-----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, Tgox0EGnZRZ/Xb/AS7TqupsDUNZq3i2fCzdW4cd/WGSEidZO1FOwLwDG4Qtf6QMk zL/kAFY8mhX9hocan8BrLQ== 0001047469-03-016378.txt : 20030502 0001047469-03-016378.hdr.sgml : 20030502 20030502092015 ACCESSION NUMBER: 0001047469-03-016378 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030228 FILED AS OF DATE: 20030502 EFFECTIVENESS DATE: 20030502 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN 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: 03678143 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 16TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 800-348-4782 MAIL ADDRESS: STREET 1: J.P. MORGAN FLEMING ASSET MANAGEMENT STREET 2: 522 FIFTH AVENUE, 16TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MUTUAL FUND TRUST DATE OF NAME CHANGE: 19940215 N-30D 1 a2108474zn-30d.txt N-30D [GRAPHIC] SEMI-ANNUAL REPORT FEBRUARY 28, 2003 (UNAUDITED) JPMORGAN FUNDS 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 104 Notes to Financial Statements 119 Financial Highlights 145
HIGHLIGHTS - - Economic weakness persists - - Energy prices rise 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 APRIL 7, 2003 DEAR SHAREHOLDER: We are pleased to present this semi-annual report for the JPMorgan Money Market Funds for the six-month period ended February 28, 2003. Inside you'll find in-depth information on our money market funds along with updates from the portfolio management team. ECONOMIC WEAKNESS PERSISTS Numerous forces have combined to hold back the U.S. economy from a powerful recovery. Among them: business spending, lackluster corporate earnings, a declining stock market, and escalating geopolitical risk. The fixed-income markets were volatile throughout the period as investors flocked to the relative safety of the highest quality issues. For a time, the financial markets had reason for optimism as Republican majorities were elected to both the House and the Senate. Investors speculated that the new balance of power could lead to additional tax cuts as well as the elimination of the double taxation of corporate dividends. They also believed that the Federal Reserve Board would respond to continued economic weakness and earnings disappointments by easing short-term interest rates once again. And in fact, the Fed did cut rates -- by one-half percent -- during November. ENERGY PRICES RISE In the first two months of 2003, war fears and associated energy issues dominated the news. During January and February, commodity energy prices rose between 40% and 50%, reflecting a heightened war premium and the supply constraints arising from the general strike in Venezuela. In our opinion, the higher consumer prices may reduce household real income by 0.6% (unannualized) over the next few months. Rising energy prices are likely to put more pressure on the American consumer, whose confidence has faltered in recent months. During February, the Conference Board reported that its measure of consumer confidence fell to its lowest level since 1993. One bright spot continues to be the housing sector, which remains robust. As war fears grew during the period, investors became more risk averse and money market funds saw large inflows of cash. Although yields have further dropped the Fed's rate cuts, money market funds were perceived as a safe haven by anyone worried about the war with Iraq and its effect on the stock and bond markets. 1 In this time of uncertainty, your portfolio managers are working hard to maintain good performance. During the months ahead, they will continue to focus on preservation of principal while trying 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 business and anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact your financial advisor or the JPMorgan Funds Service Center at 1-800-348-4782. 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 FEBRUARY 28, 2003 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 $6.2 BILLION Average maturity 71 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 0.0% 2-7 days 3.0% 8-30 days 21.8% 31-60 days 27.3% 61-90 days 23.1% 91-180 days 24.0% 181+ days 0.8%
7-DAY SEC YIELD(1) Morgan Shares 0.69% Premier Shares 0.82% Agency Shares 1.03% Institutional Shares 1.08%
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 0.59%, 0.80%, 0.96% and 0.96% 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. 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 FEBRUARY 28, 2003 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 $9.5 BILLION Average maturity 43 DAYS S&P rating* AAA Moody's rating* Aaa NAIC raiting* 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 2.1% 2-7 days 46.9% 8-30 days 19.1% 31-60 days 14.7% 61-90 days 1.8% 91-180 days 6.5% 181+ days 8.9%
7-DAY SEC YIELD(1) Morgan Shares 0.82% Premier Shares 0.96% Agency Shares 1.15% Institutional Shares 1.21%
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 0.72%, 0.84%, 1.09% and 1.09% 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. 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 FEBRUARY 28, 2003 FUND FACTS Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES AS WELL AS REPURCHASE AGREEMENTS WHICH ARE FULLY COLLATERALIZED BY OBLIGATIONS ISSUED OR GUARANTEED BY THE U.S. TREASURY Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, RESERVE AND INSTITUTIONAL SHARES Net assets $3.7 BILLION Average maturity 57 DAYS S&P rating* AAA Moody's rating* Aaa NAIC raiting* 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 44.9% 8-30 days 14.0% 31-60 days 7.8% 61-90 days 1.4% 91-180 days 17.2% 181+ days 14.7%
7-DAY SEC YIELD(1) Morgan Shares 0.82% Premier Shares 0.96% Agency Shares 1.16% Institutional Shares 1.21% Reserve Shares 0.71%
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, Reserve Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.71%, 0.92%, 1.07%, 0.66% and 1.07% 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. 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 FEBRUARY 28, 2003 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 $4.4 BILLION Average maturity 38 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 7.9% 2-7 days 15.2% 8-30 days 36.9% 31-60 days 21.5% 61-90 days 9.6% 91-180 days 4.0% 181+ days 4.9%
7-DAY SEC YIELD(1) Morgan Shares 0.70% Premier Shares 0.95% Agency Shares 1.14% Institutional Shares 1.20%
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 0.61%, 0.93%, 1.08% and 1.08% 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. 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 FEBRUARY 28, 2003 FUND FACTS Objective HIGH CURRENT 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 $163.5 MILLION Average maturity 41 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 9.4% 2-7 days 68.6% 8-30 days 0.0% 31-60 days 1.9% 61-90 days 0.0% 91-180 days 12.9% 181+ days 7.2%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------- Morgan Shares 0.63% 1.13%
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 0.46%. (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 FEBRUARY 28, 2003 FUND FACTS Objective HIGH CURRENT 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 $2.2 BILLION Average maturity 42 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 5.1% 2-7 days 68.4% 8-30 days 2.0% 31-60 days 2.5% 61-90 days 1.6% 91-180 days 13.0% 181+ days 7.4%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------- Morgan Shares 0.63% 1.15% Reserve Shares 0.44% 0.80%
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 0.53% for Morgan Shares and 0.36% 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 FEBRUARY 28, 2003 FUND FACTS Objective HIGH CURRENT 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 $9.4 BILLION Average maturity 37 DAYS S&P rating** AAA Moody's rating NOT RATED NAIC raiting 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 5.5% 2-7 days 71.3% 8-30 days 1.2% 31-60 days 1.4% 61-90 days 1.4% 91-180 days 10.2% 181+ days 9.0%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------- Morgan Shares 0.64% 1.04% Premier Shares 0.78% 1.27% Agency Shares 0.97% 1.58% Institutional Shares 1.03% 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 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 0.54%, 0.75%, 0.90% and 0.91% 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 FEBRUARY 28, 2003 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 $2.7 BILLION Average maturity 73 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 7.1% 2-7 days 7.2% 8-30 days 23.9% 31-60 days 18.3% 61-90 days 23.9% 91-180 days 10.4% 181+ days 9.2%
7-DAY SEC YIELD(1) Morgan Shares 0.89% Premier Shares 1.03% Agency Shares 1.22% Institutional Shares 1.28%
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 0.57%, 0.93%, 1.09% and 1.11% 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. 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 FEBRUARY 28, 2003 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 $56.6 BILLION Average maturity 45 DAYS S&P rating* AAA Moody's rating* Aaa NAIC raiting* 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 4.9% 2-7 days 23.1% 8-30 days 25.8% 31-60 days 22.7% 61-90 days 10.5% 91-180 days 10.4% 181+ days 2.6%
7-DAY SEC YIELD(1) Morgan Shares 0.85% Premier Shares 0.99% Agency Shares 1.18% Select Shares 1.00% Cash Management Shares 0.49% Institutional Shares 1.24% Reserve Shares 0.74% B Shares 0.20% C Shares 0.19%
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 0.81%, 0.98%, 1.13%, 0.96%, 0.48%, 1.13%, 0.72%, 0.16% and 0.15% 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. 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 February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. TREASURY SECURITIES -- 100.0% U.S. Treasury Bills, $ 186,622 1.49%, 03/06/03 $ 186,583 241,203 1.43%, 03/13/03 241,088 519,263 1.28%, 03/20/03 518,911 585,603 1.30%, 03/27/03 585,056 139,235 1.16%, 04/03/03 139,087 356,444 1.26%, 04/10/03 355,943 538,746 1.21%, 04/17/03 537,898 506,433 1.20%, 04/24/03 505,522 273,339 1.19%, 05/01/03 272,789 550,474 1.17%, 05/08/03 549,260 334,718 1.20%, 05/15/03 333,881 273,440 1.14%, 05/22/03 272,730 19,387 1.17%, 06/05/03 19,327 278,103 1.16%, 06/19/03 277,114 90,132 1.23%, 07/10/03 89,730 482,880 1.16%, 08/07/03 480,397 400,000 1.15%, 08/14/03 397,870 12,221 1.17%, 08/21/03 12,152 U.S. Treasury Notes & Bonds, 150,000 4.25%, 03/31/03 150,224 75,000 5.25%, 08/15/03 76,396 125,000 5.75%, 08/15/03 127,252 50,000 3.00%, 02/29/04 50,821 - -------------------------------------------------------------------------------- Total Investments-- 100.0% $ 6,180,031 (Cost $6,180,031) * - --------------------------------------------------------------------------------
See notes to financial statements. 12 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. GOVERNMENT AGENCY SECURITIES -- 60.4% Federal Farm Credit Bank, $ 6,017 1.19%, 03/03/03, DN $ 6,017 550,000 1.20%, 03/19/03, FRN 550,000 75,000 2.95%, 04/01/03 74,999 100,000 1.19%, 05/02/03, FRN 99,998 92,000 1.27%, 05/08/03, FRN 91,997 58,000 1.27%, 08/08/03, FRN 58,000 43,019 1.21%, 08/25/03, DN 42,763 23,000 1.80%, 11/03/03 23,005 Federal Home Loan Bank, 177,500 1.20%, 03/21/03, Ser. 248, FRN 177,496 62,000 1.23%, 03/21/03, DN 61,958 22,610 1.20%, 03/26/03, DN 22,591 70,000 2.53%, 04/04/03, Ser. CS-03 70,000 25,000 2.55%, 04/08/03, Ser. DQ-03 25,000 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, Ser. FI-03 50,000 45,000 1.27%, 07/25/03, Ser. YR-03, FRN 45,000 17,000 6.88%, 08/15/03 17,389 20,000 1.90%, 11/14/03, Ser. 9J-03 20,000 150,000 1.36%, 03/05/04, Ser. GH-04 150,000 Federal Home Loan Mortgage Corp., 200,000 1.24%, 03/04/03, DN 199,979 50,000 4.75%, 03/15/03 50,037 301,100 1.67%, 03/27/03, DN 300,738 199,316 1.26%, 03/28/03, DN 199,128 100,000 1.23%, 03/31/03, DN 99,898 43,020 1.26%, 04/24/03, DN 42,935 90,000 1.33%, 05/22/03, DN 89,727 96,500 1.92%, 07/17/03, DN 95,790 68,000 6.38%, 11/15/03 70,335 140,000 1.30%, 01/29/04, DN 138,311 44,425 5.25%, 02/15/04 46,069 Federal National Mortgage Association, 339,000 1.25%, 03/07/03, DN 338,929 175,000 1.25%, 03/12/03, DN 174,933 100,000 1.29%, 03/19/03, DN 99,936 50,000 1.25%, 03/20/03, FRN 50,000 183,936 1.24%, 04/02/03, DN 183,732 72,757 2.50%, 04/04/03, DN 72,583 150,000 1.19%, 04/15/03, FRN 149,990 117,863 5.75%, 04/15/03 118,342 185,000 1.69%, 04/16/03, DN 184,601 80,000 1.29%, 04/25/03, DN 79,842 135,000 1.29%, 04/28/03, DN 134,719 100,000 1.29%, 04/29/03, DN 99,789 83,000 1.31%, 05/28/03, DN 82,734
