDO, AMBAC, 1.20%, 09/04/02 700 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 1.25%, 09/04/02 600 2,000 Tobacco Securitization Authority of Southern California, Southern California Tobacco Settlement, FLOATS, Ser. PT-648, 1.46%, 09/05/02 2,000 700 Tustin, California, Improvement Bond Act of 1915, Reassessment District No. 95-2-A, Special Assessment, FRDO, 1.85%, 09/03/02 700 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 1.35%, 09/05/02 425 2,850 Yuba Community College District, Rev., TRAN, 2.50%, 11/28/02 2,854 2,000 Yuba County, GO, TRAN, 3.50%, 09/20/02 2,001 -------- 144,767
See notes to financial statements. 23 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------- Guam -- 1.9% $ 3,000 Guam Power Authority, Ser. A, Rev., ^, 6.30%, 10/01/02 $ 3,071 Puerto Rico -- 8.7% 3,275 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.31%, 09/05/02 3,275 835 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.27%, 09/05/02 835 2,500 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.26%, 09/05/02 2,500 2,000 Puerto Rico Electric Power Authority, Rev., FRDO, 1.85%, 09/05/02 2,000 2,000 Puerto Rico Government Development Bank, 1.30%, 09/20/02 2,000 250 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.27%, 09/05/02 250 170 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.26%, 09/05/02 170 3,000 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 1.45%, 09/05/02 3,000 -------- 14,030 ------------------------------------------------------------------- Total Investments -- 100.0% $161,868 (Cost $161,868)* -------------------------------------------------------------------
See notes to financial statements. 24 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - -------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% Guam -- 0.3% $ 7,760 Guam Power Authority, Ser. A, Rev., ^, 6.30%, 10/01/02 $ 7,944 Minnesota -- 0.4% 9,000 University of Minnesota, VRDC/IVRC Trust, Tax Exempt, Rev., FRDO, FGIC, #, 1.40%, 09/04/02 9,000 New York -- 98.3% 12,000 ABN AMRO Munitops, Certificates Trust, Ser. 1999-13, FRDO, FGIC, 1.34%, 09/04/02 12,000 525 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 1.50%, 09/05/02 525 3,000 Albany, New York, Rev., RAN, 2.50%, 01/31/03 3,011 1,585 Attica Central School District, GO, FGIC, 2.80%, 06/15/03 1,595 7,800 Auburn, New York, GO, BAN, 2.63%, 06/13/03 7,838 1,300 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 1.40%, 09/04/02 1,300 3,000 Babylon Union Free School District, GO, TAN, 2.50%, 06/26/03 3,023 1,500 Beaver River Central School District, GO, BAN, 3.00%, 07/16/03 1,512 4,000 Board of Cooperative Educational Services, Sole Supervisory District, Oswego County, Rev., RAN, 2.00%, 09/09/02 4,000 13,000 Board of Cooperative Educational Services, Sole Supervisory District, Oswego County, Rev., RAN, 2.50%, 06/26/03 13,077 5,500 Board of Cooperative Educational Services, Sole Supervisory District, Oswego County, Rev., RAN, 2.50%, 06/30/03 5,532 5,900 Bolivar-Richburg Central School District, GO, BAN, 2.75%, 09/27/02 5,901 2,636 Brookhaven IDA, IDR, Waverly Association LLC, Rev., FRDO, 1.55%, 09/05/02 2,636 400 Broome County IDA, IDR, Binghamton Realty Project, Rev., FRDO, 1.35%, 09/04/02 400 5,125 Cattaraugus County, GO, BAN, 2.50%, 09/27/02 5,126 10,000 Chemung County, GO, RAN, 2.25%, 08/15/03 10,061 20,000 Churchville-Chili Central School District, GO, BAN, 2.63%, 10/04/02 20,008 3,850 Clayton, New York, GO, BAN, 2.75%, 10/11/02 3,853 2,750 Clyde-Savannah Central School District, GO, BAN, 2.75%, 06/19/03 2,766 1,775 Cohoes, New York, GO, BAN, 2.75%, 10/02/02 1,776 2,220 Dutchess County IDA, IDR, Laerdal Medical Corp. Project, Rev., FRDO, 1.55%, 09/04/02 2,220 2,705 Dutchess County IDA, Marist College Civic Facilities, Ser. A, Rev., FRDO, 1.35%, 09/05/02 2,705
See notes to financial statements. 25 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 4,000 Eagle Tax Exempt Trust, Weekly Option Mode, COP, Ser. 2002-6003, Class A, Rev., FRDO, 1.36%, 09/05/02 $ 4,000 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.36%, 09/05/02 3,300 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.36%, 09/05/02 5,990 10,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 1.36%, 09/05/02 10,000 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 1.36%, 09/05/02 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 1.36%, 09/05/02 9,910 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 1.36%, 09/05/02 12,155 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3203, Class A, FRDO, #, 1.36%, 09/05/02 5,900 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 1.36%, 09/05/02 14,850 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate, Class A, Rev., FRDO, AMBAC, 1.36%, 09/05/02 8,135 15,000 Edgemont Union Free School District of Greenburgh, GO, BAN, 3.00%, 09/12/02 15,002 3,000 Elwood Union Free School District, GO, BAN, 2.50%, 12/20/02 3,006 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 1.20%, 09/04/02 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 1.20%, 09/04/02 1,400 7,097 Erwin, New York, GO, BAN, 2.25%, 12/26/02 7,106 1,500 Fayetteville-Manlius Central School District, GO, BAN, 2.50%, 07/11/03 1,509 5,400 Fishkill, New York, GO, BAN, 2.75%, 05/23/03 5,431 2,279 Freeport, New York, Ser. A, GO, BAN, 2.50%, 03/20/03 2,285 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 1.35%, 09/04/02 530 2,500 Gouverneur Central School District, GO, BAN, 2.38%, 06/30/03 2,513 3,840 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 1.35%, 09/04/02 3,840 3,147 Greece Central School District, GO, BAN, 2.38%, 12/18/02 3,147 7,700 Greenville Central School District, GO, BAN, 2.50%, 07/10/03 7,753 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 1.35%, 09/04/02 1,000 935 Hempstead Town, New York, Ser. C, GO, BAN, 2.40%, 12/18/02 937
See notes to financial statements. 26 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 2,600 Honeoye Falls-Lima Central School District, GO, RAN, 2.50%, 06/19/03 $ 2,612 20,000 Hornell City School District, GO, BAN, 3.00%, 05/01/03 20,106 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 1.40%, 09/05/02 2,000 2,000 Jamestown Community College Regional Board of Trustees, GO, RAN, 3.00%, 09/06/02 2,000 4,500 Jay Street Development Corp., Facility Lease, Jay Street Project, Ser. A-2, Rev., FRDO, 1.80%, 09/03/02 4,500 5,920 Jefferson County, GO, BAN, 2.25%, 01/17/03 5,927 16,490 Leroy Central School District, GO, BAN, 2.50%, 03/19/03 16,556 14,000 Liverpool Central School District, GO, RAN, 2.50%, 07/12/03 14,097 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, 1.34%, 09/05/02 8,780 5,050 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-368, Rev., FRDO, 1.43%, 09/05/02 5,050 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 1.34%, 09/05/02 4,360 462 Long Island Power Authority, Electric Systems, Ser. 7 Sub Ser. 7-A, Rev., FRDO, MBIA, 1.20%, 09/04/02 462 2,000 Long Island Power Authority, Electric Systems, Ser. 7 Sub Ser. 7-B, Rev., FRDO, MBIA, 1.25%, 09/04/02 2,000 4,750 Long Island Power Authority, Electric Systems, Sub Ser. 2-B, Ser. 2, Rev., FRDO, 1.85%, 09/03/02 4,750 2,400 Long Island Power Authority, Electric Systems, Sub Ser. 2-C, Rev., FRDO, 1.75%, 09/03/02 2,400 1,700 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 1.75%, 09/03/02 1,700 6,815 Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PA-683, FRDO, 1.37%, 09/05/02 6,815 9,425 Metropolitan Transportation Authority, Dedicated Tax Fund, Municipal Securities Trust Receipts, Ser. SGA-81, Rev., FRDO, FSA, 1.35%, 09/04/02 9,425 12,600 Metropolitan Transportation Authority, FLOATS, Ser. 1040, Rev., FRDO, FGIC, 1.37%, 09/05/02 12,600 10,000 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 1.30%, 09/05/02 10,000 21,200 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 1.30%, 09/05/02 21,200 9,995 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1042R, Rev., FRDO, MBIA, 1.37%, 09/05/02 9,995 6,000 Monroe Woodbury Central School District, GO, TAN, 1.75%, 10/18/02 6,002 2,524 Moriah Central School District, GO, BAN, 2.50%, 07/24/03 2,541 11,865 Morris Central School District, GO, BAN, 2.50%, 06/20/03 11,922
See notes to financial statements. 27 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 7,500 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 1.35%, 09/04/02 $ 7,500 10,000 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., FRDO, FSA, 1.25%, 09/04/02 10,000 10,000 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. B, Rev., FRDO, FSA, 1.20%, 09/04/02 10,000 1,820 Nassau County Interim Financing Authority, FLOATS, Ser. PA 901, Rev., FRDO, AMBAC, 1.34%, 09/05/02 1,820 5,900 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 1.30%, 09/04/02 5,900 41,800 New York City Housing Development Corp., Multi-Family Housing, West 55th Street Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 41,800 3,400 New York City Housing Development Corp., Multi-Family Rental Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 3,400 16,000 New York City Housing Development Corp., Multi-Family Rental Housing, Brittany Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 16,000 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, Columbus Green, Ser. A, Rev., FRDO, 1.25%, 09/04/02 3,300 7,000 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 7,000 5,600 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.30%, 09/04/02 5,600 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 3,300 2,400 New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development, Ser. A, Rev., FRDO, 1.30%, 09/04/02 2,400 2,000 New York City IDA, Civic Facilities, Abraham Joshua Heschel Project, Rev., FRDO, 1.45%, 09/05/02 2,000 5,250 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.30%, 09/05/02 5,250 4,700 New York City IDA, Civic Facilities, Jamaica First Packaging LLC Project, Rev., FRDO, 1.35%, 09/05/02 4,700 7,500 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.35%, 09/04/02 7,500 2,800 New York City IDA, IDB, Civic Facilities, Calhoun School, Inc., Project, Rev., FRDO, 1.45%, 09/05/02 2,800
See notes to financial statements. 28 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 3,000 New York City IDA, IDR, DXB Videotape, Inc. Project, Rev., FRDO, 1.30%, 09/04/02 $ 3,000 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.35%, 09/04/02 5,400 35,000 New York City Metro Transit Authority, 1.30%, 09/06/02 35,000 27,600 New York City Metro Transit Authority, 1.30%, 10/01/02 27,600 25,000 New York City Metro Transit Authority, 1.30%, 10/04/02 25,000 10,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Fiscal Year 2003, Sub Ser. C-2, Rev., FRDO, 1.35%, 09/05/02 10,000 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 1.45%, 09/04/02 15,960 14,795 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-454, FRDO, 1.32%, 09/05/02 14,795 8,140 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-523, Rev., FRDO, FGIC, 1.32%, 09/05/02 8,140 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 1.33%, 09/05/02 6,495 9,685 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 1.35%, 09/04/02 9,685 7,255 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 1.35%, 09/04/02 7,255 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 1.36%, 09/05/02 2,390 9,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.36%, 09/05/02 9,000 1,700 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.85%, 09/03/02 1,700 16,800 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.85%, 09/03/02 16,800 15,500 New York City Municipal Water Finance Authority, Water & Sewer, Rev., 1.30%, 10/10/02 15,500
See notes to financial statements. 29 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 4,900 New York City Transit Authority, Metropolitan Transportation Authority, Floating Rate Trust Receipts, Triborough, COP, Ser. PMD-10, FRDO, AMBAC, 1.36%, 09/05/02 $ 4,900 20,000 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-21, Regulation D, Rev., FRDO, 1.45%, 09/04/02 20,000 9,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-830, Rev., FRDO, 1.37%, 09/05/02 9,995 11,355 New York City Transitional Finance Authority, FLOATS, Ser. PA-831, Rev., FRDO, 1.37%, 09/05/02 11,355 13,160 New York City Transitional Finance Authority, FLOATS, Ser. PT-406, Rev., FRDO, 1.37%, 09/05/02 13,160 9,610 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 1.35%, 09/04/02 9,610 3,600 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., 3.00%, 02/03/03 3,626 9,100 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 1.80%, 09/03/02 9,100 2,710 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. B-3, Rev., FRDO, 1.35%, 09/04/02 2,710 35,950 New York City Transitional Finance Authority, New York City Recovery Notes, Ser. A, Rev., 3.25%, 10/02/02 35,989 57,500 New York City Transitional Finance Authority, Ser. 3, Rev., BAN, 2.75%, 11/13/02 57,616 10,000 New York City Transitional Finance Authority, Ser. 4, Rev., 2.50%, 02/26/03 10,033 4,085 New York City Trust for Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, MBIA, 1.20%, 09/04/02 4,085 2,672 New York City Trust for Cultural Resources, Carnegie Hall, Rev., FRDO, 1.15%, 09/04/02 2,672 1,600 New York City Trust for Cultural Resources, Ser. 162, Rev., FRDO, AMBAC, 1.36%, 09/05/02 1,600 4,130 New York City, New York, Eagle Trust, Ser. 1994, Class C-3, 1.36%, 09/05/02 4,130 2,355 New York City, New York, FLOATS, Ser. PA-148, FRDO, 1.43%, 09/05/02 2,355 10,920 New York City, New York, FLOATS, Ser. PA-878, FRDO, 1.50%, 07/02/03 10,920 9,245 New York City, New York, FLOATS, Ser. PT-405, FRDO, 1.34%, 09/05/02 9,245 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, FRDO, 1.34%, 09/05/02 1,300
See notes to financial statements. 30 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 10,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 1.35%, 09/04/02 $ 10,000 5,525 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.36%, 09/05/02 5,525 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 1.35%, 09/05/02 12,865 8,670 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.80%, 09/03/02 8,670 1,400 New York City, New York, Ser. B, GO, FRDO, FGIC, 1.75%, 09/03/02 1,400 15,735 New York City, New York, Ser. B, Sub Ser. B-2, GO, FRDO, MBIA, 1.85%, 09/03/02 15,735 1,050 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 1.80%, 09/03/02 1,050 12,920 New York City, New York, Ser. B, Sub Ser. B-8, GO, FRDO, 1.30%, 09/04/02 12,920 11,400 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 1.80%, 09/03/02 11,400 200 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 1.85%, 09/03/02 200 5,900 New York City, New York, Ser. H, Sub Ser. -H4, GO, FRDO, AMBAC, 1.30%, 09/04/02 5,900 2,400 New York City, New York, Ser. H, Sub Ser. -H6, GO, FRDO, MBIA, 1.20%, 09/04/02 2,400 700 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.85%, 09/03/02 700 200 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.85%, 09/03/02 200 400 New York City, New York, Sub Ser. E-4, GO, FRDO, 1.90%, 09/03/02 400 10,000 New York Counties TOB (Tobacco) Trust I, FLOATS, Ser. PA-799, Rev., FRDO, 1.46%, 09/05/02 10,000 10,420 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 1.32%, 09/05/02 10,420 50,995 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 1.32%, 09/05/02 50,995 14,925 New York Local Government Assistance Corp., FLOATS, Ser. PT-410, FRDO, 1.32%, 09/05/02 14,925 9,200 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 1.80%, 09/03/02 9,200 900 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 1.25%, 09/04/02 900 3,945 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.25%, 09/04/02 3,945
See notes to financial statements. 31 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 1,250 New York Local Government Assistance Corp., Ser. C, Rev., FRDO, 1.25%, 09/04/02 $ 1,250 4,700 New York Local Government Assistance Corp., Ser. D, Rev., FRDO, 1.20%, 09/04/02 4,700 2,800 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.20%, 09/04/02 2,800 6,520 New York Mortgage Agency, FLOATS, Ser. PA-657, Rev., FRDO, 1.33%, 09/05/02 6,520 4,800 New York Mortgage Agency, FLOATS, Ser. PA-77, Rev., FRDO, 1.36%, 09/05/02 4,800 5,665 New York Mortgage Agency, FLOATS, Ser. PA-870, Rev., FRDO, 1.33%, 09/05/02 5,665 4,255 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 1.33%, 09/05/02 4,255 20 New York Mortgage Agency, FLOATS, Ser. PT-217, Rev., FRDO, 1.36%, 09/05/02 20 7,500 New York Mortgage Agency, Ser. B, Rev., FRDO, 2.20%, 01/02/03 7,500 4,400 New York State Dorm Authority, Beaverwyck, Inc., Rev., FRDO, 1.30%, 09/04/02 4,400 9,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 1.32%, 09/05/02 9,415 13,770 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.32%, 09/05/02 13,770 6,995 New York State Dorm Authority, FLOATS, Ser. PA-434, Rev., FRDO, FSA, 1.32%, 09/05/02 6,995 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, Rev., FRDO, 1.32%, 09/05/02 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, Rev., FRDO, 1.32%, 09/05/02 9,340 9,825 New York State Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA-IBC, 1.32%, 09/05/02 9,825 950 New York State Dorm Authority, FLOATS, Ser. PT-130, Rev., FRDO, 1.32%, 09/05/02 950 15,935 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 1.32%, 09/05/02 15,935 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.50%, 11/15/02 8,140 2,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 1.35%, 09/04/02 2,000 5,550 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 1.25%, 09/04/02 5,550 6,400 New York State Dorm Authority, New York Public Library, Ser. B, Rev., FRDO, MBIA, 1.25%, 09/04/02 6,400 2,400 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.80%, 09/03/02 2,400 25,000 New York State Eagle Trust, FRDO, 1.36%, 09/05/02 25,000
See notes to financial statements. 32 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 9,345 New York State Energy Research & Development Authority, FLOATS, Ser. PA-411, Rev., FRDO, 1.32%, 09/05/02 $ 9,345 10,450 New York State Energy Research & Development Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO, AMBAC, 1.32%, 09/05/02 10,450 2,300 New York State Energy Research & Development Authority, PCR, New York Electric & Gas, Ser. B, Rev., FRDO, 1.90%, 09/03/02 2,300 7,760 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp. Project, Ser. A, Rev., FRDO, 1.80%, 09/03/02 7,760 1,600 New York State Energy Research & Development Authority, PCR, Niagara Mohawk Power Corp. Project, Ser. A, Rev., FRDO, 1.85%, 09/03/02 1,600 6,400 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 1.20%, 09/04/02 6,400 10,625 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-853, Rev., FRDO, 1.33%, 09/05/02 10,625 2,910 New York State Environmental Facilities Corp., State Revolving Funds, Clean Water & Drinking, Pooled Loan Program, Ser. C, Rev., 3.00%, 03/15/03 2,931 9,700 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.30%, 09/04/02 9,700 9,150 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.30%, 09/04/02 9,150 3,400 New York State Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 1.30%, 09/04/02 3,400 13,000 New York State Housing Finance Agency, 350 West 43rd Street Housing, Ser. A, Rev., FRDO, 1.45%, 09/04/02 13,000 6,700 New York State Housing Finance Agency, 360 West 43rd Street Housing, Ser. A., Rev., FRDO, 1.45%, 09/04/02 6,700 1,850 New York State Housing Finance Agency, 363 West 30th Street Housing, Ser. A, Rev., FRDO, 1.45%, 09/04/02 1,850 7,000 New York State Housing Finance Agency, 66 West 38th Street Housing, Ser. A, Rev., FRDO, 1.35%, 09/04/02 7,000 7,000 New York State Housing Finance Agency, 66 West 38th Street Housing, Ser. A, Rev., FRDO, 1.35%, 09/04/02 7,000 7,000 New York State Housing Finance Agency, 66 West 38th Street Housing, Ser. A, Rev., FRDO, 1.35%, 09/04/02 7,000
See notes to financial statements. 33 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 10,300 New York State Housing Finance Agency, Bennington Hills Housing, Ser. A, Rev., FRDO, 1.40%, 09/05/02 $ 10,300 2,495 New York State Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 1.44%, 09/05/02 2,495 8,705 New York State Housing Finance Agency, FLOATS, Ser. PA-423, Rev., FRDO, 1.32%, 09/05/02 8,705 6,080 New York State Housing Finance Agency, FLOATS, Ser. PA-805, FRDO, FSA, 1.32%, 09/05/02 6,080 4,600 New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage, Ser. A, Rev., FRDO, 1.45%, 09/04/02 4,600 400 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.30%, 09/04/02 400 3,500 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 1.35%, 09/04/02 3,500 9,200 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.40%, 09/04/02 9,200 10,000 New York State Housing Finance Agency, Tallyrand Crescent, Rev., FRDO, 1.25%, 09/04/02 10,000 10,000 New York State Housing Finance Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 1.45%, 09/04/02 10,000 2,500 New York State Housing Finance Agency, Theatre Row Tower, Ser. A, Rev., FRDO, 1.45%, 09/04/02 2,500 6,900 New York State Housing Finance Agency, Tribeca, Ser. A, Rev., FRDO, 1.30%, 09/04/02 6,900 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 1.30%, 09/04/02 4,200 6,600 New York State Housing Finance Agency, West 20th Street Housing, Ser. A, Rev., FRDO, 1.35%, 09/04/02 6,600 3,400 New York State Housing Finance Agency, West 23rd Street Housing, Ser. A, Rev., FRDO, 1.27%, 09/04/02 3,400 19,000 New York State Housing Finance Agency, West 23rd Street Housing, Ser. A, Rev., FRDO, 1.35%, 09/04/02 19,000 10,000 New York State Housing Finance Agency, Worth Street Housing, Ser. A, Rev., FRDO, 1.45%, 09/04/02 10,000 10,000 New York State Housing Finance Agency, Worth Street Housing, Ser. A, Rev., FRDO, 1.45%, 09/04/02 10,000 365 New York State Medical Care Facilities Finance Agency, Floating Rate Receipts, Ser. PT-100, Rev., FRDO, 1.32%, 09/05/02 365 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.32%, 09/05/02 8,400
See notes to financial statements. 34 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 5,920 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-408, Rev., FRDO, FGIC, 1.32%, 09/05/02 $ 5,920 3,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., FRDO, 1.33%, 09/05/02 3,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, Rev., FRDO, 1.33%, 09/05/02 8,140 4,800 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-17, Rev., FRDO, 1.32%, 09/05/02 4,800 7,500 New York State Power Authority, General Purpose, Ser. CC, Rev., ^, 5.00%, 01/02/03 7,735 10,000 New York State Thruway Authority, 1.25%, 09/06/02 10,000 54,305 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 1.88%, 09/03/02 54,306 13,100 New York State Thruway Authority, Floating Rate Trust Reciepts, Ser. SG-121, Rev., FRDO, 1.33%, 09/05/02 13,100 11,415 New York State Thruway Authority, FLOATS, Ser. PA-532, Rev., FRDO, 1.32%, 09/05/02 11,415 1,340 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 1.35%, 09/04/02 1,340 1,300 New York State Thruway Authority, Rev., FRDO, FGIC, 1.90%, 09/03/02 1,300 15,000 New York State Thruway Authority, Ser. A, Rev., BAN, 3.25%, 03/26/03 15,087 14,200 New York State Urban Development Corp., Floating Certificates, Ser. SG-150, Rev., FRDO, MBIA-IBC, 1.32%, 09/05/02 14,200 23,900 New York State, Ser. A, GO, FRDO, 1.35%, 10/10/02 23,900 4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser. PA-530, Rev., FRDO, 1.32%, 09/05/02 4,995 3,120 Oneida County IDA, Rev., FRDO, 1.55%, 09/05/02 3,120 15,910 Orange County IDA, Civic Facilities, Arden Hill Hospital Project, Rev., FRDO, FSA, 1.35%, 09/05/02 15,910 10,000 Oyster Bay, New York, Ser. A, GO, BAN, 2.25%, 01/24/03 10,023 2,600 Oyster Bay, New York, Ser. B, GO, BAN, 2.25%, 06/13/03 2,608 2,900 Oyster Bay, New York, Ser. C, GO, BAN, 2.25%, 06/13/03 2,909 1,180 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.50%, 09/04/02 1,180
See notes to financial statements. 35 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.45%, 09/05/02 $ 6,360 10,000 Rochester, New York, GO, BAN, 2.50%, 03/05/03 10,050 3,520 Rochester, New York, GO, MBIA, 5.00%, 10/01/02 3,530 675 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.45%, 09/05/02 675 1,940 Rockland County IDA, Shock Technical, Inc. Project, Rev., FRDO, 1.55%, 09/04/02 1,940 4,000 Rockland County, GO, BAN, 2.00%, 02/27/03 4,009 10,000 Rome City School District, GO, RAN, 2.63%, 06/27/03 10,058 4,400 Rondout Valley Central School District, TAN, 2.50%, 11/15/02 4,408 2,234 Sandy Creek, New York, Water Systems Improvement, GO, BAN, 1.65%, 08/28/03 2,235 10,000 Schenectady City School District, GO, RAN, 2.63%, 06/30/03 10,048 955 Sodus Central School District, GO, FGIC, 2.70%, 06/15/03 960 5,500 South Lewis Central School District, GO, BAN, 2.00%, 09/10/02 5,500 2,000 Southeast IDA, IDR, Unilock New York, Inc. Project, Rev., FRDO, 1.55%, 09/04/02 2,000 3,745 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 1.35%, 09/05/02 3,745 9,900 Suffolk County Water Authority, Rev., BAN, FRDO, 1.25%, 09/04/02 9,900 4,600 Suffolk County Water Authority, Rev., BAN, FRDO, 1.25%, 09/04/02 4,600 15,000 Suffolk County, GO, TAN, 2.50%, 09/10/02 15,001 5,286 Syracuse, New York, Ser. A, GO, BAN, 2.25%, 02/26/03 5,296 6,800 Syracuse, New York, Ser. A, GO, BAN, 2.75%, 05/09/03 6,834 4,500 Syracuse, New York, Ser. B, Rev., RAN, 3.00%, 06/30/03 4,529 7,500 Tompkins-Seneca-Tioga Board Of Cooperative Educational Services Sole Supervisory, GO, RAN, 2.38%, 06/30/03 7,540 20,000 Triborough Bridge & Tunnel Authority, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, 1.45%, 09/04/02 20,000 4,055 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, 1.33%, 09/05/02 4,055 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., FRDO, 1.33%, 09/05/02 4,995 24,790 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-948, Rev., FRDO, 1.33%, 09/05/02 24,790 18,450 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-427, Rev., FRDO, 1.33%, 09/05/02 18,450
See notes to financial statements. 36 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- New York -- Continued $ 5,930 Triborough Bridge & Tunnel Authority, FLOATS, Ser. SG-41, Rev., FRDO, 1.32%, 09/05/02 $ 5,930 30,250 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 1.25%, 09/04/02 30,250 3,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 1.25%, 09/04/02 3,400 19,700 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 1.30%, 09/04/02 19,700 19,500 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 1.25%, 09/04/02 19,500 8,250 Troy City School District, GO, RAN, 2.70%, 04/15/03 8,273 85,600 TSASC, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.46%, 09/05/02 85,600 10,000 Utica City School District, GO, RAN, 2.63%, 06/26/03 10,048 2,663 Utica City School District, Ser. A, GO, BAN, 2.50%, 02/14/03 2,671 5,000 Utica City School District, Ser. C, GO, BAN, 3.00%, 09/27/02 5,001 1,935 Utica City School District, Ser. C, GO, BAN, 3.00%, 07/11/03 1,950 11,932 Warsaw Central School District, BAN, 2.50%, 06/27/03 11,966 4,865 Wayland-Cohocton Central School District, GO, RAN, 2.75%, 06/13/03 4,897 4,860 Westchester County IDA, Civic Facilities, Community Housing Innovations, Inc., Rev., FRDO, 1.35%, 09/05/02 4,860 3,945 Westchester County IDA, Civic Facilities, Northern Westchester Hospital, Rev., FRDO, 1.35%, 09/04/02 3,945 8,000 Westchester County IDA, IDR, Levester Redevelopment Co. LLC, Ser. A, Rev., FRDO, 1.35%, 09/05/02 8,000 --------- 2,254,653 Pennsylvania -- 0.4% 9,200 Steuben-Allegheny Counties Board Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 2.50%, 06/27/03 9,238 Puerto Rico -- 0.6% 2,695 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.31%, 09/05/02 2,695
See notes to financial statements. 37 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - ---------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ---------------------------------------------------------------------------------------------------- Puerto Rico -- Continued $ 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.27%, 09/05/02 $ 360 400 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.27%, 09/05/02 400 10,000 Puerto Rico Electric Power Authority, Insurance Trust Receipts, Class F, Rev., FRDO, 1.38%, 09/05/02 10,000 --------- 13,455 - ---------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $2,294,290 (Cost $2,294,290) * - ----------------------------------------------------------------------------------------------------
See notes to financial statements. 38 JPMORGAN TAX FREE MONEY MARKET FUND Portfolio of Investments AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% ALABAMA-- 1.2% $ 34,700 Alabama Special Care Facilities Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 1.40%, 09/04/02 $ 34,700 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 1.24%, 09/03/02 900 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, 1.46%, 09/04/02 5,000 6,500 Decatur IDB, Environmental Facilities, Amoco Chemicals Co. Project, Rev., FRDO, 2.00%, 09/03/02 6,500 3,000 Infirmary Health System Special Care Financing Authority, Ser. A, Rev., FRDO, 1.35%, 09/05/02 3,000 10,000 Mobile County, IDA, PCR, ExxonMobil Project, Rev., FRDO, 1.80%, 09/03/02 10,000 4,000 Selma IDB, IDR, Specialty Minerals Project, Rev., FRDO, 1.50%, 09/05/02 4,000 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 2.13%, 09/05/02 4,800 1,500 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Rev., FRDO, 1.95%, 09/03/02 1,500 2,100 Stevenson IDB, Environmental Improvement, The Mead Corp. Project, Ser. D, Rev., FRDO, 1.85%, 09/03/02 2,100 33,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 1.33%, 09/04/02 33,000 ------------- 105,500 ALASKA -- 1.6% 6,700 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-20, Regulation D, Rev., FRDO, 1.50%, 09/04/02 6,700 2,850 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 1.50%, 09/04/02 2,850 7,875 Alaska Housing Finance Corp., Floating Rate Trusts Receipts, Ser. N-13, Regulation D, FRDO, 1.55%, 09/04/02 7,875 4,280 Alaska Housing Finance Corp., FLOATS, Ser. PT-464, Rev., FRDO, 1.42%, 09/05/02 4,280 26,175 Alaska Housing Finance Corp., Government Purpose, Ser. A, Rev., FRDO, MBIA, 1.40%, 09/05/02 26,175 9,900 Alaska Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 1.33%, 09/05/02 9,900 9,900 North Slope Boro, Alaska, Exempt Facilities, BP Exploration Alaska Project, Rev., FRDO, 2.00%, 09/03/02 9,900