See notes to financial statements. 13 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Federal National Mortgage Association -- Continued $ 200,000 1.30%, 06/20/03, DN $ 199,198 100,000 1.23%, 06/23/03 99,611 71,000 1.99%, 06/27/03, DN 70,537 5,000 4.00%, 08/15/03 5,049 90,000 1.82%, 08/22/03, DN 89,210 192,000 1.23%, 09/15/03, DN 190,701 87,531 1.26%, 12/04/03 86,679 108,000 5.13%, 02/13/04 111,840 Student Loan Marketing Association, 49,329 1.20%, 03/04/03, DN 49,324 34,248 1.20%, 03/14/03, DN 34,233 47,300 2.53%, 04/15/03, DN 47,150 15,000 1.79%, 09/02/03, DN 14,862 ------------------------------------------------------------------- Total U.S. Government Agency Securities 5,757,084 (Cost $5,757,084) ------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 39.6% 200,000 Bear Stearns & Co., Inc., 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $200,023, collateralized by U.S. Government Agency Securities 200,000 905,000 Credit Suisse First Boston, 1.37%, dated 02/28/03, due 03/03/03, repurchase price, $905,103, collateralized by U.S. Government Agency Securities 905,000 625,829 Deutsche Bank Securities, Inc., 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $625,901, collateralized by U.S. Government Agency Securities 625,829 538,981 Greenwich Capital Markets, Inc., 1.38%, dated 02/28/02, due 03/03/03, repurchase price, $539,043, collateralized by U.S. Treasury Agency 538,981 305,000 Salomon Smith Barney, Inc., 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $305,035, collateralized by U.S. Treasury Securities 305,000 1,200,000 UBS Warburg LLC, 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $1,200,138, collateralized by U.S. Treasury Securities 1,200,000 ------------------------------------------------------------------- Total Repurchase Agreements 3,774,810 (Cost $3,774,810) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 9,531,894 (Cost $9,531,894) * - --------------------------------------------------------------------------------
See notes to financial statements. 14 JPMORGAN TREASURY PLUS MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. TREASURY SECURITIES -- 59.0% U.S. Treasury Bills, $ 20,000 1.20%, 03/06/03 $ 19,997 125,000 1.53%, 03/06/03 124,974 20,000 1.39%, 03/20/03 19,985 300,000 1.18%, 03/27/03 299,744 200,000 1.58%, 03/27/03 199,773 100,000 1.63%, 04/17/03 99,787 125,000 1.21%, 06/05/03 124,597 150,000 1.22%, 06/19/03 149,443 150,000 1.18%, 08/21/03 149,153 250,000 1.18%, 08/28/03 248,525 U.S. Treasury Notes & Bonds, 190,000 4.25%, 03/31/03 190,283 50,000 5.75%, 04/30/03 50,266 100,000 3.88%, 07/31/03 101,066 107,951 11.13%, 08/15/03 112,860 295,000 3.63%, 08/31/03 297,731 ------------------------------------------------------------------- Total U.S. Treasury Securities 2,188,184 (Cost $2,188,184) ------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 41.0% 415,000 Credit Suisse First Boston, 1.33%, dated 02/28/03, due 03/03/03, repurchase price, $415,046, collateralized by U.S. Treasury Bonds 415,000 295,232 Deutsche Bank Securities, Inc., 1.33%, dated 02/28/03, due 03/03/03, repurchase price, $295,265, collateralized by U.S. Treasury Securities 295,232 42,553 Greenwich Capital Markets, 1.33%, dated 02/28/03, due 03/03/03, repurchase price, $42,558, collateralized by U.S. Treasury Bonds 42,553 350,000 Salomon Smith Barney, Inc., 1.33%, dated 02/28/03, due 03/03/03, repurchase price, $350,039, collateralized by U.S. Treasury Securities 350,000 415,000 UBS Warburg LLC, 1.33%, dated 02/28/03, due 03/03/03, repurchase price, $415,046, collateralized by U.S. Treasury Securities 415,000 ------------------------------------------------------------------- Total Repurchase Agreements 1,517,785 (Cost $1,517,785) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 3,705,969 (Cost $3,705,969)* - --------------------------------------------------------------------------------
See notes to financial statements. 15 JPMORGAN FEDERAL MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. TREASURY SECURITIES -- 7.0% U.S. Treasury Bills, $ 200,000 1.21%, 03/20/03 $ 199,872 106,877 1.39%, 03/20/03 106,799 ------------------------------------------------------------------- Total U.S. Treasury Securities 306,671 (Cost $306,671) ------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 93.0% Federal Farm Credit Bank, 62,006 1.19%, 03/03/03, DN 62,002 7,000 1.23%, 03/03/03, DN 7,000 50,000 1.24%, 03/03/03, DN 49,997 50,000 1.24%, 03/04/03, DN 49,995 75,000 1.26%, 03/14/03, DN 74,966 450,000 1.20%, 03/19/03, FRN 449,999 20,000 1.22%, 04/25/03, DN 19,963 50,000 1.26%, 04/25/03, DN 49,904 50,000 1.19%, 05/02/03, FRN 49,999 25,000 1.44%, 05/06/03, DN 24,934 55,000 1.27%, 05/08/03, FRN 54,998 50,000 1.20%, 05/14/03, DN 49,877 15,000 1.20%, 05/15/03, DN 14,963 49,325 2.25%, 06/26/03 49,448 25,000 1.27%, 06/30/03, FRN 25,000 250,000 1.19%, 07/03/03, DN 250,000 45,000 1.32%, 07/09/03, DN 44,786 33,000 1.90%, 07/29/03 33,011 10,000 1.27%, 07/30/03, FRN 10,000 40,000 1.27%, 08/08/03, FRN 40,000 31,981 1.21%, 08/25/03, DN 31,791 21,886 1.23%, 10/27/03, DN 21,707 22,000 1.80%, 11/03/03 22,005 17,475 1.27%, 01/06/04, DN 17,283 Federal Home Loan Bank, 100,000 1.26%, 03/05/03, DN 99,986 95,000 1.26%, 03/07/03, DN 94,980 100,000 1.22%, 03/19/03, DN 99,939 100,000 1.20%, 03/21/03, Ser. 248, FRN 99,998 36,000 1.27%, 03/21/03, DN 35,975 77,390 1.20%, 03/26/03, DN 77,326 31,763 1.23%, 03/28/03, DN 31,734 2,089 1.70%, 03/28/03, DN 2,086 50,000 2.53%, 04/04/03, Ser. CS-03 50,000 50,000 2.54%, 04/04/03, Ser. CX-03 50,000 50,000 2.56%, 04/08/03, Ser. DU-03 50,000 50,000 2.76%, 04/08/03, Ser. EH-03 50,000 50,000 2.76%, 04/09/03, Ser. EI-03 50,000 50,000 2.80%, 04/10/03, Ser. FI-03 50,000 33,000 1.22%, 04/11/03, DN 32,954
See notes to financial statements. 16 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued FEDERAL HOME LOAN BANK -- CONTINUED $ 100,000 2.80%, 04/11/03, Ser. EV-03 $ 100,000 40,000 2.81%, 04/11/03 40,000 3,121 1.27%, 05/15/03, DN 3,113 218,000 1.22%, 05/16/03, DN 217,438 66,000 1.23%, 05/21/03, DN 65,818 35,000 1.23%, 05/28/03, DN 34,895 30,000 1.27%, 07/25/03, Ser. YR-03, FRN 30,000 15,000 2.15%, 08/07/03, Ser. WM-03 15,059 15,000 1.90%, 11/14/03, Ser. 9J-03 15,000 7,500 1.70%, 11/28/03, Ser. BB-03 7,500 25,870 5.38%, 01/05/04 26,752 85,500 1.40%, 03/08/04, Ser. GN-04 85,500 Student Loan Marketing Association, 37,950 1.30%, 03/03/03, DN 37,947 25,671 1.20%, 03/04/03, DN 25,668 160,752 1.20%, 03/14/03, DN 160,682 100,000 1.20%, 04/25/03, DN 99,817 58,050 1.22%, 04/25/03, DN 57,942 19,570 1.25%, 12/02/03, DN 19,382 Tennessee Valley Authority, 171,000 1.20%, 03/05/03, DN 170,977 18,473 1.20%, 03/07/03, DN 18,469 120,000 1.20%, 03/11/03, DN 119,960 50,000 1.20%, 03/25/03, DN 49,960 65,000 1.20%, 03/27/03, DN 64,944 53,000 1.20%, 03/28/03, DN 52,952 90,000 1.21%, 04/10/03, DN 89,879 100,000 1.20%, 04/11/03, DN 99,863 ------------------------------------------------------------------- Total U.S. Government Agency Securities 4,088,123 (Cost $4,088,123) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 4,394,794 (Cost $4,394,794) * - --------------------------------------------------------------------------------
See notes to financial statements. 17 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% STATE AND MUNICIPAL OBLIGATIONS -- 100.0% California -- 91.7% $ 1,500 ABAG Finance Authority for Nonprofit Corps, Point Loma Nazarene University, Rev., FRDO, 1.10%, 03/06/03 $ 1,500 1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1, GO, FRDO, AMBAC, 1.05%, 03/05/03 1,500 1,200 Alameda County IDA, Scientific Technology Project, Ser. A, Rev., FRDO, 1.15%, 03/05/03 1,200 2,300 Antelope Valley Union High School District, School Facility Bridge Funding Program, Ser. B, COP, FRDO, FSA, 1.00%, 03/05/03 2,300 3,135 Auburn Union School District, COP, FRDO, FSA, 1.05%, 03/06/03 3,135 575 California Communities Housing Finance Agency, Subordinated, Ser. B, Rev., FRDO, 1.05%, 03/06/03 575 200 California Economic Development Financing Authority, Airport Facilities, Mercury Air Group, Inc., Rev., FRDO, 1.05%, 03/06/03 200 1,300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.10%, 03/05/03 1,300 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/06/03 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 1.07%, 03/06/03 150 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 1.10%, 03/05/03 500 1,700 California Housing Finance Agency, FLOATS, Ser. PA-539R, Rev., FRDO, 1.07%, 03/06/03 1,700 390 California Housing Finance Agency, FLOATS, Ser. PA-58, FRDO, 1.07%, 03/06/03 390 2,460 California Housing Finance Agency, FLOATS, Ser. PT-614, Rev., FRDO, 1.20%, 03/06/03 2,460 1,200 California Housing Finance Agency, Home Mortgage, Ser. F, Rev., FRDO, AMBAC, 1.10%, 03/01/03 1,200 100 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, MBIA, 1.11%, 03/01/03 100 700 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.20%, 03/01/03 700 900 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.20%, 03/01/03 900
See notes to financial statements. 18 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 1,100 California Housing Finance Agency, Home Mortgage, Ser. R, Rev., FRDO, AMBAC, 1.20%, 03/01/03 $ 1,100 900 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, MBIA, 1.11%, 03/01/03 900 300 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.14%, 03/01/03 300 100 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.05%, 03/05/03 100 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 1.10%, 03/05/03 1,000 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 1.10%, 03/05/03 1,610 1,950 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 1.10%, 03/05/03 1,950 300 California PCFA, PCR, Exxon-Mobil Project, Rev., FRDO, 1.00%, 03/01/03 300 100 California PCFA, Solid Waste Disposal, Gilton Solid Waste Management, Ser. A, Rev., FRDO, 1.05%, 03/06/03 100 3,800 California PCFA, Solid Waste Disposal, Shell Martinez Refining Project, Ser. A, Rev., FRDO, 1.10%, 03/01/03 3,800 635 California School Facilities Financing Corp., Capital Improvement Financing Project, Ser. B, COP, FRDO, 1.05%, 03/05/03 635 1,000 California State Department of Water Resources, Power Supply, Eagle, Ser. 2000-6017, Class A, Rev., FRDO, AMBAC, 1.05%, 03/06/03 1,000 1,300 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 1.15%, 03/01/03 1,300 700 California State Department of Water Resources, Power Supply, Ser. B-6, Rev., FRDO, 1.10%, 03/01/03 700 1,000 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 1.10%, 03/05/03 1,000 300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.17%, 03/05/03 300 1,000 California State, Rev., RAN, 2.75%, 06/20/03 1,004 6,000 California State, Rev., RAN, 2.50%, 06/27/03 6,015 8,000 California State, Rev., RAN, FRDO, 1.34%, 03/06/03 8,002 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.38%, 01/03/04 3,000
See notes to financial statements. 19 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.25%, 03/01/03 $ 1,000 1,500 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.70%, 07/01/03 1,500 1,000 California Statewide Communities Development Authority, Multi-Family Housing, Canyon Springs Apartments, Ser. KK, Rev., FRDO, 1.05%, 03/06/03 1,000 800 California Statewide Communities Development Authority, Sutter Health Obligation Group, COP, FRDO, 1.10%, 03/01/03 800 5,000 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.20%, 03/06/03 5,000 2,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.20%, 03/06/03 2,000 3,200 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue, Ser. A, Rev., FRDO, 1.05%, 03/04/03 3,200 1,225 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 1.00%, 03/05/03 1,225 1,600 Elsinore Valley Municipal Water District, Ser. A, COP, FRDO, FGIC, 1.05%, 03/05/03 1,600 7,580 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 1.11%, 03/06/03 7,580 300 Hayward, California, Multi-Family Housing, Shorewoood, Ser. A, Rev., FRDO, 1.05%, 03/06/03 300 900 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 1.10%, 03/01/03 900 100 Irvine Ranch Water District, Improvement Districts, GO, FRDO, 1.08%, 03/01/03 100 100 Irvine Ranch Water District, Rev., CONS, FRDO, 1.10%, 03/01/03 100 200 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 1.10%, 03/01/03 200 3,000 La Quinta Redevelopment Agency, Tax Allocation, Multi-Family Housing, MiraFlores Apartments, Ser. A, Rev., FRDO, 1.05%, 03/06/03 3,000 200 Lodi, California, Electric Systems, Ser. A, COP, FRDO, MBIA, 1.00%, 03/05/03 200 1,300 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.10%, 03/06/03 1,300 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Ser. A, Rev., FRDO, MBIA, 1.05%, 03/06/03 100 415 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-54, FRDO, 1.07%, 03/06/03 415