See notes to financial statements 39 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- ALASKA -- CONTINUED $ 6,750 Valdez Marine Terminal, BP Pipelines, Inc. Project, Rev., FRDO, 1.90%, 09/03/02 $ 6,750 5,580 Valdez, Alaska, Marine Terminal, Exxon Mobile Project, Rev., FRDO, 1.80%, 09/03/02 5,580 4,400 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Rev., FRDO, 1.90%, 09/03/02 4,400 10,775 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. A, Rev., FRDO, 1.80%, 09/03/02 10,775 27,300 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. B, Rev., FRDO, 1.80%, 09/03/02 27,300 22,900 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. C, Rev., FRDO, 1.80%, 09/03/02 22,900 ------------- 145,385 ARIZONA -- 1.0% 7,700 Apache County IDA, IDR, Tucson Electrical Power, Springerville, Rev., FRDO, 1.45%, 09/04/02 7,700 10,570 Coconino County Pollution Control Corp., Arizona Public Service Co. Project, Rev., FRDO, 1.85%, 09/03/02 10,570 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 1.45%, 09/05/02 7,000 11,295 Maricopa County Community College District, FLOATS, Ser. PA-857, GO, FRDO, 1.42%, 09/05/02 11,295 3,840 Maricopa County Public Finance Corp., Floating Rate Certficates, Ser. 511, Rev., FRDO, AMBAC, 1.44%, 09/05/02 3,840 4,890 Pima County IDA, Single Family Mortgage, FLOATS, Ser. PT-111A, Rev., FRDO, 1.48%, 09/05/02 4,890 10,543 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Certificates, Ser. 274, Rev., FRDO, 1.44%, 09/05/02 10,543 16,000 Salt River Project Agricultural Improvement & Power District, Electric Systems, Salt River Project, Ser. A, Rev., 4.00%, 01/02/03 16,113 500 Tempe, Arizona, Excise Tax, Rev., FRDO, 1.90%, 09/04/02 500 17,000 University of Arizona, Main Campus & Research, COP, Ser. A, Rev., FRDO, AMBAC, 1.35%, 09/04/02 17,000 ------------- 89,451 ARKANSAS -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.55%, 09/05/02 5,500 CALIFORNIA -- 7.7% 300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.35%, 09/04/02 300
See notes to financial statements 40 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 200 California Economic Development Financing Authority, IDR, Volk Enterprises, Inc. Project, Rev., FRDO, 1.30%, 09/05/02 $ 200 17,000 California Higher Education Loan Authority, Ser. A, Rev., FRDO, 1.80%, 06/02/03 17,000 22,500 California Higher Education Loan Authority, Ser. C, Rev., FRDO, 1.80%, 06/02/03 22,500 17,000 California Higher Education Loan Authority, Ser. E-5, Rev., FRDO, 1.80%, 06/02/03 17,000 14,815 California Housing Finance Agency, FLOATS, Ser. PT-612, Rev., FRDO, 1.37%, 09/05/02 14,815 76,055 California Housing Finance Agency, FLOATS, Ser. PT-614, Rev., FRDO, 1.46%, 09/05/02 76,055 10,000 California Housing Finance Agency, FLOATS, Ser. PT-651C, Rev., FRDO, 1.46%, 09/05/02 10,000 22,400 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, MBIA, 1.78%, 09/03/02 22,400 700 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.81%, 09/03/02 700 3,200 California Housing Finance Agency, Multi-Family Housing, Ser. C, Rev., FRDO, 1.20%, 09/04/02 3,200 100 California PCFA, PCR, Shell Oil Co. Project, Ser. B, Rev., FRDO, 1.85%, 09/03/02 100 2,400 California PCFA, Resource Recovery, Burney Forest Products Project, Ser. A, Rev., FRDO, 1.81%, 09/03/02 2,400 1,300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.35%, 09/04/02 1,300 30,000 California State, Ser. A, Rev., RAW, 1.80%, 10/25/02 30,005 40,000 California State, Ser. B, Rev., RAW, 1.90%, 11/27/02 40,005 45,000 California State, Ser. B, Rev., RAW, 2.50%, 11/27/02 45,069 291,800 California State, Ser. C, Rev., RAW, 2.00%, 01/30/03 291,981 2,800 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue, Ser. A, Rev., FRDO, 1.15%, 09/03/02 2,800 1,395 Delano, California, Floating Rate Trust Receipts, COP, Ser. L-38, Regulation D, FRDO, 1.35%, 09/04/02 1,395 2,980 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 1.34%, 09/05/02 2,980 2,800 Hayward, California, Multi-Family Housing, Shorewoood, Ser. A, Rev., FRDO, 1.25%, 09/05/02 2,800 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 00-18, Ser. A, Special Assessment, FRDO, 1.85%, 09/03/02 100
See notes to financial statements 41 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 489 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 1.85%, 09/03/02 $ 489 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 1.85%, 09/03/02 100 2,600 Livermore, California, Multi-Family Housing, Ser. A, Rev., FRDO, 1.20%, 09/04/02 2,600 1,700 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 1.20%, 09/04/02 1,700 5,110 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-54, FRDO, 1.33%, 09/05/02 5,110 12,340 Los Angeles Regional Airports Improvement Corp., LAX International Airport, Sublease 2, Rev., FRDO, 1.93%, 09/03/02 12,340 3,600 Los Angeles, California, Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.30%, 09/05/02 3,600 1,400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 1.20%, 09/04/02 1,400 3,500 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.33%, 09/05/02 3,500 1,600 Orange County, Apartment Development, Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.20%, 09/05/02 1,600 9,075 San Francisco City & County Airports Commission, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.80%, 09/05/02 9,089 9,270 San Francisco, City & County, Single Family Mortgage, FLOATS, Ser. PT-563, Rev., FRDO, 1.46%, 09/05/02 9,270 35,875 Southern California Home Financing Authority, Single Family Mortgage, FLOATS, Ser. PT-561, Rev., FRDO, 1.46%, 09/05/02 35,875 ------------- 691,778 COLORADO -- 1.6% 10,420 Adams & Arapahoe Joint School District, School District No. 28-J, Ser. II-R-157, GO, FRDO, 1.45%, 09/05/02 10,420 1,000 Arapahoe County, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., FRDO, ^, 1.46%, 09/05/02 1,000 7,100 Arapahoe County, Multi-Family Housing, Highline Oaks Apartments, Rev., FRDO, 1.30%, 09/04/02 7,100 2,850 Arvada, Colorado, Rev., FRDO, FSA, 1.50%, 09/03/02 2,850
See notes to financial statements 42 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- COLORADO -- CONTINUED $ 4,995 Colorado Department of Transportation, FLOATS, Ser. PA-832, Rev., FRDO, MBIA, 1.42%, 09/05/02 $ 5,001 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 1.35%, 09/04/02 1,600 6,520 Colorado Springs, Colorado, Utilities, FLOATS, Ser. PT-367, FRDO, 1.44%, 09/05/02 6,520 2,500 Colorado Student Obligation Bond Authority, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 1.45%, 09/04/02 2,500 31,155 Denver City & County, Airport, Floating Rate Trust Certificates, Ser. 153, Rev., FRDO, MBIA, 1.85%, 09/05/02 31,155 5,000 Denver City & County, Airport, Floating Rate Trust Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 1.55%, 09/04/02 5,000 18,695 Denver City & County, Airport, Municipal Securities Trust Receipts, Ser. SGA-18, Rev., FRDO, MBIA, 1.46%, 09/04/02 18,724 14,315 Denver City & County, FLOATS, Ser. PA-733, COP, FRDO, AMBAC, 1.42%, 09/05/02 14,330 10,000 Douglas County, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 1.40%, 09/05/02 10,000 13,100 E-470 Public Highway Authority, Vehicle Registration Fee, Rev., FRDO, MBIA, 1.40%, 09/04/02 13,100 8,370 Platte River Power Authority, FLOATS, Ser. PA-729-R, Rev., FRDO, 1.42%, 09/05/02 8,370 5,000 Regional Transportation District, Transit Vehicles Project, COP, Ser. A, FRDO, AMBAC, 1.40%, 09/05/02 5,000 5,200 Smith Creek Metropolitan District, Rev., FRDO, 1.45%, 09/05/02 5,200 ------------- 147,870 DELAWARE -- 0.3% 7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO, AMBAC, 1.25%, 09/05/02 7,000 21,755 Delaware State Economic Development Authority, Hospital Billing & Collections, Ser. C, Rev., FRDO, AMBAC, 1.40%, 09/04/02 21,755 ------------- 28,755 DISTRICT OF COLUMBIA -- 3.6% 1,620 District of Columbia Housing Finance Agency, Floating Rate Trust Receipts, Ser. L-1, Regulation D, Rev., FRDO, 1.55%, 09/04/02 1,620 11,365 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1380, Rev., FRDO, 1.42%, 09/05/02 11,365 8,225 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1381, Rev., FRDO, 1.42%, 09/05/02 8,225
See notes to financial statements 43 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- CONTINUED $ 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.60%, 09/05/02 $ 3,165 5,970 District of Columbia Water & Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 1.42%, 09/05/02 5,970 28,900 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 1.40%, 09/04/02 28,900 12,000 District of Columbia, American University, Ser. A, Rev., FRDO, AMBAC, 1.40%, 09/04/02 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 1.50%, 09/05/02 7,500 41,335 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.40%, 09/04/02 41,335 2,420 District of Columbia, National Children's Center, Inc., Rev., FRDO, 1.40%, 09/05/02 2,420 3,500 District of Columbia, National Public Radio Issue, Rev., ^, 7.70%, 01/02/03 3,630 13,705 District of Columbia, Pooled Loan Program, Ser. A, Rev., FRDO, 1.40%, 09/05/02 13,705 26,980 District of Columbia, Ser. A, GO, FRDO, FSA, 1.40%, 09/04/02 26,980 55,595 District of Columbia, Ser. B, GO, FRDO, FSA, 1.40%, 09/04/02 55,595 20,000 District of Columbia, Ser. C, GO, FRDO, FGIC, 1.40%, 09/04/02 20,000 10,000 District of Columbia, Ser. D, GO, FRDO, FGIC, 1.40%, 09/04/02 10,000 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 1.35%, 09/05/02 7,690 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., #, FRDO, 1.45%, 09/05/02 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, #, FRDO, 1.45%, 09/05/02 6,155 30,000 Metropolitan Washington Airports Authority, Ser. C, Rev., FRDO, FSA, 1.40%, 09/04/02 30,000 15,000 Washington D.C. Water Authority, 1.40%, 11/08/02 15,000 ------------- 325,755 FLORIDA -- 3.3% 11,880 AMT-Sunshine State Local Development Authority, 1.70%, 09/09/02 11,880 1,150 Collier County, Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 1.35%, 09/04/02 1,150 2,595 Dade County Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Ser. 4, Rev., FRDO, 1.40%, 09/05/02 2,595
See notes to financial statements 44 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- FLORIDA -- CONTINUED $ 1,920 Dade County Housing Finance Authority, Multi-Family Housing, Star Creek Apartments, Ser. 3, Rev., FRDO, 1.40%, 09/05/02 $ 1,920 5,620 Escambia County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 1.40%, 09/05/02 5,620 5,275 Florida Housing Finance Agency, Multi-Family Housing, Banyon, Ser. L, Rev., FRDO, 1.31%, 09/04/02 5,275 5,135 Florida Housing Finance Agency, Multi-Family Housing, Ser. AA, Rev., FRDO, 1.40%, 09/04/02 5,135 6,840 Florida Housing Finance Corp., Multi-Family Housing, Island Club Project, Ser. A, Rev., FRDO, 1.45%, 09/05/02 6,840 12,266 Florida Local Government Authority, 1.30%, 09/03/02 12,266 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 1.42%, 09/05/02 7,000 5,370 Florida State Division of Bond Finance, General Services, FLOATS, Ser. PA-967, 1.34%, 09/05/02 5,370 5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO, 1.42%, 09/05/02 5,295 15,000 Fort Lauderdale, Florida, Pine Crest Prep School Project, Rev., FRDO, FSA, 1.40%, 09/05/02 15,000 4,790 Gulf Breeze, Florida, Local Government Loan Program, Floating Rate Trust Receipts, Ser. B, Rev., FRDO, FGIC, 1.35%, 09/05/02 4,790 8,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 1.44%, 09/04/02 8,705 9,055 Jacksonville Electric Authority, Ser. II-R-119, Special Obligation, FRDO, 1.45%, 09/05/02 9,055 4,995 Jacksonville Electric Authority, Ser. II-R-120, Rev., FRDO, 1.45%, 09/05/02 4,995 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 1.35%, 09/05/02 1,000 8,000 Kissimee, Florida, Utilities, GO, 1.30%, 10/01/02 8,000 4,000 Kissimee, Florida, Utilities, GO, 1.30%, 10/08/02 4,000 2,990 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 1.35%, 09/04/02 2,990 13,500 Miami-Dade County IDA, IDR, Airis Miami LLC Project, Ser. A, Rev., FRDO, AMBAC, 1.40%, 09/05/02 13,500 6,000 Miami-Dade County, Miami Aviation, Floating Rate Receipts, Ser. SG-141, Rev., FRDO, FGIC, 1.42%, 09/05/02 6,000 6,700 Nassau County, PCR, Private Activity, Rayonier, Rev., FRDO, 1.25%, 09/04/02 6,700
See notes to financial statements 45 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- FLORIDA -- CONTINUED $ 2,595 Orange County Housing Finance Authority, Floating Rate Trust Receipts, Ser. N-6, Regulation D, Rev., FRDO, 1.50%, 09/04/02 $ 2,595 2,880 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 1.46%, 09/05/02 2,880 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 1.31%, 09/05/02 4,900 15,000 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., FRDO, 1.30%, 09/04/02 15,000 49,400 Palm Beach County School Board, COP, Ser. B, FRDO, FSA, 1.30%, 09/05/02 49,400 3,000 St. Johns County IDA, Health Care, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 1.35%, 09/04/02 3,000 35,890 Sunshine Local Government Authority, 1.35%, 09/09/02 35,890 7,000 Tampa, Florida, Occupational License Tax, Ser. B, Rev., FRDO, FGIC, 1.30%, 09/04/02 7,000 7,200 University Athletic Association, Inc., Florida Capital Improvement, University of Florida Stadium Project, Rev., FRDO, 1.90%, 09/03/02 7,200 4,300 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 1.45%, 09/05/02 4,300 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 1.35%, 09/05/02 3,600 ------------- 290,846 GEORGIA -- 3.0% 6,135 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 1.50%, 09/05/02 6,135 6,000 Atlanta, Georgia, FRDO, 1.45%, 09/05/02 6,000 19,900 Atlanta, Georgia, Water & Wastewater, Ser. B, Rev., FRDO, FSA, 1.30%, 09/05/02 19,900 400 Atlanta, Georgia, Water & Wastewater, Ser. C, Rev., FRDO, FSA, 1.85%, 09/03/02 400 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 1.40%, 09/04/02 7,160 5,000 Cobb County, GO, TAN, 2.50%, 12/31/02 5,010 12,850 De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., FRDO, 1.46%, 09/05/02 12,850 900 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 1.40%, 09/04/02 900 1,825 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 1.35%, 09/04/02 1,825 57,202 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 1.40%, 09/05/02 57,202
See notes to financial statements 46 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- GEORGIA -- CONTINUED $ 43,350 Georgia State Road and Thruway Authority, Rev., BAN, 2.75%, 11/20/02 $ 43,350 8,015 Georgia State, Floating Rate Certificates, Ser. 213, GO, FRDO, 1.44%, 09/05/02 8,015 10,095 Georgia State, FLOATS, Ser. PT-374, FRDO, 1.39%, 09/05/02 10,095 2,000 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 1.30%, 09/04/02 2,000 4,770 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 1.46%, 09/05/02 4,770 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 1.30%, 09/04/02 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Rev., RAN, FRDO, 1.40%, 09/04/02 10,000 30,000 Metropolitan Atlanta Rapid Transportation Authority, Sales Tax, Ser. B, Rev., FRDO, 1.30%, 09/04/02 30,000 9,850 Municipal Electric Authority of Georgia, Project One, Ser. B, Rev., FRDO, FSA, 1.25%, 09/04/02 9,850 8,700 Municipal Electric Authority of Georgia, Sub Ser. B, Rev., FRDO, 1.25%, 09/04/02 8,700 13,400 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 1.25%, 09/04/02 13,400 ------------- 263,562 HAWAII -- 0.5% 1,225 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, 1.52%, 09/05/02 1,225 7,800 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PT-574, 1.72%, 07/10/03 7,800 19,790 Hawaii State, Highway Revenue, FLOATS, Ser. PT-1058, FRDO, 1.42%, 09/05/02 19,790 1,000 Honolulu City & County, Ser. A, GO, FRDO, 1.30%, 09/04/02 1,000 5,150 Honolulu City & County, Ser. A, GO, FRDO, 1.30%, 09/04/02 5,150 6,000 Honolulu City & County, Ser. C, GO, FRDO, FGIC, 2.85%, 12/04/02 6,040 ------------- 41,005 IDAHO -- 0.3% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 1.50%, 09/04/02 10,500 9,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Rev., FRDO, 1.50%, 09/04/02 9,500
See notes to financial statements 47 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- IDAHO -- CONTINUED $ 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 1.50%, 09/04/02 $ 3,750 ------------- 23,750 ILLINOIS -- 6.6% 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10, GO, FRDO, MBIA, 1.65%, 11/25/02 9,850 10,945 ABN AMRO Munitops Certificate Trust, Ser. 2001-27, Rev., FRDO, FSA, 1.54%, 09/04/02 10,945 9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3, Rev., FRDO, 1.54%, 09/04/02 9,995 10,000 Chicago Board of Education, FLOATS, Ser. SG-103, FRDO, 1.42%, 09/03/02 10,000 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Trust Receipts, Ser. L-40, Regulation D, Rev., FRDO, 1.50%, 09/04/02 34,950 33,125 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.30%, 09/04/02 33,125 52,400 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. A, Rev., FRDO, 1.36%, 09/04/02 52,400 3,865 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.28%, 09/04/02 3,865 6,600 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.36%, 09/04/02 6,600 2,500 Chicago O'Hare International Airport, American Airlines Project, Special Facilities, Rev., FRDO, 2.00%, 09/03/02 2,500 20,000 Chicago School Finance Authority, Ser. A, GO, MBIA, 4.70%, 06/01/03 20,457 5,800 Chicago, Illinois, Equipment Notes, GO, FRDO, 2.10%, 10/02/02 5,800 5,000 Chicago, Illinois, IDR, Elston Block Co. Project, Rev., FRDO, 1.46%, 09/05/02 5,000 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 1.42%, 09/05/02 19,540 6,475 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 1.46%, 09/05/02 6,475 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 1.46%, 09/04/02 20,000 12,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 1.38%, 09/05/02 12,000 9,240 Chicago, Illinois, Single Family Mortgage, FLOATS, Ser. PT-555, Rev., FRDO, 1.48%, 09/05/02 9,240 19,790 Chicago, Illinois, Tender Notes, GO, FRDO, 1.75%, 12/05/02 19,790
See notes to financial statements 48 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 6,500 Chicago, Illinois, Tender Notes, GO, FRDO, 1.90%, 10/31/02 $ 6,500 8,570 Cook County Township High School District No. 211, Palatine-Schaumb, GO, 3.00%, 12/02/02 8,590 3,215 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 1.44%, 09/05/02 3,215 10,120 Cook County, FLOATS, Ser. PA-856, GO, FRDO, FGIC, 1.42%, 09/05/02 10,120 3,885 Cook County, Municipal Trust Receipts, Ser. SG-7, 1.46%, 09/05/02 3,885 10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA, 1.45%, 09/05/02 10,000 7,055 Franklin Park, Illinois, Municipal Securities Trust Receipts, Ser. SGB-14, GO, FRDO, AMBAC, 1.45%, 09/05/02 7,055 3,600 Illinois Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 1.40%, 09/05/02 3,600 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Ser. C, Rev., FRDO, 1.35%, 09/04/02 17,900 2,805 Illinois Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 1.46%, 09/05/02 2,805 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 1.46%, 09/05/02 4,485 1,630 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 1.46%, 09/04/02 1,630 1,300 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 1.40%, 09/04/02 1,300 13,540 Illinois Educational Facilities Authority, University Pooled Financing Program, Rev., FRDO, FGIC, 1.40%, 09/04/02 13,540 6,895 Illinois Educational Facilities Authortiy, FLOATS, Ser. PA-896, Rev., FRDO, 1.42%, 09/05/02 6,895 4,600 Illinois Health Facilities Authority, Carle Foundation, Rev., FRDO, AMBAC, 1.40%, 09/04/02 4,600 10,530 Illinois Health Facilities Authority, Floating Rate Trust Receipts, Ser. L-26, Regulation D, Rev., ^, FRDO, 1.50%, 09/04/02 10,530 5,000 Illinois Health Facilities Authority, Health Care Systems, Rev., FRDO, 1.75%, 09/03/02 5,000 25,000 Illinois Health Facilities Authority, Herman M. Finch University of Health, Rev., FRDO, 1.40%, 09/04/02 25,000 9,145 Illinois Health Facilities Authority, St. Lukes Medical Center Obligation, Ser. B, Rev., FRDO, MBIA, 1.40%, 09/04/02 9,145 13,900 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 1.33%, 09/04/02 13,900
See notes to financial statements 49 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 19,600 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/04/02 $ 19,600 3,350 Illinois Housing Development Authority, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 1.55%, 09/04/02 3,350 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, MBIA, 1.38%, 09/04/02 7,600 10,480 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, MBIA, 1.40%, 09/04/02 10,480 12,900 Illinois State Toll Highway Authority, Ser. B, Rev., FRDO, MBIA, 1.30%, 09/04/02 12,900 8,000 Illinois State, 1st Ser., GO, 3.00%, 11/01/02 8,013 10,465 Illinois State, FLOATS, Ser. PT-379, GO, FRDO, MBIA, 1.42%, 09/05/02 10,465 2,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 1.80%, 09/03/02 2,075 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, 1.42%, 09/05/02 3,255 7,015 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, FRDO, 1.42%, 09/05/02 7,015 2,570 Lake County, IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 1.40%, 09/05/02 2,570 1,990 Libertyville, Illinois, IDR, Libertyville Manor Project, Rev., FRDO, 1.50%, 09/05/02 1,990 3,100 Madison County Environmental Improvement, Shell Wood River Refining, Rev., FRDO, 2.00%, 09/03/02 3,100 10,000 Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 1.42%, 09/05/02 10,000 9,600 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 1.40%, 09/04/02 9,600 12,875 Will County, Environmental Facilities, Exxon-Mobil Corp. Project, Rev., FRDO, 1.90%, 09/03/02 12,875 ------------- 587,115 INDIANA -- 1.7% 6,430 Danville Multi-School Building Corp., FLOATS, Ser. PT-1483, Rev., FRDO, FSA, 1.42%, 09/05/02 6,430 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.55%, 09/05/02 5,000 4,995 Indiana Bond Bank, Ser. II-R-117, Rev., FRDO, 1.45%, 09/05/02 4,995 20,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-1, Rev., FRDO, 1.83%, 09/04/02 20,000 40,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-4, Rev., FRDO, 1.80%, 03/04/03 40,000
See notes to financial statements 50 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- INDIANA -- CONTINUED $ 1,900 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. B, Rev., FRDO, 1.40%, 09/04/02 $ 1,900 2,485 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 1.40%, 09/05/02 2,485 1,100 Indiana Secondary Market Educational Loans, Inc., Ser. B, Rev., FRDO, AMBAC, 1.40%, 09/04/02 1,100 6,665 Indiana State Office Building Commission, Capital Complex, FLOATS, Ser. PT-381, 1.42%, 09/05/02 6,665 10,000 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 1.80%, 09/03/02 10,000 6,240 Indiana Transportation Finance Authority, Ser. II-R-118, Rev., FRDO, 1.45%, 09/05/02 6,240 8,850 Indianapolis Airport Authority, Floating Rate Trust Receipts, Ser. C-7, Regulation D, Rev., FRDO, 1.65%, 09/04/02 8,850 9,995 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-382, Rev., FRDO, 1.42%, 09/05/02 9,995 520 Lafayette, Indiana, Economic Development, Health Quest Realty XI Project, Rev., FRDO, 1.47%, 09/05/02 520 10,100 Monroe County Hospital Authority, Rev., FRDO, MBIA, 1.35%, 09/04/02 10,100 340 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 1.47%, 09/05/02 340 6,585 Purdue University, FLOATS, Ser. PA-760, Rev., FRDO, 1.42%, 09/05/02 6,585 5,100 St. Joseph County, Indiana Educational Facilities, University of Notre Dame Du Lac Project, Rev., FRDO, 1.95%, 09/03/02 5,100 6,000 Whiting, Indiana, Environmental Facilities, Amoco Oil Co. Project, Rev., FRDO, 2.00%, 09/03/02 6,000 ------------- 152,305 IOWA -- 0.1% 1,500 City of Des Moines, Iowa, Airport, 1.80%, 10/07/02 1,500 1,000 City of Des Moines, Iowa, Airport, 1.85%, 10/07/02 1,000 3,900 City of Des Moines, Iowa, Airport, 1.85%, 10/07/02 3,900 ------------- 6,400 KANSAS -- 1.0% 43,100 Burlington, Kansas, PCR, Floating Rate Trust Receipts, Ser. 2002-L3, Rev., FRDO, MBIA, 1.50%, 09/04/02 43,100 18,000 Kansas State Department of Transportation, Highway, Ser. C-1, Rev., FRDO, 1.40%, 09/04/02 18,000 15,000 Kansas State Department of Transportation, Highway, Ser. C-2, Rev., FRDO, 1.40%, 09/04/02 15,000
See notes to financial statements 51 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- KANSAS -- CONTINUED $ 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, FRDO, 1.42%, 09/05/02 $ 9,780 1,600 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 1.45%, 09/05/02 1,600 ------------- 87,480 KENTUCKY -- 0.4% 9,100 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 1.36%, 09/04/02 9,100 2,440 Kentucky Development Finance Authority, Pooled Loan Program, Ser. A, Rev., FRDO, FGIC, 1.35%, 09/05/02 2,440 4,025 Kentucky Higher Education Student Loan Corp., FLOATS, Ser. PT-441, Rev., FRDO, 1.52%, 09/05/02 4,025 7,020 Kentucky State Property & Buildings Commission, FLOATS, Ser. PA-875, Rev., FRDO, 1.42%, 09/05/02 7,020 15,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Floating Rate Receipts, Ser. SG-132, Rev., FRDO, FGIC, 1.42%, 09/05/02 15,000 ------------- 37,585 LOUISIANA -- 1.6% 7,000 Ascension Parish, Louisiana, PCR, Borden, Inc. Project, Rev., FRDO, 1.33%, 09/04/02 7,000 7,400 East Baton Rouge Parish, PCR, Exxon Corp. Project, Rev., FRDO, 1.80%, 09/03/02 7,400 5,650 East Baton Rouge Parish, Solid Waste Disposal Authority, Exxon Corp. Project, Rev., FRDO, 1.90%, 09/03/02 5,650 2,155 Iberia Parish IDB, IDR, Cuming Insulation Corp. Project, Rev., FRDO, 1.50%, 09/05/02 2,155 3,995 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 1.52%, 09/05/02 3,995 3,000 Lake Charles Harbor & Terminal District, District Dock & Wharf, Conoco, Inc. Project, Rev., FRDO, 1.50%, 09/04/02 3,000 1,800 Louisiana Housing Finance Agency, Floating Rate Trust Receipts, Ser. A-52, Regulation D, 1.55%, 09/04/02 1,800 5,365 Louisiana Housing Finance Agency, FLOATS, Ser. PT-1340, Rev., FRDO, 1.53%, 09/05/02 5,365 11,810 Louisiana Public Facilities Authority, 1.30%, 09/03/02 11,810 21,000 Louisiana Public Facilities Authority, 1.30%, 10/02/02 21,000 20,000 Louisiana Public Facilities Authority, 1.30%, 10/15/02 20,000
See notes to financial statements 52 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- LOUISIANA -- CONTINUED $ 18,150 Louisiana Public Facilities Authority, IDB, Kenner Hotel LTD, Rev., FRDO, 1.85%, 09/03/02 $ 18,150 9,525 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 1.41%, 09/05/02 9,525 11,700 Louisiana Public Facilities Authority, Tiger Athletic Foundation Project, Rev., FRDO, 1.41%, 09/05/02 11,700 11,170 Louisiana State, Floating Rate Certificates, Ser. 217, GO, FRDO, MBIA, 1.44%, 09/05/02 11,170 235 New Orleans Aviation Board, Ser. C, GO, FRDO, MBIA, 1.35%, 09/04/02 235 4,000 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 1.40%, 09/04/02 4,000 ------------- 143,955 MAINE -- 0.5% 10,000 Maine Finance Authority, Jackson Lab Issue, Ser. 2002, Rev., FRDO, 1.45%, 09/05/02 10,000 1,865 Maine State Housing Authority, FLOATS, Ser. PT-1438, Rev., FRDO, 1.46%, 09/05/02 1,865 8,000 Maine State Housing Authority, Ser. E-2, Rev., FRDO, 1.65%, 04/15/03 8,000 5,000 Maine State, GO, BAN, 2.50%, 06/26/03 5,034 20,000 Maine State, GO, TAN, 2.25%, 06/30/03 20,123 ------------- 45,022 MARYLAND -- 2.2% 5,720 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 1.35%, 09/05/02 5,720 21,400 Baltimore IDA, IDR, Baltimore Capital Acquisition, Rev., FRDO, 1.40%, 09/04/02 21,400 22,800 Baltimore, Maryland, 1.40%, 09/06/02 22,800 12,015 Community Development Administration, Multi-Family Housing, Avalon Ridge Apartments Project, Rev., FRDO, 1.30%, 09/04/02 12,015 8,605 Howard County, Multi-Family Housing, Sherwood Crossing LTD, Rev., FRDO, 2.00%, 09/03/03 8,605 6,020 Maryland Community Development Administration Department of Housing & Community Development, FLOATS, Ser. PT-12, FRDO, 1.93%, 09/03/02 6,020 2,380 Maryland Community Development Administration Department of Housing & Community Development, FLOATS, Ser. PT-256, Rev., FRDO, 1.52%, 09/05/02 2,382 13,000 Maryland Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Residential, Ser. C, Rev., 1.65%, 12/19/02 13,000 3,000 Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 1.50%, 09/04/02 3,000
See notes to financial statements 53 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MARYLAND -- CONTINUED $ 5,180 Maryland State Department of Transportation, County Transportation, FLOATS, Ser. PA-867, Rev., FRDO, 1.42%, 09/05/02 $ 5,180 2,550 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 1.40%, 09/05/02 2,550 16,460 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 1.50%, 09/04/02 16,460 8,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO, 1.39%, 09/05/02 8,185 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 1.24%, 09/04/02 16,800 45,500 Montgomery County Housing Opportunities Commission, The Grand-Issue I, Rev., FRDO, 1.36%, 09/04/02 45,500 4,995 Montgomery County, FLOATS, Ser. PA-713, GO, FRDO, 1.42%, 09/05/02 4,995 1,600 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 1.20%, 09/04/02 1,600 ------------- 196,212 MASSACHUSETTS -- 4.1% 8,000 Arlington, Massachusetts, GO, BAN, 3.00%, 04/10/03 8,040 25,900 Everett, Massachusetts, GO, BAN, 3.25%, 09/12/02 25,907 9,300 Fall River, Massachusetts, GO, BAN, 3.00%, 02/05/03 9,351 14,897 Gateway Regional School District, GO, BAN,, 3.00%, 05/06/03 14,992 11,100 Lee, Massachusetts, BAN, 2.75%, 05/13/03 11,162 3,050 Lee, Massachusetts, LOT B, GO, BAN, 2.15%, 10/17/02 3,056 5,000 Massachusetts Bay Transportation Authority, Floating Rate Trust Receipts, Ser. SG-156, FRDO, 1.88%, 09/03/02 5,000 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 1.44%, 09/04/02 5,750 5,000 Massachusetts Development Financing Agency, Bridge Issue, Rev., FRDO, 1.35%, 09/04/02 5,000 3,300 Massachusetts Health & Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-97, Rev., FRDO, 1.80%, 09/03/02 3,300 11,000 Massachusetts Health & Educational Facilities Authority, Ser. B, Rev., FRDO, 1.35%, 09/05/02 11,000 19,000 Massachusetts Housing Finance Agency, Single Family Housing, Rev., FRDO, FSA, 1.25%, 09/04/02 19,000