See notes to financial statements. 20 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 2,000 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-55, Rev., FRDO, MBIA, 1.07%, 03/06/03 $ 2,000 700 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.00%, 03/06/03 700 575 Los Angeles Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 0.95%, 03/01/03 575 2,000 Los Angeles, California, GO, TRAN, 3.00%, 10/15/03 2,008 2,000 Los Angeles, California, Single Family Mortgage, FLOATS, Ser. PT-707, Rev., FRDO, 1.20%, 03/06/03 2,000 1,000 Marysville Joint Unified School District, GO, TRAN, 2.50%, 10/15/03 1,007 1,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 1.00%, 03/05/03 1,000 1,000 Monrovia Unified School District, Municipal Securities Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA, 1.10%, 03/05/03 1,000 2,100 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.07%, 03/06/03 2,100 1,000 Northern California Power Agency, Hydroelectric No. 1, Ser. A, Rev., FRDO, MBIA, 1.00%, 03/05/03 1,000 1,000 Northern California Power Agency, Hydroelectric No. 1, Ser. B, Rev., FRDO, MBIA, 1.05%, 03/05/03 1,000 1,000 Oakland, California, GO, TRAN, 3.00%, 07/29/03 1,006 1,000 Oakland-Alameda County Coliseum Authority, Coliseum Project, Ser. C-1, Rev., FRDO, 0.90%, 03/05/03 1,000 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 0.95%, 03/05/03 3,000 100 Ontario Redevelopment Agency, IDR, Safariland Project, Rev., FRDO, 1.10%, 03/05/03 100 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 1.05%, 03/05/03 300 800 Orange County, Apartment Development, Bear Brand Apartments Project, Ser. Z, Rev., FRDO, 1.00%, 03/06/03 800 949 Orange County, Apartment Development, Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 1.00%, 03/04/03 949 700 Orange County, Apartment Development, Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.00%, 03/06/03 700
See notes to financial statements. 21 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 1,935 Oxnard Industrial Development Financing Authority, IDR, Accurate Engineering Project, Rev., FRDO, 1.10%, 03/05/03 $ 1,935 1,620 Pasadena, California, Rose Bowl Improvements Project, COP, FRDO, 1.05%, 03/05/03 1,620 1,000 Placentia, California, Rev., TRAN, 3.00%, 06/30/03 1,005 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 1.10%, 03/06/03 1,000 3,000 Riverside County, Special Tax, Community Facilities District No. 89-5, FRDO, AMBAC, 1.05%, 03/05/03 3,000 900 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 1.10%, 03/06/03 900 4,000 Sacramento County Housing Authority, Multi-Family Housing, Ashford, Ser. D, Rev., FRDO, 1.05%, 03/06/03 4,000 550 San Bernardino County Housing Authority, Multi-Family Housing, Victoria Terrace Project, Ser. A, Rev., FRDO, 1.15%, 03/02/03 550 1,400 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 1.00%, 03/06/03 1,400 300 San Diego, California, Multi-Family Housing, Issue A, Rev., FRDO, 1.00%, 03/06/03 300 1,800 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.13%, 03/06/03 1,800 1,000 San Jose Unified School District/Santa Clara County, GO, TRAN, 2.50%, 10/29/03 1,006 1,000 San Jose, California, Airport, Ser. II-R-2004, Rev., FRDO, FSA, 1.05%, 03/06/03 1,000 700 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, 1.05%, 03/06/03 700 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 1.05%, 03/06/03 500 650 Santa Ana Unified School District, COP, FRDO, 1.05%, 03/05/03 650 1,000 Santa Clara Valley Transportation Authority, Rev., BAN, 3.00%, 12/04/03 1,013 500 Santa Monica Community College District, Ser. A, GO, FSA, 3.00%, 08/01/03 503 1,950 Selma, California, GO, TRAN, 3.25%, 06/30/03 1,956 4,300 Solano County Board Education, GO, TRAN, 2.50%, 11/13/03 4,326
See notes to financial statements. 22 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 2,600 Southern California Public Power Authority, Transmission Project, Rev., FRDO, AMBAC, 1.00%, 03/05/03 $ 2,600 1,000 Sulpher Springs Union School District, Bridge Funding Program, COP, FRDO, FSA, 1.05%, 03/06/03 1,000 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 1.05%, 03/05/03 600 2,000 Tobacco Securitization Authority of Southern California, Southern California Tobacco Settlement, FLOATS, Ser. PT-648, 1.17%, 03/06/03 2,000 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 1.05%, 03/06/03 425 1,000 West Contra Costa Unified School District, GO, TRAN, 2.50%, 11/06/03 1,005 ------------- 145,485 Puerto Rico -- 8.3% 835 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.01%, 03/06/03 835 5,400 Puerto Rico Commonwealth, Rev., TRAN, 2.50%, 07/30/03 5,425 400 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.08%, 03/06/03 400 2,000 Puerto Rico Electric Power Authority, Rev., FRDO, 1.60%, 03/06/03 2,000 3,000 Puerto Rico Government Development Bank, 1.05%, 04/07/03 3,000 170 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.08%, 03/06/03 170 1,300 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 1.05%, 03/06/03 1,300 ------------- 13,130 - -------------------------------------------------------------------------------- Total Investments -- 100.0% (Cost $158,615) * $ 158,615 - --------------------------------------------------------------------------------
See notes to financial statements. 23 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% STATE AND MUNICIPAL OBLIGATIONS -- 100.0% New York -- 99.8% $ 14,795 ABN AMRO Munitops Certificate Trust, Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.55%, 08/20/03 $ 14,795 12,000 ABN AMRO Munitops, Certificates Trust, Ser. 1999-13, FRDO, FGIC, 1.09%, 03/05/03 12,000 455 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 1.15%, 03/06/03 455 460 Alexander Central School District, GO, FGIC, 2.25%, 06/15/03 461 2,300 Allegany County, IDA, Environmental Facilties, Atlantic Richfield Project, Rev., FRDO, 1.15%, 03/01/03 2,300 4,000 Amityville Union Free School District, GO, TAN, 2.25%, 06/26/03 4,009 1,585 Attica Central School District, GO, FGIC, 2.80%, 06/15/03 1,589 7,800 Auburn, New York, GO, BAN, 2.63%, 06/13/03 7,800 1,150 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 1.10%, 03/05/03 1,150 3,000 Babylon Union Free School District, GO, TAN, 2.50%, 06/26/03 3,009 1,500 Beaver River Central School District, GO, BAN, 3.00%, 07/16/03 1,505 2,000 Binghamton City School District, GO, BAN, 2.50%, 10/24/03 2,009 7,000 Board of Cooperative Educational Services Second Supervisory District of Westchester, GO, RAN, 2.50%, 07/31/03 7,022 13,000 Board of Cooperative Educational Services Sole Supervisory District of Oswego County, Rev., RAN, 2.50%, 06/26/03 13,030 5,500 Board of Cooperative Educational Services Sole Supervisory District of Oswego County, Rev., RAN, 2.50%, 06/30/03 5,513 5,900 Bolivar-Richburg Central School District, GO, BAN, 2.25%, 03/14/03 5,902 2,496 Brookhaven IDA, IDR, Waverly Association LLC, Rev., FRDO, 1.30%, 03/06/03 2,496 100 Broome County IDA, IDR, Binghamton Realty Project, Rev., FRDO, 1.05%, 03/05/03 100 485 Campbell-Savona Central School District, GO, FGIC, 2.13%, 06/15/03 486 8,000 Candor Central School District, GO, BAN, 2.15%, 11/21/03 8,035 15,000 Chautauqua County, GO, TAN, 1.75%, 01/15/04 15,065 680 Cheektowaga Central School District, GO, FSA, 3.00%, 06/01/03 683 10,000 Chemung County, GO, RAN, 2.25%, 08/15/03 10,029
See notes to financial statements. 24 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 2,750 Clyde-Savannah Central School District, GO, BAN, 2.75%, 06/19/03 $ 2,756 2,705 Dutchess County IDA, Marist College Civic Facilities, Ser. A, Rev., FRDO, 1.10%, 03/06/03 2,705 4,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA, 1.11%, 03/06/03 4,000 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.11%, 03/06/03 5,990 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.11%, 03/06/03 3,300 10,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 1.11%, 03/06/03 10,000 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 1.11%, 03/06/03 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 1.11%, 03/06/03 9,910 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 1.11%, 03/06/03 12,155 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3203, Class A, FRDO, #, 1.11%, 03/06/0 5,900 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 1.11%, 03/06/03 14,850 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate, Class A, Rev., FRDO, AMBAC, #, 1.11%, 03/06/03 8,135 4,800 Eastchester Union Free School District, GO, TAN, 2.50%, 06/27/03 4,811 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 1.00%, 03/05/03 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/05/03 1,400 7,500 Fabius-Pompey Central School District, Ser. B, GO, BAN, 1.75%, 07/18/03 7,513 4,000 Farmingdale Union Free School District, GO, BAN, 2.25%, 11/19/03 4,021 1,500 Fayetteville-Manlius Central School District, GO, BAN, 2.50%, 07/11/03 1,504 5,400 Fishkill, New York, GO, BAN, 2.75%, 05/23/03 5,410 2,279 Freeport, New York, Ser. A, GO, BAN, 2.50%, 03/20/03 2,280 570 Gananda Central School District, GO, FGIC, 2.75%, 06/15/03 572 1,600 Glen Cove, New York, GO, BAN, 2.50%, 12/04/03 1,610 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 1.15%, 03/05/03 530 7,275 Gorham-Middlesex Central School District, GO, BAN, 1.75%, 01/23/04 7,285 2,500 Gouverneur Central School District, GO, BAN, 2.38%, 06/30/03 2,505
See notes to financial statements. 25 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 3,740 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 1.05%, 03/05/03 $ 3,740 7,700 Greenville Central School District, GO, BAN, 2.50%, 07/10/03 7,722 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 1.05%, 03/05/03 1,000 3,600 Hempstead Village, New York, GO, TAN, 2.00%, 12/11/03 3,615 2,600 Honeoye Falls-Lima Central School District, GO, RAN, 2.50%, 06/19/03 2,605 20,000 Hornell City School District, GO, BAN, 3.00%, 05/01/03 20,027 2,000 Huntington, New York, GO, BAN, 1.75%, 05/23/03 2,003 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 1.05%, 03/06/03 2,000 16,490 Leroy Central School District, GO, BAN, 2.50%, 03/19/03 16,496 14,000 Liverpool Central School District, GO, RAN, 2.50%, 07/12/03 14,041 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, 1.10%, 03/06/03 8,780 7,710 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 1.08%, 03/06/03 7,710 5,050 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-368, Rev., FRDO, 1.18%, 03/06/03 5,050 10,600 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-522, Rev., FRDO, FSA, 1.10%, 03/06/03 10,600 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 1.10%, 03/06/03 4,360 462 Long Island Power Authority, Electric Systems, Ser.7, Sub Ser. 7-A, Rev., FRDO, MBIA, 1.01%, 03/05/03 462 2,000 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 1.10%, 03/05/03 2,000 4,000 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 1.10%, 03/01/03 4,000 6,815 Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PA-683, FRDO, 1.11%, 03/06/03 6,815 9,425 Metropolitan Transportation Authority, Dedicated Tax Fund, Municipal Securities Trust Receipts, Ser. SGA-81, Rev., FRDO, FSA, 1.13%, 03/05/03 9,425 3,300 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6021, Class A, Rev., FRDO, MBIA, 1.11%, 03/06/03 3,300
See notes to financial statements. 26 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 5,000 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6028, Class A, Rev., FRDO, MBIA, 1.11%, 03/06/03 $ 5,000 22,600 Metropolitan Transportation Authority, FLOATS, Ser. 1040, Rev., FRDO, FGIC, 1.11%, 03/06/03 22,600 6,485 Metropolitan Transportation Authority, New York, Municipal Securities Trust Receipts, Ser. SGA-82, Rev., FRDO, FSA, 1.13%, 03/05/03 6,485 3,300 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 1.10%, 03/06/03 3,300 5,200 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 1.10%, 03/06/03 5,200 9,995 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1042R, Rev., FRDO, MBIA, 1.11%, 03/06/03 9,995 1,400 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1105, Rev., FRDO, 1.11%, 03/06/03 1,400 2,524 Moriah Central School District, GO, BAN, 2.50%, 07/24/03 2,531 11,865 Morris Central School District, GO, BAN, 2.50%, 06/20/03 11,887 7,500 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 1.13%, 03/05/03 7,500 10,000 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. B, Rev., FRDO, FSA, 1.05%, 03/05/03 10,000 1,820 Nassau County Interim Financing Authority, FLOATS, Ser. PA 901, Rev., FRDO, AMBAC, 1.10%, 03/06/03 1,820 5,500 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 1.10%, 03/05/03 5,500 3,400 New York City Housing Development Corp., Multi-Family Rental Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 1.15%, 03/05/03 3,400 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, Columbus Green, Ser. A, Rev., FRDO, 1.10%, 03/05/03 3,300 7,000 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 1.15%, 03/05/03 7,000 300 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.15%, 03/05/03 300 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 1.15%, 03/05/03 3,300