See notes to financial statements 54 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MASSACHUSETTS -- CONTINUED $ 8,705 Massachusetts State Port Authority, Municipal Securities Trust Receipts, Ser. SGA-64, Rev., FRDO, 1.47%, 09/04/02 $ 8,705 6,840 Massachusetts State Turnpike Authority, Metropolitan Highway System, FLOATS, Ser. PA-672, Rev., FRDO, MBIA, 1.95%, 09/05/02 6,840 5,100 Massachusetts State Water Pollution Abatement Trust, Municipal Securities Trust Receipts, Ser. SGA-87, Rev., FRDO, 1.80%, 09/03/02 5,100 19,600 Massachusetts State Water Resources Authority, Ser. A, Rev., FRDO, FGIC, 1.30%, 09/04/02 19,600 6,600 Massachusetts State Water Resources Authority, Sub Ser. C, Rev., FRDO, FGIC, 1.35%, 09/04/02 6,600 25,000 Massachusetts State, Ser. A, GO, BAN, 3.25%, 04/25/03 25,167 25,000 Millbury, Massachusetts, GO, BAN, 3.00%, 04/18/03 25,123 5,000 New Bedford, Massachusetts, GO, BAN, 2.25%, 02/27/03 5,013 76,100 Route 3 North Transit Improvement Association, Demand Obligation, Ser. B, Rev., FRDO, AMBAC, 1.30%, 09/04/02 76,100 32,555 Scituate, Massachusetts, GO, BAN, 2.40%, 03/06/03 32,645 23,000 Westford, Massachusetts, BAN, GO, 2.75%, 05/14/03 23,134 7,750 Woburn, Massachusetts, GO, BAN, 2.75%, 07/18/03 7,834 ------------- 363,419 MICHIGAN -- 4.2% 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16, GO, FRDO, FGIC, 1.75%, 10/03/02 30,795 10,000 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 2.12%, 10/23/02 10,000 7,450 East Lansing School District, Municipal Securities Trust Receipts, Ser. SGA-114, GO, FRDO, 1.44%, 09/04/02 7,450 5,500 Kent Hospital Financing Authority, Spectrum Health, Ser. B, Rev., FRDO, MBIA, 1.35%, 09/04/02 5,500 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 1.40%, 09/04/02 9,000 5,280 Michigan Municipal Bond Authority, FLOATS, Ser. PA-852, Rev., FRDO, 1.42%, 09/05/02 5,280 8,220 Michigan Municipal Bond Authority, FLOATS, Ser. PA-942, Rev., FRDO, 1.42%, 09/05/02 8,220 8,575 Michigan Municipal Bond Authority, FLOATS, Ser. PT-1477, Rev., FRDO, 1.39%, 09/05/02 8,575 5,705 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 1.42%, 09/05/02 5,705 20,000 Michigan Municipal Bond Authority, Ser. C-1, Rev., 2.25%, 08/22/03 20,163
See notes to financial statements 55 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MICHIGAN -- CONTINUED $ 10,000 Michigan State Building Authority, Facilities Program, Rev., FRDO, 1.35%, 09/04/02 $ 10,000 18,735 Michigan State Building Authority, Rev., 1.30%, 10/24/02 18,735 7,600 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 1.38%, 09/04/02 7,600 6,000 Michigan State Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 1.50%, 09/04/02 6,000 825 Michigan State Housing Development Authority, Ser. 2000-A, Rev., FRDO, MBIA, 1.40%, 09/04/02 825 15,000 Michigan State University, Rev., 2.15%, 10/02/02 15,000 5,055 Michigan State University, Ser. A, Rev., FRDO, 1.35%, 09/04/02 5,055 27,400 Michigan State University, Ser. A, Rev., FRDO, 1.85%, 09/03/02 27,400 31,135 Michigan State University, Ser. A-2, Rev., FRDO, 1.30%, 09/04/02 31,135 3,600 Michigan State, GO, 2.10%, 10/02/02 3,600 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 1.30%, 09/04/02 10,500 27,700 Michigan State, Ser. B, Rev., GAN, FRDO, FSA, 1.30%, 09/04/02 27,700 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 1.55%, 09/04/02 1,175 10,000 Oakland University, Rev., FRDO, FGIC, 1.40%, 09/04/02 10,000 10,400 Saline Area Schools, Ser. B, GO, FRDO, 1.30%, 09/05/02 10,400 300 University of Michigan, Hospital, Ser. A, Rev., FRDO, 1.80%, 09/03/02 300 11,400 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Junior Lien, Rev., FRDO, FSA, 1.36%, 09/05/02 11,400 10,000 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., FRDO, FGIC, 1.40%, 09/04/02 10,000 48,285 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. B, Rev., FRDO, 1.40%, 09/04/02 48,285 9,700 Wayne Charter County, Wayne Charter Airport, Floating Rate Receipts, Ser. SG-122, Rev., FRDO, 1.42%, 09/05/02 9,700 ------------- 375,498 MINNESOTA -- 0.9% 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 1.46%, 09/04/02 9,000 10,000 Minnesota Housing Finance Agency, Residential Housing Financing, Ser. C, Rev., FRDO, 1.90%, 12/04/02 10,000
See notes to financial statements 56 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MINNESOTA -- CONTINUED $ 4,995 Minnesota Public Facilities Authority, PCR, Water, Ser. II-R-31, Rev., FRDO, 1.90%, 09/05/02 $ 4,995 11,000 Minnesota Public Facilities Authority, PCR, Water, Ser. II-TR-1, Rev., FRDO, 2.00%, 09/05/02 11,000 16,150 Rochester, Minnesota, Health Authority, GO, 1.35%, 10/01/02 16,150 2,970 Shakopee Independent School District No. 720, Aid Anticipation Certificates Indebture, GO, 2.50%, 09/27/02 2,972 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 1.45%, 09/05/02 4,300 21,450 University of Minnesota, Ser. C, Rev., FRDO, 1.40%, 09/04/02 21,450 ------------- 79,867 MISSISSIPPI -- 0.4% 6,700 Jackson County, Port Facilities, Chevron USA, Inc. Project, Rev., FRDO, 1.90%, 09/03/02 6,700 2,060 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms, Inc. Project, Rev., FRDO, 1.50%, 09/04/02 2,060 4,995 Mississippi Home Corp., Single Family Housing, FLOATS, Ser. PT-620, Rev., FRDO, 1.48%, 09/05/02 4,995 4,445 Mississippi Home Corp., Single Family Mortgage, FLOATS, Ser. PT-218A, Rev., FRDO, 1.48%, 09/05/02 4,445 15,000 Perry County, PCR, Leaf River Forest Production Project, Rev., FRDO, 1.35%, 09/05/02 15,000 ------------- 33,200 MISSOURI -- 1.0% 3,150 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., FRDO, 1.55%, 09/05/02 3,150 6,500 Missouri Development Finance Board, Infrastructure Facilities, Branson Project, Rev., BAN, 3.00%, 03/14/03 6,534 3,375 Missouri Development Finance Board, Recreational Facilities, Greater St. Louis YMCA Project, Ser. B, Rev., FRDO, 1.40%, 09/03/02 3,375 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.40%, 09/04/02 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, MBIA, 1.55%, 09/04/02 1,600 5,205 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 1.53%, 09/05/02 5,205 7,700 Missouri Housing Development Commission, FLOATS, Ser. PT-341, 1.72%, 07/10/03 7,700 6,295 Missouri Housing Development Commission, Mortgage, FLOATS, Ser. PT-495, Rev., FRDO, 1.48%, 09/05/02 6,295
See notes to financial statements 57 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MISSOURI -- CONTINUED $ 1,600 Missouri State Environmental Improvement & Energy Resources Authority, Bayer Corp. Project, Rev., FRDO, MBIA, 1.95%, 09/03/02 $ 1,600 23,000 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 1.40%, 09/05/02 23,000 5,000 Missouri State Health & Educational Facilities Authority, Cape Girardeau School District, Ser. D, Rev., 3.00%, 10/21/02 5,005 4,100 Missouri State Health & Educational Facilities Authority, Hickman Mills School District, Ser. H, Rev., 3.00%, 10/21/02 4,104 3,315 Missouri State Housing Development Commission, Floating Rate Trust Receipts, Ser. A-64, Regulation D, Rev., FRDO, 1.55%, 09/04/02 3,319 7,170 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 1.48%, 09/05/02 7,170 11,125 O'Fallon, Missouri, FLOATS, COP, Ser. PT-1396, FRDO, MBIA, 1.42%, 09/05/02 11,125 ------------- 92,182 MONTANA -- 0.0% 3,075 Montana Board of Housing, FLOATS, Ser. PT-356, FRDO, 1.52%, 09/05/02 3,075 MULTIPLE STATES -- 5.6% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16, FRDO, MBIA, 1.45%, 09/04/02 17,676 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6, FRDO, #, 1.45%, 09/04/02 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9, FRDO, #, 1.45%, 09/04/02 10,000 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11, FRDO, 1.51%, 09/04/02 14,990 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4, Rev., FRDO, FGIC, #, 2.60%, 09/04/02 16,610 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1, GO, FRDO, MBIA, 1.45%, 09/04/02 5,000 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 1.45%, 09/04/02 15,010 5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16, GO, FRDO, 1.55%, 08/20/03 5,500 8,625 ABN-AMRO Munitops Certificate Trust, Ser. 2002-1, Rev., FRDO, 1.62%, 09/04/02 8,625 42,500 Charter Mac Floater Certificate Trust I, Ser. NAT-1, Rev., FRDO, MBIA, 1.56%, 09/05/02 42,500 10,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.56%, 09/05/02 10,000 15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3, Rev., FRDO, MBIA, 1.56%, 09/05/02 15,000
See notes to financial statements 58 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------------------------- MULTIPLE STATES -- CONTINUED $ 17,890 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO, 1.66%, 09/05/02 $ 17,890 8,710 Clipper Tax-Exempt Trust, Ser. 1999-2, COP, FRDO, 1.66%, 09/05/02 8,710 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 1.45%, 09/05/02 5,000 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, #, FRDO, 1.45%, 09/05/02 3,910 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 1.45%, 09/05/02 2,000 25,895 IBM Lease, FLOATS, Ser. 2001-A, FRDO, 1.61%, 09/05/02 25,895 3,660 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS, 1.61%, 09/05/02 3,660 29,005 IBM Tax Exempt Trust, IBM Project, FLOATS, Ser. 2001-D, Rev., FRDO, 1.61%, 09/05/02 29,005 24,267 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.66%, 09/05/02 24,267 55,145 MBIA Capital Corp., FLOATS, 1.56%, 09/05/02 55,145 39,380 Puttable Floating Option Tax-Exempt Receipts, Floating Rate Receipts, Ser. 2001-SG, 1.61%, 09/05/02 39,380 29,320 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. SGP-12, FRDO, 1.61%, 09/05/02 29,320 13,380 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. SGP-13, Mode B, FRDO, 1.61%, 09/05/02 13,380 46,235 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A Certificates, 1.52%, 09/05/02 46,235 ------------- 496,203 NEBRASKA -- 0.3% 3,285 NEBHELP, Inc., Nebraska, Multiple Mode, Student Loan, Ser. E, Rev., FRDO, MBIA, 1.40%, 09/04/02 3,285 5,500 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. 2002-L-1, Rev., FRDO, 1.55%, 09/04/02 5,500 10,000 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. N-7, Regulation D, Rev., FRDO, 1.55%, 09/04/02 10,000 6,000 Nebraska Investment Finance Authority, Single Family Housing, Ser. E, Rev., FRDO, 1.50%, 09/04/02 6,000 1,200 Sidney, Nebraska, IDR, Pennington Seed, Inc. Project, Rev., FRDO, 1.50%, 09/04/02 1,200 ------------- 25,985 NEVADA -- 1.7% 4,790 Clark County Improvement District, Local Improvement, Special Improvement, Special Assessment, Ser. 128-A, FRDO, 1.88%, 09/03/02 4,790
See notes to financial statements. 59 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Nevada -- Continued $ 1,500 Clark County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 1.80%, 09/03/02 $ 1,500 15,000 Clark County School District, FRDO, 1.45%, 09/05/02 15,000 6,900 Clark County, Airport Improvement, Sub Lien, Ser. A-1, Rev., FRDO, 1.30%, 09/04/02 6,900 575 Clark County, Airport Improvement, Sub Lien, Ser. A-2, Rev., FRDO, 1.36%, 09/04/02 575 30,000 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev., FRDO, FGIC, 1.30%, 09/04/02 30,000 3,500 Clark County, Airport, Sub Lien, Ser. A, Rev., FRDO, FGIC, 1.98%, 09/03/02 3,500 16,600 Clark County, Clark Airport, Sub Lien, Ser. B, Rev., FRDO, MBIA, 1.36%, 09/04/02 16,600 5,300 Clark County, IDR, Nevada Cogeneration Association #2, Rev., FRDO, 2.00%, 09/03/02 5,300 14,900 Nevada Housing Division, Multi-Family Housing, Park Vista Apartments, Ser. A, Rev., FRDO, 1.40%, 09/04/02 14,900 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 1.45%, 09/05/02 3,390 6,250 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 1.45%, 09/05/02 6,250 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 1.45%, 09/05/02 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 1.45%, 09/05/02 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 1.45%, 09/05/02 3,195 9,500 Nevada Housing Division, Multi-Unit, Flamingo Road, Ser. A, Rev., FRDO, #, 1.75%, 09/05/02 9,500 7,800 Nevada Housing Division, Multi-Unit, Fort Apache, Ser. A, Rev., FRDO, 1.75%, 09/05/02 7,800 9,000 Nevada State, FLOATS, Ser. SG-39, FRDO, 1.42%, 09/05/02 9,000 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 1.80%, 09/03/02 5,800 ------------ 156,205 New Hampshire-- 0.1% 3,270 New Hampshire Housing Finance Authority, Floating Rate Trust Receipt, Ser. A-70, Regulation D, Rev., FRDO, 1.55%, 09/04/02 3,270 255 New Hampshire Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-115, 1.52%, 09/05/02 255 5,820 New Hampshire State Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-624, Rev., FRDO, 1.48%, 09/05/02 5,820 ------------ 9,345
See notes to financial statements. 60 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- New Jersey-- 2.7% $ 8,395 New Jersey Economic Development Authority, Foreign Trade Zone Project, Rev., FRDO, 1.80%, 09/03/02 $ 8,395 2,500 New Jersey Economic Development Authority, Natural Gas Facilities, NUI Corp. Project, Ser. A, Rev., FRDO, AMBAC, 1.85%, 09/03/02 2,500 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 1.70%, 09/05/02 4,995 19,000 New Jersey Health Care Facilities Financing Authority, RWJ Health Care Corp., Rev., FRDO, 1.25%, 09/05/02 19,000 1,470 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.25%, 09/05/02 1,470 5,300 New Jersey State Housing & Mortgage Finance Agency, FLOATS, Ser. PT-118, Rev., 1.32%, 09/05/02 5,300 185,000 New Jersey State, Rev., TRAN, 3.00%, 06/12/03 187,197 14,592 Passaic County, GO, BAN, 2.75%, 03/27/03 14,638 ------------ 243,495 New Mexico -- 0.4% 8,050 Bernalillo County, Rev., TRAN, 3.00%, 06/30/03 8,152 3,200 Chaves County, IDR, Friona Industries LP, Ser. A, Rev., FRDO, 1.55%, 09/05/02 3,200 300 Farmington, New Mexico, PCR, Arizona Public Services Co., Ser. A, Rev., FRDO, 1.85%, 09/03/02 300 4,300 New Mexico Finance Authority, Administrative Fee, Ser. A, Rev., FRDO, 1.45%, 09/04/02 4,300 6,305 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1308, Rev., FRDO, 1.53%, 09/05/02 6,305 6,670 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1378, Rev., FRDO, 1.53%, 09/05/02 6,670 4,605 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-196, FRDO, 1.48%, 09/05/02 4,605 5,395 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-643, Rev., FRDO, 1.48%, 09/05/02 5,395 ------------ 38,927 New York -- 4.5% 745 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 96C-4901, Class A, #, FRDO, 1.48%, 09/05/02 745 23,995 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-565, Rev., FRDO, MBIA-IBC, 1.34%, 09/05/02 23,995 24,480 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 1.20%, 09/04/02 24,480 29,995 Metropolitan Transportation Authority, FLOATS, Ser. 1040, Rev., FRDO, FGIC, 1.37%, 09/05/02 29,995
See notes to financial statements. 61 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- New York -- Continued $ 30,000 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 1.30%, 09/05/02 $ 30,000 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, MBIA, 1.36%, 09/05/02 1,520 11,300 Nassau County Interim Financing Authority, FLOATS, Ser. PA 901, Rev., FRDO, AMBAC, 1.34%, 09/05/02 11,300 9,000 New York City Housing Development Corp., Multi-Family Housing, 15th Street Development, Ser. A, Rev., FRDO, 1.45%, 09/04/02 9,000 28,755 New York City IDA, Civic Facilities, Center for Jewish History Project, Rev., FRDO, 1.23%, 09/05/02 28,755 7,565 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.35%, 09/04/02 7,565 4,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1045, Rev., FRDO, 1.37%, 09/05/02 4,995 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.36%, 09/05/02 2,000 8,845 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.85%, 09/03/02 8,845 300 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 1.75%, 09/03/02 300 3,600 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 1.80%, 09/03/02 3,600 25,000 New York City Transitional Finance Authority, Ser. 3, Rev., BAN, 2.75%, 11/13/02 25,049 10,000 New York City Transitional Finance Authority, Ser. 4, Rev., 2.50%, 02/26/03 10,016 300 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. G, Rev., FRDO, FGIC, 1.85%, 09/03/02 300 400 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.80%, 09/03/02 400 100 New York City, New York, Ser. B, GO, FRDO, +, 1.80%, 09/03/02 100 900 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.85%, 09/03/02 900 600 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.75%, 09/03/02 600 100 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 1.75%, 09/03/02 100 4,565 New York Counties TOB (Tobacco) Trust I, FLOATS, Ser. PA-799, Rev., FRDO, 1.46%, 09/05/02 4,565
See notes to financial statements. 62 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- New York -- Continued $ 10,495 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. PA-991, Rev., FRDO, 1.32%, 09/05/02 $ 10,495 11,180 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-198,Rev., FRDO, MBIA, 1.32%, 09/05/02 11,180 20,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.27%, 09/04/02 20,000 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.32%, 09/05/02 1,300 9,000 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., FRDO, 1.33%, 09/05/02 9,000 6,630 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-414, Rev., FRDO, 1.60%, 09/05/02 6,630 10,000 New York State Thruway Authority, Ser. A, Rev., BAN, 3.25%, 03/26/03 10,058 13,090 Port Authority of New York & New Jersey, Rev., FRDO, 1.63%, 09/03/02 13,090 10,000 Rockland County, GO, RAN, 3.00%, 04/09/03 10,045 900 St. Lawrence County IDA, IDB, PCR, Reynolds Metals, Rev., FRDO, 1.85%, 09/03/02 900 20,000 Triborough Bridge & Tunnel Authority, Floating Rate Trust Receipts, Ser. N-17, Regulation D, Rev., FRDO, 1.45%, 09/04/02 20,000 54,500 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 1.25%, 09/04/02 54,500 2,930 TSASC, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.46%, 09/05/02 2,930 ------------ 399,253 North Carolina-- 1.8% 8,550 Charlotte, North Carolina, Airport, Ser. D, Rev., FRDO, MBIA, 1.30%, 09/04/02 8,550 10,000 Charlotte, North Carolina, Water & Sewer Systems, Ser. B, Rev., FRDO, 1.40%, 09/05/02 10,000 1,700 Durham, North Carolina, Water and Sewer Utility Systems, Rev., FRDO, 1.45%, 09/04/02 1,700 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.25%, 09/04/02 20,190 700 Guilford County Industrial Facilities & PCFA, Industrial Development, Neal Manufacturing, Inc., Rev., FRDO, 1.50%, 09/05/02 700 7,000 North Carolina Educational Facilities Finance Agency, Bowman Gray School Project, Rev., FRDO, 1.28%, 09/04/02 7,000 9,660 North Carolina Educational Facilities Finance Agency, Elon College, Rev., FRDO, 1.35%, 09/04/02 9,660
See notes to financial statements. 63 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- North Carolina -- Continued $ 1,700 North Carolina Educational Facilities Finance Agency, Greensboro College, Rev., FRDO, 1.35%, 09/04/02 $ 1,700 8,790 North Carolina Housing Finance Agency, FLOATS, Ser. PT 465, 1.48%, 09/05/02 8,790 32,000 North Carolina Medical Care Commission, Health Care Facilities, FirstHealth Carolinas Project, Rev., FRDO, 1.35%, 09/04/02 32,000 3,000 North Carolina Medical Care Commission, Health Systems, Catholic Health East, Ser. D, Rev., FRDO, AMBAC, 1.28%, 09/04/02 3,000 3,000 North Carolina Medical Care Commission, Hospital, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 1.40%, 09/05/02 3,000 16,500 North Carolina Medical Care Commission, Hospital, Pooled Equipment Financing Project, Rev., FRDO, MBIA, 1.20%, 09/03/02 16,500 25,050 North Carolina State, Ser. 14, GO, FRDO, 1.45%, 09/05/02 25,050 15,600 University of North Carolina at Chapel Hill, Hospital, COP, Ser. A, Rev., FRDO, 1.88%, 09/03/02 15,600 ------------ 163,440 North Dakota -- 0.1% 4,000 Grand Forks, North Dakota, Health Care Facilities, United Hospital Obligation Group, Ser. A, Rev., FRDO, 1.93%, 09/03/02 4,000 7,445 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 1.48%, 09/05/02 7,445 ------------ 11,445 Ohio -- 1.0% 3,800 Columbus, Ohio, Ser. 1, GO, FRDO, 1.25%, 09/05/02 3,800 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 1.56%, 09/05/02 8,000 4,940 Greene County, Nursing Homes, Ser. B, Rev., FRDO, 1.35%, 09/05/02 4,940 4,100 Hamilton County, Hospital Facilities, Health Alliance, Ser. E, Rev., FRDO, MBIA, 1.28%, 09/04/02 4,100 5,840 Ohio Housing Finance Agency, Ser. II-R-187, Rev., FRDO, 1.48%, 09/05/02 5,840 4,450 Ohio State Air Quality Development Authority, Cincinnati Gas & Electric, Ser. B, Rev., FRDO, 1.85%, 09/03/02 4,450 10,700 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.50%, 09/04/02 10,700 14,000 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.50%, 09/04/02 14,000
See notes to financial statements. 64 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Ohio -- Continued $ 10,440 Ohio State Building Authority, FLOATS, Ser. PA-908, Rev., FRDO, AMBAC, 1.42%, 09/05/02 $ 10,440 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 1.45%, 03/28/03 4,995 2,800 Ohio State Water Development Authority, PCR, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 1.90%, 09/03/02 2,800 1,300 Ohio State, Higher Education Facilities, Case Western Reserve, Ser. A, Rev., FRDO, 1.80%, 09/03/02 1,300 10,300 Ohio State, Solid Waste, BP Products North America, Rev., FRDO, 1.95%, 09/03/02 10,300 3,740 Paulding County, Solid Waste Disposal, Lafarge Corp. Project, Rev., FRDO, 1.85%, 09/03/02 3,740 ------------ 89,405 Oklahoma -- 0.4% 5,395 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-342, Rev., 1.72%, 07/10/03 5,395 7,455 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-493, Rev., FRDO, 1.48%, 09/05/02 7,455 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 1.40%, 09/05/02 10,490 7,160 Tulsa County Home Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO, 1.48%, 09/05/02 7,160 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 1.40%, 09/05/02 6,500 ------------ 37,000 Oregon -- 1.0% 10,000 Multnomah County, Ser. R-17, GO, FRDO, 1.45%, 09/05/02 10,000 5,205 Oregon State Department of Administrative Services, State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA, 1.42%, 09/05/02 5,205 6,000 Oregon State Health Facilities Authority, 1.80%, 09/04/02 6,000 8,200 Oregon State Housing & Community Services Department, Department of Housing and Development, Covenant Retirement, Ser. A, Rev., FRDO, 1.55%, 09/05/02 8,200 9,000 Oregon State Housing & Community Services Department, Ser. C, Rev., 1.67%, 02/06/03 9,000 3,440 Oregon State Housing & Community Services Department, Ser. E, Rev., 1.72%, 02/06/03 3,440 5,205 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. U, Rev., 2.12%, 11/14/02 5,205
See notes to financial statements. 65 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Oregon -- Continued $ 3,435 Oregon State Housing & Community Services Department, Single-Family Mortgage Program, Rev., 2.20%, 09/12/02 $ 3,435 3,990 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, FRDO, 1.55%, 09/04/02 3,990 24,250 Oregon State, Ser. A, Rev., TAN, 3.25%, 05/02/03 24,455 4,740 Port of Portland, PCR, Reynolds Metals Project, Rev., FRDO, 1.72%, 09/03/02 4,740 5,500 Portland, Oregon, Sewer Systems, FLOATS, Ser. PA-872, Rev., FRDO, 1.42%, 09/05/02 5,500 ------------ 89,170 Pennsylvania-- 4.2% 7,050 Allegheny County Hospital Development Authority, Presbyterian University Health Center, Ser. C, Rev., FRDO, MBIA, 1.40%, 09/05/02 7,050 6,100 Beaver County IDA, PCR, Duquesne Light Co. Project, Ser. B, Rev., FRDO, AMBAC, 1.45%, 09/04/02 6,100 9,900 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 1.35%, 09/04/02 9,900 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 1.40%, 09/04/02 8,300 26,995 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1041, Rev., FRDO, 1.41%, 09/05/02 26,995 24,200 Delaware Valley Regional Financial Authority, Local Government, Rev., FRDO, 1.35%, 09/04/02 24,200 2,700 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.35%, 09/04/02 2,700 5,000 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.35%, 09/04/02 5,000 6,400 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.35%, 09/04/02 6,400 11,400 Delaware Valley Regional Financial Authority, Local Government, Ser. B, Rev., FRDO, 1.35%, 09/04/02 11,400 20,200 Delaware Valley Regional Financial Authority, Local Government, Ser. C, Rev., FRDO, 1.35%, 09/04/02 20,200 29,550 Delaware Valley Regional Financial Authority, Local Government, Ser. D, Rev., FRDO, 1.35%, 09/04/02 29,550 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 1.45%, 09/05/02 5,900 11,600 Emmaus General Authority, Pennsylvania Loan Project, Ser. A, Rev., FRDO, FSA, 1.38%, 09/05/02 11,600 7,090 Emmaus General Authority, Sub Ser. G-16, Rev., FRDO, 1.45%, 09/04/02 7,090 8,135 Lehigh County, FLOATS, Ser. PA-976, 1.38%, 09/05/02 8,135 10,000 Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Ser. A, Rev., FRDO, 1.30%, 09/05/02 10,000
See notes to financial statements. 66 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Pennsylvania -- Continued $ 7,000 Montgomery County, GO, TRAN, 3.00%, 12/31/02 $ 7,034 13,330 North Penn Water Authority, Municipal Securities Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC, 1.44%, 09/04/02 13,330 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 1.38%, 09/05/02 7,600 30,000 Pennsylvania Economic Development Financing Authority, Exempt Facilities, Reliant Energy Seward Project, Ser. A, Rev., FRDO, 1.45%, 09/04/02 30,000 5,345 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 1.40%, 09/04/02 5,345 7,155 Pennsylvania Housing Finance Agency, FLOATS, Ser. PT-350, Rev., FRDO, 1.41%, 09/05/02 7,155 7,390 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-16, 1.38%, 09/05/02 7,390 9,000 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 1.38%, 09/05/02 9,000 5,500 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.35%, 09/04/02 5,500 8,800 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.40%, 09/04/02 8,800 3,800 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Trust Receipts, Ser. L-16, Regulation D, Rev., FRDO, FGIC, 1.40%, 09/04/02 3,800 33,615 Philadelphia, Pennsylvania, Water & Wastewater, Ser. SG-158, Rev., FRDO, FGIC, 1.38%, 09/05/02 33,615 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, FRDO, 1.38%, 09/05/02 10,905 10,235 Southeastern Pennsylvania Transportation Authority, Ser. SG-28, Rev., FRDO, FGIC, 1.38%, 09/05/02 10,235 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.30%, 09/04/02 7,500 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.30%, 09/04/02 7,500 ------------ 375,229 Puerto Rico -- 0.1% 1,125 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.31%, 09/05/02 1,125 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.27%, 09/05/02 3,315
See notes to financial statements. 67 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Puerto Rico -- Continued $ 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, FRDO, 1.27%, 09/05/02 $ 800 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 1.07%, 09/04/02 4,900 350 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.27%, 09/05/02 350 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.26%, 09/05/02 1,330 ------------ 11,820 Rhode Island -- 0.7% 20,715 Rhode Island Convention Center Authority, Ser. A, Rev., FRDO, MBIA, 1.30%, 09/05/02 20,715 4,700 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 1.90%, 09/05/02 4,700 7,845 Rhode Island Industrial Facilities Corp., Marine Terminal, Exxon-Mobil Project, Rev., FRDO, 1.80%, 09/03/02 7,845 26,565 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 1.30%, 09/04/02 26,565 4,020 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. C, GO, 3.25%, 09/03/02 4,020 ------------ 63,845 South Carolina-- 1.0% 2,500 Berkeley County, Bayer Corp. Project, Rev., FRDO, 1.95%, 09/03/02 2,500 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev., FRDO, 1.45%, 09/04/02 3,000 7,480 Darlington County, PCR, Floating Rate Receipts, Ser. L-36, Rev., FRDO, AMBAC, 1.50%, 09/04/02 7,480 2,150 Florence County, Solid Waste Disposal & Wastewater Treatment, Roche Carolina, Inc., Rev., FRDO, 2.00%, 09/03/02 2,150 3,000 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.55%, 09/05/02 3,000 28,900 South Carolina Jobs & Economic Development Authority, FLOATS, Ser. PT- 499, Rev., FRDO, 1.58%, 09/05/02 28,900 8,000 South Carolina Jobs & Economic Development Authority, Hospital Facilities, Tuomey Regional Medical Center, Ser. B, Rev., FRDO, MBIA, 1.35%, 09/05/02 8,000 3,500 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 1.45%, 09/05/02 3,500