See notes to financial statements. 27 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 2,400 New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development, Ser. A, Rev., FRDO, 1.15%, 03/05/03 $ 2,400 2,000 New York City IDA, Civic Facilities, Abraham Joshua Heschel Project, Rev., FRDO, 1.15%, 03/06/03 2,000 28,720 New York City IDA, Civic Facilities, Center for Jewish History Project, Rev., FRDO, 1.06%, 03/06/03 28,720 5,150 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.10%, 03/06/03 5,150 1,600 New York City IDA, Civic Facilities, Hewitt School Project, Rev., FRDO, 1.10%, 03/06/03 1,600 4,700 New York City IDA, Civic Facilities, Jamaica First Packaging LLC Project, Rev., FRDO, 1.10%, 03/06/03 4,700 7,500 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.13%, 03/05/03 7,505 2,800 New York City IDA, IDB, Civic Facilities, Calhoun School, Inc., Project, Rev., FRDO, 1.15%, 03/06/03 2,800 3,000 New York City IDA, IDR, DXB Videotape, Inc. Project, Rev., FRDO, 1.10%, 03/05/03 3,000 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.15%, 03/05/03 5,400 27,800 New York City Metro Transit Authority, 1.05%, 03/03/03 27,800 32,300 New York City Metro Transit Authority, 1.05%, 03/03/03 32,300 25,000 New York City Metro Transit Authority, 1.15%, 03/03/03 25,000 10,000 New York City Metro Transit Authority, 1.10%, 11/06/03 10,000 13,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, Fiscal Year 2003, Sub Ser. C-2, Rev., FRDO, 1.10%, 03/06/03 13,900 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 1.10%, 03/05/03 15,960 2,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 1.12%, 03/06/03 2,900 5,100 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 1.10%, 03/06/03 5,100 8,410 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-447, Rev., FRDO, FGIC, 1.08%, 03/06/03 8,410
See notes to financial statements. 28 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 28,140 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-523, Rev., FRDO, FGIC, 1.08%, 03/06/03 $ 28,140 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 1.12%, 03/06/03 6,495 3,300 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 1.13%, 03/05/03 3,300 7,255 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 1.13%, 03/05/03 7,255 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 1.11%, 03/06/03 2,390 9,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.11%, 03/06/03 9,000 13,500 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 1.10%, 03/01/03 13,500 600 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.15%, 03/01/03 600 4,900 New York City Transit Authority, Metropolitan Transportation Authority, Floating Rate Trust Receipts, Triborough, COP, Ser. PMD-10, FRDO, AMBAC, 1.08%, 03/06/03 4,900 20,000 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-21, Regulation D, Rev., FRDO, 1.10%, 03/05/03 20,000 9,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-830, Rev., FRDO, 1.11%, 03/06/03 9,995 11,355 New York City Transitional Finance Authority, FLOATS, Ser. PA-831, Rev., FRDO, 1.11%, 03/06/03 11,355 13,160 New York City Transitional Finance Authority, FLOATS, Ser. PT-406, Rev., FRDO, 1.11%, 03/06/03 13,160 9,610 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 1.05%, 03/05/03 9,610 600 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 1.10%, 03/05/03 600
See notes to financial statements. 29 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 13,300 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 1.10%, 03/01/03 $ 13,300 2,710 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. B-3, Rev., FRDO, 1.05%, 03/05/03 2,710 300 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-5, Rev., FRDO, 1.15%, 03/01/03 300 6,740 New York City Transitional Finance Authority, Municipal Securities Trust Receipts, Ser. ZTC-55, Class A, Rev., FRDO, MBIA, 1.16%, 03/06/03 6,740 29,800 New York City Transitional Finance Authority, New York City Recovery, Ser. 1, Sub Ser. 1-A, Rev., FRDO, 1.10%, 03/05/03 29,800 20,000 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 1.06%, 03/05/03 20,000 41,700 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 1.06%, 03/05/03 41,700 10,000 New York City Transitional Finance Authority, Rev., BAN, 2.50%, 11/06/03 10,059 4,085 New York City Trust for Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, MBIA, 1.00%, 03/05/03 4,085 2,588 New York City Trust for Cultural Resources, Carnegie Hall, Rev., FRDO, 1.00%, 03/05/03 2,588 1,600 New York City Trust for Cultural Resources, Ser. 162, Rev., FRDO, AMBAC, 1.11%, 03/06/03 1,601 4,130 New York City, New York, Eagle Trust, Ser. 1994, Class C-3, 1.11%, 03/06/03 4,130 8,485 New York City, New York, FLOATS, Ser. PT-1670, GO, FRDO, AMBAC, 1.08%, 03/06/03 8,485 9,245 New York City, New York, FLOATS, Ser. PT-405, FRDO, 1.10%, 03/06/03 9,245 45,000 New York City, New York, GO, RAN, 2.50%, 04/11/03 45,050 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, FRDO, 1.10%, 03/06/03 1,300 10,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 1.13%, 03/05/03 10,000 115 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.11%, 03/06/03 115 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 1.13%, 03/06/03 12,865
See notes to financial statements. 30 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 900 New York City, New York, Ser. B, GO, FRDO, FGIC, 1.20%, 03/01/03 $ 900 100 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 1.15%, 03/01/03 100 6,100 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 1.15%, 03/01/03 6,100 400 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 1.15%, 03/01/03 400 3,000 New York City, New York, Ser. F-2, GO, FRDO, 1.05%, 03/05/03 3,000 100 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.10%, 03/01/03 100 5,900 New York City, New York, Ser. H, Sub Ser. H-4, GO, FRDO, AMBAC, 1.10%, 03/05/03 5,900 2,400 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 1.00%, 03/05/03 2,400 5,000 New York City, New York, Sub Ser, C-2, GO, FRDO, 1.10%, 03/05/03 5,000 15,000 New York City, New York, Sub Ser, C-5, GO, FRDO, 1.05%, 03/05/03 15,000 10,000 New York City, New York, Sub Ser. G-2, GO, FRDO, 1.00%, 03/05/03 10,000 10,000 New York Counties TOB (Tobacco) Trust I, FLOATS, Ser. PA-799, Rev., FRDO, 1.17%, 03/06/03 10,000 10,420 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 1.08%, 03/06/03 10,420 20,200 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 1.08%, 03/06/03 20,200 12,100 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 1.20%, 03/01/03 12,100 15,000 New York Local Government Assistance Corp., Senior Lien, Ser. A-BV, Rev., FRDO, FGIC, 1.09%, 03/06/03 15,000 900 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 1.10%, 03/05/03 900 3,945 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.05%, 03/05/03 3,945 1,250 New York Local Government Assistance Corp., Ser. C, Rev., FRDO, 1.05%, 03/05/03 1,250 4,700 New York Local Government Assistance Corp., Ser. D, Rev., FRDO, 1.00%, 03/05/03 4,700 2,800 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.00%, 03/05/03 2,800 5,870 New York Mortgage Agency, FLOATS, Ser. PA-657, Rev., FRDO, 1.12%, 03/06/03 5,870 11,195 New York Mortgage Agency, FLOATS, Ser. PA-77, Rev., FRDO, 1.11%, 03/06/03 11,195
See notes to financial statements. 31 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 5,665 New York Mortgage Agency, FLOATS, Ser. PA-870, Rev., FRDO, 1.12%, 03/06/03 $ 5,665 4,255 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 1.12%, 03/06/03 4,255 3,960 New York State Dorm Authority, Beaverwyck, Inc., Rev., FRDO, 1.10%, 03/05/03 3,960 9,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 1.08%, 03/06/03 9,415 13,770 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.08%, 03/06/03 13,770 6,995 New York State Dorm Authority, FLOATS, Ser. PA-434, Rev., FRDO, FSA, 1.08%, 03/06/03 6,995 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, Rev., FRDO, 1.08%, 03/06/03 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, Rev., FRDO, 1.08%, 03/06/03 9,340 9,825 New York State Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA-IBC, 1.08%, 03/06/03 9,825 930 New York State Dorm Authority, FLOATS, Ser. PT-130, Rev., FRDO, 1.11%, 03/06/03 930 15,915 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 1.08%, 03/06/03 15,915 500 New York State Dorm Authority, Hospital Mortgage, Ser. A, Rev., AMBAC, 5.50%, 08/15/03 509 2,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 1.13%, 03/05/03 2,001 5,550 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 1.10%, 03/05/03 5,550 6,400 New York State Dorm Authority, New York Public Library, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/05/03 6,400 2,400 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.15%, 03/01/03 2,400 25,000 New York State Eagle Trust, FRDO, 1.11%, 03/06/03 25,000 9,345 New York State Energy Research & Development Authority, FLOATS, Ser. PA-411, Rev., FRDO, 1.08%, 03/06/03 9,345 6,400 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 1.00%, 03/05/03 6,400 24,100 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.11%, 03/06/03 24,100 10,915 New York State Environmental Facilities Corp., FLOATS, Ser. 767, Rev., FRDO, FGIC, 1.11%, 03/06/03 10,915
See notes to financial statements. 32 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 10,625 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-853, Rev., FRDO, 1.08%, 03/06/03 $ 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 2,912 10,500 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 1.10%, 03/06/03 10,500 9,150 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.10%, 03/05/03 9,150 9,700 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.10%, 03/05/03 9,700 3,400 New York State Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 1.10%, 03/05/03 3,400 21,500 New York State Housing Finance Agency, 150 East 44th Street, Ser. A, Rev., FRDO, 1.10%, 03/05/03 21,500 10,300 New York State Housing Finance Agency, Bennington Hills Housing, Ser. A, Rev., FRDO, 1.15%, 03/05/03 10,300 2,495 New York State Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 1.18%, 03/06/03 2,495 8,675 New York State Housing Finance Agency, FLOATS, Ser. PA-423, 1.08%, 03/06/03 8,675 6,080 New York State Housing Finance Agency, FLOATS, Ser. PA-805, Rev., FRDO, FSA, 1.08%, 03/06/03 6,080 3,600 New York State Housing Finance Agency, Lakeview Homes, Ser. II-A, Rev., FRDO, 1.20%, 03/05/03 3,600 4,600 New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage, Ser. A, Rev., FRDO, 1.15%, 03/05/03 4,600 400 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.15%, 03/05/03 400 3,500 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 1.05%, 03/05/03 3,500 9,200 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.15%, 03/05/03 9,200 10,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.20%, 03/05/03 10,000 10,000 New York State Housing Finance Agency, Tallyrand Crescent, Rev., FRDO, 1.10%, 03/05/03 10,000 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 1.15%, 03/05/03 4,200 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.08%, 03/06/03 8,400
See notes to financial statements. 33 As of February 28, 2003 (unaudited) (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, 1.08%, 03/06/03 $ 5,920 5,625 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-61, FRDO, 1.12%, 03/06/03 5,625 3,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, 1.12%, 03/06/03 3,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, 1.12%, 03/06/03 8,153 6,335 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-154, Rev., FRDO, 1.50%, 03/06/03 6,335 4,090 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-17, 1.08%, 03/06/03 4,090 10,000 New York State Power Authority, General Purpose, GO, FRDO, 2.90%, 09/02/03 10,138 54,305 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 1.15%, 03/01/03 54,304 13,100 New York State Thruway Authority, Floating Rate Trust Reciepts, Ser. SG-121, Rev., FRDO, 1.12%, 03/06/03 13,100 11,415 New York State Thruway Authority, FLOATS, Ser. PA-532, Rev., GO, FRDO, 1.08%, 03/06/03 11,415 1,385 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 1.13%, 03/05/03 1,385 1,300 New York State Thruway Authority, Rev., FRDO, FGIC, 1.15%, 03/01/03 1,300 15,000 New York State Thruway Authority, Ser. A, Rev., BAN, 3.25%, 03/26/03 15,011 7,595 New York State Urban Development Corp., Correctional and Youth Facilities Services, FLOATS, PT-723, Rev., FRDO, 1.11%, 03/06/03 7,595 14,200 New York State Urban Development Corp., Floating Certificates, Ser. SG-150, Rev., FRDO, MBIA-IBC, 1.08%, 03/06/03 14,200 24,000 New York State, Ser. A, GO, FRDO, 1.50%, 10/10/03 24,000 13,531 Newfane Central School District, GO, BAN, 1.60%, 02/19/04 13,578 4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser. PA-530, 1.08%, 03/06/03 4,995 6,700 Niagara Falls City School District, GO, RAN, 2.50%, 10/10/03 6,718 3,120 Oneida County IDA, Rev., FRDO, 1.30%, 03/06/03 3,120 7,500 Oneida Indian Nation, Rev., FRDO, 1.00%, 03/05/03 7,500