See notes to financial statements. 68 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- South Carolina -- Continued $ 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 1.50%, 09/04/02 $ 4,600 3,750 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, Rev., FRDO, 1.45%, 09/05/02 3,750 4,910 South Carolina State Housing Finance & Development Authority, Rental Housing, Oak Ridge/McGuire, Rev., FRDO, 1.35%, 09/05/02 4,910 2,845 South Carolina State Housing Finance & Development Authority, Rental Housing, Waverly Place Project, Rev., FRDO, 1.35%, 09/05/02 2,845 6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO, 1.39%, 09/05/02 6,000 9,300 South Carolina State, Ser. 7, GO, FRDO, 1.45%, 09/05/02 9,300 ------------ 89,935 South Dakota -- 0.2% 4,710 South Dakota Economic Development Finance Authority, Hastings Filters, Inc. Project, Rev., FRDO, 1.50%, 09/05/02 4,710 4,500 South Dakota Housing Development Authority, Floating Rate Trust Receipts, Ser. N-1, Regulation D, Rev., FRDO, 1.55%, 09/04/02 4,500 4,885 South Dakota Housing Development Authority, FLOATS, Ser. PT-73, FRDO, 1.42%, 09/05/02 4,885 ------------ 14,095 Tennessee -- 3.5% 3,400 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-F, Rev., FRDO, AMBAC, 1.85%, 09/04/02 3,400 3,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-G, Rev., FRDO, AMBAC, 1.85%, 09/03/02 3,000 3,925 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-F, Rev., FRDO, AMBAC, 1.85%, 09/06/02 3,925 3,850 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-H, Rev., FRDO, AMBAC, 1.85%, 09/03/02 3,850 5,270 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-4-A, Rev., FRDO, 1.80%, 09/03/02 5,270 10,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-5-A, Rev., FRDO, AMBAC, 1.85%, 09/05/02 10,000 5,300 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 1.40%, 09/05/02 5,300
See notes to financial statements. 69 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Tennessee -- Continued $ 6,510 Clarksville Public Building Authority, Tennessee Municipal Bond Fund, Pooled Financing, Rev., FRDO, 1.85%, 09/03/02 $ 6,510 3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp. Project, FRDO, 1.50%, 09/05/02 3,000 100 Knoxville Utilities Board, Wastewater Systems, Rev., FRDO, FSA, 1.80%, 09/03/02 100 7,750 Knoxville, Tennessee, Utilities Board, Sub-Gas Systems, Rev., FRDO, 1.80%, 09/04/02 7,750 6,995 Metropolitan Government Nashville & Davidson Counties, FLOATS, Ser. PT-394, GO, FRDO, 1.44%, 09/05/02 6,995 14,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 2.00%, 01/03/03 14,000 15,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 1.40%, 09/04/02 15,000 31,900 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Vanderbilt University, Ser. B, Rev., FRDO, 1.80%, 09/03/02 31,900 2,600 Metropolitan Government Nashville & Davidson County IDB, Country Music Hall of Fame, Rev., FRDO, 1.35%, 09/05/02 2,600 3,445 Metropolitan Government Nashville & Davidson County, IDB, L&S LLC Project, Rev., FRDO, 1.50%, 09/05/02 3,445 26,800 Montgomery County Public Building Authority, Tennesse County Loan Pool, Rev., FRDO, 1.85%, 09/04/02 26,800 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 1.40%, 09/05/02 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 1.40%, 09/05/02 2,500 6,000 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-C-2, Rev., FRDO, AMBAC, 1.40%, 09/05/02 6,000 1,060 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 1.40%, 09/05/02 1,060 3,300 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 1.40%, 09/05/02 3,300 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 1.40%, 09/05/02 6,800
See notes to financial statements. 70 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Tennessee -- Continued $ 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 1.40%, 09/05/02 $ 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 1.40%, 09/05/02 2,500 9,500 Sevier County Public Building Authority, Local Government, Ser. III-A-1, Rev., FRDO, AMBAC, 1.40%, 09/05/02 9,500 23,000 Shelby County Health, Educational & Housing Facilities Board, 1.30%, 09/18/02 23,000 56,700 Shelby County Health, Educational & Housing Facilities Board, 1.30%, 09/24/02 56,700 5,205 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 1.35%, 09/05/02 5,205 600 South Pittsburg IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 1.50%, 09/04/02 600 18,050 Stewart County IDB, Solid Waste Disposal, Standard Gypsum Project, Rev., FRDO, 1.50%, 09/04/02 18,050 10,000 Tennergy Corp., Gas, Rev., MBIA, 4.75%, 06/02/03 10,221 10,500 Volunteer State Student Funding Corp., Tennessee Student Loan, Ser. A-2, Rev., FRDO, 1.40%, 09/04/02 10,500 ------------ 311,881 Texas -- 12.3% 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10, FRDO, MBIA, 1.45%, 09/04/02 13,280 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26, GO, FRDO, 1.75%, 11/15/02 8,000 16,685 ABN-AMRO Munitops Certificate Trust, Ser. 2000-13, Class C, FRDO, 1.60%, 09/04/02 16,685 2,900 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-D, Rev., FRDO, 1.95%, 09/03/02 2,900 4,200 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-E, Rev., FRDO, 1.95%, 09/03/02 4,200 5,595 Arlington Independent School District, FLOATS, Ser. PA-874, FRDO, 1.42%, 09/05/02 5,595 5,200 Austin Higher Education Authority, Concordia University at Austin, Rev., FRDO, 1.85%, 09/03/02 5,200 5,620 Bexar County Health Facilities Development Corp., FLOATS, Ser. PT-444, Rev., FRDO, 1.42%, 09/05/02 5,620 5,025 Bexar County Housing Finance Authority, Multi-Family Housing, Fountainhead Apartments, Rev., FRDO, 1.30%, 09/04/02 5,025
See notes to financial statements. 71 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Texas -- Continued $ 5,000 Bexar, Texas, Metropolitan Water Authority, 1.30%, 10/01/02 $ 5,000 4,990 Brazos River Authority, PCR, FLOATS, Ser. PA-829, Rev., FRDO, 1.58%, 09/05/02 4,990 10,000 Brazos River Authority, PCR, TXU Electric Co., Ser. C, Rev., FRDO, 1.45%, 09/12/02 10,000 4,200 Brazos River Habor Navigation District, Brazoria County Environmental, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 2.00%, 09/03/02 4,200 8,719 Collin County Housing Finance Corp., Multi-Family Housing, Preston Bend Apartment Project, Rev., FRDO, 1.30%, 09/04/02 8,719 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 1.43%, 09/05/02 5,000 1,255 Dallas-Fort Worth Regional Airport, Municipal Securities Trust Receipts, Ser. SGA-49, Rev., FRDO, MBIA, 1.83%, 09/03/02 1,255 8,100 Dallas-Fort Worth Regional Airport, Municipal Securities Trust Reciepts, Ser. SGA-46, Rev., FRDO, MBIA, 1.49%, 09/04/02 8,100 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, #, FRDO, 1.45%, 09/05/02 2,420 2,400 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. A-2, Rev., FRDO, 1.75%, 09/03/02 2,400 300 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. A-3, Rev., FRDO, 1.75%, 09/03/02 300 4,000 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. A-4, Rev., FRDO, 1.75%, 09/03/02 4,000 3,200 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. B-1, Rev., FRDO, 1.75%, 09/03/02 3,200 3,000 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. B-2, Rev., FRDO, 1.75%, 09/03/02 3,000 1,900 Grapevine Industrial Development Corp., IDB, American Airlines, Inc., Multiple Mode, Ser. B-3, Rev., FRDO, 1.75%, 09/03/02 1,900 4,500 Greater East Texas Higher Education Authority, Ser. A, Rev., FRDO, 1.37%, 09/03/02 4,500 9,000 Greater East Texas Higher Education Authority, Ser. A, Rev., FRDO, 1.45%, 11/01/02 9,000 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 1.42%, 09/05/02 5,000 10,000 Greater Texas Student Loan Corp., Student Loan, Ser. A, Rev., FRDO, 1.42%, 09/05/02 10,000
See notes to financial statements. 72 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Texas -- Continued $ 5,460 Guadalupe-Blanco River Authority, Texas, PCR, Central Power & Light Co. Project, Rev., FRDO, 1.80%, 09/03/02 $ 5,460 3,000 Gulf Coast IDA, Environmental Facilities, Citgo Petroleum Corp. Project, Rev., FRDO, 2.00%, 09/03/02 3,000 600 Gulf Coast Waste Disposal Authority, Environmental Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 1.90%, 09/03/02 600 4,300 Gulf Coast Waste Disposal Authority, Environmental Facilities, Exxon-Mobil Project, Ser. B, Rev., FRDO, 1.90%, 09/03/02 4,300 4,000 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Co. Project, Rev., FRDO, 1.80%, 09/03/02 4,000 6,350 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Co. Project, Ser. A, Rev., FRDO, 2.00%, 09/03/02 6,350 5,000 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 1.90%, 09/03/02 5,000 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 1.46%, 09/04/02 5,000 10,847 Harris County, 1.30%, 09/05/02 10,847 12,863 Harris County Health Facilities Development Hospital, 1.30%, 10/07/02 12,863 8,610 Harris County Toll, 1.30%, 09/13/02 8,610 7,200 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., FRDO, 1.40%, 09/05/02 7,200 29,245 Houston Higher Education Finance Corp., Floating Rate Certificates, Ser. SG-139, Rev., FRDO, 1.42%, 09/05/02 29,245 13,300 Houston Housing Finance Corp., Single Family Mortgage, Ser. B, Rev., 2.10%, 10/30/02 13,300 3,000 Houston, Texas, Rev., FRDO, 1.45%, 09/05/02 3,000 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.46%, 09/05/02 17,500 20,010 Houston, Texas, Floating Rate Certificates, COP, Ser. 523, FRDO, MBIA, 1.44%, 09/05/02 20,010 20,000 Houston, Texas, Water & Sewer, GO, 1.30%, 09/03/02 20,000 12,495 Houston, Texas, Water & Sewer Systems, FLOATS, Ser. PA-974-R, Rev., FRDO, MBIA, 2.00%, 09/05/02 12,495 28,600 Houston, Texas, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SG-120, FRDO, 1.42%, 09/05/02 28,600 11,270 Hurst-Euless-Bedford Independent School District, Floating Rate Receipts, Ser. SG-98, GO, FRDO, 1.42%, 09/05/02 11,270
See notes to financial statements. 73 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Texas -- Continued $ 5,200 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 1.80%, 09/03/02 $ 5,200 4,400 Lone Star Airport Improvement Authority, Multiple Mode, Ser. A-5, Rev., FRDO, 1.93%, 09/03/02 4,400 1,300 Lone Star Airport Improvement Authority, Multiple Mode, Ser. B-1, Rev., FRDO, 1.93%, 09/03/02 1,300 2,400 Longview Industrial Corp., Collins Industries, Inc. Project, Rev., FRDO, 1.60%, 09/05/02 2,400 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, 1.42%, 09/05/02 19,425 24,000 Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 1.80%, 09/03/02 24,000 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 1.46%, 09/04/02 5,455 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 1.46%, 09/04/02 5,290 17,050 New Caney Independent School District, Floating Rate Trust Certificates, Ser. SG-142, GO, FRDO, 1.42%, 09/05/02 17,050 20,000 North East Independent School District, Floating Rate Certificates, Ser. SG-143, GO, FRDO, 1.42%, 09/05/02 20,000 3,700 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.45%, 09/04/02 3,700 8,000 North Texas Higher Education Authority, Student Loan, Ser. B, Rev., FRDO, 1.45%, 09/04/02 8,000 7,700 North Texas Higher Education Authority, Student Loan, Ser. C, Rev., FRDO, AMBAC, 1.45%, 09/04/02 7,700 1,400 North Texas Higher Education Authority, Student Loan, Ser. F, Rev., FRDO, AMBAC, 1.45%, 09/04/02 1,400 13,700 Panhandle-Plains Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.40%, 09/04/02 13,700 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 1.46%, 09/04/02 11,735 9,000 Port Corpus Christi Authority, Nueces County Marine Terminal, Reynolds Metals Co. Project, Rev., FRDO, 1.30%, 09/04/02 9,000 10,475 Round Rock, Texas, FRDO, 1.45%, 09/05/02 10,475 9,780 San Angelo Independent School District, GO, FRDO, 1.37%, 09/05/02 9,780 6,300 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, FRDO, ^, 1.42%, 09/05/02 6,300
See notes to financial statements. 74 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Texas -- Continued $ 19,920 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, 1.46%, 09/04/02 $ 19,920 28,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., FRDO, FSA, 1.42%, 09/05/02 28,935 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 1.46%, 09/04/02 10,430 5,000 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 1.46%, 09/04/02 5,000 9,000 Schertz/Seguin Local Government Corp., Texas Contract, Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 1.93%, 09/03/02 9,000 12,200 South Texas Higher Education Authority, Rev., FRDO, MBIA, 1.40%, 09/04/02 12,200 15,000 South Texas Higher Education Authority, Rev., FRDO, MBIA, 1.40%, 09/04/02 15,000 3,130 Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., FRDO, 1.40%, 09/04/02 3,130 4,250 Texas Department of Housing & Community Affairs, Single Family Mortgage, Ser. II-R-178, Rev., FRDO, MBIA, 1.48%, 09/05/02 4,250 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 1.45%, 09/04/02 1,100 3,000 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, Rev., FRDO, 1.42%, 09/05/02 3,000 20,000 Texas State Turnpike Authority, Ser. B, Rev., FRDO, AMBAC, 1.50%, 09/04/02 20,000 4,200 Texas State, Floating Rate Certificates, Ser. 290, GO, FRDO, ^, 1.44%, 09/05/02 4,200 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 1.93%, 09/03/02 9,970 40,000 Texas State, Floating Rate Trust Receipts, Ser. L-23, Regulation D, GO, FRDO, 1.50%, 09/04/02 40,000 30,000 Texas State, Floating Rate Trust Receipts, Ser. NJ1, Regulation D, GO, FRDO, 1.40%, 12/11/02 30,000 190,000 Texas State, Rev., TRAN, 2.75%, 08/29/03 192,503 4,200 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 1.55%, 09/04/02 4,200 29,426 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 1.30%, 09/04/02 29,426 20,000 Texas State, Veterans Housing Assistance Fund II, Ser. A-2, GO, FRDO, 1.40%, 09/04/02 20,000 5,000 Texas State, Veterans Housing Assistance Fund II, Ser. A-2, GO, FRDO, 1.50%, 09/04/02 5,000
See notes to financial statements. 75 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Texas -- Continued $ 22,895 Texas Water Development Board, FLOATS, Ser. PA-912, Rev., FRDO, 1.42%, 09/05/02 $ 22,895 10,000 Tyler, Texas, Waterworks & Sewer, Municipal Securities Trust Receipts, Ser. SGA-112, Rev., FRDO, FGIC, 1.80%, 09/03/02 10,000 14,002 University of Texas, 1.25%, 09/10/02 14,002 7,000 West Side Calhoun County Naval District, Environmental Facilities, BP Chemicals, Inc. Project, Rev., FRDO, 2.00%, 09/03/02 7,000 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 2.00%, 09/03/02 3,600 ------------ 1,099,210 Utah -- 2.7% 7,665 Intermountain Power Agency, Power Supply, Municipal Trust Receipts, Ser. SG-6, 1.42%, 09/05/02 7,665 20,000 Intermountain Power Agency, Power Supply, Ser. E, Rev., FRDO, AMBAC, 1.50%, 12/02/02 20,000 15,125 Intermountain Power Agency, Power Supply, Ser. F, Rev., FRDO, AMBAC, 1.50%, 12/02/02 15,125 10,800 Intermountain Power Authority, 1.25%, 09/09/02 10,800 15,000 Intermountain Power Authority, 1.25%, 10/02/02 15,000 65,000 Intermountain Power Authority, 1.30%, 09/03/02 65,000 25,700 Intermountain Power Authority, 1.30%, 09/03/02 25,700 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 1.35%, 09/05/02 4,000 5,880 Salt Lake City, Utah, Salt Lake City Airport, Floating Rate Trust Receipts, Ser. 2002-L, Class 20, Rev., FRDO, FGIC, 1.50%, 09/04/02 5,880 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 1.60%, 09/04/02 28,560 7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1, Class 1, Rev., FRDO, 1.50%, 09/04/02 7,000 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.50%, 09/04/02 5,000 7,370 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 1.50%, 09/04/02 7,370 4,885 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 1.50%, 09/04/02 4,885 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.50%, 09/04/02 5,000 11,200 Utah State Board of Regents, Student Loans, Ser. Q, Rev., FRDO, AMBAC, 1.40%, 09/04/02 11,200 ------------ 238,185
See notes to financial statements. 76 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Vermont-- 0.3% $ 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 1.40%, 09/04/02 $ 5,900 6,845 Vermont Educational & Health Buildings Financing Agency, Middlebury College Project, Ser. A, Rev., FRDO, 1.95%, 05/02/03 6,845 10,300 Vermont State, IDA, 1.40%, 10/08/02 10,300 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.45%, 09/03/02 5,000 ------------ 28,045 Virginia -- 1.1% 2,600 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Multi-Mode, First Mortgage, Goodwin House, Ser. B, Rev., FRDO, 1.75%, 09/03/02 2,600 3,600 Fairfax County, Energy Northwest Electric, FLOATS, Ser. PA-977R, GO, FRDO, 1.39%, 09/05/02 3,600 6,170 Fairfax County, FLOATS, Ser. PT-1480, GO, FRDO, 1.39%, 09/05/02 6,170 2,000 Harrisonburg Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 1.47%, 09/05/02 2,000 4,500 King George County IDA, Exempt Facilities, Birchwood Power Partners Project, Rev. FRDO, 1.90%, 09/03/02 4,500 2,900 Peninsula Ports Authority, Coal Terminal, Dominion Terminal Project, Ser. C, Rev., FRDO, 1.88%, 09/03/02 2,900 3,525 Petersburg Hospital Authority, Southside Regional Hospital Facilities, Rev., FRDO, 1.75%, 09/03/02 3,525 38,750 Roanoke IDA, Carilion Health Systems, Ser. C, Rev., FRDO, 1.75%, 09/05/02 38,750 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 1.42%, 09/05/02 23,590 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 1.39%, 09/05/02 8,885 ------------ 96,520 Washington -- 2.1% 950 King County Housing Authority, Auburn Court Apartments Project, Rev., FRDO, 1.60%, 09/05/02 950 5,000 King County School District No. 414, Lake Washington, GO, 3.00%, 12/02/02 5,013 13,650 King County, FLOATS, Ser. PA-904, GO, FRDO, 1.42%, 09/05/02 13,650 15,830 King County, FLOATS, Ser. PT-385, GO, FRDO, 1.44%, 09/05/02 15,830
See notes to financial statements. 77 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Washington -- Continued $ 12,098 Municipality of Metropolitan Seattle, Sewer, Floating Rate Certificates, Ser. 236, Rev., FRDO, FGIC, 1.44%, 09/19/02 $ 12,098 6,915 Municipality of Metropolitan Seattle, Sewer, FLOATS, Ser. PA-731-R, Rev., FRDO, AMBAC, 1.42%, 09/05/02 6,915 6,000 Port Bellingham Industrial Development Corp., Environmental Facilities, Alantic Richfield Project, Rev., FRDO, 2.00%, 09/03/02 6,000 375 Redmond Public Corp., IDB, Integrated Circuits Project, Rev., FRDO, 1.35%, 09/05/02 375 1,180 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 1.40%, 09/05/02 1,180 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 1.42%, 09/05/02 19,885 9,700 Seattle, Washington, Water Systems, Rev., FRDO, 1.18%, 09/04/02 9,700 2,500 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 1.30%, 09/04/02 2,500 8,500 Snohomish County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 1.80%, 09/03/02 8,500 5,103 Tacoma, Washington, Electric Systems, Floating Rate Certificates, Ser. 507, Rev., FRDO, FGIC, 1.44%, 09/05/02 5,103 7,760 Washington Health Care Facilities Authority, Virginia Mason Medical Center, Ser. B, Rev., FRDO, MBIA, 1.93%, 09/03/02 7,760 12,885 Washington State Floating Rate Trust Receipts, Ser. L-15, Regulation D, GO, FRDO, 1.55%, 09/04/02 12,885 350 Washington State Housing Finance Commission, Non-Profit Housing, Golden Sands Project, Rev., FRDO, 1.60%, 09/03/02 350 2,900 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 1.30%, 09/05/02 2,900 15,590 Washington State Public Power Supply System, Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA, 1.30%, 09/04/02 15,590 13,430 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3-A, Rev., FRDO, MBIA, 1.35%, 09/04/02 13,430 13,710 Washington State, Rev., FRDO, 1.45%, 09/05/02 13,710 17,000 Washington State, Ser. VR-96A, GO, FRDO, 1.24%, 09/04/02 17,000 ------------ 191,324
See notes to financial statements. 78 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- West Virginia-- 0.2% $ 4,280 West Virginia Economic Development Authority, IDR, Gemark Services West VA/M & M, Rev., FRDO, 1.50%, 09/05/02 $ 4,280 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, Rev., FRDO, 1.44%, 09/05/02 5,765 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Alantic, Ser. C, Rev., FRDO, AMBAC, 1.40%, 09/04/02 4,000 ------------ 14,045 Wisconsin -- 1.3% 2,375 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 1.48%, 09/05/02 2,375 2,750 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 1.60%, 09/04/02 2,750 4,000 Wisconsin Housing & Economic Development Authority, Ser. D, Rev., FRDO, MBIA, 1.43%, 09/04/02 4,000 3,570 Wisconsin Housing & Economic Development Authority, Ser. E, Rev., FRDO, MBIA, 1.43%, 09/04/02 3,570 5,500 Wisconsin Housing & Economic Development Authority, Ser. F, Rev., FRDO, MBIA, 1.59%, 09/04/02 5,500 4,380 Wisconsin Housing & Economic Development Authority, Ser. G, Rev., FRDO, MBIA, 1.43%, 09/04/02 4,380 13,000 Wisconsin Housing & Economic Development Authority, Ser. H, Rev., FRDO, MBIA, 1.59%, 09/04/02 13,000 27,700 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., FRDO, 1.52%, 09/05/02 27,700 7,220 Wisconsin Public Power, Inc., Power Supply System, Municipal Securities Trust Receipts, Ser. SGA-2, Rev., FRDO, AMBAC, 1.46%, 09/04/02 7,220 7,200 Wisconsin State Health & Education Facilities Authority, 1.30%, 10/01/02 7,200 7,500 Wisconsin State Health & Educational Facilities Authority, Felican Health Care, Inc., Rev., FRDO, 1.33%, 09/04/02 7,500 8,600 Wisconsin State Health & Educational Facilities Authority, Felician Services, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/04/02 8,600 5,830 Wisconsin State, Clean Water, FLOATS, Ser. PA-718, Rev., FRDO, ^, 1.42%, 09/05/02 5,830 6,240 Wisconsin State, Clean Water, FLOATS, Ser. PA-915, Rev., FRDO, 1.42%, 09/05/02 6,240 9,510 Wisconsin State, Ser. II-R-135, GO, FRDO, ^, 1.45%, 09/05/02 9,510 ------------ 115,375
See notes to financial statements. 79 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - -------------------------------------------------------------------------------------------------------------------------- Wyoming-- 1.8% $ 400 Kemmer, Wyoming, PCR, Exxon Project, Rev., FRDO, 1.72%, 09/03/02 $ 400 4,600 Lincoln County PCR, Exxon Project, Ser. A, Rev., FRDO, 1.90%, 09/03/02 4,600 2,800 Lincoln County, PCR, Exxon Project, Rev., FRDO, 1.90%, 09/03/02 2,800 2,900 Lincoln County, PCR, Exxon Project, Ser. B, Rev., FRDO, 1.72%, 09/03/02 2,900 2,300 Lincoln County, PCR, Exxon Project, Ser. B, Rev., FRDO, 1.90%, 09/03/02 2,300 19,300 Lincoln County, PCR, Exxon Project, Ser. D, Rev., FRDO, 1.72%, 09/03/02 19,300 10,000 Sublette County, PCR, Exxon Project, Rev., FRDO, 1.90%, 09/03/02 10,000 22,550 Uinta County, PCR, AMOCO Project, Rev., FRDO, 1.80%, 09/03/02 22,550 900 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.85%, 09/03/02 900 1,300 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.85%, 09/03/02 1,300 13,815 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., FRDO, 1.48%, 09/05/02 13,815 7,900 Wyoming Community Development Authority, Housing, Ser. 7, Rev., FRDO, 1.38%, 09/05/02 7,900 7,395 Wyoming Community Development Authority, Housing, Ser. II-R-141, Rev., FRDO, 1.48%, 09/05/02 7,395 31,530 Wyoming Community Development Authority, Single Family Housing, FLOATS, Ser. PT-562, Rev., FRDO, FGIC, 1.52%, 09/05/02 31,530 7,245 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.33%, 09/05/02 7,245 22,000 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.36%, 09/05/02 22,000 ------------ 156,935 -------------------------------------------------------------------------------------- Total State and Municipal Obligations 8,928,789 (Cost $8,928,789) -------------------------------------------------------------------------------------- TIME DEPOSIT-- 0.0% Germany-- 0.0% 2,800 Deutsche Bank AG (Germany), 1.75%, 09/03/02 (Cost $2,800) 2,800 - ------------------------------------------------------------------------------------------------------------------------------ Total Investments-- 100.0% $8,931,589 (Cost $8,931,589) * - ------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 80 JPMORGAN LIQUID ASSETS MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - ----------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 2.5% $ 3,000 Federal Farm Credit Bank, FRN, 1.77%, 05/08/03 $ 3,000 Federal Home Loan Bank, 20,000 2.01%, 09/05/03 19,999 2,000 DN, 1.93%, 11/13/02 1,992 5,000 Federal National Mortgage Association, DN, 1.75%, 12/31/02 4,971 -------------------------------------------------------------------- Total U.S. Government Agency Securities 29,962 (Cost $29,962) -------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 9.0% Banking -- 0.9% 5,000 Bankers Trust Corp., MTN, FRN, 1.84%, 05/11/03 5,005 3,000 Nordea Bank Finland PLC, 2.92%, 04/04/03 3,000 3,000 Wells Fargo Bank N.A., MTN, FRN, 1.93%, 03/31/03 3,002 -------------- 11,007 Diversified -- 0.7% General Electric Capital Corp., 6,000 FRN, 1.81%, 09/09/03 6,000 3,000 MTN, 5.38%, 01/15/03 3,029 -------------- 9,029 Financial Services -- 6.8% CIT Group, Inc., 16,150 FRN, 2.21%, 10/01/02 16,155 5,000 MTN, FRN, 1.88%, 08/14/03 4,977 2,000 MTN, FRN, 2.15%, 02/28/03 1,994 Donaldson Lufkin & Jenrette Securities Corp., 4,000 MTN, FRN, 2.15%, 02/14/03 4,007 4,200 MTN, FRN, 2.38%, 07/18/03 4,219 39,000 Goldman Sachs Group, Inc., FRN, 1.86%, 10/03/02 39,001 5,000 Heller Financial, Inc., 7.88%, 05/15/03 5,172 350 Morgan Stanley Dean Witter & Co., 7.13%, 01/15/03 356 Salomon Smith Barney Holdings, Inc., 3,580 6.25%, 05/15/03 3,664 3,000 MTN, FRN, 1.95%, 05/07/03 3,004 -------------- 82,549 Oil & Gas -- 0.4% 4,400 Conoco, Inc., 1.90%, 09/17/02 4,396 Retailing -- 0.2% 2,960 Safeway, Inc., 7.00%, 09/15/02 2,965 -------------------------------------------------------------------- Total Corporate Notes & Bonds 109,946 (Cost $109,946) --------------------------------------------------------------------
See notes to financial statements. 81 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- COMMERCIAL PAPER -- 64.2% Asset Backed Securities -- 33.8% $ 3,000 Amstel Funding Corp., 1.82%, 09/24/02 $ 2,997 29,088 Amsterdam Funding Corp., 1.74%, 09/03/02 29,084 Atlantis One Funding Corp., 5,000 1.91%, 11/18/02 4,979 15,000 1.99%, 10/15/02 14,964 12,000 2.00%, 12/09/02 11,934 Bavaria Universal Funding Co., 3,000 1.76%, 10/09/02 3,000 4,000 1.77%, 09/03/02 4,000 35,000 FRN, #, 1.77%, 01/24/03 34,999 Beta Finance Corp., Inc. (Channel Islands), 8,000 1.77%, 10/25/02 7,979 10,000 1.88%, 11/27/02 9,955 18,000 1.99%, 11/27/02 17,912 15,000 Brahms Funding Corp., 1.81%, 09/20/02 14,986 15,000 Caisse Nationale Des Caisses D'Epar (France), 1.99%, 12/03/02 14,923 10,000 Concord Minutemen Capital Co., 1.74%, 09/04/02 9,999 Crown Point Capital Co., LLC, 15,208 1.78%, 09/11/02 15,200 18,000 1.80%, 09/10/02 17,991 18,500 Dakota Certificate Program (Citibank Credit Card Master Trust I), 1.76%, 10/21/02 18,454 14,070 Fairway Finance Corp., 1.76%, 09/03/02 14,069 15,000 Galaxy Funding, Inc., 1.80%, 10/04/02 14,975 15,000 Gemini Funding Corp., 1.73%, 09/03/02 14,999 Giro Multi-Funding Corp., 15,000 1.74%, 11/22/02 14,941 5,000 1.77%, 10/29/02 4,986 10,000 1.79%, 10/10/02 9,981 3,000 Greyhawk Funding LLC, 1.87%, 11/13/02 2,989 15,000 Lexington Parker Capital, 1.77%, 10/10/02 14,971 4,083 Liberty Street Funding Corp., 1.79%, 09/13/02 4,081 15,000 Links Finance LLC, 1.74%, 11/22/02 14,941 20,000 Pennine Funding LLC, 1.74%, 11/26/02 19,916 15,000 Special Purpose Accounts Receivable Cooperative Corp., 1.73%, 09/25/02 14,983 Stellar Funding Group, Inc., 1,144 1.76%, 09/23/02 1,143 2,004 2.00%, 11/22/02 1,995 2,000 2.00%, 12/02/02 1,990 1,963 2.02%, 11/26/02 1,954 5,214 2.06%, 10/28/02 5,197 20,000 Variable Funding Capital Corp., 1.73%, 09/10/02 19,990 --------------- 411,457
See notes to financial statements. 82 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Automotive -- 1.3% DaimlerChrysler N.A. Holdings Corp., $ 600 1.98%, 09/03/02 $ 600 300 2.00%, 09/05/02 300 5,000 2.01%, 09/25/02 4,993 Ford Motor Credit Co., 3,000 2.00%, 09/11/02 2,998 1,000 2.04%, 10/07/02 998 440 2.05%, 09/19/02 440 600 2.05%, 09/30/02 599 General Motors Acceptance Corp., 4,000 1.98%, 09/04/02 3,999 1,200 2.01%, 09/23/02 1,199 -------------- 16,126 Banking -- 17.6% 8,000 Alliance & Leicester PLC (United Kingdom), 1.76%, 10/11/02 7,984 20,000 Banco Santander Central Hispano SA (Spain), 1.79%, 11/22/02 19,918 12,000 Bank of Ireland (Ireland), 1.87%, 11/12/02 11,955 40,000 Barclays Bank PLC (United Kingdom), 2.00%, 04/30/03 40,002 Bradford & Bingley PLC (United Kingdom), 20,000 1.75%, 10/22/02 19,950 10,000 1.75%, 11/05/02 9,968 5,000 1.77%, 09/25/02 4,994 2,550 Danske Bank AS (Denmark), 2.00%, 10/21/02 2,543 10,000 Dresdner Bank AG (Germany), 1.83%, 11/20/02 9,959 7,000 ING Bank NV (The Netherlands), 1.98%, 10/30/02 6,977 Landesbank Schleswig Holstein (Germany), 30,000 1.81%, 12/20/02 29,835 10,000 1.90%, 11/12/02 9,962 Nordea North America (Sweden), 5,810 1.76%, 09/05/02 5,809 15,000 1.79%, 11/26/02 14,936 2,037 Northern Rock PLC (United Kingdom), 1.76%, 09/09/02 2,036 13,000 Svenska Handelsbanken, Inc. (Sweden), 1.84%, 11/29/02 12,941 5,000 Swedbank, Inc., 1.88%, 11/07/02 4,982 -------------- 214,751 Diversified -- 4.1% 50,000 General Electric Capital Corp., 1.89%, 09/03/02 49,995 Financial Services -- 5.3% 15,000 CIT Group, Inc., 1.78%, 11/26/02 14,936 4,000 Elsevier Finance SA (France), 1.95%, 09/05/02 3,999 19,615 Hatteras Funding Corp., 1.77%, 10/09/02 19,578