See notes to financial statements. 34 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 5,490 Onondaga County IDA, IDR, Albany Molecular Research Project, Rev., FRDO, 1.10%, 03/05/03 $ 5,490 3,675 Orangetown, New York, Ser. B, GO, BAN, 1.50%, 01/15/04 3,677 2,000 Oyster Bay, New York, Ser. A, GO, TAN, 1.75%, 01/23/04 2,008 2,600 Oyster Bay, New York, Ser. B, GO, BAN, 2.25%, 06/13/03 2,603 2,900 Oyster Bay, New York, Ser. C, GO, BAN, 2.25%, 06/13/03 2,903 1,539 Perry Central School District, GO, MBIA, 3.38%, 06/15/03 1,547 7,575 Phelps-Clifton Springs Central School District, GO, BAN, 2.13%, 12/19/03 7,615 12,000 Phelps-Clifton Springs Central School District, GO, BAN, 2.50%, 10/30/03 12,054 3,555 Port Authority of New York & New Jersey, Ser. 129, Rev., CONS, 1.40%, 11/01/03 3,555 1,180 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.20%, 03/05/03 1,180 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.20%, 03/06/03 6,360 10,000 Rochester, New York, Ser. II, GO, BAN, 2.25%, 10/23/03 10,025 10,000 Rochester, New York, GO, BAN, 2.50%, 03/05/03 10,001 14,000 Rochester, New York, Ser. I, BAN, 2.00%, 03/04/04 14,117 600 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.20%, 03/06/03 600 1,750 Rockland County IDA, Shock Technical, Inc. Project, Rev., FRDO, 1.30%, 03/05/03 1,750 10,000 Rome City School District, GO, RAN, 2.63%, 06/27/03 10,023 2,234 Sandy Creek, New York, Water Systems Improvement, GO, BAN, 1.65%, 08/28/03 2,234 10,000 Schenectady City School District, GO, RAN, 2.63%, 06/30/03 10,019 7,500 Schuyler-Chemung-Tioga Cooperative Educational Services Sole Supervisory District, GO, RAN, 1.50%, 06/27/03 7,508 955 Sodus Central School District, GO, FGIC, 2.70%, 06/15/03 957 2,000 Southeast IDA, IDR, Unilock New York, Inc. Project, Rev., FRDO, 1.15%, 03/05/03 2,000 8,900 Steuben-Allegany Counties Board of Cooperative Educational Services Sole Supervisory District, GO, RAN, 1.75%, 06/27/03 8,910 9,200 Steuben-Allegheny Counties Board Cooperative Educational Services Sole Supervisory District, Rev., RAN, 2.50%, 06/27/03 9,215
See notes to financial statements. 35 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 3,605 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 1.10%, 03/06/03 $ 3,605 4,400 Suffolk County Water Authority, Rev., BAN, FRDO, 1.05%, 03/05/03 4,400 5,000 Suffolk County Water Authority, Rev., BAN, FRDO, 1.05%, 03/05/03 5,000 500 Suffolk County Water Authority, Rev., BAN, FRDO, 1.05%, 03/05/03 500 6,800 Syracuse, New York, Ser. A, GO, BAN, 2.75%, 05/09/03 6,809 4,500 Syracuse, New York, Ser. B, Rev., RAN, 3.00%, 06/30/03 4,512 7,500 Tompkins-Seneca-Tioga Board Of Cooperative Educational Services, Sole Supervisory, GO, RAN, 2.38%, 06/30/03 7,516 6,200 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, Sole Supervisory, Rev., RAN, 1.75%, 06/30/03 6,211 7,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1080, Rev., FRDO, 1.12%, 03/06/03 7,675 3,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, (p), 1.12%, 03/06/03 3,995 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., FRDO, 1.12%, 03/06/03 4,995 14,790 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-948, Rev., FRDO, 1.12%, 03/06/03 14,790 18,025 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-427, Rev., FRDO, 1.12%, 03/06/03 18,025 5,930 Triborough Bridge & Tunnel Authority, FLOATS, Ser. SG-41, Rev., FRDO, 1.08%, 03/06/03 5,930 3,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 1.05%, 03/05/03 3,400 6,300 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 1.10%, 03/05/03 6,300 8,250 Troy City School District, GO, RAN, 2.70%, 04/15/03 8,254 85,600 TSASC, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.17%, 03/06/03 85,599 9,000 University of Minnesota, VRDC/IVRC Trust, Tax Exempt, Ser. 93-C, Rev., FRDO, FGIC, #, 1.10%, 03/05/03 9,000 10,000 Utica City School District, GO, RAN, 2.63%, 06/26/03 10,019 1,935 Utica City School District, Ser. C, GO, BAN, 3.00%, 07/11/03 1,941 11,932 Warsaw Central School District, GO, BAN, 2.50%, 06/27/03 11,932 4,865 Wayland-Cohocton Central School District, GO, RAN, 2.75%, 06/13/03 4,877
See notes to financial statements. 36 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 4,775 Westchester County IDA, Civic Facilities, Community Housing Innovations, Inc., Rev., FRDO, 1.10%, 03/06/03 $ 4,775 3,835 Westchester County IDA, Civic Facilities, Northern Westchester Hospital, Rev., FRDO, 1.10%, 03/05/03 3,835 2,725 Westchester County IDA, Civic Facilties, The Masters School, Rev., FRDO, 1.10%, 03/06/03 2,725 9,300 Westchester County IDA, IDR, Levester Redevelopment Co. LLC, Ser. A, Rev., FRDO, 1.10%, 03/06/03 9,300 10,000 William Floyd Union Free School District of the Mastics-Moriches-Shirley, GO, TAN, 2.25%, 06/30/03 10,021 7,500 Yonkers, New York, Ser. A, GO, RAN, 2.75%, 06/13/03 7,513 ------------- 2,169,541 Puerto Rico -- 0.2% 2,695 Puerto Rico Commonwealth Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.05%, 03/06/03 2,695 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, 360 GO, FRDO, AMBAC, 1.01%, 03/06/03 400 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 400 1.01%, 03/06/03 ------------- 3,455 - -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,172,996 (Cost $2,172,996) * - --------------------------------------------------------------------------------
See notes to financial statements. 37 JPMORGAN TAX FREE MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% STATE AND MUNICIPAL OBLIGATIONS -- 99.6% Alabama -- 1.1% $ 10,900 ABN-AMRO Munitops Certificate Trust, Ser. 2002-21, Rev., FRDO, MBIA, 1.65%, 09/03/03 $ 10,900 26,900 Alabama Special Care Facilities Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 1.05%, 03/05/03 26,900 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 0.99%, 03/02/03 900 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, 1.21%, 03/05/03 5,000 7,035 Birmingham Waterworks & Sewer Board, Water & Sewer, FLOATS, Ser. 781, Rev., FRDO, MBIA, 1.16%, 03/06/03 7,035 3,000 Infirmary Health System Special Care Financing Authority, Ser. A, Rev., FRDO, 1.10%, 03/06/03 3,000 5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-2016, Class A, Rev., FRDO, FGIC, 1.16%, 03/06/03 5,735 4,000 Selma IDB, IDR, Specialty Minerals Project, Rev., FRDO, 1.20%, 03/06/03 4,000 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 1.91%, 03/06/03 4,800 33,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 1.04%, 03/05/03 33,000 ------------- 101,270 Alaska -- 0.6% 5,565 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-20, Regulation D, Rev., FRDO, 1.12%, 03/05/03 5,581 2,850 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 1.12%, 03/05/03 2,850 2,755 Alaska Housing Finance Corp., FLOATS, Ser. PT-464, Rev., FRDO, 1.14%, 03/06/03 2,755 25,855 Alaska Housing Finance Corp., Government Purpose, Ser. A, Rev., FRDO, MBIA, 1.05%, 03/06/03 25,855 9,800 Alaska Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 1.09%, 03/06/03 9,800 10,000 Alaska Housing Finance Corp., State Capital Project, Ser. C, Rev., FRDO, MBIA, 1.10%, 03/06/03 10,000 ------------- 56,841
See notes to financial statements. 38 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Arizona -- 0.6% $ 7,700 Apache County IDA, IDR, Tucson Electrical Power, Springerville, Rev., FRDO, 1.15%, 03/05/03 $ 7,700 16,600 Coconino County Pollution Control Corp., Arizona Public Service Co. Project, Rev., FRDO, 1.15%, 03/01/03 16,600 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 1.16%, 03/06/03 7,000 3,840 Maricopa County Public Finance Corp., Floating Rate Certficates, Ser. 511, Rev., FRDO, AMBAC, 1.16%, 03/06/03 3,840 723 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Certificates, Ser. 274, Rev., FRDO, 1.16%, 03/06/03 723 17,000 University of Arizona, Main Campus & Research, Ser. A, COP, Rev., FRDO, AMBAC, 1.10%, 03/05/03 17,000 ------------- 52,863 Arkansas -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.20%, 03/06/03 5,500 California -- 6.5% 3,100 Antelope Valley Union High School District, School Facility Bridge Funding Program, Ser. B, COP, FRDO, FSA, 1.00%, 03/05/03 3,100 300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.10%, 03/05/03 300 200 California Economic Development Financing Authority, IDR, Volk Enterprises, Inc. Project, Rev., FRDO, 1.10%, 03/06/03 200 17,000 California Higher Education Loan Authority, Ser. A, Rev., FRDO, 1.80%, 06/01/03 17,000 22,500 California Higher Education Loan Authority, Ser. C, Rev., FRDO, 1.80%, 06/01/03 22,500 17,000 California Higher Education Loan Authority, Ser. E-5, Rev., FRDO, 1.80%, 06/01/03 17,000 15,025 California Housing Finance Agency, FLOATS, Ser. PT-614, Rev., FRDO, 1.20%, 03/06/03 15,025 1,600 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.14%, 03/01/03 1,600 35,100 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 1.15%, 03/01/03 35,100
See notes to financial statements. 39 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 4,995 California State Public Works Board, FLOATS, Ser. PA-865, Rev., FRDO, AMBAC, 1.07%, 03/06/03 $ 4,995 16,625 California State, FLOATS, PT-1555, GO, FRDO, FGIC, 1.11%, 03/06/03 16,625 92,000 California State, Rev., RAN, 2.50%, 06/20/03 92,255 63,820 California State, Rev., RAN, 2.75%, 06/20/03 64,065 99,000 California State, Rev., RAN, FRDO, 1.34%, 03/06/03 99,005 35,000 California State, Ser. F, Rev., RAN, FRDO, 1.34%, 03/06/03 35,009 61,000 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.20%, 03/06/03 61,000 8,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.20%, 03/06/03 8,000 500 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 1.10%, 03/01/03 500 600 Irvine Ranch Water District, Improvement District No. 282, Ser. A, GO, FRDO, 1.10%, 03/01/03 600 200 Irvine Ranch Water District, Rev., CONS, FRDO, 1.10%, 03/01/03 200 1,200 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 1.10%, 03/01/03 1,200 100 Lodi, California, Electric Systems, Ser. A, COP, FRDO, MBIA, 1.00%, 03/05/03 100 1,800 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.10%, 03/06/03 1,800 200 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-2, Rev., FRDO, 1.10%, 03/01/03 200 300 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.00%, 03/06/03 300 3,540 Los Angeles, California, Multi-Family Housing, Rev., FRDO, 1.09%, 03/05/03 3,540 1,400 Metropolitan Water District of Southern California, Ser. B-2, Rev., FRDO, 1.00%, 03/06/03 1,400 400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 1.00%, 03/05/03 400 3,500 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.07%, 03/06/03 3,500
See notes to financial statements. 40 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued California -- Continued $ 300 Orange County Sanitation District, Ser. A, COP, FRDO, 1.10%, 03/01/03 $ 300 4,700 Orange County, Apartment Development, Bear Brand Apartments Project, Ser. Z, Rev., FRDO, 1.00%, 03/06/03 4,700 7,400 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 1.00%, 03/05/03 7,400 600 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 1.00%, 03/06/03 600 800 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.13%, 03/06/03 800 9,270 San Francisco City & County, Single Family Mortgage, FLOATS, Ser. PT-563, Rev., FRDO, 1.20%, 03/06/03 9,270 28,265 San Jose Unified School District/Santa Clara County, GO, TRAN, 2.50%, 10/29/03 28,427 1,800 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, 1.05%, 03/06/03 1,800 500 San Leandro, California, Multi-Family Housing, Parkside, Rev., FRDO, 1.05%, 03/05/03 500 29,000 Santa Clara Valley Transportation Authority, Rev., BAN, GAN, 3.00%, 12/04/03 29,371 400 Tustin, California, Improvement Bond Act of 1915, Reassessment District No. 95-2-A, Special Assessment, FRDO, 1.10%, 03/01/03 400 10,000 West Contra Costa Unified School District, GO, TRAN, 2.50%, 11/06/03 10,053 6,010 Yuba County, GO, TRAN, 2.50%, 10/15/03 6,043 ------------- 606,183 Colorado -- 1.6% 10,420 Adams & Arapahoe Joint School District, School District No. 28-J, Ser. II-R-157, GO, FRDO, 1.16%, 03/06/03 10,420 1,000 Arapahoe County, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., FRDO, (p), 1.17%, 03/06/03 1,003 7,100 Arapahoe County, Multi-Family Housing, Highline Oaks Apartments, Rev., FRDO, 1.10%, 03/05/03 7,100 2,850 Arvada, Colorado, Rev., FRDO, FSA, 1.25%, 03/03/03 2,850 9,990 Broomfield, Colorado, FLOATS, Ser. PT-1643, COP, FRDO, AMBAC, 1.14%, 03/06/03 9,990
See notes to financial statements. 41 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Colorado -- Continued $ 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 1.08%, 03/05/03 $ 1,600 25,000 Colorado State, General Fund, Ser. A, Rev., TRAN, 3.00%, 06/27/03 25,103 2,500 Colorado Student Obligation Bond Authority, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 1.15%, 03/05/03 2,500 31,155 Denver City & County, Airport, Floating Rate Trust Certificates, Ser. 153, Rev., FRDO, MBIA, 1.20%, 03/06/03 31,155 5,000 Denver City & County, Airport, Floating Rate Trust Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 1.17%, 03/05/03 5,000 10,995 Denver City & County, Airport, Ser. II-R-147, Rev., FRDO, FGIC, 1.25%, 03/06/03 10,995 10,000 Douglas County, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 1.10%, 03/06/03 10,000 3,620 Lower Colorado River Authority, FLOATS, Ser. PT-1523, Rev., FRDO, MBIA, 1.14%, 03/06/03 3,620 8,370 Platte River Power Authority, FLOATS, Ser. PA-729-R, Rev., FRDO, 1.14%, 03/06/03 8,370 5,000 Regional Transportation District, Transit Vehicles Project, Ser. A, COP, FRDO, AMBAC, 1.10%, 03/06/03 5,000 5,200 Smith Creek Metropolitan District, Rev., FRDO, 1.10%, 03/06/03 5,200 7,070 Thornton, Colorado, Ser. RR-II-R-1052, COP, FRDO, AMBAC, 1.16%, 03/06/03 7,070 ------------- 146,976 Connecticut -- 0.0% ^ 2,965 Connecticut State Housing Finance Authority, Housing Mortgage Finance Program, Sub Ser. D-3, Rev., FRDO, AMBAC, 1.05%, 03/06/03 2,965 Delaware -- 0.3% 7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/06/03 7,000 21,755 Delaware State Economic Development Authority, Hospital Billing & Collections, Ser. C, Rev., FRDO, AMBAC, 1.05%, 03/05/03 21,755 ------------- 28,755 District of Columbia -- 2.8% 1,325 District of Columbia Housing Finance Agency, Floating Rate Trust Receipts, Ser. L-1, Regulation D, Rev., FRDO, 1.17%, 03/05/03 1,325 11,300 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1380, Rev., FRDO, 1.14%, 03/06/03 11,300
See notes to financial statements. 42 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued District of Columbia -- Continued $ 8,225 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1381, Rev., FRDO, 1.14%, 03/06/03 $ 8,225 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.25%, 03/06/03 3,165 5,970 District of Columbia Water & Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 1.14%, 03/06/03 5,970 29,605 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 1.05%, 03/05/03 29,605 12,000 District of Columbia, American University, Ser. A, Rev., FRDO, AMBAC, 1.05%, 03/05/03 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 1.20%, 03/06/03 7,500 21,335 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.05%, 03/05/03 21,335 2,340 District of Columbia, National Children's Center, Inc., Rev., FRDO, 1.05%, 03/06/03 2,340 13,505 District of Columbia, Pooled Loan Program, Ser. A, Rev., FRDO, 1.05%, 03/06/03 13,505 26,980 District of Columbia, Ser. A, GO, FRDO, FSA, 1.05%, 03/05/03 26,980 30,595 District of Columbia, Ser. B, GO, FRDO, FSA, 1.05%, 03/05/03 30,595 20,000 District of Columbia, Ser. C, GO, FRDO, FGIC, 1.10%, 03/05/03 20,000 10,000 District of Columbia, Ser. D, GO, FRDO, FGIC, 1.10%, 03/05/03 10,000 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 1.05%, 03/06/03 7,690 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., #, FRDO, 1.16%, 03/06/03 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, #, FRDO, 1.16%, 03/06/03 6,155 10,000 Metropolitan Washington Airports Authority, Ser. C, Rev., FRDO, FSA, 1.20%, 03/05/03 10,000 15,000 Washington D.C. Water Authority, 1.40%, 03/07/03 15,000 ------------- 257,190 Florida -- 2.4% 5,000 Broward County, Professional Sports Facility, Municipal Securities Trust Receipts, Ser. SGA-38, Rev., FRDO, MBIA, 1.21%, 03/05/03 5,000
See notes to financial statements. 43 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Florida -- Continued $ 1,150 Collier County, Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 1.05%, 03/05/03 $ 1,150 2,570 Dade County Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Ser. 4, Rev., FRDO, 1.13%, 03/06/03 2,570 4,360 Escambia County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 1.19%, 03/06/03 4,362 5,275 Florida Housing Finance Agency, Multi-Family Housing, Banyon, Ser. L, Rev., FRDO, 1.09%, 03/05/03 5,275 5,135 Florida Housing Finance Agency, Multi-Family Housing, Ser. AA, Rev., FRDO, 1.05%, 03/05/03 5,135 6,840 Florida Housing Finance Corp., Multi-Family Housing, Island Club Project, Ser. A, Rev., FRDO, 1.10%, 03/06/03 6,840 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 1.14%, 03/06/03 7,000 11,000 Florida State Department of Environmental Protection, Preservation, FLOATS, Ser. 722, Rev., FRDO, FGIC, 1.16%, 03/06/03 11,000 5,370 Florida State Division of Bond Finance, General Services, FLOATS, Ser. PA-967, 1.14%, 03/06/03 5,370 5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO, 1.14%, 03/06/03 5,295 15,000 Fort Lauderdale, Florida, Pine Crest Prep School Project, Rev., FRDO, FSA, 1.05%, 03/06/03 15,000 4,790 Gulf Breeze, Florida, Local Government Loan Program, Floating Rate Trust Receipts, Ser. B, Rev., FRDO, FGIC, 1.10%, 03/06/03 4,790 11,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 1.21%, 03/05/03 11,705 9,055 Jacksonville Electric Authority, Ser. II-R-119, Special Obligation, FRDO, 1.16%, 03/06/03 9,055 4,995 Jacksonville Electric Authority, Ser. II-R-120, Rev., FRDO, 1.16%, 03/06/03 4,995 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 1.08%, 03/06/03 1,000 6,000 Lakeland, Florida, Energy Systems, Rev., FRDO, 1.05%, 03/05/03 6,000 2,990 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 1.05%, 03/05/03 2,990 6,000 Miami-Dade County, Miami Aviation, Floating Rate Receipts, Ser. SG-141, Rev., FRDO, FGIC, 1.14%, 03/06/03 6,000
see notes to financial statements. 44 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Florida -- Continued $ 6,700 Nassau County, PCR, Private Activity, Rayonier, Rev., FRDO, 1.05%, 03/05/03 $ 6,700 1,795 Orange County Housing Finance Authority, Floating Rate Trust Receipts, Ser. N-6, Regulation D, Rev., FRDO, 1.12%, 03/05/03 1,795 2,355 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 1.17%, 03/06/03 2,355 8,730 Orange County Housing Finance Authority, Multi-Family Housing, Falcon Trace Apartments Project, Ser. D., Rev., FRDO, 1.09%, 03/05/03 8,730 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 1.09%, 03/06/03 4,900 15,000 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., FRDO, 1.05%, 03/05/03 15,000 49,400 Palm Beach County School Board, Ser. B, COP, FRDO, FSA, 1.00%, 03/06/03 49,400 3,000 St. Johns County IDA, Health Care, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 1.05%, 03/05/03 3,000 7,000 Tampa, Florida, Occupational License Tax, Ser. B, Rev., FRDO, FGIC, 1.00%, 03/05/03 7,000 4,300 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 1.10%, 03/06/03 4,300 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 1.10%, 03/06/03 3,600 ------------- 227,312 Georgia -- 3.9% 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4, Rev., FRDO, FGIC, #, 1.55%, 08/03/03 16,610 4,800 Albany-Dougherty County Hospital Authority, Phoebe Hospital, Revenue Anticipation Certificates, Rev., FRDO, AMBAC, 1.15%, 03/01/03 4,800 6,135 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 1.15%, 03/06/03 6,135 4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737, Rev., FRDO, FGIC, 1.21%, 03/06/03 4,385 30,000 Atlanta, Georgia, Airport, Rev., BAN, 2.25%, 10/30/03 30,043 6,000 Atlanta, Georgia, FRDO, 1.16%, 03/06/03 6,000 20,000 Atlanta, Georgia, Water & Wastewater, Ser. B, Rev., FRDO, FSA, 1.05%, 03/06/03 20,000
See notes to financial statements. 45 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Georgia -- Continued $ 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 1.05%, 03/05/03 $ 7,160 11,200 Cobb County Housing Authority, Multi-Family Housing, Terrell Mill II Project, Rev., FRDO, #, 1.20%, 03/05/03 11,200 9,250 De Kalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., FRDO, 1.15%, 03/06/03 9,250 12,745 De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., FRDO, 1.18%, 03/06/03 12,745 800 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 1.05%, 03/05/03 800 1,825 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 1.08%, 03/05/03 1,825 9,865 Georgia Local Government, FLOATS, Ser. PT-678, COP, 1.14%, 03/06/03 9,865 55,356 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 1.01%, 03/06/03 55,356 8,615 Georgia Municipal Electric Authority, FLOATS, Ser. PT-1518, 1.14%, 03/06/03 8,615 9,640 Georgia Municipal Electric Authority, Ser. RR-II-R-1016, Rev., FRDO, FSA, 1.16%, 03/06/03 9,640 22,015 Georgia State Road & Thruway Authority, FLOATS, Ser. PT-1501, Rev., FRDO, 1.10%, 03/06/03 22,015 10,095 Georgia State, FLOATS, Ser. PT-374, FRDO, 1.10%, 03/06/03 10,095 2,000 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 1.00%, 03/05/03 2,000 4,360 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 1.16%, 03/06/03 4,360 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 1.00%, 03/05/03 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Rev., RAN, FRDO, 1.05%, 03/05/03 10,000 10,000 Metropolitan Atlanta Rapid Transportation Authority, Sales Tax, Ser. B, Rev., FRDO, 1.00%, 03/05/03 10,000
See notes to financial statements. 46 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Georgia -- Continued $ 17,700 Municipal Electric Authority of Georgia, MEAG Project One, Sub Ser. D, Rev., FRDO, MBIA, 1.00%, 03/05/03 $ 17,700 32,100 Municipal Electric Authority of Georgia, Sub Ser. B, Rev., FRDO, 1.00%, 03/05/03 32,100 17,973 Municipal Electric Authortiy, 1.05%, 03/05/03 17,973 2,600 Private Colleges & Universities Authority, Emory University, Ser. B, Rev., FRDO, 1.10%, 03/05/03 2,600 13,200 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 1.10%, 03/05/03 13,200 ------------- 362,472 Hawaii -- 0.5% 1,050 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, 1.24%, 03/06/03 1,056 5,155 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PT-574, 1.72%, 07/10/03 5,155 5,110 Hawaii State, FLOATS, Ser. PT-1707, GO, FRDO, FSA, 1.14%, 03/06/03 5,110 19,790 Hawaii State, Highway Revenue, FLOATS, Ser. PT-1058, FRDO, 1.14%, 03/06/03 19,790 1,000 Honolulu City & County, Ser. A, GO, FRDO, 1.00%, 03/05/03 1,000 5,150 Honolulu City & County, Ser. A, GO, FRDO, 1.00%, 03/05/03 5,150 9,000 Honolulu Hawaii City & County, 1.05%, 03/03/03 9,000 ------------- 46,261 Idaho -- 0.3% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 1.15%, 03/05/03 10,500 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Rev., FRDO, 1.15%, 03/05/03 10,500 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 1.15%, 03/05/03 3,750 ------------- 24,750 Illinois -- 7.4% 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10, GO, FRDO, MBIA, 1.55%, 11/26/03 9,850 10,890 ABN AMRO Munitops Certificate Trust, Ser. 2001-27, Rev., FRDO, FSA, 1.23%, 03/05/03 10,890 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 1.14%, 03/05/03 15,010