See notes to financial statements. 83 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Financial Services -- Continued $ 23,000 Swedish National Housing Finance (Sweden), 1.87%, 09/06/02 $ 22,995 3,000 Washington Mutual Finance, Inc., 1.95%, 10/02/02 2,995 -------------- 64,503 Food/Beverage Products -- 0.5% General Mills, Inc., 500 1.92%, 09/04/02 500 700 1.92%, 09/06/02 700 3,530 1.95%, 09/13/02 3,528 590 1.95%, 09/20/02 589 500 2.00%, 09/03/02 500 250 2.04%, 09/17/02 250 -------------- 6,067 Insurance -- 0.4% 4,750 Safeco Corp., 1.94%, 09/05/02 4,749 Oil & Gas -- 0.6% Conoco, Inc., 625 1.92%, 09/26/02 624 787 2.00%, 09/04/02 787 Phillips Petroleum Co., 5,000 1.93%, 09/06/02 4,999 450 1.95%, 09/17/02 450 400 1.96%, 09/24/02 399 -------------- 7,259 Printing & Publishing -- 0.1% Reed Elsevier Group PLC (United Kingdom), 1,200 1.95%, 09/18/02 1,199 600 2.10%, 09/06/02 600 -------------- 1,799 Retailing -- 0.5% Sears Roebuck Acceptance Corp., 850 2.01%, 09/11/02 850 3,800 2.03%, 09/20/02 3,796 1,150 2.03%, 09/25/02 1,148 250 2.06%, 09/24/02 250 -------------- 6,044 ------------------------------------------------------------------- Total Commercial Paper 782,750 (Cost $782,750) ------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 19.9% 10,000 Alliance & Leicester PLC (United Kingdom) (Yankee), 1.93%, 11/12/02 10,000 2,000 Bank of America N.A., 2.50%, 05/02/03 2,000 5,000 Bank of Nova Scotia (Canada) (Yankee), 2.03%, 11/21/02 5,000
See notes to financial statements. 84 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT-- CONTINUED $ 7,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), Floating Rate, 1.72%, 04/28/03 $ 6,998 2,000 BNP Paribas (France) (Yankee), 2.69%, 04/15/03 1,999 3,000 Canadian Imperial Bank of Commerce (Canada) (Yankee), 2.89%, 04/03/03 3,000 Credit Agricole Indosuez SA (France) (Yankee), 30,000 1.74%, 09/16/02 30,000 2,500 2.55%, 05/30/03 2,500 5,500 2.72%, 04/15/03 5,499 Credit Industrial Et Commercial (France) (Yankee), 9,000 1.74%, 09/16/02 9,000 10,000 1.76%, 10/28/02 10,000 15,000 Credit Suisse First Boston (Switzerland) (Yankee), Floating Rate, 1.73%, 06/05/03 14,995 3,500 Dresdner Bank AG (Germany) (Yankee), 2.60%, 01/06/03 3,500 25,000 HBOSTreasury Services PLC (United Kingdom) (Yankee), 1.81%, 11/22/02 25,001 IntesaBci SpA (Italy), 7,000 2.04%, 11/21/02 7,000 17,000 2.08%, 11/18/02 17,003 3,500 Landesbank Baden-Wuerttenberg (Germany) (Yankee), Floating Rate, 1.70%, 04/11/03 3,499 10,000 Natexis Banques Populaires (France) (Yankee), 2.57%, 05/07/03 10,000 1,900 Nordea Bank AB (Sweden) (Yankee), 2.26%, 01/13/03 1,897 7,000 San Paolo IMI SPA (Italy), 1.63%, 01/31/03 7,000 Societe Generale (France) (Yankee), 15,000 1.81%, 12/20/02 15,000 7,000 Floating Rate, 1.72%, 04/28/03 6,998 15,000 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 2.61%, 05/07/03 15,001 5,500 UBS AG (Switzerland) (Yankee), 2.70%, 04/15/03 5,499 4,500 UniCredito Italiano SpA (Italy) (Yankee), 2.09%, 11/07/02 4,501 20,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), Floating Rate, 1.73%, 06/24/03 19,993 ------------------------------------------------------------------- Total Certificates of Deposit 242,883 (Cost $242,883) ------------------------------------------------------------------- REPURCHASE AGREEMENT -- 4.4% 53,204 Greenwich Capital Markets, Inc., 1.89%, dated 8/30/02, due 9/03/02, repurchase price $53,215, collateralized by U.S. Government Agency Securities 53,204 (Cost $53,204) - ----------------------------------------------------------------------------------- Total Investments -- 100.0% $1,218,745 (Cost $1,218,745) * - -----------------------------------------------------------------------------------
See notes to financial statements. 85 JPMORGAN PRIME MONEY MARKET FUND PORTFOLIO OF INVESTMENTS AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - ----------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITY -- 1.2% $ 610,000 Federal National Mortgage Association, MTN, FRN, 1.69%, 12/05/02 $ 609,952 (Cost $609,952) STATE AND MUNICIPAL OBLIGATION -- 0.0% 5,460 Wake Forest University, Ser. 1997, Rev., FRDO, 1.81%, 09/03/02 5,460 (Cost $5,460) CORPORATE NOTES & BONDS-- 11.5% Asset Backed Securities -- 2.0% Ciesco LP, 100,000 FRN, 1.73%, 02/12/03 100,000 200,000 FRN, 1.73%, 01/13/03 200,000 60,000 Money Market Trust -- LLY, FRN, #, 1.86%, 06/03/03 60,000 Restructured Asset Securities with Enhanced Returns (RACERS), 232,200 1999 Ser. MM-35, FRN, #, 1.83%, 12/16/02 232,200 130,000 2000 Ser. ZCM-7, FRN, #, 1.88%, 05/30/03 130,000 276,000 2001 Ser. MM-8, FRN, #, 1.87%, 04/01/03 276,000 --------------- 998,200 Banking -- 3.0% 99,800 Bank of New York Co., Inc., Ser. D, MTN, FRN, 1.70%, 11/08/02 99,799 Wells Fargo Bank, N.A., 600,000 FRN, 1.73%, 02/14/03 600,000 769,980 MTN, FRN, 1.78%, 09/14/05 769,980 --------------- 1,469,779 Diversified -- 1.9% General Electric Capital Corp., 468,000 FRN, 1.81%, 09/09/03 468,000 450,000 Ser. A, MTN, FRN, 1.74%, 09/19/02 449,999 --------------- 917,999 Financial Services -- 3.0% Associates Corp. of North America, 110,000 FRN, 1.96%, 06/15/04 110,000 75,000 MTN, FRN, #, 1.94%, 06/26/03 75,000 CIT Group, Inc., 41,450 MTN, FRN, 1.88%, 08/14/03 41,259 25,000 MTN, FRN, 1.93%, 08/14/03 24,893 60,000 MTN, FRN, 2.31%, 04/07/03 59,948 244,000 Goldman Sachs Group LP, FRN, #, 2.11%, 09/12/03 244,000 Morgan Stanley Dean Witter & Co., 200,000 1.82%, 01/17/03 200,000 260,000 MTN, FRN, 1.88%, 11/15/02 260,000 100,000 National Rural Utilities Cooperative Finance Corp., Ser. C, MTN, FRN, 2.02%, 12/02/02 100,049
See notes to financial statements. 86 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Financial Services -- Continued Salomon Smith Barney Holdings, Inc., $ 245,000 FRN, 1.75%, 05/05/03 $ 245,000 91,500 MTN, FRN, 1.95%, 05/07/03 91,632 --------------- 1,451,781 Insurance -- 0.2% 100,000 Jackson National Life Insurance Co., FRN, #, 1.86%, 11/22/02 100,000 Telecommunications -- 1.4% 250,000 BellSouth Telecommunications, Inc., FRN, 1.91%, 04/04/03 250,000 438,000 SBC Communications, Inc., FRN, #, 1.86%, 03/14/03 438,000 --------------- 688,000 ------------------------------------------------------------------- Total Corporate Notes & Bonds 5,625,759 (Cost $5,625,759) ------------------------------------------------------------------- Funding Agreements/GIC -- 2.3% 80,000 Jackson National Life Insurance Co., FRN, 2.14%, 09/01/03 80,000 275,000 Security Life of Denver Insurance Co., FRN, #, 1.93%, 02/27/03 275,000 330,000 Transamerica Life Insurance & Annuity Co., FRN, #, 1.98%, 09/10/02 330,000 330,000 Transamerica Occidental Life Insurance Co., FRN, #, 1.98%, 09/10/02 330,000 50,000 Travelers Insurance Co., FRN, #, 1.92%, 04/24/03 50,000 50,000 United of Omaha Life Insurance Co., FRN, #, 1.92%, 05/19/03 50,000 ------------------------------------------------------------------- Total Funding Agreements/GIC 1,115,000 (Cost $1,115,000) ------------------------------------------------------------------- COMMERCIAL PAPER -- 39.9% Asset Backed Securities -- 24.2% Alpine Securitization Corp., 216,500 1.73%, 09/20/02 216,302 45,289 1.87%, 09/03/02 45,284 Aquinas Funding LLC, 45,000 1.76%, 10/25/02 44,881 200,000 1.80%, 10/11/02 199,600 Aspen Funding Corp., 75,000 1.73%, 09/13/02 74,957 100,000 1.88%, 09/03/02 99,990 Asset Securitization Cooperative Corp., 150,000 1.73%, 09/25/02 149,827 300,000 1.77%, 02/21/03 300,000
See notes to financial statements. 87 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Asset Backed Securities -- Continued Atlantis One Funding Corp., $ 50,000 1.80%, 12/02/02 $ 49,770 116,200 1.80%, 12/12/02 115,606 40,000 1.91%, 11/18/02 39,834 85,000 1.99%, 11/07/02 84,685 25,117 Barton Capital Corp., 1.79%, 10/10/02 25,068 Bavaria Universal Funding Co., 38,893 1.74%, 11/15/02 38,752 67,000 1.76%, 10/09/02 67,000 30,279 1.78%, 02/24/03 30,016 20,000 2.00%, 11/07/02 19,926 Beta Finance Corp., Inc. (Channel Islands), 19,500 1.74%, 11/18/02 19,426 75,000 1.74%, 11/19/02 74,714 43,000 1.74%, 11/20/02 42,834 51,000 1.74%, 11/21/02 50,800 25,000 1.75%, 10/28/02 24,931 49,000 1.75%, 11/04/02 48,848 30,416 1.77%, 01/13/03 30,216 40,000 1.78%, 11/01/02 39,879 5,000 1.78%, 11/12/02 4,982 111,647 Bills Securitization (Germany), 1.76%, 10/28/02 111,336 260,000 Blue Heron Funding LTD, Ser. 2-A, Class A, FRN, #, 1.84%, 03/21/03 260,000 Brahms Funding Corp., 57,278 1.76%, 10/09/02 57,172 30,000 1.78%, 10/21/02 29,926 CC USA, Inc. (Centauri Corp.), 50,000 1.74%, 11/25/02 49,795 67,000 1.79%, 10/10/02 66,870 24,500 1.81%, 01/24/03 24,327 53,430 Clipper Receivables Corp., 1.88%, 09/03/02 53,424 Compass Securitization LLC, 95,702 1.75%, 09/04/02 95,688 42,682 1.75%, 10/30/02 42,560 32,510 1.75%, 11/25/02 32,376 40,925 1.77%, 10/28/02 40,810 19,566 Corporate Asset Funding, 1.74%, 09/26/02 19,542 100,000 Corporate Receivables Corp., 1.75%, 10/22/02 99,752 Dakota Certificate Program (Citibank Credit Card Master Trust I), 100,000 1.76%, 09/24/02 99,888 60,000 1.78%, 09/12/02 59,967 75,000 1.79%, 09/09/02 74,970 30,000 1.80%, 09/04/02 29,996 Dorada Finance, Inc., 34,500 1.75%, 11/01/02 34,398 29,000 1.77%, 10/29/02 28,917 92,000 1.96%, 11/12/02 91,639
See notes to financial statements. 88 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Asset Backed Securities -- Continued Edison Asset Securitization LLC, $ 200,000 1.70%, 11/06/02 $ 199,377 150,000 1.70%, 11/12/02 149,490 100,000 1.75%, 11/14/02 99,640 465,566 1.78%, 12/09/02 463,286 222,050 1.78%, 12/17/02 220,875 82,000 1.79%, 09/23/02 81,910 100,000 1.79%, 11/18/02 99,612 125,000 1.80%, 09/20/02 124,881 140,000 1.81%, 12/10/02 139,296 80,998 1.83%, 11/26/02 80,644 77,888 1.87%, 11/13/02 77,593 180,000 1.95%, 11/07/02 179,347 Eureka Securitization, Inc., 100,000 1.78%, 09/04/02 99,985 45,786 1.80%, 09/05/02 45,777 Fairway Finance Corp., 22,949 1.73%, 09/20/02 22,928 91,168 1.77%, 09/03/02 91,159 25,117 1.77%, 11/01/02 25,042 54,796 1.79%, 09/06/02 54,782 29,128 1.79%, 09/13/02 29,111 Falcon Asset Securitization Corp., 120,000 1.73%, 09/16/02 119,914 17,503 1.73%, 09/18/02 17,489 50,077 1.75%, 09/19/02 50,033 50,000 FCAR Owner Trust, Ser. 1, 1.72%, 10/10/02 49,907 Galaxy Funding Inc., 30,000 1.70%, 10/25/02 29,924 85,000 1.74%, 09/24/02 84,906 22,000 1.77%, 09/09/02 21,991 100,000 1.77%, 11/22/02 99,597 266,300 1.79%, 09/26/02 265,969 250,000 1.79%, 10/10/02 249,516 100,000 1.79%, 10/17/02 99,771 100,000 1.79%, 10/21/02 99,751 15,000 1.80%, 10/04/02 14,975 Giro Multi-Funding Corp., 25,000 1.74%, 11/22/02 24,901 170,141 1.75%, 01/27/03 168,917 6,153 1.78%, 09/09/02 6,151 25,791 1.79%, 09/12/02 25,777 46,300 Govco, Inc., 1.78%, 09/10/02 46,279 Greenwich Funding Corp., 150,000 1.73%, 09/20/02 149,863 166,993 1.78%, 09/12/02 166,902
See notes to financial statements. 89 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Asset Backed Securities -- Continued Greyhawk Funding LLC, $ 65,000 1.75%, 10/16/02 $ 64,858 100,000 1.77%, 10/25/02 99,735 70,000 1.79%, 10/09/02 69,868 96,200 1.87%, 11/13/02 95,835 225,000 1.89%, 11/12/02 224,150 50,000 1.89%, 11/18/02 49,795 71,700 Hatteras Funding Corp., 1.88%, 11/14/02 71,423 157,587 Jupiter Securitization Corp., 1.73%, 09/10/02 157,519 K2 (USA) LLC, 100,000 1.74%, 11/15/02 99,638 21,000 1.77%, 01/07/03 20,868 34,000 1.77%, 01/08/03 33,784 15,146 1.78%, 11/20/02 15,086 81,000 2.25%, 09/30/02 80,853 31,729 Kitty Hawk Funding Corp., 1.75%, 09/20/02 31,700 Liberty Street Funding Corp., 12,000 1.74%, 09/17/02 11,991 29,000 1.76%, 09/09/02 28,989 Links Finance LLC, 20,271 1.74%, 10/31/02 20,212 35,000 1.74%, 11/22/02 34,861 23,500 1.77%, 09/25/02 23,472 13,216 1.77%, 09/27/02 13,199 35,000 2.00%, 11/12/02 34,860 Mont Blanc Capital Corp., 49,000 1.72%, 10/08/02 48,913 50,000 1.74%, 11/21/02 49,804 73,000 1.75%, 09/19/02 72,936 60,000 1.75%, 09/20/02 59,945 20,094 1.78%, 10/18/02 20,047 39,519 1.78%, 10/21/02 39,421 Montauk Funding Corp., 138,000 1.75%, 09/19/02 137,879 75,000 1.79%, 10/10/02 74,855 81,128 New Center Asset Trust, 1.88%, 09/03/02 81,120 124,000 Newcastle Certificates Program (Discover Card Master Trust I), 1.73%, 09/12/02 123,934 Newport Funding Corp. 100,000 1.76%, 09/27/02 99,873 50,000 1.88%, 09/03/02 49,995 Pennine Funding LLC, 74,000 1.72%, 11/06/02 73,767 49,000 1.72%, 11/08/02 48,841 146,894 1.74%, 11/22/02 146,312 65,000 1.79%, 10/11/02 64,871 Sigma Finance Corp. (Channel Islands), 64,000 FRN, 1.74%, 11/06/02 64,000 40,000 FRN, 1.78%, 11/01/02 40,000
See notes to financial statements. 90 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Asset Backed Securities -- Continued Silver Tower U.S. Funding LLC, $ 120,000 1.74%, 11/22/02 $ 119,524 151,122 1.75%, 11/25/02 150,498 Special Purpose Accounts Receivable Cooperative Corp., 90,000 1.74%, 09/13/02 89,948 35,000 1.77%, 09/09/02 34,986 447,000 Ser. 2002-7, FRN, 1.89%, 01/24/03 446,999 Thames Asset Global Securitization (TAGS), 38,107 1.80%, 09/16/02 38,078 56,905 1.80%, 10/07/02 56,803 14,292 1.80%, 12/03/02 14,226 Trident Capital Finance, Inc., 200,000 1.78%, 10/08/02 199,634 90,000 1.78%, 10/10/02 89,826 114,703 Triple-A One Funding Corp., 1.73%, 09/09/02 114,659 Tulip Funding Corp., 200,000 1.77%, 09/27/02 199,744 96,100 1.78%, 09/19/02 96,014 44,485 Variable Funding Capital Corp., 1.72%, 10/04/02 44,415 150,000 Windmill Funding Corp., 1.72%, 10/16/02 149,678 --------------- 11,842,990 Automotive -- 0.1% 50,275 BMW AG (Germany), 1.87%, 09/03/02 50,270 Banking -- 10.0% ABN-AMRO North American Finance, 87,850 1.85%, 11/12/02 87,525 285,000 2.23%, 09/25/02 284,575 100,000 Alliance & Leicester PLC (United Kingdom), 2.23%, 10/02/02 99,808 Allied Irish Banks PLC (United Kingdom), 50,000 1.78%, 11/22/02 49,797 97,557 1.79%, 10/03/02 97,402 Banco Santander Central Hispano SA (Spain), 100,000 1.78%, 12/16/02 99,474 71,000 1.79%, 10/21/02 70,824 130,000 1.79%, 11/22/02 129,470 100,000 1.81%, 12/02/02 99,537 200,000 1.81%, 12/04/02 199,055 75,000 1.81%, 12/05/02 74,642 200,000 1.88%, 11/12/02 199,248 42,200 Banque ET Caisse D'Epargne De L'Etat (Luxembourg), 1.78%, 10/07/02 42,125 24,200 BCI Funding Corp., 1.76%, 01/31/03 24,020 315,000 BNP Paribas (France), 1.88%, 11/13/02 313,796 50,000 CDC, Inc., 1.91%, 11/25/02 49,775 55,000 Danske Bank AS (Denmark), 1.80%, 01/16/03 54,623 75,000 Den Norske Bank (Norway), 1.78%, 11/08/02 74,748
See notes to financial statements. 91 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Banking -- Continued Depfa Deutsche Pfandbrief Bank AG (Germany), $ 100,000 1.80%, 10/08/02 $ 99,815 71,000 1.95%, 11/08/02 70,738 75,000 2.00%, 11/13/02 74,696 Deutsche Bank AG (Germany), 125,000 1.73%, 09/16/02 124,910 225,000 1.77%, 12/12/02 223,872 300,000 Dexia Delaware LLC, 1.77%, 09/06/02 299,926 Dresdner Bank AG (Germany), 200,000 1.68%, 02/18/03 198,413 29,000 1.83%, 11/20/02 28,882 Hamburgische Landesbank (Germany), 99,000 1.77%, 09/18/02 98,917 100,000 1.78%, 10/17/02 99,773 22,500 ING Bank NV (The Netherlands), 1.73%, 11/05/02 22,430 234,200 Landesbank Schleswig Holstein (Germany), 1.90%, 11/12/02 233,310 55,000 Nordea North America (Sweden), 1.79%, 11/26/02 54,765 Societe Generale (France), 500,000 FRN, 1.73%, 03/25/03 499,883 350,000 1.85%, 11/25/02 350,000 21,622 Svenska Handelsbanken, Inc. (Sweden), 1.84%, 11/29/02 21,524 95,000 Swedbank, Inc., 1.88%, 11/07/02 94,667 119,401 UBS AG (Switzerland), 1.88%, 09/03/02 119,389 113,000 Westpac Banking Corp. (Australia), 1.75%, 01/28/03 112,179 --------------- 4,878,533 Diversified -- 2.9% General Electric Capital Corp., 400,000 1.72%, 10/10/02 399,255 140,000 1.72%, 10/11/02 139,732 69,956 1.73%, 10/08/02 69,832 150,000 1.75%, 09/27/02 149,810 200,000 1.79%, 11/12/02 199,284 65,954 1.89%, 09/03/02 65,947 400,000 1.94%, 09/05/02 399,914 --------------- 1,423,774 Financial Services -- 1.5% Allianz Finance Corp. (Germany), 29,500 1.79%, 12/06/02 29,359 100,000 1.79%, 12/18/02 99,463 76,200 1.80%, 12/16/02 75,796 CIT Group, Inc., 47,000 1.74%, 10/30/02 46,866 50,000 1.76%, 10/15/02 49,892 100,000 1.79%, 09/26/02 99,876 25,000 1.81%, 09/12/02 24,986
See notes to financial statements. 92 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Financial Services -- Continued $ 43,000 CXC, Inc., 1.78%, 10/22/02 $ 42,892 Salomon Smith Barney Holdings, Inc., 76,300 1.78%, 10/10/02 76,153 150,000 1.78%, 10/17/02 149,659 35,000 Swedish National Housing Finance (Sweden), 1.75%, 11/04/02 34,891 --------------- 729,833 Foreign Government Securities -- 0.6% Quebec Province (Canada), 192,000 1.91%, 11/04/02 191,348 98,500 1.99%, 11/12/02 98,108 --------------- 289,456 Oil & Gas -- 0.6% Shell Finance PLC (United Kingdom), 122,000 1.69%, 02/18/03 121,026 200,000 2.48%, 05/02/03 196,652 --------------- 317,678 ------------------------------------------------------------------- Total Commercial Paper 19,532,534 (Cost $19,532,534) ------------------------------------------------------------------- Certificates of Deposit -- 32.3% Abbey National Treasury Services PLC (United Kingdom) (Yankee), 50,000 1.79%, 10/18/02 50,001 350,000 MTN, Floating Rate, 1.71%, 12/06/02 349,954 ABN-AMRO Bank NV (The Netherlands), 150,000 Floating Rate, 1.70%, 12/06/02 149,979 200,000 2.55%, 12/20/02 199,970 60,000 Alliance & Leicester PLC (United Kingdom) (Yankee), 1.93%, 11/12/02 60,000 Bank of America, N.A., 280,550 2.50%, 05/02/03 280,550 192,700 2.58%, 06/03/03 192,700 Barclays Bank PLC (United Kingdom) (Yankee), 350,000 1.96%, 11/12/02 350,003 500,000 2.93%, 03/25/03 499,862 Bayerische Hypo-und Vereinsbank AG (Germany) (Yankee), 500,000 1.78%, 09/10/02 500,000 400,000 1.81%, 10/11/02 400,000 200,000 1.90%, 11/12/02 200,000 200,000 Floating Rate, 1.80%, 10/22/02 200,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), 466,000 Floating Rate, 1.72%, 04/28/03 465,848 252,000 Floating Rate, 1.73%, 06/24/03 251,918
See notes to financial statements. 93 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Certificates of Deposit -- Continued BNP Paribas (France) (Yankee), $ 350,000 1.81%, 12/09/02 $ 350,000 50,000 1.89%, 11/18/02 50,005 315,000 1.93%, 11/07/02 315,000 350,000 2.59%, 04/04/03 349,980 245,000 2.69%, 04/15/03 244,909 Canadian Imperial Bank of Commerce (Canada) (Yankee), 97,000 2.37%, 11/19/02 96,998 499,750 Floating Rate, 1.72%, 12/06/02 499,704 225,000 Citibank N.A., 1.72%, 11/21/02 225,000 Credit Agricole Indosuez SA (France) (Yankee), 125,000 1.74%, 09/16/02 125,000 350,000 2.60%, 04/04/03 349,970 Credit Suisse First Boston (Switzerland) (Yankee), 200,000 Floating Rate, 1.73%, 06/05/03 199,939 150,000 Floating Rate, 1.76%, 07/18/03 150,000 Deutsche Bank AG (Germany) (Yankee), 425,000 Floating Rate, 1.74%, 09/30/02 424,983 400,000 Floating Rate, 1.74%, 10/02/02 399,983 Dresdner Bank AG (Germany), 100,000 2.00%, 09/04/02 100,000 200,000 2.48%, 11/26/02 200,000 400,000 Halifax PLC (United Kingdom) (Yankee), 1.95%, 11/12/02 400,000 HBOSTreasury Services PLC (United Kingdom), 400,000 1.75%, 10/31/02 400,000 150,000 1.75%, 01/29/03 150,000 300,000 1.76%, 10/31/02 300,000 400,000 1.78%, 12/12/02 400,000 275,000 1.81%, 12/05/02 275,000 100,000 1.84%, 11/25/02 100,000 200,000 1.85%, 11/25/02 200,000 ING Bank (The Netherlands) (Yankee), 225,000 1.71%, 02/19/03 225,000 300,000 1.90%, 11/12/02 300,000 Landesbank Baden-Wuerttenberg (Germany), 100,000 1.77%, 02/28/03 100,000 100,000 1.77%, 02/28/03 100,000 504,500 Floating Rate, 1.70%, 04/11/03 504,346 385,000 Landesbank Hessen-Thuringen Wuerttenberg (Germany), 2.00%, 09/04/02 385,000 74,450 LaSalle National Bank, 2.50%, 05/06/03 74,445 130,000 Natexis Banque Populaires (France) (Yankee), 1.78%, 10/23/02 130,000 100,000 Nordea Bank AB (Sweden) (Yankee), 1.77%, 02/28/03 99,998
See notes to financial statements. 94 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ----------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - ----------------------------------------------------------------------------------- Certificates of Deposit -- Continued Societe Generale (France) (Yankee), $ 650,000 Floating Rate, 1.68%, 12/16/02 $ 649,909 461,000 Floating Rate, 1.72%, 04/28/03 460,849 200,000 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 1.76%, 09/30/02 200,000 Toronto Dominion Bank LTD (Canada) (Yankee), 400,000 1.70%, 02/18/03 400,000 200,000 1.95%, 11/12/02 200,000 UBS AG (Switzerland) (Yankee), 77,000 2.32%, 11/19/02 77,063 500,000 2.62%, 11/29/02 499,988 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 100,000 1.73%, 02/20/03 100,000 350,000 1.77%, 10/03/02 350,000 240,000 Floating Rate, 1.73%, 03/24/03 239,933 302,000 Floating Rate, 1.73%, 06/24/03 301,902 ------------------------------------------------------------------- Total Certificates of Deposit 15,855,689 (Cost $15,855,689) ------------------------------------------------------------------- Time Deposits -- 1.6% 250,000 Credit Agricole Indosuez SA (France) (Yankee), 1.88%, 09/03/02 250,000 480,000 Nordea North America (Sweden), 1.88%, 09/03/02 480,000 47,988 UBS Warburg LLC, 1.81%, 09/03/02 47,988 ------------------------------------------------------------------- Total Time Deposits 777,988 (Cost $777,988) ------------------------------------------------------------------- Repurchase Agreements -- 11.2% 2,000,000 Deutsche Bank Securities, Inc., 1.89%, dated 08/30/02, due 09/03/02, repurchase price, $2,000,420, collaterized by U.S. Government Agency Securities 2,000,000 493,601 Deutsche Bank Securities, Inc., 1.89%, dated 08/30/02 due 09/03/02, repurchase price, $493,705, collaterized by U.S. Government Agency Securities 493,601 1,000,000 Merrill Lynch & Co., 1.91%, dated 08/30/02, due 09/03/02, repurchase price, $1,000,212, collaterized by U.S. Government Agency Securities 1,000,000 1,000,000 UBS Warburg LLC, 1.88%, dated 08/30/02, due 09/03/02, repurchase price, $1,000,209, collaterized by U.S. Government Agency Securities 1,000,000 1,000,000 UBS Warburg LLC, 1.89%, dated 08/30/02, due 09/03/02, repurchase price, $1,000,210, collaterized by U.S. Government Agency Securities 1,000,000 ------------------------------------------------------------------- Total Repurchase Agreements 5,493,601 (Cost $5,493,601) - ----------------------------------------------------------------------------------- Total Investments-- 100.0% $49,015,983 (Cost $49,015,983) * - -----------------------------------------------------------------------------------
See notes to financial statements. 95 Abbreviations: * -- The cost of securities is substantially the same for federal income tax purposes. # -- Security may only be sold to qualified institutional buyers. ^ -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. ACES -- Auction Rate Securities. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Notes. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. FGIC -- Financial Guaranty Insurance Corp. FHLMC -- Federal Home Loan Mortgage Corp. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at August 31, 2002. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at August 31, 2002. FSA -- Financial Securities Assistance GAN -- Grant Anticipation Note. GO -- General Obligation. IBC -- Insured Bond Certificates. IDA -- Industrial Development Authority. IDB -- Industrial Development Board. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Association MTN -- Medium Term Note. PCFA -- Pollution Control Financing Authority. PCR -- Pollution Control Revenue. RAN -- Revenue Anticipation Notes. RAW -- Revenue Anticipation Warrants. Rev. -- Revenue Bond. Ser. -- Series. TAN -- Tax Anticipation Notes. TRAN -- Tax & Revenue Anticipation Notes.See notes to financial statements. See notes to financial statements. 96 JPMORGAN FUNDS STATEMENT OF ASSETS & LIABILITIES AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND =========================================================================================== ASSETS: Investment securities, at value $5,237,279 $9,363,809 Cash 1 -- Receivables: Fund shares sold 25 124 Interest 3,759 11,940 Expense reimbursements 4 -- - ------------------------------------------------------------------------------------------- Total Assets 5,241,068 9,375,873 - ------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian -- 123 Dividends 2,075 4,583 Accrued liabilities: Investment advisory fees 448 773 Administration fees 381 410 Shareholder servicing fees 1,191 1,548 Distribution fees 71 181 Trustees' fees -- deferred compensation plan 820 1,489 Other 575 434 - ------------------------------------------------------------------------------------------- Total Liabilities 5,561 9,541 - ------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,235,594 9,366,455 Accumulated undistributed (overdistributed) net investment income (98) (123) Accumulated net realized gain (loss) on investments 11 -- - ------------------------------------------------------------------------------------------- Total Net Assets $5,235,507 $9,366,332 - ------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 3,525,653 3,374,792 Premier Shares 352,679 1,047,653 Agency Shares 1,090,029 4,496,885 Institutional Shares 267,303 447,172 Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Cost of investments $5,237,279 $9,363,809 ===========================================================================================
See notes to financial statements 97 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND ============================================================================================= ASSETS: Investment securities, at value $3,997,920 $4,376,018 Cash -- 1 Receivables: Fund shares sold 9 7 Interest 10,366 10,763 - --------------------------------------------------------------------------------------------- Total Assets 4,008,295 4,386,789 - --------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 2,175 2,877 Investment securities purchased -- 49,995 Accrued liabilities: Investment advisory fees 360 374 Administration fees 234 311 Shareholder servicing fees 679 468 Distribution fees 86 39 Trustees' fees -- deferred compensation plan 561 240 Other 220 548 - --------------------------------------------------------------------------------------------- Total Liabilities 4,315 54,852 - --------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 4,004,194 4,332,146 Accumulated undistributed (overdistributed) net investment income 56 (256) Accumulated net realized gain (loss) on investments (270) 47 - --------------------------------------------------------------------------------------------- Total Net Assets $4,003,980 $4,331,937 - --------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 1,103,398 452,246 Premier Shares 817,689 1,404,817 Agency Shares 1,416,504 522,722 Institutional Shares 431,779 1,952,835 Reserve Shares 234,875 -- Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------- Cost of investments $3,997,920 $4,376,018 =============================================================================================
See notes to financial statements. 98 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND ====================================================================================== ASSETS: Investment securities, at value $161,868 $2,294,290 Cash 58 44 Receivables: Investment securities sold 700 -- Fund shares sold -- 400 Interest 702 10,648 - -------------------------------------------------------------------------------------- Total Assets 163,328 2,305,382 - -------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 79 424 Fund shares redeemed -- 42 Accrued liabilities: Investment advisory fees 14 197 Administration fees 8 197 Shareholder servicing fees 49 726 Distribution fees -- 53 Trustees' fees -- deferred compensation plan 15 327 Other 92 309 - -------------------------------------------------------------------------------------- Total Liabilities 257 2,275 - -------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 163,124 2,303,212 Accumulated undistributed (overdistributed) net investment income (49) (528) Accumulated net realized gain (loss) on investments (4) 423 - -------------------------------------------------------------------------------------- Total Net Assets $163,071 $2,303,107 - -------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 163,125 2,123,775 Reserve Shares -- 179,539 Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------- Cost of investments $161,868 $2,294,290 ======================================================================================
See notes to financial statements. 99 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND ================================================================================= ASSETS: Investment securities, at value $8,931,589 $1,218,745 Cash 39 1 Receivables: Investment securities sold 1,000 -- Interest 25,921 1,616 - --------------------------------------------------------------------------------- Total Assets 8,958,549 1,220,362 - --------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 4,632 132 Investment securities purchased -- 4,982 Accrued liabilities: Investment advisory fees 752 19 Administration fees 557 -- Shareholder servicing fees 977 17 Distribution fees 18 -- Trustees' fees -- deferred compensation plan 318 1 Other 520 185 - --------------------------------------------------------------------------------- Total Liabilities 7,774 5,336 - --------------------------------------------------------------------------------- NET ASSETS: Paid in capital 8,954,991 1,215,027 Accumulated undistributed (overdistributed) net investment income (3,558) (1) Accumulated net realized gain (loss) on investments (658) -- - --------------------------------------------------------------------------------- Total Net Assets $8,950,775 $1,215,026 - --------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 903,254 17,504 Premier Shares 3,067,687 25,736 Agency Shares 1,092,475 52,552 Institutional Shares 3,891,370 1,119,235 Net Asset Value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - --------------------------------------------------------------------------------- Cost of investments $8,931,589 $1,218,745 =================================================================================
See notes to financial statements. 100 AS OF AUGUST 31, 2002 (AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