See notes to financial statements. 47 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Illinois -- Continued $ 6,175 ABN AMRO Munitops Certificate Trust, Ser. 2002-23, GO, FRDO, MBIA, 1.90%, 10/08/03 $ 6,175 9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3, Rev., FRDO, 1.23%, 03/05/03 9,995 10,000 Chicago Board of Education, FLOATS, Ser. SG-103, FRDO, 1.14%, 03/02/03 10,000 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Trust Receipts, Ser. L-40, Regulation D, Rev., FRDO, 1.12%, 03/05/03 34,950 15,125 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.00%, 03/05/03 15,125 27,800 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. A, Rev., FRDO, 1.09%, 03/05/03 27,800 3,675 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.04%, 03/05/03 3,675 6,400 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.09%, 03/05/03 6,400 4,410 Chicago O'Hare International Airport, FLOATS, Ser. PT-644, Rev., FRDO, AMBAC, 1.21%, 03/06/03 4,410 20,000 Chicago School Finance Authority, Ser. A, GO, MBIA, 4.70%, 06/01/03 20,154 4,750 Chicago, Illinois, IDR, Elston Block Co. Project, Rev., FRDO, 1.16%, 03/06/03 4,750 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 1.14%, 03/06/03 19,540 6,375 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 1.16%, 03/06/03 6,375 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 1.21%, 03/05/03 20,000 13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 1.08%, 03/06/03 13,000 20,000 Chicago, Illinois, Temporary Notes, GO, FRDO, 1.22%, 01/07/04 20,000 19,090 Chicago, Illinois, Tender Notes, GO, FRDO, 1.28%, 12/04/03 19,090 4,503 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 1.16%, 03/06/03 4,503 10,120 Cook County, FLOATS, Ser. PA-856, GO, FRDO, FGIC, 1.14%, 03/06/03 10,120 7,465 Cook County, FLOATS, Ser. PT-1497, GO, FRDO, FGIC, 1.14%, 03/06/03 7,465
See notes to financial statements. 48 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Illinois -- Continued $ 3,885 Cook County, Municipal Trust Receipts, Ser. SG-7, 1.17%, 03/06/03 $ 3,885 10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA, 1.16%, 03/06/03 10,000 7,055 Franklin Park, Illinois, Municipal Securities Trust Receipts, Ser. SGB-14, GO, FRDO, AMBAC, 1.16%, 03/06/03 7,055 13,990 Glendale Heights, Illinois, Glendale Heights Hospital, FLOATS, Ser. PT-1602, 1.10%, 03/06/03 13,990 3,500 Illinois Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 1.05%, 03/06/03 3,500 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Ser. C, Rev., FRDO, 1.10%, 03/05/03 17,900 2,805 Illinois Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 1.16%, 03/06/03 2,805 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 1.16%, 03/06/03 4,485 1,630 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 1.16%, 03/05/03 1,630 15,300 Illinois Development Finance Authority, PCR, Commonwealth Edison Co. Project, Ser. B, Rev., FRDO, 1.00%, 03/05/03 15,300 1,300 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 1.15%, 03/05/03 1,300 21,100 Illinois Development Finance Authority, Vincent De Paul Project, Ser. A, Rev., FRDO, 1.00%, 03/05/03 21,100 8,900 Illinois Educational Facilities Authority, Arts Club of Chicago, Rev., FRDO, 1.05%, 03/05/03 8,900 10,000 Illinois Educational Facilities Authority, John F. Kennedy Health Care, Rev., FRDO, 1.05%, 03/05/03 10,000 5,000 Illinois Educational Facilities Authority, St. Xavier University Project, Ser. A, Rev., FRDO, 1.08%, 03/06/03 5,000 11,275 Illinois Educational Facilities Authority, University Pooled Financing Program, Rev., FRDO, FGIC, 1.05%, 03/05/03 11,275 6,895 Illinois Educational Facilities Authortiy, FLOATS, Ser. PA-896, Rev., FRDO, 1.14%, 03/06/03 6,895 10,530 Illinois Health Facilities Authority, Floating Rate Trust Receipts, Ser. L-26, Regulation D, Rev., (p), FRDO, 1.12%, 03/05/03 10,530
See notes to financial statements. 49 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Illinois -- Continued $ 16,700 Illinois Health Facilities Authority, Health Care Systems, Rev., FRDO, 1.15%, 03/01/03 $ 16,700 10,500 Illinois Health Facilities Authority, Multi-Family Housing, Park Plaza Center, Rev., FRDO, 1.05%, 03/05/03 10,500 9,145 Illinois Health Facilities Authority, St. Lukes Medical Center Obligation, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/05/03 9,145 13,900 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 1.09%, 03/05/03 13,900 19,600 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Ser. A, Rev., FRDO, AMBAC, 1.09%, 03/05/03 19,600 3,000 Illinois Housing Development Authority, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 1.17%, 03/05/03 3,000 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, MBIA, 1.16%, 03/05/03 7,600 10,480 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, MBIA, 1.10%, 03/05/03 10,480 19,055 Illinois Housing Development Authority, Ser. A, Rev., FRDO, 1.25%, 03/01/03 19,055 10,465 Illinois State, FLOATS, Ser. PT-379, GO, FRDO, MBIA, 1.14%, 03/06/03 10,465 2,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 1.20%, 03/01/03 2,075 55,000 Illinois State, Rev., RAN, 3.00%, 04/15/03 55,090 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, 1.14%, 03/06/03 3,255 6,930 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, FRDO, 1.14%, 03/06/03 6,930 2,570 Lake County, IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 1.15%, 03/06/03 2,570 1,655 Libertyville, Illinois, IDR, Libertyville Manor Project, Rev., FRDO, 1.10%, 03/06/03 1,655 3,100 Madison County Environmental Improvement, Shell Wood River Refining, Rev., FRDO, 1.20%, 03/01/03 3,100 14,120 Metropolitan Pier & Exposition Authority, FLOATS, Ser. PA-998, Rev., FRDO, FGIC, 1.50%, 03/06/03 14,120 5,895 Regional Transportation Authority, FLOATS, Ser. PT-1448, Rev., FRDO, FGIC, 1.14%, 03/06/03 5,895 10,000 Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 1.14%, 03/06/03 10,000
See notes to financial statements. 50 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Illinois -- Continued $ 9,400 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 1.10%, 03/05/03 $ 9,400 4,300 Will County, Exempt Facilities, Exxon-Mobil Project, Rev., FRDO, 1.15%, 03/01/03 4,300 ------------- 693,662 Indiana -- 2.0% 6,430 Danville Multi-School Building Corp., FLOATS, Ser. PT-1483, Rev., FRDO, FSA, 1.14%, 03/06/03 6,430 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.20%, 03/06/03 5,000 20,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-1, Rev., FRDO, 1.83%, 07/03/03 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 16,900 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. B, Rev., FRDO, 1.10%, 03/05/03 16,900 2,485 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 1.05%, 03/06/03 2,485 5,055 Indiana Health Facility Financing Authority, FLOATS, Ser. PA-1069, 1.14%, 03/06/03 5,055 4,700 Indiana Health Facility Financing Authority, Hospital, Clarian Health Obligation Group, Ser. C, Rev., FRDO, 1.05%, 03/05/03 4,700 6,755 Indiana Municipal Power Agency, Power Supply Systems, FLOATS, Ser. PT-656, 1.55%, 03/06/03 6,755 1,100 Indiana Secondary Market Educational Loans, Inc., Ser. B, Rev., FRDO, AMBAC, 1.15%, 03/05/03 1,100 6,665 Indiana State Office Building Commission, Capital Complex, FLOATS, Ser. PT-381, 1.14%, 03/06/03 6,665 19,500 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 1.20%, 03/01/03 19,500 8,850 Indianapolis Airport Authority, Floating Rate Trust Receipts, Ser. C-7, Regulation D, Rev., FRDO, 1.27%, 03/05/03 8,850 8,395 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-1408, Rev., FRDO, MBIA, 1.14%, 03/06/03 8,395 9,995 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-382, Rev., FRDO, 1.14%, 03/06/03 9,995
See notes to financial statements. 51 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Indiana -- Continued $ 310 Lafayette, Indiana, Economic Development, Health Quest Realty XI Project, Rev., FRDO, 1.11%, 03/06/03 $ 310 10,100 Monroe County Hospital Authority, Rev., FRDO, MBIA, 1.05%, 03/05/03 10,100 265 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 1.11%, 03/06/03 265 6,585 Purdue University, FLOATS, Ser. PA-760, Rev., FRDO, 1.14%, 03/06/03 6,585 5,100 St. Joseph County, Indiana Educational Facilities, University of Notre Dame Du Lac Project, Rev., FRDO, 1.15%, 03/01/03 5,100 6,000 Whiting, Indiana, Environmental Facilities, Amoco Oil Co. Project, Rev., FRDO, 1.20%, 03/01/03 6,000 ------------- 190,190 Iowa -- 0.1% 8,700 Iowa State, Primary Road Fund, Rev., RAN, 2.50%, 06/30/03 8,730 Kansas -- 1.2% 43,100 Burlington, Kansas, PCR, Floating Rate Trust Receipts, Ser. 2002-L3, Rev., FRDO, MBIA, 1.12%, 03/05/03 43,100 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 1.16%, 03/06/03 2,000 18,000 Kansas State Department of Transportation, Highway, Ser. C-1, Rev., FRDO, 1.06%, 03/05/03 18,000 15,000 Kansas State Department of Transportation, Highway, Ser. C-2, Rev., FRDO, 1.06%, 03/05/03 15,000 5,000 Kansas State Department of Transportation, Highway, Ser. D, Rev., FRDO, 0.99%, 03/05/03 5,000 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, 1.14%, 03/06/03 9,780 5,920 Sedgwick & Shawnee Counties, Single Family Housing, FLOATS, Ser. PT-523, Rev., FRDO, 1.19%, 03/06/03 5,920 1,600 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 1.10%, 03/06/03 1,600 7,740 Wichita, Kansas, Multi-Family Housing, FLOATS, Ser. PT-1641, Rev., FRDO, 1.31%, 03/06/03 7,740 ------------- 108,140 Kentucky -- 0.7% 14,075 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 1.14%, 03/05/03 14,075
See notes to financial statements. 52 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Kentucky -- Continued $ 25,000 Kentucky Asset Liablilty Commission, General Fund, FLOATS, Ser. C, Rev., TAN, 1.20%, 03/06/03 $ 25,000 2,340 Kentucky Development Finance Authority, Pooled Loan Program, Ser. A, Rev., FRDO, FGIC, 1.10%, 03/06/03 2,340 7,020 Kentucky State Property & Buildings Commission, FLOATS, Ser. PA-875, Rev., FRDO, 1.14%, 03/06/03 7,020 15,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Floating Rate Receipts, Ser. SG-132, Rev., FRDO, FGIC, 1.14%, 03/06/03 15,000 ------------- 63,435 Louisiana -- 0.9% 12,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-17, Rev., FRDO, AMBAC, #, 1.65%, 08/21/03 12,000 2,155 Iberia Parish IDB, IDR, Cuming Insulation Corp. Project, Rev., FRDO, 1.22%, 03/06/03 2,155 3,565 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 1.24%, 03/06/03 3,565 3,000 Lake Charles Harbor & Terminal District, District Dock & Wharf, Conoco, Inc. Project, Rev., FRDO, 1.15%, 03/05/03 3,000 5,130 Louisiana Housing Finance Agency, FLOATS, Ser. PT-1340, Rev., FRDO, 1.35%, 09/04/03 5,130 1,480 Louisiana Offshore Terminal Authority, Deepwater Port, 1st Stage, Loop, Inc., ACES, Rev., FRDO, 1.15%, 03/01/03 1,480 18,150 Louisiana Public Facilities Authority, IDB, Kenner Hotel LTD, Rev., FRDO, 1.10%, 03/01/03 18,150 5,995 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 1.13%, 03/06/03 5,995 11,700 Louisiana Public Facilities Authority, Tiger Athletic Foundation Project, Rev., FRDO, 1.13%, 03/06/03 11,700 11,170 Louisiana State, Floating Rate Certificates, Ser. 217, GO, FRDO, MBIA, 1.16%, 03/06/03 11,170 235 New Orleans Aviation Board, Ser. C, GO, FRDO, MBIA, 1.10%, 03/05/03 235 4,000 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 1.10%, 03/05/03 4,000 4,740 Tobacco Settlement Financing Corp., FLOATS, Ser. PA-1079, Rev., FRDO, 1.30%, 03/06/03 4,740 ------------- 83,320
See notes to financial statements. 53 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Maine -- 0.6% $ 10,000 Maine Finance Authority, Jackson Lab Issue, Ser. 2002, Rev., FRDO, 1.11%, 03/06/03 $ 10,000 1,595 Maine State Housing Authority, FLOATS, Ser. PT-1438, Rev., FRDO, 1.17%, 03/06/03 1,595 8,000 Maine State Housing Authority, Ser. E-2, Rev., FRDO, 1.65%, 07/15/03 8,000 5,020 Maine State Housing Authority, Ser. RR-II-R-193, Rev., FRDO, 1.20%, 03/06/03 5,020 5,000 Maine State, GO, BAN, 2.50%, 06/26/03 5,013 20,000 Maine State, GO, TAN, 2.25%, 06/30/03 20,049 7,500 Maine Turnpike Authority, 1.60%, 06/03/03 7,500 ------------- 57,177 Maryland -- 1.1% 5,575 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 1.08%, 03/06/03 5,575 21,400 Baltimore IDA, IDR, Baltimore Capital Acquisition, Rev., FRDO, 1.10%, 03/05/03 21,400 8,605 Howard County, Multi-Family Housing, Sherwood Crossing LTD, Rev., FRDO, 2.00%, 06/01/03 8,605 4,970 Maryland Community Development Administration Department of Housing & Community Development, FLOATS, Ser. PT-12, FRDO, 1.20%, 03/01/03 4,970 3,000 Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 1.15%, 03/05/03 3,000 5,180 Maryland State Department of Transportation, County Transportation, FLOATS, Ser. PA-867, Rev., FRDO, 1.14%, 03/06/03 5,180 2,550 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 1.18%, 03/06/03 2,550 15,970 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 1.15%, 03/05/03 15,970 8,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO, 1.10%, 03/06/03 8,185 11,430 Maryland State, FLOATS, Ser. PT-1692, GO, FRDO, 1.10%, 03/06/03 11,430 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 1.01%, 03/05/03 16,800 1,400 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 0.90%, 03/05/03 1,400 ------------- 105,065