PRIME MONEY MARKET FUND =================================================================== ASSETS: Investment securities, at value $49,015,983 Receivables: Fund shares sold 1,597 Interest 88,016 - ------------------------------------------------------------------- Total Assets 49,105,596 - ------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian 3 Dividends 28,367 Investment securities purchased 126,459 Accrued liabilities: Investment advisory fees 4,204 Administration fees 3,658 Shareholder servicing fees 4,443 Distribution fees 211 Trustees' fees -- deferred compensation plan 3,061 Other 4,831 - ------------------------------------------------------------------- Total Liabilities 175,237 - ------------------------------------------------------------------- NET ASSETS: Paid in capital 48,930,197 Accumulated undistributed (overdistributed) net investment income 31 Accumulated net realized gain (loss) on investments 131 - ------------------------------------------------------------------- Total Net Assets $48,930,359 - ------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan Shares 7,551,823 Premier Shares 5,182,199 Agency Shares 12,562,200 Class B Shares 13,312 Class C Shares 628 Institutional Shares 21,881,573 Reserve Shares 392,688 Select Shares 1,064,172 Cash Management Shares 282,289 Net Asset Value, offering and redemption price per share (all classes)* $ 1.00 - ------------------------------------------------------------------- Cost of investments $49,015,983 ===================================================================
* Redemption price for Class B and C Shares may be reduced by contingent deferred sales charge. See notes to financial statements. 101 JPMORGAN FUNDS STATEMENT OF OPERATIONS FOR THE YEAR ENDED AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND ===================================================================================== INTEREST INCOME: $119,545 $197,293 - ------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 5,679 8,805 Administration fees 5,616 8,698 Shareholder servicing fees 16,311 19,848 Distribution fees 4,068 4,864 Custodian and accounting fees 368 586 Printing and postage 15 53 Professional fees 76 98 Registration fees 609 719 Transfer agent fees 786 646 Trustees' fees 57 88 Other 35 73 - ------------------------------------------------------------------------------------- Total expenses 33,620 44,478 - ------------------------------------------------------------------------------------- Less amounts waived 5,009 7,372 Less expense reimbursements 17 -- - ------------------------------------------------------------------------------------- Net expenses 28,594 37,106 - ------------------------------------------------------------------------------------- Net investment income 90,951 160,187 - ------------------------------------------------------------------------------------- REALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions 406 71 - ------------------------------------------------------------------------------------- Net increase in net assets from operations $ 91,357 $160,258 =====================================================================================
See notes to financial statements. 102 FOR THE YEAR ENDED AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND =================================================================================== INTEREST INCOME: $89,989 $125,506 - ----------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 4,225 5,711 Administration fees 4,182 5,640 Shareholder servicing fees 9,166 9,878 Distribution fees 1,898 627 Custodian and accounting fees 360 503 Printing and postage 10 20 Professional fees 56 82 Registration fees 1,031 345 Transfer agent fees 286 431 Trustees' fees 42 57 Other 57 47 - ----------------------------------------------------------------------------------- Total expenses 21,313 23,341 - ----------------------------------------------------------------------------------- Less amounts waived 3,668 3,919 - ----------------------------------------------------------------------------------- Net expenses 17,645 19,422 - ----------------------------------------------------------------------------------- Net investment income 72,344 106,084 - ----------------------------------------------------------------------------------- REALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions 60 704 - ----------------------------------------------------------------------------------- Net increase in net assets from operations $72,404 $106,788 ===================================================================================
See notes to financial statements. 103 FOR THE YEAR ENDED AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND ================================================================================== INTEREST INCOME: $2,336 $41,218 - ---------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 146 2,349 Administration fees 144 2,325 Shareholder servicing fees 511 8,222 Distribution fees 146 2,523 Custodian and accounting fees 64 209 Printing and postage 1 7 Professional fees 35 63 Registration fees 17 219 Transfer agent fees 39 432 Trustees' fees 1 23 Other 9 37 - ---------------------------------------------------------------------------------- Total expenses 1,113 16,409 - ---------------------------------------------------------------------------------- Less amounts waived 310 2,372 - ---------------------------------------------------------------------------------- Net expenses 803 14,037 - ---------------------------------------------------------------------------------- Net investment income 1,533 27,181 - ---------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 11 457 - ---------------------------------------------------------------------------------- Net increase in net assets from operations $1,544 $27,638 ==================================================================================
See notes to financial statements. 104 FOR THE YEAR ENDED AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND(a) ========================================================================================== INTEREST INCOME: $125,687 $5,417 - ------------------------------------------------------------------------------------------ EXPENSES: Investment advisory fees 7,441 278 Administration fees 7,368 278 Shareholder servicing fees 13,788 303 Distribution fees 883 6 Custodian and accounting fees 587 50 Printing and postage 20 16 Professional fees 109 39 Registration fees 1,218 138 Transfer agent fees 317 30 Trustees' fees 75 3 Other 75 8 - ------------------------------------------------------------------------------------------ Total expenses 31,881 1,149 - ------------------------------------------------------------------------------------------ Less amounts waived 6,067 806 Less expense reimbursements -- 77 - ------------------------------------------------------------------------------------------ Net expenses 25,814 266 - ------------------------------------------------------------------------------------------ Net investment income 99,873 5,151 - ------------------------------------------------------------------------------------------ REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 302 20 - ------------------------------------------------------------------------------------------ Net increase in net assets from operations $100,175 $5,171 ==========================================================================================
(a) For the period from April 1, 2002 (commencement of operations) through August 31, 2002. See notes to financial statements. 105 FOR THE YEAR ENDED AUGUST 31, 2002 (AMOUNTS IN THOUSANDS)
PRIME MONEY MARKET FUND ==================================================================== INTEREST INCOME: $1,362,285 - -------------------------------------------------------------------- EXPENSES: Investment advisory fees 59,806 Administration fees 59,033 Shareholder servicing fees 93,522 Distribution fees 1,817 Custodian and accounting fees 4,125 Printing and postage 283 Professional fees 678 Registration fees 3,321 Transfer agent fees 4,186 Trustees' fees 598 Other 705 - -------------------------------------------------------------------- Total expenses 228,074 - -------------------------------------------------------------------- Less amounts waived 48,817 - -------------------------------------------------------------------- Net expenses 179,257 - -------------------------------------------------------------------- Net investment income 1,183,028 - -------------------------------------------------------------------- REALIZED GAIN ON INVESTMENTS: Net realized gain on investment transactions 1,403 - -------------------------------------------------------------------- Net increase in net assets from operations $1,184,431 ====================================================================
See notes to financial statements. 106 JPMORGAN FUNDS STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET FUND MONEY MARKET FUND -------------------------- ------------------------------- YEAR ENDED YEAR ENDED 8/31/02 8/31/01 8/31/02 8/31/01 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $90,951 $249,299 $160,187 $405,412 Net realized gain (loss) on investments 406 2,293 71 252 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 91,357 251,592 160,258 405,664 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (90,951) (249,278) (160,284) (405,413) Net realized gain on investment transactions (1,071) (1,627) (120) (201) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (92,022) (250,905) (160,404) (405,614) - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions (93,636) 806,510 196,512 1,999,342 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (94,301) 807,197 196,366 1,999,392 NET ASSETS: Beginning of period 5,329,808 4,522,611 9,169,966 7,170,574 - ------------------------------------------------------------------------------------------------------------------------------- End of period $5,235,507 $5,329,808 $9,366,332 $9,169,966 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $(98) $(98) $(123) $(8) - -------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 107
TREASURY PLUS FEDERAL MONEY MARKET FUND MONEY MARKET FUND -------------------------- -------------------------------- YEAR ENDED YEAR ENDED 8/31/02 8/31/01 8/31/02 8/31/01 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $72,344 $123,865 $106,084 $86,569 Net realized gain (loss) on investments 60 (8) 704 184 - ----------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 72,404 123,857 106,788 86,753 - ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (72,229) (123,864) (106,246) (86,615) Net realized gain on investment transactions -- (42) (779) (30) - ----------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (72,229) (123,906) (107,025) (86,645) - ----------------------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 1,166,546 338,383 2,229,239 960,673 - ----------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 1,166,721 338,334 2,229,002 960,781 NET ASSETS: Beginning of period 2,837,259 2,498,925 2,102,935 1,142,154 - ----------------------------------------------------------------------------------------------------------------------------- End of period $4,003,980 $2,837,259 $4,331,937 $2,102,935 - ----------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $56 $(59) $(256) $(94) - -----------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 108
CALIFORNIA TAX FREE NEW YORK TAX FREE MONEY MARKET FUND MONEY MARKET FUND ------------------------ ------------------------------ YEAR ENDED YEAR ENDED 8/31/02 8/31/01 8/31/02 8/31/01 - -------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $1,533 $2,382 $27,181 $61,569 Net realized gain (loss) on investments 11 (3) 457 4 - -------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 1,544 2,379 27,638 61,573 - -------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (1,579) (2,382) (27,725) (61,588) Net realized gain on investment transactions -- -- (34) (27) - -------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (1,579) (2,382) (27,759) (61,615) - -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 80,351 5,239 (135,502) 607,560 - -------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 80,316 5,236 (135,623) 607,518 NET ASSETS: Beginning of period 82,755 77,519 2,438,730 1,831,212 - -------------------------------------------------------------------------------------------------------------------------------- End of period $163,071 $82,755 $2,303,107 $2,438,730 - -------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $(49) $(3) $(528) $16 - --------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 109
LIQUID ASSETS TAX FREE MONEY MARKET MONEY MARKET FUND FUND ------------------------- ---------------- YEAR ENDED 4/1/02 * THROUGH 8/31/02 8/31/01 8/31/02 - -------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 99,873 $59,043 $5,151 Net realized gain (loss) on investments 302 (203) 20 - -------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 100,175 58,840 5,171 - -------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (103,426) (59,104) (5,152) Net realized gain on investment transactions -- -- (20) - -------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (103,426) (59,104) (5,172) - -------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 7,010,568 289,058 1,215,027 - -------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 7,007,317 288,794 1,215,026 NET ASSETS: Beginning of period 1,943,458 1,654,664 -- - -------------------------------------------------------------------------------------------------------------- End of period $8,950,775 $1,943,458 $1,215,026 - -------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $(3,558) $(38) $(1) - --------------------------------------------------------------------------------------------------------------
* Commencement of operations. See notes to financial statements. 110
PRIME MONEY MARKET FUND --------------------------- YEAR ENDED 8/31/02 8/31/01 - -------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $1,183,028 $1,349,199 Net realized gain (loss) on investments 1,403 1,067 - -------------------------------------------------------------------------------------------- Increase in net assets from operations 1,184,431 1,350,266 - -------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (1,182,928) (1,349,240) Net realized gain on investment transactions (1,417) (89) - -------------------------------------------------------------------------------------------- Total distributions to shareholders (1,184,345) (1,349,329) - -------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 19,647,317 16,524,717 - -------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 19,647,403 16,525,654 NET ASSETS: Beginning of period 29,282,956 12,757,302 - -------------------------------------------------------------------------------------------- End of period $48,930,359 $29,282,956 - -------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $31 $(146) - --------------------------------------------------------------------------------------------
See notes to financial statements. 111 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION Mutual Fund Trust (the "Trust") was organized on February 4, 1994 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end management investment company. The following are nine separate portfolios of the Trust (collectively, the "Funds").
FUND CLASSES OFFERED JPMorgan 100% U.S. Treasury Securities Money Market Fund ("USTS") Morgan, Premier, Agency, Institutional JPMorgan U.S. Government Money Market Fund ("USG") Morgan, Premier, Agency, Institutional JPMorgan Treasury Plus Money Market Fund ("TP") Morgan, Premier, Agency, Institutional, Reserve JPMorgan Federal Money Market Fund ("FED") Morgan, Premier, Agency, Institutional JPMorgan California Tax Free Money Market Fund ("CTF") Morgan JPMorgan New York Tax Free Money Market Fund ("NYTF") Morgan, Reserve JPMorgan Tax Free Money Market Fund ("TF") Morgan, Premier, Agency, Institutional JPMorgan Liquid Assets Money Market Fund ("LA") Morgan, Premier, Agency, Institutional JPMorgan Prime Money Market Morgan, Premier, Agency, Class B, Class C, Fund ("PRM") Institutional, Reserve, Select, Cash Management
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 fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreement. 2. REORGANIZATIONS Prior to the open of business on September 10, 2001, the Acquiring Funds acquired all the net assets of the Target Funds, as shown in the tables below, pursuant to Plans 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 112 Funds. Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds:
ACQUIRING TARGET FUNDS FUND SHARES RECEIVED J.P. Morgan Treasury Money Market Reserves Fund TP Reserve Shares J.P. Morgan Institutional Treasury Money Market Fund TP Institutional Shares J.P. Morgan Institutional Service Treasury Money Market Fund TP Premier Shares J.P. Morgan Federal Money Market Fund FED Premier Shares J.P. Morgan Institutional Federal Money Market Fund FED Institutional Shares J.P. Morgan Institutional Service Federal Money Market Fund FED Premier Shares J.P. Morgan Prime Money Market Fund PRM Select Shares J.P. Morgan Institutional Prime Money Market Fund PRM Institutional Shares J.P. Morgan Institutional Service Prime Money Market Fund PRM Premier Shares J.P. Morgan Prime Money Market Reserves Fund PRM Reserve Shares J.P. Morgan Institutional Prime Direct Money Market Fund PRM Agency Shares J.P. Morgan Prime Cash Management Fund PRM Cash Management Shares J.P. Morgan Tax Exempt Money Market Fund TF Premier Shares J.P. Morgan Institutional Tax Exempt Money Market Fund TF Institutional Shares J.P. Morgan Institutional Service Tax Exempt Money Market Fund TF Premier Shares
113 The following is a summary of Beneficial Interest Outstanding, Shares Outstanding, Net Assets and Net Asset Value Per Share immediately before and after the Reorganizations (amounts in thousands, except per share amounts):
JPMORGAN TREASURY PLUS MONEY MARKET FUND REORGANIZATION - ----------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - ----------------------------------------------------------------------------------------------------- Target Funds Treasury Money Market Reserves Fund 94,137 -- $ 94,097 $1.00 Institutional Treasury Money Market Fund 310,752 -- $ 310,665 $1.00 Institutional Service Treasury Money Market Fund 507,600 -- $ 507,445 $1.00 Acquiring Fund JPMorgan Treasury Plus Money Market Fund Vista Shares (Renamed Morgan Shares) 1,352,315 $1,352,126 $1.00 Premier Shares 325,008 $ 324,992 $1.00 Institutional Shares (Renamed Agency Shares) 965,202 $ 965,226 $1.00 Post Reorganization Fund JPMorgan Treasury Plus Money Market Fund Morgan Shares 1,352,315 $1,352,126 $1.00 Premier Shares 832,608 $ 832,437 $1.00 Agency Shares 965,202 $ 965,226 $1.00 Institutional Shares 310,752 $ 310,665 $1.00 Reserve Shares 94,137 $ 94,097 $1.00
JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION - ------------------------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - ------------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Federal Money Market Fund 1,683,861 -- $1,683,381 $1.00 J.P. Morgan Institutional Federal Money Market Fund 2,447,081 -- $2,447,079 $1.00 J.P. Morgan Institutional Service Federal Money Market Fund 27,508 -- $ 27,508 $1.00 Acquiring Fund JPMorgan Federal Money Market Fund II (Renamed JPMorgan Federal Money Market Fund) Vista Shares (Renamed Morgan Shares) 657,732 $ 657,737 $1.00 Premier Shares 281,550 $ 281,551 $1.00 Institutional Shares (Renamed Agency Shares) 1,176,516 $1,176,546 $1.00 Reserve Shares* 1,001 $ 1,001 $1.00 Post Reorganization Fund JPMorgan Federal Money Market Fund Morgan Shares 658,733 $ 658,738 $1.00 Premier Shares 1,992,919 $1,992,440 $1.00 Agency Shares 1,176,516 $1,176,546 $1.00 Institutional Shares 2,447,081 $2,447,079 $1.00
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. 114
JPMORGAN PRIME MONEY MARKET FUND REORGANIZATION - --------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - --------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Prime Money Market Fund 2,959,209 -- $ 2,959,283 $1.00 J.P. Morgan Institutional Prime Money Market Fund 19,841,553 -- $19,841,087 $1.00 J.P. Morgan Institutional Service Prime Money Market Fund 993,962 -- $993,883 $1.00 J.P. Morgan Prime Money Market Reserves Fund 121,016 -- $ 121,009 $1.00 J.P. Morgan Institutional Prime Direct Money Market Fund 27,613 -- $ 27,614 $1.00 J.P. Morgan Prime Cash Management Fund 139,285 -- $ 139,283 $1.00 Acquiring Fund JPMorgan Prime Money Market Fund II (Renamed JPMorgan Prime Money Market Fund) Vista Shares (Renamed Morgan Shares) 10,478,092 $10,477,967 $1.00 B Shares Shares 17,511 $ 17,502 $1.00 C Shares Shares 303 $ 303 $1.00 Premier Shares 2,282,312 $ 2,282,320 $1.00 Institutional Shares (Renamed Agency Shares) 17,352,444 $17,352,408 $1.00 Reserve Shares 10,001 $ 10,002 $1.00 Post Reorganization Fund JPMorgan Prime Money Market Fund Morgan Shares 10,478,092 $10,477,967 $1.00 B Shares 17,511 $ 17,502 $1.00 C Shares 303 $ 303 $1.00 Premier Shares 3,276,274 $ 3,276,203 $1.00 Agency Shares 17,380,057 $17,380,022 $1.00 Institutional Shares 19,841,553 $19,841,087 $1.00 Reserve Shares 131,017 $ 131,011 $1.00 Cash Management Shares 139,285 $ 139,283 $1.00 Select Shares 2,959,209 $ 2,959,283 $1.00
115
JPMORGAN TAX FREE MARKET FUND REORGANIZATION - --------------------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - --------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Tax Exempt Money Market Fund 1,989,832 -- $1,989,763 $1.00 J.P. Morgan Institutional Tax Exempt Money Market Fund 1,606,636 -- $1,606,663 $1.00 J.P. Morgan Institutional Service Tax Exempt Money Market Fund 62,224 -- $ 62,227 $1.00 Acquiring Fund JPMorgan Tax Free Money Market Fund Vista Shares (Renamed Morgan Shares) 859,836 $ 859,225 $1.00 Premier Shares 119,034 $ 119,019 $1.00 Institutional Shares (Renamed Agency Shares) 887,548 $ 887,450 $1.00 Reserve Shares* 1 $ 1 $1.00 Post Reorganization Fund JPMorgan Tax Free Money Market Fund Morgan Shares 859,837 $ 859,226 $1.00 Premier Shares 2,171,090 $2,171,009 $1.00 Agency Shares 887,548 $ 887,450 $1.00 Institutional Shares 1,606,636 $1,606,663 $1.00
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. On October 20, 2000, PRM acquired all the net assets of Chase Vista Cash Management Fund (CM) pursuant to a Reorganization Plan approved by CM shareholders on October 5, 2000. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CM received shares in PRM with a value equal to their holdings in CM. Holders of Vista Class Shares in CM received Vista Class Shares in PRM, holders of Premier Class Shares in CM received Premier Class Shares in PRM and holders of Institutional Class Shares in CM received Institutional Class Shares in PRM. 116 The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization (amounts in thousands, except per share amounts):
BEFORE REORGANIZATION AFTER REORGANIZATION - ------------------------------------------------------------------------- CM PRM PRM - ------------------------------------------------------------------------- Vista Shares Shares 6,780,303 2,020,777 8,801,080 Net Assets $6,779,514 $ 2,017,128 $ 8,796,642 Net Asset Value $ 1.00 $ 1.00 $ 1.00 Premier Shares Shares 383,300 1,852,608 2,235,908 Net Assets $ 383,301 $ 1,852,650 $ 2,235,952 Net Asset Value $ 1.00 $ 1.00 $ 1.00 Institutional Shares Shares 3,333,131 9,511,943 12,845,074 Net Assets $3,332,910 $ 9,515,447 $12,848,357 Net Asset Value $ 1.00 $ 1.00 $ 1.00 Reserve Shares Shares 1 1 Net Assets $ 1 $ 1 Net Asset Value $ 1.00 $ 1.00 B Shares Shares 20,765 20,765 Net Assets $ 20,763 $ 20,763 Net Asset Value $ 1.00 $ 1.00 C Shares Shares 140 140 Net Assets $ 140 $ 140 Net Asset Value $ 1.00 $ 1.00
117 On February 16, 2001, PRM acquired all the net assets of Chase Money Market Fund (CMMF) pursuant to a Reorganization Plan approved by CMMF shareholders on January 26, 2001. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, each shareholder of CMMF received shares in PRM with a value equal to their holdings in CMMF. Holders of Investor Class Shares in CMMF received Vista Class Shares in PRM, holders of Premier Class Shares in CMMF received Premier Class Shares in PRM. The following is a summary of shares outstanding, net assets and net asset values per share immediately before and after the reorganization (amounts in thousands, except per share amounts):
BEFORE REORGANIZATION AFTER REORGANIZATION - ---------------------------------------------------------------------------------- CMMF PRM PRM - ---------------------------------------------------------------------------------- Vista Shares Shares 10,186,612 10,192,135 Net Assets $10,182,180 $10,187,704 Net Asset Value $ 1.00 $ 1.00 Premier Shares Shares 2,041,521 2,148,012 Net Assets $ 2,041,548 $ 2,148,063 Net Asset Value $ 1.00 $ 1.00 Institutional Shares Shares 18,927,280 18,927,280 Net Assets $18,930,649 $18,930,649 Net Asset Value $ 1.00 $ 1.00 Reserve Shares Shares 1 1 Net Assets $ 1 $ 1 Net Asset Value $ 1.00 $ 1.00 B Shares Shares 11,626 11,626 Net Assets $ 11,624 $ 11,624 Net Asset Value $ 1.00 $ 1.00 C Shares Shares 187 187 Net Assets $ 187 $ 187 Net Asset Value $ 1.00 $ 1.00 Investor Shares Shares 5,523 Net Assets $ 5,524 Net Asset Value $ 1.00 Premier Shares Shares 106,491 Net Assets $106,515 Net Asset Value $ 1.00
118 3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized cost which approximates market value. The Trust's use of amortized cost is subject to the Trust's compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act. B. REPURCHASE AGREEMENTS -- It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank, subcustodian or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. C. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. D. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trust are allocated proportionately among each of the Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. E. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Funds' 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 Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. 119 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 tax-basis treatment. The following amounts were reclassified within the capital accounts at August 31, 2002 (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) FUND PAID-IN CAPITAL NET INVESTMENT INCOME ON INVESTMENTS USG $ -- $(18) $ 18 TP 286 -- (286) TF 270 33 (303) PRM 694 77 (771)
The reclassifications primarily relate to the character for tax purposes of capital loss carryforwards received in reorganizations for TP, TF and PRM, and expiration of capital loss carryforwards for TF. For USG, the reclassification primarily relates to the character for tax purposes of dividends paid. The tax character of distributions paid during the period ended August 31, 2002 were as follows (amounts in thousands):
ORDINARY INCOME - ---------------------------- USTS $ 92,022 USG 160,404 TP 72,229 FED 107,025 CTF 1,579 NYTF 27,759 TF 103,426 LA 5,172 PRM 1,184,345
120 At August 31, 2002, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
USTS USG TP - --------------------------------------------------------------------------------------------- Current distributable ordinary income $ 2,809 $ 5,949 $ 2,793 Plus/Less: cumulative timing differences (2,896) (6,072) (2,737) Undistributed ordinary income or overdistribution of ordinary income $ (87) $ (123) $ 56 ======== ========= ======== Current distributable long-term capital gain or tax basis capital loss carryover -- -- (270) Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss -- -- (270) ======== ========= ======== Unrealized appreciation (depreciation) $ -- $ -- $ -- ======== ========= ======== FED CTF NYTF - --------------------------------------------------------------------------------------------- Current distributable ordinary income $ 2,910 $ 44 $ 630 Plus/Less: cumulative timing differences (3,119) (93) (735) Undistributed ordinary income or overdistribution of ordinary income $ (209) $ (49) $ (105) ======== ========= ======== Current distributable long-term capital gain or tax basis capital loss carryover -- (4) -- Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss -- (4) -- ======== ========= ======== Unrealized appreciation (depreciation) $ -- $ -- $ -- ======== ========= ======== TF LA PRM - --------------------------------------------------------------------------------------------- Current distributable ordinary income $ 1,392 $ 132 $ 31,595 Plus/Less: cumulative timing differences (4,950) (133) (31,433) Undistributed ordinary income or overdistribution of ordinary income $(3,558) $ (1) $ 162 ======== ========= ======== Current distributable long-term capital gain or tax basis capital loss carryover (656) -- -- Plus/Less: cumulative timing differences (2) -- -- Undistributed long-term gains/ accumulated capital loss (658) -- -- ======== ========= ======== Unrealized appreciation (depreciation) $ -- $ --^ $ -- ======== ========= ========
^ Amount rounds to less than one thousand. For USTS, USG, TP, FED, CTF, NYTF, LA and PRM, the cumulative timing difference primarily consists of dividends payable and deferred compensation. For TF, the cumulative timing difference consists of dividends payable, deferred compensation and post October loss deferral. At August 31, 2002, the following Funds have capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss 121 carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amounts in thousands).
EXPIRATION AMOUNT DATE TP $(234) August 31, 2008 (36) August 31, 2009 ----- (270) CTF (2) August 31, 2004 (1) August 31, 2005 (1) August 31, 2006 ----- (4) TF (150) August 31, 2003 (1) August 31, 2004 (28) August 31, 2006 (257) August 31, 2007 (22) August 31, 2008 (199) August 31, 2009 ----- (657)
During the year ended August 31, 2002, TP, CTF, TF and PRM utilized capital loss carryforwards of $52, $6, $239 and $771, respectively (amounts in thousands). TF had a capital loss carryforward of $98 (amount in thousands), which was not utilized during the period. The capital loss carryforward expired on August 31, 2002. Capital losses incurred after October 31, within a Fund's fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. TF has incurred a post-October realized loss of $2 (amount in thousands). 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to an Investment Advisory Agreement, J.P. Morgan Fleming Asset Management (USA),Inc. ("JPMFAM" or "Adviser") acts as the investment adviser to the Funds. JPMFAM, is a direct wholly owned subsidiary of JPMorgan Chase Bank ("JPMCB") and an indirect wholly owned subsidiary of J.P. Morgan Chase & Co. ("JPMorgan") The Adviser supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.10% of the average daily net assets for each respective Fund. The Advisor waived fees as outlined in Note 4.E. below. 122 B. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the average daily net assets for complex wide money market fund assets up to $100 billion and 0.05% on assets in excess of $100 billion. Prior to September 10, 2001, the Administrator received a fee computed daily and paid monthly at the annual rate equal to 0.05% of the respective Fund's average daily net assets. Effective September 10, 2001, the Trustees approved a new combined Administration Agreement that eliminated the paying of sub-administration fees (of 0.05% of the average daily net assets of each Fund) directly by the Funds to BISYS Fund Services, LP ("BISYS"). In connection with the Administration Agreement, effective September 10, 2001, BISYS serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
FUND MORGAN PREMIER AGENCY CLASS B CLASS C - -------------------------------------------------------------- USTS 0.59 0.48^^ 0.25 n/a n/a USG 0.59 0.45 0.26 n/a n/a TP 0.59 0.45 0.25 n/a n/a FED 0.70 0.45 0.26 n/a n/a CTF 0.55 n/a n/a n/a n/a NYTF 0.59 n/a n/a n/a n/a TF 0.59 0.45 0.26 n/a n/a LA 0.59 0.45 0.26 n/a n/a PRM 0.59 0.45 0.26^ 1.24 1.24
123
CASH FUND INSTITUTIONAL RESERVE SELECT MANAGEMENT - --------------------------------------------------------------------------- USTS 0.20 n/a n/a n/a USG 0.20 n/a n/a n/a TP 0.20 0.70 n/a n/a FED 0.20 n/a n/a n/a CT n/a n/a n/a n/a NYTF n/a 0.79 n/a n/a TF 0.20 n/a n/a n/a LA 0.20 n/a n/a n/a PRM 0.20 0.70 0.44 0.97
^ The limitation percentage increases to 0.30% from 0.26% effective January 1, 2003 and will expire on December 31, 2004. ^^ The limitation percentage decreases to 0.46% from 0.48% effective September 8, 2002 and will expire on December 31, 2003. The contractual expense limitation agreements were in effect beginning September 10, 2001 and the respective limitation percentages in the table above are due to expire as follows:
FUND MORGAN PREMIER AGENCY CLASS B CLASS C - ------------------------------------------------------------------ USTS 12/31/03 12/31/03 12/31/03 n/a n/a USG 12/31/03 12/31/03 12/31/03 n/a n/a TP 12/31/03 12/31/04 12/31/03 n/a n/a FED 12/31/03 12/31/04 12/31/03 n/a n/a CTF 12/31/03 n/a n/a n/a n/a NYTF 12/31/03 n/a n/a n/a n/a TF 12/31/03 12/31/04 12/31/03 n/a n/a LA 12/31/03 12/31/03 12/31/03 n/a n/a PRM 12/31/03 12/31/04 12/31/04 12/31/03 12/31/03
CASH FUND INSTITUTIONAL RESERVE SELECT MANAGEMENT - -------------------------------------------------------------------------------- USTS 12/31/03 n/a n/a n/a USG 12/31/03 n/a n/a n/a TP 12/31/04 12/31/04 n/a n/a FED 12/31/04 n/a n/a n/a CTF n/a n/a n/a n/a NYTF n/a 12/31/03 n/a n/a TF 12/31/04 n/a n/a n/a LA 12/31/03 n/a n/a n/a PRM 12/31/04 12/31/04 12/31/04 12/31/04
The Administrator waived fees as outlined in Note 4.E. below. 124 C. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trust's exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Morgan, Premier, Class B, Class C, Reserve and Cash Management Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CASH FUND MORGAN PREMIER CLASS B CLASS C RESERVE MANAGEMENT USTS 0.10 n/a n/a n/a n/a n/a USG 0.10 0.10 n/a n/a n/a n/a TP 0.10 n/a n/a n/a 0.25 n/a FED 0.10 n/a n/a n/a n/a n/a CTF 0.10 n/a n/a n/a n/a n/a NYTF 0.10 n/a n/a n/a 0.30 n/a TF 0.10 n/a n/a n/a n/a n/a LA 0.10 n/a n/a n/a n/a n/a PRM n/a n/a 0.75 0.75 0.25 0.50
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in Note 4.E. below. D. SHAREHOLDER AND FUND SERVICING FEES -- The Trust has entered into a Shareholder Servicing Agreement on behalf of the Funds with JPMCB under which JPMCB provides account administration and personal account maintenance services to the shareholders. JPMCB may obtain the services of one or more shareholder servicing agents. For these services JPMCB or the 125 Shareholder Servicing Agent will receive a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
FUND MORGAN PREMIER AGENCY CLASS B CLASS C USTS 0.35 0.25 0.10 n/a n/a USG 0.35 0.25 0.10 n/a n/a TP 0.35 0.25 0.10 n/a n/a FED 0.35 0.25 0.10 n/a n/a CTF 0.35 n/a n/a n/a n/a NYTF 0.35 n/a n/a n/a n/a TF 0.35 0.25 0.10 n/a n/a LA 0.35 0.25 0.10 n/a n/a PRM 0.35 0.25 0.10 0.25 0.25
CASH
FUND INSTITUTIONAL RESERVE SELECT MANAGEMENT USTS 0.10 n/a n/a n/a USG 0.10 n/a n/a n/a TP 0.10 0.25 n/a n/a FED 0.10 n/a n/a n/a CT n/a n/a n/a n/a NYTF n/a 0.35 n/a n/a TF 0.10 n/a n/a n/a LA 0.10 n/a n/a n/a PRM 0.10 0.25 0.25 0.25
The Funds may be sold to or through financial intermediaries who are customers of JPMCB, including financial institutions and broker-dealers, that may be paid fees by JPMCB or its affiliates for services provided to their clients that invest in the Funds. Organizations that provide recordkeeping or other services to certain employee benefit or retirement plans that include the Funds as investment alternatives may also be paid a fee. 126 The Shareholder Servicing Agents have waived fees as outlined in Note 4.E. below. E. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2002, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
VOLUNTARY WAIVERS ------------------------------------- INVESTSMENT FUND ADVISORY ADMINISTRATION TOTAL ------------------------------------- USTS $ -- $55 $ 55 LA 259 81 340 PRM 5,867 -- 5,867
CONTRACTUAL WAIVERS SHAREHOLDER CONTRACTUAL ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS USTS $1,048 $ 774 $3,132 $ 4,954 $17 USG 4,152 758 2,462 7,372 -- TP 1,660 1,678 330 3,668 -- FED 1,039 2,880 -- 3,919 -- CTF 67 187 56 310 -- NYTF 823 -- 1,549 2,372 -- TF 2,206 3,628 233 6,067 -- LA 197 263 6 466 77 PRM 9,237 33,713 -- 42,950 --
F. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. 127 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended August 31, 2002 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------- USTS Morgan $14,236 $4,068 $696 Premier 772 -- 38 Agency 1,125 -- 35 Insitutional 178 -- 17 - ---------------------------------------------------------------- $16,311 $4,068 $786 - ---------------------------------------------------------------- USG Morgan $13,115 $3,747 $493 Premier 2,791 1,117 64 Agency 3,484 -- 65 Insitutional 458 -- 24 - ---------------------------------------------------------------- $19,848 $4,864 $646 - ---------------------------------------------------------------- TP Morgan $ 4,561 $1,303 $157 Premier 2,211 -- 52 Agency 1,288 -- 30 Insitutional 511 -- 23 Reserve 595 595 24 - ---------------------------------------------------------------- $ 9,166 $1,898 $286 - ---------------------------------------------------------------- FED Morgan $ 2,195 $ 627 $351 Premier 4,332 -- 38 Agency 887 -- 18 Insitutional 2,464 -- 24 - ---------------------------------------------------------------- $ 9,878 $ 627 $431 - ---------------------------------------------------------------- CTF Morgan $ 511 $ 146 $39 - ---------------------------------------------------------------- NYTF Morgan $ 7,917 $2,262 $404 Reserve 305 261 28 - ---------------------------------------------------------------- $ 8,222 $2,523 $432 - ---------------------------------------------------------------- TF Morgan $ 3,090 $ 883 $149 Premier 6,899 -- 79 Agency 967 -- 33 Insitutional 2,832 -- 56 - ---------------------------------------------------------------- $13,788 $ 883 $317 - ----------------------------------------------------------------
128 5. CLASS SPECIFIC EXPENSES -- CONTINUED
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------- LA Morgan $ 20 $ 6 $ 6 Premier 18 -- 7 Agency 14 -- 7 Insitutional 251 -- 10 - ---------------------------------------------------------------- $ 303 $ 6 $ 30 - ---------------------------------------------------------------- PRM Morgan $32,753 $ -- $3,790 Premier 13,191 -- 65 Agency 16,771 -- 86 Class B 34 103 6 Class C 1 3 --^ Intitutional 26,797 -- 92 Reserve 683 683 27 Select 2,778 -- 74 Cash Management 514 1,028 46 - ---------------------------------------------------------------- $93,522 $1,817 $4,186 - ----------------------------------------------------------------
^ Amount rounds to less than one thousand. 129 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended August 31, 2002 are as follows (amounts in thousands):
NET INVESTMENT INCOME REALIZED GAIN - ---------------------------------------------------------- USTS Morgan $ 62,290 $ 803 Premier 4,704 39 Agency 20,972 218 Insitutional 2,985 11 - ---------------------------------------------------------- $ 90,951 $1,071 - ---------------------------------------------------------- USG Morgan $ 62,610 $ 51 Premier 20,040 15 Agency 68,962 51 Insitutional 8,672 3 - ---------------------------------------------------------- $160,284 $ 120 - ---------------------------------------------------------- TP Morgan $ 20,433 $ -- Premier 14,880 -- Agency 24,183 -- Insitutional 9,517 -- Reserve 3,216 -- - ---------------------------------------------------------- $ 72,229 $ -- - ---------------------------------------------------------- FED Morgan $ 9,623 $ 90 Premier 30,113 242 Agency 17,971 124 Insitutional 48,539 323 - ---------------------------------------------------------- $106,246 $ 779 - ---------------------------------------------------------- CTF Morgan $ 1,579 $ -- - ---------------------------------------------------------- NYTF Morgan $ 26,970 $ 31 Reserve 755 3 - ---------------------------------------------------------- $ 27,725 $ 34 - ---------------------------------------------------------- TF Morgan $ 10,529 $ -- Premier 35,766 -- Agency 14,441 Insitutional 42,690 -- - ---------------------------------------------------------- $103,426 $ -- - ----------------------------------------------------------
130 6. CLASS SPECIFIC DISTRIBUTIONS -- CONTINUED
NET INVESTMENT INCOME REALIZED GAIN - ------------------------------------------------------- LA Morgan $ 88 $ -- Premier 117 1 Agency 257 1 Insitutional 4,690 18 - ------------------------------------------------------- $ 5,152 $ 20 - ------------------------------------------------------- PRM Morgan $ 161,387 $ 224 Premier 95,052 148 Agency 348,599 383 Class B 151 1 Class C 6 -- Intitutional 551,186 610 Reserve 3,847 10 Select 20,304 31 Cash Management 2,396 10 - ------------------------------------------------------- $1,182,928 $1,417 - -------------------------------------------------------
7. CONCENTRATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. As of August 31, 2002, PRM and LA invested 17.7% and 31.0%, respectively, of their total investments in securities issued by institutions in the financial services industry including banks, broker dealers and insurance companies. General economic conditions, as well as exposure to credit losses arising from possible financial difficulties of borrowers, play an important role in the operation of the financial services industry. TF, NYTF and CTF invest substantially all of their assets in a diversified portfolio of debt obligations issued by states, territories and possessions of the United States and by the District of Columbia, and by their political subdivisions and duly constituted authorities, with NYTF primarily investing in issuers in the State of New York, and CTF primarily investing in issuers in the State of California. As of August 31, 2002, TF invested 12.2% of its net assets in issuers in the State of Texas. The issuers' abilities to meet their obligations may be affected by economic or political developments in a specific state or region. 131 8. CAPITAL SHARE TRANSACTIONS Capital share tranactions were as follows for the periods presented (amounts in thousands): 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ INSTITUTIONAL SHARES -------------------------- -------------------- ----------------------- -------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 10,314,404 10,314,412 $ 905,565 905,563 $ 6,533,319 6,533,319 $ 886,767 886,767 Shares issued in reinvestment of distributions 41,451 41,451 2,121 2,121 14,742 14,742 2,593 2,593 Shares redeemed (10,857,005) (10,857,007) (687,896) (687,896) (6,627,631) (6,627,631) (622,066) (622,057) - ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (501,150) (501,144) $ 219,790 219,788 $ (79,570) (79,570) $ 267,294 267,303 ================================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ---------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 13,140,511 13,140,511 $ 325,092 325,092 $ 7,842,454 7,842,454 $ -- -- Shares issued in reinvestment of distributions 137,086 137,086 4,156 4,156 33,523 33,523 -- -- Shares redeemed (12,786,028) (12,786,028) (312,201) (312,201) (7,578,083) (7,578,083) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 491,569 491,569 $ 17,047 17,047 $ 297,894 297,894 $ -- -- ==================================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 132 U.S. GOVERNMENT MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ INSTITUTIONAL SHARES -------------------------- ------------------------ -------------------------- ------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED AUGUST 31, 2002* - ------------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 14,899,594 14,899,592 $ 4,696,629 4,696,625 $ 25,336,802 25,336,802 $ 5,667,034 5,667,034 Shares issued in reinvestment of distributions 28,756 28,756 13,895 13,895 43,240 43,240 6,352 6,352 Shares redeemed (15,703,649) (15,703,649) (4,914,063) (4,914,063) (24,651,864) (24,651,864) (5,226,214) (5,226,214) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (775,299) (775,301) $ (203,539) (203,543) $ 728,178 728,178 $ 447,172 447,172 ==================================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 20,843,375 20,843,375 $ 6,623,555 6,623,555 $ 29,308,896 29,308,896 $ -- -- Shares issued in reinvestment of distributions 93,157 93,157 32,113 32,113 81,549 81,549 -- -- Shares redeemed (20,184,637) (20,184,637) (6,538,491) (6,538,491) (28,260,175) (28,260,175) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 751,895 751,895 $ 117,177 117,177 $ 1,130,270 1,130,270 $ -- -- ====================================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 133 TREASURY PLUS MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ INSTITUTIONAL SHARES ------------------------------------------------------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 8,543,551 8,543,525 $ 4,775,127 4,775,127 $ 11,465,056 11,465,056 $ 7,160,765 7,160,765 Shares issued in connection with Fund Reorganization (Note 2) -- -- 507,445 507,600 -- -- 310,665 310,752 Shares issued in reinvestment of distributions 10,617 10,617 3,118 3,118 17,410 17,410 7,132 7,132 Shares redeemed (9,017,947) (9,017,947) (4,794,351) (4,794,351) (11,010,007) (11,010,007) (7,046,870) (7,046,870) - ------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (463,779) (463,805) $ 491,339 491,494 $ 472,459 472,459 $ 431,692 431,779 =============================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 10,396,218 10,396,218 $ 3,622,450 3,622,450 $ 9,407,909 9,407,909 $ -- -- Shares issued in reinvestment of distributions 43,920 43,920 5,895 5,895 34,515 34,515 -- -- Shares redeemed (10,239,944) (10,239,944) (3,530,256) (3,530,256) (9,402,324) (9,402,324) -- -- Net increase in Fund shares outstanding $ 200,194 200,194 $ 98,089 98,089 $ 40,100 40,100 $ -- -- =============================================================================================================================== RESERVE SHARES -------------------------- AMOUNT SHARES - ----------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------- Shares Sold $ 1,162,982 1,162,982 Shares issued in connection with Fund Reorganization (Note 2) 94,097 94,137 Shares issued in reinvestment of distributions 1,952 1,952 Shares redeemed (1,024,196) (1,024,196) - ----------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 234,835 234,875 =========================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional and Reserve Shares, from commencement of operations on September 10, 2001. 134 FEDERAL MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ INSTITUTIONAL SHARES ----------------------- ------------------------ ----------------------- -------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,285,693 1,285,693 $ 7,091,868 7,091,868 $ 2,410,637 2,410,637 $ 10,250,685 10,250,685 Shares issued in connection with Fund Reorganization (Note 2) 1,001 1,001 1,710,889 1,711,369 -- -- 2,447,079 2,447,081 Shares issued in reinvestment of distributions 7,180 7,180 6,980 6,980 6,180 6,180 31,586 31,586 Shares redeemed (1,499,950) (1,499,950) (7,680,485) (7,680,485) (3,062,586) (3,062,586) (10,776,517) (10,776,517) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (206,076) (206,076) $ 1,129,252 1,129,732 $ (645,769) (645,769) $ 1,952,833 1,952,835 ================================================================================================================================ YEAR ENDED AUGUST 31, 2001 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,485,620 1,485,620 $ 407,669 407,669 $ 3,894,947 3,894,947 $ -- -- Shares issued in reinvestment of distributions 22,888 22,888 13,383 13,383 10,627 10,627 -- -- Shares redeemed (1,426,792) (1,426,792) (424,807) (424,807) (3,023,862) (3,023,862) -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 81,716 81,716 $ (3,755) (3,755) $ 881,712 881,712 $ -- -- ================================================================================================================================ RESERVE SHARES --------------------------- AMOUNT SHARES - ----------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002 - ----------------------------------------------------------------------------------------------- Shares Sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1,001) (1,001) - ----------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $(1,001) (1,001) =============================================================================================== YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------- Shares sold $ 1,000 1,000 Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ----------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 1,000 1,000 ===============================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001 135 CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN SHARES^ ------------------------ AMOUNT SHARES - ------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002 - ------------------------------------------------------------------------- Shares sold $ 437,801 437,801 Shares issued in reinvestment of distributions 552 552 Shares redeemed (358,002) (358,002) - ------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 80,351 80,351 ======================================================================== Shares sold $ 262,625 262,625 Shares issued in reinvestment of distributions 919 919 Shares redeemed (258,305) (258,305) - ------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 5,239 5,239 ========================================================================
^ Formerly Vista Shares 136 NEW YORK TAX FREE MONEY MARKET FUND
MORGAN SHARES^ RESERVE SHARES ------------------------ -------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002 - --------------------------------------------------------------------------------------------------- Shares sold $ 3,483,464 3,483,464 $ 276,532 276,532 Shares issued in reinvestment of distributions 19,928 19,928 725 725 Shares redeemed (3,818,432) (3,818,432) (97,719) (97,719) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (315,040) (315,040) $ 179,538 179,538 =================================================================================================== YEAR ENDED AUGUST 31, 2001 - --------------------------------------------------------------------------------------------------- Shares sold $ 4,128,849 4,128,849 $ -- -- Shares issued in reinvestment of distributions 44,695 44,695 -- -- Shares redeemed (3,565,984) (3,565,984) -- -- - --------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 607,560 607,560 $ -- -- ===================================================================================================
^ Formerly Vista Shares. 137 TAX FREE MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ INSTITUTIONAL SHARES -------------------- -------------------- ------------------- ------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,166,957 2,166,957 $ 12,250,326 12,250,326 $ 4,036,424 4,036,424 $ 17,612,670 17,612,670 Shares issued in connection with Fund Reorganization (Note 2) 1 1 2,051,990 2,052,056 -- -- 1,606,663 1,606,636 Shares issued in reinvestment of distributions 5,573 5,573 6,386 6,386 8,449 8,449 22,933 22,933 Shares redeemed (2,176,569) (2,176,569) (11,356,662) (11,356,662) (3,873,703) (3,873,703) (15,350,869) (15,350,869) - ----------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (4,038) (4,038) $ 2,952,040 2,952,106 $ 171,170 171,170 $ 3,891,397 3,891,370 =================================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,801,668 2,801,668 $ 313,800 313,800 $ 5,008,019 5,008,023 $ -- -- Shares issued in reinvestment of distributions 13,108 13,108 1,933 1,933 15,717 15,717 -- -- Shares redeemed (2,802,028) (2,802,028) (320,151) (320,151) (4,743,008) (4,743,008) -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 12,748 12,748 $ (4,418) (4,418) $ 280,728 280,732 $ -- -- =================================================================================================================================== RESERVE SHARES ----------------- AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002 - ---------------------------------------------------------------------------------------------------------- Shares sold $-- -- Shares issued in reinvestment of distributions -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1) (1) - ---------------------------------------------------------------------------------------------------------- Net decrease in Fund shares outstanding $(1) (1) ========================================================================================================== YEAR ENDED AUGUST 31, 2001 - ---------------------------------------------------------------------------------------------------------- Shares sold $-- -- Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ---------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $-- -- ==========================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 138 LIQUID ASSETS MONEY MARKET FUND
MORGAN SHARES PREMIER SHARES AGENCY SHARES INSTITUTIONAL SHARES ------------------ ------------------ ----------------- -------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold $23,482 23,482 $34,620 34,620 $ 75,072 75,072 $1,676,712 1,676,712 Shares issued in reinvestment of distributions 88 88 108 108 238 238 3,740 3,740 Shares redeemed (6,066) (6,066) (8,992) (8,992) (22,758) (22,758) (561,217) (561,217) - ----------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $17,504 17,504 $25,736 25,736 $52,552 52,552 $1,119,235 1,119,235 ===================================================================================================================================
* For the period from April 1, 2002 (commencement of operations) through August 31, 2002. 139 PRIME MONEY MARKET FUND
MORGAN SHARES^ PREMIER SHARES AGENCY SHARES@ CLASS B SHARES -------------------- ------------------ -------------------- ----------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED AUGUST 31, 2002 - ------------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 31,146,230 31,145,581 $ 39,727,933 39,727,974 $ 110,364,729 110,364,784 $ 49,866 49,866 Shares issued in connection with Fund Reorganization (Note 2) -- -- 993,883 993,962 27,614 27,613 -- -- Shares issued in reinvestment of distributions 123,505 123,505 21,646 21,646 236,129 236,129 128 128 Shares redeemed (34,084,449) (34,083,794) (37,715,271) (37,715,317) (114,800,874) (114,800,914) (54,428) (54,428) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (2,814,714) (2,814,708) $ 3,028,191 3,028,265 $ (4,172,402) (4,172,388) $ (4,434) (4,434) ==================================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ------------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 38,599,182 38,599,182 $ 18,866,671 18,866,646 $ 124,034,431 124,034,434 $101,869 101,869 Shares issued in connection with the acquisition of Chase Vista Cash Management Fund (Note 2) 6,779,514 6,780,303 383,301 383,300 3,332,910 3,333,131 -- -- Shares issued in connection with the acquisition of Chase Money Market Fund (Note 2) 5,523 5,523 106,515 106,491 -- -- -- -- Shares issued in reinvestment of distributions 343,167 343,167 61,365 61,365 606,782 606,782 524 524 Shares redeemed (36,840,350) (36,840,350) (19,105,080) (19,105,080) (120,666,278) (120,666,278) (95,588) (95,588) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 8,887,036 8,887,825 $ 312,772 312,722 $ 7,307,845 7,308,069 $ 6,805 6,805 ====================================================================================================================================
140
CLASS C SHARES INSTITUTIONAL SHARES RESERVE SHARES SELECT SHARES ----------------- --------------------- ----------------- ------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,029 2,029 $ 337,668,768 337,668,780 $ 910,702 910,702 $ 5,422,509 5,422,509 Shares issued in connection with Fund Reorganization (Note 2) -- -- 19,841,087 19,841,553 121,009 121,016 2,959,283 2,959,209 - ----------------------------------------------------------------------------------------------------------------------------------- Shares issued in reinvestment of distributions 4 4 243,192 243,192 1,804 1,804 19,673 19,673 Shares redeemed (1,708) (1,708) (335,871,910) (335,871,952) (650,835) (650,835) (7,337,218) (7,337,219) - ----------------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 325 325 $ 21,881,137 21,881,573 $ 382,680 382,687 $ 1,064,247 1,064,172 =================================================================================================================================== YEAR ENDED AUGUST 31, 2001 - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,351 1,351 $ -- -- $ 18,251 18,251 $ -- -- Shares issued in reinvestment of distributions 8 8 -- -- -- -- -- -- Shares redeemed (1,100) (1,100) -- -- (8,251) (8,251) -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Net increase in Fund shares outstanding $ 259 259 $ -- -- $ 10,000 10,000 $ -- -- =================================================================================================================================== CASH MANAGEMENT SHARES ---------------------- AMOUNT SHARES - ------------------------------------------------------------------------------------------------ YEAR ENDED AUGUST 31, 2002* - ------------------------------------------------------------------------------------------------ Shares sold $ 1,458,680 1,458,680 Shares issued in connection with Fund Reorganization (Note 2) 139,283 139,285 Shares issued in reinvestment of distributions 1,362 1,362 Shares redeemed (1,317,038) (1,317,038) - ------------------------------------------------------------------------------------------------ Net increase in Fund shares outstanding $ 282,287 282,289 ================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, Select Shares and Cash Management Shares, from commencement of operations on September 10, 2001. 141 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------- MORGAN SHARES^ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 --------- --------- --------- --------- --------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.04 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.55% 4.75% 5.02% 4.31% 4.92% Ratios/supplemental data: Net assets, end of period (millions) $3,526 $4,027 $3,535 $3,312 $3,051 Ratios to average net assets: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.53% 4.59% 4.92% 4.15% 4.78% Expenses without waivers, reimbursements and earnings credits 0.69% 0.71% 0.71% 0.71% 0.71% Net investment income without waivers, reimbursements and earnings credits 1.43% 4.47% 4.80% 4.03% 4.66% - --------------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------- PREMIER SHARES ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 --------- --------- --------- --------- --------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.04 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.68% 4.84% 5.12% 4.40% 5.00% Ratios/supplemental data: Net assets, end of period (millions) $353 $133 $116 $24 $22 Ratios to average net assets: Net expenses 0.46% 0.48% 0.49% 0.50% 0.51% Net investment income 1.52% 4.70% 5.02% 4.22% 4.99% Expenses without waivers, reimbursements and earnings credits 0.48% 0.52% 0.53% 0.56% 0.78% Net investment income without waivers, reimbursements and earnings credits 1.50% 4.66% 4.98% 4.16% 4.72% - ---------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 142
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ----------------------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES @ SHARES ------------------------------------------------------------- ------------- YEAR ENDED 9/10/01* ------------------------------------------------------------- THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 8/31/02 --------- --------- --------- --------- --------- --------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.05 0.05 0.02 Less dividends from net investment income 0.02 0.05 0.05 0.05 0.05 0.02 ------ ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== ====== Total Return 1.89% 5.11% 5.38% 4.67% 5.30% 1.85%(a) Ratios/supplemental data: Net assets, end of period (millions) $1,090 $1,170 $872 $895 $1,796 $267 Ratios to average net assets:# Net expenses 0.25% 0.25% 0.25% 0.24% 0.21% 0.20% Net investment income 1.86% 4.93% 5.26% 4.51% 5.13% 1.67% Expenses without waivers, reimbursements and earnings credits 0.32% 0.35% 0.34% 0.32% 0.25% 0.33% Net investment income without waivers, reimbursements and earnings credits 1.79% 4.83% 5.17% 4.43% 5.09% 1.54% - ------------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 143
U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------- MORGAN SHARES ^ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.04 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.65% 4.93% 5.48% 4.55% 5.14% Ratios/supplemental data: Net assets, end of period (millions) $3,375 $4,150 $3,398 $3,538 $3,033 Ratios to average net assets: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.67% 4.80% 5.35% 4.46% 5.01% Expenses without waivers, reimbursements and earnings credits 0.68% 0.69% 0.69% 0.69% 0.70% Net investment income without waivers, reimbursements and earnings credits 1.58% 4.70% 5.25% 4.36% 4.90% - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------- PREMIER SHARES ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.05 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.79% 5.08% 5.62% 4.70% 5.25% Ratios/supplemental data: Net assets, end of period (millions) $1,047 $1,251 $1,134 $922 $1,084 Ratios to average net assets: Net expenses 0.45% 0.45% 0.45% 0.45% 0.48% Net investment income 1.79% 4.95% 5.50% 4.60% 5.12% Expenses without waivers, reimbursements and earnings credits 0.57% 0.59% 0.58% 0.58% 0.60% Net investment income without waivers, reimbursements and earnings credits 1.67% 4.81% 5.37% 4.47% 5.00% - ----------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 144
U.S. GOVERNMENT MONEY MARKET FUND -------------------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES @ SHARES ------------------------------------------------------------ --------- YEAR ENDED 9/10/01* ------------------------------------------------------------ THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 8/31/02 -------- -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.06 0.05 0.05 0.02 Less dividends from net investment income 0.02 0.05 0.06 0.05 0.05 0.02 ------ ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== ====== Total Return 1.98% 5.28% 5.83% 4.92% 5.51% 1.96%(a) Ratios/supplemental data: Net assets, end of period (millions) $4,497 $3,769 $2,639 $2,913 $2,797 $447 Ratios to average net assets:# Net expenses 0.26% 0.26% 0.26% 0.25% 0.24% 0.20% Net investment income 1.98% 5.09% 5.66% 4.80% 5.36% 1.89% Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.31% 0.24% 0.32% Net investment income without waivers, reimbursements and earnings credits 1.92% 5.02% 5.59% 4.74% 5.36% 1.77% - -----------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 145
TREASURY PLUS MONEY MARKET FUND -------------------------------------------------------------- MORGAN SHARES^ -------------------------------------------------------------- YEAR ENDED -------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.04 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.59% 4.77% 5.29% 4.39% 5.05% Ratios/supplemental data: Net assets, end of period (millions) $1,103 $1,567 $1,367 $1,734 $1,316 Ratios to average net assets: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.57% 4.70% 5.14% 4.27% 4.92% Expenses without waivers, reimbursements and earnings credits 0.70% 0.72% 0.71% 0.69% 0.70% Net investment income without waivers, reimbursements and earnings credits 1.46% 4.57% 5.02% 4.17% 4.81% - ---------------------------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND -------------------------------------------------------------- PREMIER SHARES -------------------------------------------------------------- YEAR ENDED -------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.04 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.73% 4.91% 5.44% 4.54% 5.18% Ratios/supplemental data: Net assets, end of period (millions) $818 $326 $228 $476 $155 Ratios to average net assets: Net expenses 0.45% 0.45% 0.45% 0.45% 0.46% Net investment income 1.68% 4.84% 5.28% 4.42% 5.06% Expenses without waivers, reimbursements and earnings credits 0.49% 0.52% 0.51% 0.50% 0.50% Net investment income without waivers, reimbursements and earnings credits 1.64% 4.77% 5.22% 4.37% 5.02% - ----------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 146
TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------- AGENCY SHARES @ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.06 0.05 0.05 Less dividends from net investment income 0.02 0.05 0.06 0.05 0.05 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.93% 5.12% 5.65% 4.75% 5.44% Ratios/supplemental data: Net assets, end of period (millions) $1,416 $944 $904 $980 $876 Ratios to average net assets:# Net expenses 0.25% 0.25% 0.25% 0.24% 0.21% Net investment income 1.88% 5.04% 5.48% 4.61% 5.29% Expenses without waivers, reimbursements and earnings credits 0.34% 0.36% 0.36% 0.31% 0.25% Net investment income without waivers, reimbursements and earnings credits 1.79% 4.93% 5.37% 4.54% 5.25% - --------------------------------------------------------------------------------------------------------------------------------- INSTITUTIONAL RESERVE SHARES SHARES -------------- --------- 9/10/01* 9/10/01* THROUGH THROUGH 8/31/02 8/31/02 -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 ------ ------ Income from investment operations: Net investment income 0.02 0.01 Less dividends from net investment income 0.02 0.01 ------ ------ Net asset value, end of period $1.00 $1.00 ====== ====== Total Return 1.90%(a) 1.40%(a) Ratios/supplemental data: Net assets, end of period (millions) $432 $235 Ratios to average net assets:# Net expenses 0.20% 0.70% Net investment income 1.87% 1.35% Expenses without waivers, reimbursements and earnings credits 0.34% 0.74% Net investment income without waivers, reimbursements and earnings credits 1.73% 1.31% - ------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been See notes to financial statements. 147
FEDERAL MONEY MARKET FUND ------------------------------------------------------------- MORGAN SHARES ^ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.01 0.05 0.05 0.04 0.05 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.51% 4.84% 5.29% 4.46% 4.94% Ratios/supplemental data: Net assets, end of period (millions) $452 $658 $576 $550 $359 Ratios to average net assets: Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% Net investment income 1.53% 4.57% 5.17% 4.35% 4.88% Expenses without waivers, reimbursements and earnings credits 0.72% 0.74% 0.75% 0.78% 0.84% Net investment income without waivers, reimbursements and earnings credits 1.51% 4.53% 5.12% 4.27% 4.74% - --------------------------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND ------------------------------------------------------------- PREMIER SHARES ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.02 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.02 0.05 0.05 0.05 0.05 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.77% 5.07% 5.50% 4.67% 5.22% Ratios/supplemental data: Net assets, end of period (millions) $1,404 $276 $279 $298 $313 Ratios to average net assets: Net expenses 0.45% 0.49% 0.50% 0.50% 0.50% Net investment income 1.73% 4.78% 5.35% 4.56% 5.07% Expenses without waivers, reimbursements and earnings credits 0.47% 0.49% 0.50% 0.50% 0.51% Net investment income without waivers, reimbursements and earnings credits 1.71% 4.78% 5.35% 4.56% 5.06% - ---------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 148
FEDERAL MONEY MARKET FUND ----------------------------------------------------------------------- AGENCY SHARES @ INSTITUTIONAL SHARES ------------------------------------------------------- ------------- YEAR ENDED 9/10/01* ------------------------------------------------------- THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 8/31/02 -------- -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.02 0.05 0.06 0.05 0.05 0.02 Less dividends from net investment income 0.02 0.05 0.06 0.05 0.05 0.02 ----- ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== ===== Total Return 1.96% 5.30% 5.75% 4.92% 5.46% 1.93%(a) Ratios/supplemental data: Net assets, end of period (millions) $523 $1,169 $287 $248 $198 $1,953 Ratios to average net assets:# Net expenses 0.26% 0.26% 0.26% 0.26% 0.27% 0.20% Net investment income 2.02% 5.01% 5.61% 4.79% 5.32% 1.97% Expenses without waivers, reimbursements and earnings credits 0.32% 0.34% 0.34% 0.34% 0.27% 0.32% Net investment income without waivers, reimbursements and earnings credits 1.96% 4.93% 5.53% 4.71% 5.32% 1.85% - --------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 149
CALIFORNIA TAX FREE MONEY MARKET FUND ----------------------------------------------------- MORGAN SHARES ^ ----------------------------------------------------- YEAR ENDED ----------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.13% 2.70% 3.00% 2.66% 2.97% Ratios/supplemental data: Net assets, end of period (millions) $163 $83 $78 $68 $50 Ratios to average net assets: Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% Net investment income 1.05% 2.68% 3.03% 2.55% 2.89% Expenses without waivers, reimbursements and earnings credits 0.76% 0.83% 0.90% 0.94% 0.93% Net investment income without waivers, reimbursements and earnings credits 0.84% 2.40% 2.68% 2.16% 2.51% - ------------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 150
NEW YORK TAX FREE MONEY MARKET FUND ------------------------------------------------------------- MORGAN SHARES ^ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------ ------ ------ ------ ------ Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 ------ ------ ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ====== ====== ====== ====== ====== Total Return 1.20% 2.98% 3.27% 2.66% 3.03% Ratios/supplemental data: Net assets, end of period (millions) $2,123 $2,439 $1,831 $1,505 $1,372 Ratios to average net assets:# Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.17% 2.88% 3.24% 2.61% 2.97% Expenses without waivers, reimbursements and earnings credits 0.69% 0.71% 0.70% 0.71% 0.72% Net investment income without waivers, reimbursements and earnings credits 1.07% 2.76% 3.13% 2.49% 2.84% - --------------------------------------------------------------------------------------------------------------------------------- RESERVE SHARES ---------------------------------- YEAR ENDED 7/31/00* -------------------- THROUGH 8/31/02 8/31/01 8/31/00 ------- ------- ------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 ----- ----- ----- Income from investment operations: Net investment income 0.01 0.03 -- Less dividends from net investment income 0.01 0.03 -- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 ===== ===== ===== Total Return 1.00% 2.77% 0.28%(a) Ratios/supplemental data: Net assets, end of period (millions) $180 $--+ $--+ Ratios to average net assets:# Net expenses 0.79% 0.90% 0.79% Net investment income 0.85% 2.57% 3.04% Expenses without waivers, reimbursements and earnings credits 0.90% 1560.21%!! 1.49% Net investment income without waivers, reimbursements and earnings credits 0.74% (1556.74%)!! 2.34% - -------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. * Commencement of offering of class of shares. (a) Not annualized. + Amount rounds to less than one million. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. See notes to financial statements. 151
TAX FREE MONEY MARKET FUND ------------------------------------------------------------- MORGAN SHARES ^ ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.21% 3.13% 3.37% 2.73% 3.10% Ratios/supplemental data: Net assets, end of period (millions) $903 $907 $895 $754 $733 Ratios to average net assets: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% Net investment income 1.14% 3.09% 3.33% 2.68% 3.05% Expenses without waivers, reimbursements and earnings credits 0.69% 0.72% 0.75% 0.73% 0.72% Net investment income without waivers, reimbursements and earnings credits 1.04% 2.96% 3.17% 2.54% 2.92% - --------------------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND ------------------------------------------------------------- PREMIER SHARES ------------------------------------------------------------- YEAR ENDED ------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.03 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.03 0.03 0.03 0.03 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.35% 3.21% 3.41% 2.78% 3.17% Ratios/supplemental data: Net assets, end of period (millions) $3,066 $116 $120 $130 $133 Ratios to average net assets: Net expenses 0.45% 0.51% 0.55% 0.54% 0.53% Net investment income 1.25% 3.17% 3.40% 2.74% 3.10% Expenses without waivers, reimbursements and earnings credits 0.48% 0.53% 0.59% 0.56% 0.53% Net investment income without waivers, reimbursements and earnings credits 1.22% 3.15% 3.26% 2.72% 3.10% - ---------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares See notes to financial statements. 152
TAX FREE MONEY MARKET FUND ---------------------------------------------------------------- INSTITUTIONAL AGENCY SHARES @ SHARES ------------------------------------------------ ------------- YEAR ENDED 9/10/01* ------------------------------------------------ THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 8/31/02 -------- -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.02 0.03 0.04 0.03 0.03 0.02 Less dividends from net investment income 0.02 0.03 0.04 0.03 0.03 0.02 ----- ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== ===== Total Return 1.54% 3.47% 3.71% 3.07% 3.45% 1.54%(a) Ratios/supplemental data: Net assets, end of period (millions) $1,091 $921 $640 $476 $410 $3,891 Ratios to average net assets:# Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% Net investment income 1.45% 3.42% 3.67% 3.01% 3.37% 1.46% Expenses without waivers, reimbursements and earnings credits 0.33% 0.36% 0.39% 0.35% 0.26% 0.33% Net investment income without waivers, reimbursements and earnings credits 1.38% 3.32% 3.54% 2.92% 3.37% 1.33% - -------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 153
LIQUID ASSETS MONEY MARKET FUND -------------------------------------------------------- MORGAN PREMIER AGENCY INSTITUTIONAL SHARES SHARES SHARES SHARES --------- --------- --------- ---------- 4/1/02** 4/1/02** 4/1/02** 4/1/02** THROUGH THROUGH THROUGH THROUGH 8/31/02 8/31/02 8/31/02 8/31/02 --------- --------- --------- ---------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.01 0.01 0.01 Less dividends from net investment income 0.01 0.01 0.01 0.01 ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== Total Return 0.64%(a) 0.70%(a) 0.78%(a) 0.81%(a) Ratios/supplemental data: Net assets, end of period (millions) $17 $26 $53 $1,119 Ratios to average net assets:# Net expenses 0.45% 0.31% 0.13% 0.08% Net investment income 1.51% 1.65% 1.82% 1.87% Expenses without waivers, reimbursements and earnings credits 0.83% 0.63% 0.44% 0.40% Net investment income without waivers, reimbursements and earnings credits 1.13% 1.33% 1.51% 1.55% - ----------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 154
PRIME MONEY MARKET FUND ------------------------------------------------------ MORGAN SHARES ^ ------------------------------------ YEAR ENDED 10/1/98* ------------------------------------ THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 ------- ------- ------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- Income from investment operations: Net investment income 0.02 0.05 0.06 0.04 Less dividends from net investment income 0.02 0.05 0.06 0.04 ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== Total Return 1.71% 5.10% 5.65% 4.26%(a) Ratios/supplemental data: Net assets, end of period (millions) $7,552 $10,367 $1,475 $515 Ratios to average net assets:# Net expenses 0.58% 0.59% 0.59% 0.59% Net investment income 1.72% 4.82% 5.53% 4.61% Expenses without waivers, reimbursements and earnings credits 0.61% 0.61% 0.61% 0.72% Net investment income without waivers, reimbursements and earnings credits 1.69% 4.80% 5.51% 4.48% - ------------------------------------------------------------------------------------------------------------------------------------ PRIME MONEY MARKET FUND --------------------------------------------------------------------- PREMIER SHARES --------------------------------------------------------------------- YEAR ENDED --------------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.02 0.05 0.06 0.05 0.05 Less dividends from net investment income 0.02 0.05 0.06 0.05 0.05 ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== Total Return 1.85% 5.25% 5.81% 4.90% 5.44% Ratios/supplemental data: Net assets, end of period (millions) $5,182 $2,153 $1,841 $1,094 $590 Ratios to average net assets:# Net expenses 0.44% 0.45% 0.45% 0.45% 0.45% Net investment income 1.80% 4.96% 5.67% 4.77% 5.29% Expenses without waivers, reimbursements and earnings credits 0.47% 0.49% 0.49% 0.49% 0.51% Net investment income without waivers, reimbursements and earnings credits 1.77% 4.92% 5.63% 4.73% 5.23% - --------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. * Commencement of offering of class of shares. (a) Not annualized. # Short periods have been annualized. See notes to financial statements. 155
PRIME MONEY MARKET FUND ----------------------------------------------------------------- AGENCY SHARES @ ----------------------------------------------------------------- YEAR ENDED ----------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------ ------ ------ Income from investment operations: Net investment income 0.02 0.05 0.06 0.05 0.06 Less dividends from net investment income 0.02 0.05 0.06 0.05 0.06 ------- ------- ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ====== ====== ====== Total Return 2.05% 5.45% 6.01% 5.10% 5.65% Ratios/supplemental data: Net assets, end of period (millions) $12,562 $16,676 $9,430 $8,161 $4,722 Ratios to average net assets: Net expenses 0.25% 0.26% 0.26% 0.26% 0.24% Net investment income 2.08% 5.15% 5.86% 4.96% 5.50% Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.33% 0.24% Net investment income without waivers, reimbursements and earnings credits 2.01% 5.08% 5.79% 4.89% 5.50% - ------------------------------------------------------------------------------------------------------------------------------------ PRIME MONEY MARKET FUND ----------------------------------------------------------------- CLASS B SHARES ----------------------------------------------------------------- YEAR ENDED ----------------------------------------------------------------- 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 ------- ------- ------ ------ ------ Income from investment operations: Net investment income 0.01 0.04 0.05 0.04 0.05 Less dividends from net investment income 0.01 0.04 0.05 0.04 0.05 ------- ------- ------ ------ ------ Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 ======= ======= ====== ====== ====== Total Return 1.05% 4.43% 4.97% 4.07% 4.60% Ratios/supplemental data: Net assets, end of period (millions) $13 $18 $11 $36 $29 Ratios to average net assets: Net expenses 1.23% 1.24% 1.25% 1.25% 1.25% Net investment income 1.10% 4.17% 4.87% 4.00% 4.49% Expenses without waivers, reimbursements and earnings credits 1.26% 1.26% 1.27% 1.47% 1.50% Net investment income without waivers, reimbursements and earnings credits 1.07% 4.15% 4.85% 3.78% 4.24% - ------------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. See notes to financial statements 156
PRIME MONEY MARKET FUND ------------------------------------------------------------------- INSTITUTIONAL CLASS C SHARES SHARES ------------------------------------------------ -------- YEAR ENDED 5/14/98* 9/10/01* -------------------------------------- THROUGH THROUGH 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 8/31/02 -------- -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ----- ----- ----- ----- ----- ----- Income from investment operations: Net investment income 0.01 0.04 0.05 0.04 0.01 0.02 Less dividends from net investment income 0.01 0.04 0.05 0.04 0.01 0.02 ----- ----- ----- ----- ----- ----- Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00 ===== ===== ===== ===== ===== ===== Total Return 1.05% 4.43% 4.95% 3.85% 1.29%(a) 2.02%(a) Ratios/supplemental data: Net assets, end of period (millions) $1 $--+ $--+ $1 $1 $21,881 Ratios to average net assets:# Net expenses 1.23% 1.24% 1.26% 1.45% 1.50% 0.19% Net investment income 1.16% 4.17% 4.86% 3.75% 4.21% 2.06% Expenses without waivers, reimbursements and earnings credits 1.26% 1.26% 1.26% 1.45% 1.50% 0.32% Net investment income without waivers, reimbursements and earnings credits 1.13% 4.15% 4.86% 3.75% 4.21% 1.93% - -------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ----------------------------------------------------------------- CASH MANAGEMENT RESERVE SHARES SELECT SHARES SHARES ---------------------------- ------- ------- YEAR ENDED 7/31/00* 9/10/01* 9/10/01* ------------------ THROUGH THROUGH THROUGH 8/31/02 8/31/01 8/31/00 8/31/02 8/31/02 -------- -------- -------- -------- -------- Per share operating performance: Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 Income from investment operations: Net investment income 0.02 0.05 0.01 0.02 0.01 Less dividends from net investment income 0.02 0.05 0.01 0.02 0.01 Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 Total Return 1.60% 4.88% 0.50%(a) 1.78%(a) 1.25%(a) Ratios/supplemental data: Net assets, end of period (millions) $393 $10 $--+ $1,064 $282 Ratios to average net assets:# Net expenses 0.68% 0.79% 0.79% 0.42% 0.96% Net investment income 1.41% 4.62% 5.33% 1.83% 1.17% Expenses without waivers, reimbursements and earnings credits 0.72% 2.17% 1.45% 0.46% 0.99% Net investment income without waivers, reimbursements and earnings credits 1.37% 3.24% 4.67% 1.79% 1.14% - ------------------------------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. (a) Not annualized. + Amount rounds to less than one million. # Short periods have been annualized. See notes to financial statements. 157 JPMORGAN FUNDS REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees and Shareholders of Mutual Fund Trust: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Liquid Assets Money Market Fund, and JPMorgan Prime Money Market Fund (separate portfolios of Mutual Fund Trust, hereafter referred to as the "Funds") at August 31, 2002, and the results of each of their operations for the year then ended (for JPMorgan Liquid Assets Money Market Fund, for the period from April 1, 2002 (commencement of operations) through August 31, 2002), the changes in each of their net assets for the two years in the period then ended (for JPMorgan Liquid Assets Money Market Fund, for the period from April 1, 2002 (commencement of operations) through August 31, 2002) and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereinafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audits 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 include confirmation of securities at August 31, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP 1177 Avenue of the Americas New York, New York 10036 October 18, 2002 158 JPMORGAN FUNDS TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
NAME, CONTACT ADDRESS POSITIONS TERM OF OFFICE PRINCIPAL NUMBER OF PORT- OTHER AND DATE OF BIRTH HELD WITH AND LENGTH OF OCCUPATIONS FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TIME SERVED DURING PAST FUND COMPLEX HELD OUTSIDE JPMORGAN 5 YEARS OVERSEEN BY JPMORGAN FUND TRUST TRUSTEE COMPLEX - ---------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Since 1994 Retired; Vice President 75 None 522 Fifth Avenue, and Treasurer of New York, NY 10036; Ingersoll Rand 12/4/1941 Company Roland R. Eppley, Jr.; Trustee Since 1994 Retired 75 Trustee of 522 Fifth Avenue, Janel Hydraulics, Inc. New York, NY 10036; 4/1/1932 Ann Maynard Gray; Trustee Since 2001 Formerly Vice 75 Director of Duke Energy 522 Fifth Avenue, President, Capital Corporation, Elan New York, NY 10036; Cities/ABC, Inc.; Corporation, plc and 8/22/1945 President of Diversified The Phoenix Companies Publishing Group Matthew Healey; Trustee and Since 2001 Retired; Chief 75 None 522 Fifth Avenue, President of Executive Officer of New York, NY 10036; the Board of certain J.P. Morgan 8/23/1937 Trustees Fund Trusts Fergus Reid, III; Trustee and Since 1994 Chairman and Chief 75 Trustee of Morgan 522 Fifth Avenue, Chairman Executive Officer, Stanley Funds New York, NY 10036; of the Lumelite Corporation 8/12/1932 Board of Trustees James J. Schonbachler; Trustee Since 2001 Retired; Managing 75 Director of Jonathans 522 Fifth Avenue, Director of Bankers Landing Golf Club, Inc. New York,NY 10036; Trust Company, Group 1/26/1943 Head and Director, Bankers Trust, A.G., Zurich and Director, BT Brokerage Corp. Robert J. Higgins; Trustee Since 2002 Retired; President of 75 Director of Providian 522 Fifth Avenue, Fleet Boston Financial Financial Corp., Lincoln New York,NY 10036; Corp. Center for Performing 10/9/1945 Arts and Rhode Island School of Design INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Since 1998 Retired; Chief 75 Director of Greenview 522 Fifth Avenue, Executive Officer of Trust Co. New York, NY 10036; Chase Mutual Funds; 7/20/1935 President and Chief Executive Officer of Vista Capital Management; Chief Investment Executive of the Chase Manhattan Private Bank
* Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. 159
NAME, CONTACT ADDRESS POSITIONS HELD TERM OF OFFICE PRINCIPAL OCCUPATIONS AND DATE OF BIRTH WITH EACH AND LENGTH OF DURING PAST 5 YEARS JPMORGAN TRUST TIME SERVED - ---------------------------------------------------------------------------------------------------------------------------------- George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment 522 Fifth Avenue, Management, Inc. ("JPMIM") and J.P. Morgan New York, NY 10036; Fleming Asset Management (USA) Inc. 12/21/1962 ("JPMFAM (USA)") and head of JPMorgan Fleming's U.S. Mutual Funds and Financial Intermediaries Business ("FFI") David Wezdenko; Treasurer Since 2001 Managing Director, JPMIM and JPMFAM 522 Fifth Avenue, (USA) and Chief Operating Officer for FFI New York, NY 10036; 10/2/1963 Sharon Weinberg; Secretary Since 2001 Managing Director, JPMIM and JPMFAM 522 Fifth Avenue, (USA) and head of Business and Product New York,NY 10036; Strategy for FFI 6/15/1959 Michael Moran; Vice President Since 2001 Vice President, JPMIM and JPMFAM (USA) 522 Fifth Avenue, and Assistant and Chief Financial Officer for FFI New York, NY 10036; Treasurer 7/14/1969 Stephen Ungerman; Vice President Since 2001 Vice President, JPMIM and JPMFAM 522 Fifth Avenue, and Assistant (USA) and Head of the Fund Service Group New York, NY 10036; Treasurer within Fund Administration, formerly Tax 6/2/1953 Director and Co-head of Fund Administration, Prudential Insurance Co. and formerly Assistant Treasurer of mutual funds, Prudential Insurance Co. Judy R. Bartlett; Vice President Since 2001 Vice President and Assistant General 522 Fifth Avenue, and Assistant Counsel, JPMIM and JPMFAM (USA), New York, NY 10036; Secretary formerly attorney and Assistant Secretary, 5/29/1965 Mainstay Funds and associate at law firm of Willkie, Farr & Gallagher Joseph J. Bertini; Vice President Since 2001 Vice President and Assistant General 522 Fifth Avenue, and Assistant Counsel, JPMIM and JPMFAM (USA) and New York, NY 10036; Secretary formerly attorney in the Mutual Fund Group, 11/4/1965 SunAmerica Asset Management, Inc. Thomas J. Smith; Vice President Since 2002 Vice President and Head of Compliance, 522 Fifth Avenue, and Assistant J.P. Morgan Chase & Cos. asset management New York, NY 10036; Secretary business in the Americas, formerly member 6/24/1955 of Investment Management - Risk Management/Compliance Group for the Chase Manhattan Corporation
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 160 TAX LETTER (UNAUDITED) JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ("USTS") JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND ("USG") JPMORGAN TREASURY PLUS MONEY MARKET FUND ("TP") JPMORGAN FEDERAL MONEY MARKET FUND ("FED") JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND ("CTF") JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND ("NYTF") JPMORGAN TAX FREE MONEY MARKET FUND ("TF") JPMORGAN LIQUID ASSETS MONEY MARKET FUND ("LA") JPMORGAN PRIME MONEY MARKET FUND ("PRM") 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, 2002. 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, 2002. The information necessary to complete your income tax returns for the calendar year ending December 31, 2002 will be received under separate cover. The following schedule presents the source and percentage of income from government obligations for the fiscal year ended August 31, 2002.
USTS USG TP FED PRM - ----------------------------------------------------------------------------------------------------- U.S. Treasury Obligations 99.89% 4.24% 61.29% 13.90% -- Federal Farm Credit Bank -- 6.05% -- 27.20% -- Federal Home Loan Bank -- 10.74% -- 41.33% 0.27% Student Loan Marketing Association -- 4.97% -- 11.23% -- Tennessee Valley Authority -- 0.31% -- 5.78% -- Federal Home Loan Mortgage -- 20.46% -- 0.06% 0.34% Federal National Mortgage Association -- 31.17% -- 0.32% 1.25%
Also, for the fiscal year ended August 31, 2002: - - The dividends paid from net investment income are 99.71%, 99.83% and 99.69% exempt from Federal income tax for CTF, NYTF and TF, 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 24.11%, 8.17% and 11.95% for CTF, NYTF and TF, respectively. 161 JPMORGAN FUNDS U.S. EQUITY FUNDS Balanced Fund Capital Growth Fund Core Equity Fund Disciplined Equity Fund Disciplined Equity Value Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund SmartIndex(TM) Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund SELECT FUNDS Select Balanced Fund Select Equity Income Fund Select International Equity 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 Enhanced Income Fund Tax Aware Small Company Opportunities Fund Tax Aware U.S. Equity Fund SPECIALTY FUNDS Focus Fund Global 50 Fund Global Healthcare Fund H&Q Technology Fund Market Neutral Fund INTERNATIONAL EQUITY FUNDS Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Growth Fund Fleming International Value Fund Fleming International Opportunities Fund Fleming Japan Fund Fleming Asia Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund 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 Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund ANNUAL REPORT JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. 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., 2002 All Rights Reserved. October 2002 AN-MM-802 -----END PRIVACY-ENHANCED MESSAGE-----