See notes to financial statements. 54 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Massachusetts -- 4.1% $ 8,000 Arlington, Massachusetts, GO, BAN, 3.00%, 04/10/03 $ 8,007 11,335 Bi-State Development Agency, Metropolitan District, FLOATS, Ser. PT-1593, Rev., FRDO, FSA, 1.14%, 03/06/03 11,335 9,010 Clipper Tax-Exempt Trust, Ser. 2001-4, COP, FRDO, 1.25%, 09/11/03 9,010 20,000 Duxbury, Massachusetts, GO, BAN, 1.75%, 01/15/04 20,086 10,000 Gateway Regional School District, GO, BAN, 2.25%, 05/06/03 10,013 14,897 Gateway Regional School District, GO, BAN,, 3.00%, 05/06/03 14,922 11,100 Lee, Massachusetts, BAN, 2.75%, 05/13/03 11,118 15,000 Masconomet Regional School District, GO, BAN, 1.50%, 02/12/04 15,049 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 1.18%, 03/05/03 5,750 10,000 Massachusetts Development Finance Agency, Clark University, Ser. A, Class A, Rev., FRDO, AMBAC, 1.10%, 03/05/03 10,000 4,910 Massachusetts Development Financing Agency, Bridge Issue, Rev., FRDO, 1.10%, 03/05/03 4,910 1,490 Massachusetts Health & Educational Facilities Authority, Capital Assets Program, Ser. D, Rev., FRDO, MBIA, 1.10%, 03/01/03 1,490 3,800 Massachusetts Health & Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-97, Rev., FRDO, 1.20%, 03/01/03 3,800 10,700 Massachusetts Health & Educational Facilities Authority, Ser. B, Rev., FRDO, 1.05%, 03/06/03 10,700 11,400 Massachusetts Housing Finance Agency, Single Family Housing, Rev., FRDO, FSA, 1.10%, 03/05/03 11,400 19,715 Massachusetts Housing Finance Agency, Single Family Housing, Ser. L, Rev., 1.40%, 11/13/03 19,715 8,705 Massachusetts State Port Authority, Municipal Securities Trust Receipts, Ser. SGA-64, Rev., FRDO, 1.22%, 03/05/03 8,705 6,840 Massachusetts State Turnpike Authority, Metropolitan Highway System, FLOATS, Ser. PA-672, Rev., FRDO, MBIA, 1.50%, 03/06/03 6,840 5,100 Massachusetts State Water Pollution Abatement Trust, Municipal Securities Trust Receipts, Ser. SGA-87, Rev., FRDO, 1.20%, 03/01/03 5,100
See notes to financial statements. 55 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Massachusetts -- Continued $ 2,500 Massachusetts State Water Resources Authority, Multi-Modal, Sub Ser. B, Rev., FRDO, FGIC, 1.05%, 03/05/03 $ 2,500 4,420 Massachusetts State Water Resources Authority, Ser. A, Rev., FRDO, FGIC, 1.00%, 03/05/03 4,420 6,600 Massachusetts State Water Resources Authority, Sub Ser. C, Rev., FRDO, FGIC, 1.05%, 03/05/03 6,600 7,380 Massachusetts State, FLOATS, Ser. PA-1033-R, 1.05%, 03/06/03 7,380 8,200 Massachusetts State, FLOATS, Ser. PT-1543, GO, FRDO, FGIC, 1.05%, 03/06/03 8,200 10,135 Massachusetts State, FLOATS, Ser. PT-1609, GO, FRDO, FGIC, 1.05%, 03/06/03 10,135 7,860 Massachusetts State, FLOATS, Ser. PT-661, GO, FRDO, FGIC, 1.05%, 03/06/03 7,860 25,000 Massachusetts State, Ser. A, GO, BAN, 3.25%, 04/25/03 25,039 4,995 Massachusetts State, Ser. II-R-104, GO, FRDO, 1.60%, 03/06/03 4,995 8,950 Medford, Massachusetts, GO, BAN, 3.00%, 11/14/03 9,047 25,000 Millbury, Massachusetts, GO, BAN, 3.00%, 04/18/03 25,026 13,000 Peabody, Massachusetts, GO, BAN, 2.00%, 02/13/04 13,108 7,600 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/05/03 7,600 3,600 Sandwich, Massachusetts, GO, BAN, 2.00%, 02/12/04 3,629 32,555 Scituate, Massachusetts, GO, BAN, 2.40%, 03/06/03 32,557 23,000 Westford, Massachusetts, GO, BAN, 2.75%, 05/14/03 23,039 7,750 Woburn, Massachusetts, GO, BAN, 2.75%, 07/18/03 7,786 ------------- 386,871 Michigan -- 4.8% 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16, GO, FRDO, FGIC, 1.75%, 06/25/03 30,795 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-29, GO, FRDO, FGIC, 1.60%, 08/13/03 5,000 16,080 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 1.50%, 10/02/03 16,080 7,450 East Lansing School District, Municipal Securities Trust Receipts, Ser. SGA-114, GO, FRDO, 1.18%, 03/05/03 7,450
See notes to financial statements. 56 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Michigan -- Continued $ 2,000 Holt Public Schools, GO, FRDO, 1.05%, 03/06/03 $ 2,000 8,900 Howell Public Schools, FLOATS, Ser. PT-1502, GO, FRDO, 1.14%, 03/06/03 8,900 5,500 Kent Hospital Financing Authority, Spectrum Health, Ser. B, Rev., FRDO, MBIA, 1.05%, 03/05/03 5,500 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 1.10%, 03/05/03 9,000 5,280 Michigan Municipal Bond Authority, FLOATS, Ser. PA-852, Rev., FRDO, 1.14%, 03/06/03 5,280 8,220 Michigan Municipal Bond Authority, FLOATS, Ser. PA-942, Rev., FRDO, 1.14%, 03/06/03 8,220 8,560 Michigan Municipal Bond Authority, FLOATS, Ser. PT-1477, Rev., FRDO, 1.10%, 03/06/03 8,560 6,205 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 1.14%, 03/06/03 6,205 20,000 Michigan Municipal Bond Authority, Ser. C-1, Rev., 2.25%, 08/22/03 20,080 9,500 Michigan State Building Authority, Facilities Program, Rev., FRDO, 1.10%, 03/05/03 9,500 15,000 Michigan State Building Authority, Multi-Modal Facilities Program, Rev., FRDO, 1.05%, 03/05/03 15,000 10,570 Michigan State Building Authority, Ser. RR-II-R-1049, Rev., FRDO, 1.16%, 03/06/03 10,570 7,470 Michigan State Hospital Finance Authority, FLOATS, Ser. PA-919, 1.14%, 03/06/03 7,470 7,495 Michigan State Hospital Finance Authority, FLOATS, Ser. PT-668, Rev., FRDO, MBIA, 1.14%, 03/06/03 7,495 6,350 Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Ser. A, Rev., FRDO, 1.09%, 03/06/03 6,350 7,415 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 1.16%, 03/05/03 7,415 6,000 Michigan State Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 1.15%, 03/05/03 6,000 825 Michigan State Housing Development Authority, Ser. 2000-A, Rev., FRDO, MBIA, 1.05%, 03/05/03 825 17,375 Michigan State Housing Development Authority, Ser. D, Rev., 1.40%, 06/01/03 17,375 4,960 Michigan State University, Ser. A, Rev., FRDO, 1.00%, 03/05/03 4,960 18,935 Michigan State University, Ser. A-2, Rev., FRDO, 1.00%, 03/05/03 18,935
See notes to financial statements. 57 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Michigan -- Continued $ 23,100 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 1.00%, 03/05/03 $ 23,100 15,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 1.05%, 03/05/03 15,000 6,000 Michigan State, Floating Rate Trust Receipts, Ser. L-43-J, GO, FRDO, 1.12%, 03/05/03 6,000 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 1.00%, 03/05/03 10,500 37,700 Michigan State, Ser. B, Rev., GAN, FRDO, FSA, 1.00%, 03/05/03 37,700 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 1.20%, 03/05/03 1,175 13,545 Milan Area Schools, Ser. R, GO, FRDO, 1.05%, 03/06/03 13,545 10,000 Oakland University, Rev., FRDO, FGIC, 1.05%, 03/05/03 10,000 300 University of Michigan, Hospital, Ser. A, Rev., FRDO, 1.15%, 03/01/03 300 4,500 Walled Lake Consolidated School District, Municipal Securities Trust Receipts, Ser. SGA-68, GO, FRDO, MBIA, 1.20%, 03/01/03 4,500 10,400 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Junior Lien, Rev., FRDO, FSA, 1.09%, 03/06/03 10,400 10,000 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. A, Rev., FRDO, FGIC, 1.10%, 03/05/03 10,000 45,305 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Ser. B, Rev., FRDO, 1.10%, 03/05/03 45,305 13,700 Wayne Charter County, Wayne Charter Airport, Floating Rate Receipts, Ser. SG-122, Rev., FRDO, 1.14%, 03/06/03 13,700 ------------- 446,190 Minnesota -- 1.1% 8,360 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SG-136, Rev., FRDO, FGIC, 1.16%, 03/06/03 8,360 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 1.21%, 03/05/03 9,000 5,805 Minnesota Housing Finance Agency, Single Family Mortgage, Ser. I, Rev., FRDO, 1.38%, 07/01/03 5,805 24,030 Minnesota Housing Finance Agency, Single Family Mortgage, Ser. J, Rev., FRDO, 1.40%, 07/01/03 24,030
See notes to financial statements. 58 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Minnesota -- Continued $ 14,105 Minnesota Housing Finance Agency, Single Family Mortgage, Ser. K, Rev., FRDO, 1.35%, 07/01/03 $ 14,105 4,995 Minnesota Public Facilities Authority, PCR, Water, Ser. II-R-31, Rev., FRDO, 1.60%, 03/06/03 4,995 11,000 Minnesota Public Facilities Authority, PCR, Water, Ser. II-TR-1, Rev., FRDO, 2.00%, 03/06/03 11,000 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 1.15%, 03/06/03 4,300 21,450 University of Minnesota, Ser. C, Rev., FRDO, 1.05%, 03/05/03 21,450 ------------- 103,045 Mississippi -- 0.4% 1,765 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms, Inc. Project, Rev., FRDO, 1.15%, 03/05/03 1,765 8,450 Mississippi Development Bank Special Obligation, FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 1.14%, 03/06/03 8,450 4,965 Mississippi Home Corp., Single Family Housing, FLOATS, Ser. PT-620, Rev., FRDO, 1.19%, 03/06/03 4,965 4,400 Mississippi State, Ser. RR-II-R-1043, GO, FRDO, FGIC, 1.16%, 03/06/03 4,400 15,000 Perry County, PCR, Leaf River Forest Production Project, Rev., FRDO, 1.10%, 03/06/03 15,000 ------------- 34,580 Missouri -- 0.8% 3,150 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., FRDO, 1.20%, 03/06/03 3,150 6,500 Missouri Development Finance Board, Infrastructure Facilities, Branson Project, Rev., BAN, 3.00%, 03/14/03 6,502 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.15%, 03/05/03 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/05/03 1,600 4,880 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 1.35%, 09/04/03 4,880 6,315 Missouri Housing Development Commission, FLOATS, Ser. PT-341, 1.72%, 07/10/03 6,315 5,890 Missouri Housing Development Commission, Mortgage, FLOATS, Ser. PT-495, Rev., FRDO, 1.22%, 03/06/03 5,890
See notes to financial statements. 59 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Missouri -- Continued $ 13,000 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 1.05%, 03/06/03 $ 13,000 2,500 Missouri State Health & Educational Facilities Authority, EAGLE, Ser. 2002-6026, Class A, Rev., FRDO, 1.16%, 03/06/03 2,500 9,985 Missouri State Highways & Transit Commission, FLOATS, Ser. PT-657, Rev., FRDO, 1.14%, 03/06/03 9,985 6,715 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 1.19%, 03/06/03 6,723 11,125 O'Fallon, Missouri, FLOATS, Ser. PT-1396, COP, FRDO, MBIA, 1.14%, 03/06/03 11,125 ------------- 74,670 Montana -- 0.2% 22,810 Montana Board of Housing, FLOATS, Ser. PT-710, Rev., FRDO, 1.24%, 03/06/03 22,810 Multiple States -- 6.3% 22,013 ABN-AMRO Munitops Certificate Trust, Ser. 2002-1, Rev., FRDO, 1.27%, 03/05/03 22,013 30,000 American Red Cross, 1.03%, 03/10/03 30,000 42,500 Charter Mac Floater Certificate Trust I, Ser. NAT-1, Rev., FRDO, MBIA, 1.28%, 03/06/03 42,500 10,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.28%, 03/06/03 10,000 15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3, Rev., FRDO, MBIA, 1.28%, 03/06/03 15,000 14,000 Charter Mac Floater Certificate Trust I, Ser. NAT-4, FLOATER, 1.28%, 03/06/03 14,000 6,708 Clipper Tax-Exempt Trust, Ser. 1999-2, COP, FRDO, 1.38%, 03/06/03 6,708 17,790 Clipper Tax-Exempt Trust, Ser. 2002-9, COP, FRDO, 1.38%, 03/06/03 17,790 14,550 IBM Lease, FLOATS, Ser. 2001-A, FRDO, 1.28%, 03/06/03 14,550 3,622 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS, 1.28%, 03/06/03 3,622 23,045 IBM Tax Exempt Trust, IBM Project, FLOATS, Ser. 2001-D, Rev., FRDO, 1.28%, 03/06/03 23,045 32,404 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.33%, 03/06/03 32,404 37,615 MBIA Capital Corp., FLOATS, 1.23%, 03/06/03 37,615 22,575 Puttable Floating Option Tax-Exempt Receipts Ser. 2003-SG-P-15, 1.28%, 03/06/03 22,575 124,660 Puttable Floating Option Tax-Exempt Receipts, Floating Rate Receipts, Ser. 2001-SG, 1.28%, 03/06/03 124,660
See notes to financial statements. 60 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Multiple States -- Continued $ 106,720 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. SGP-12, FRDO, 1.28%, 03/06/03 $ 106,720 45,770 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A Certificates, 1.24%, 03/06/03 45,770 10,500 SunAmerica Trust, Ser. 2, Class A Certificates, Rev., FRDO, 1.30%, 03/06/03 10,500 ------------- 579,472 Nebraska -- 0.4% 12,400 Lincoln, Nebraska, Electric Systems, FLOATS, Ser. PT-1548, Rev., FRDO, 1.14%, 03/06/03 12,400 3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO, MBIA, 1.10%, 03/05/03 3,285 5,500 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. 2002-L-1, Rev., FRDO, 1.17%, 03/05/03 5,500 9,975 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. N-7, Regulation D, Rev., FRDO, 1.75%, 08/01/03 9,975 6,000 Nebraska Investment Finance Authority, Single Family Housing, Ser. E, Rev., FRDO, 1.15%, 03/05/03 6,000 900 Sidney, Nebraska, IDR, Pennington Seed, Inc. Project, Rev., FRDO, 1.15%, 03/05/03 900 ------------- 38,060 Nevada -- 1.5% 1,500 Clark County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 1.20%, 03/01/03 1,500 15,000 Clark County School District, FRDO, 1.16%, 03/06/03 15,000 6,900 Clark County, Airport Improvement, Sub Lien, Ser. A-1, Rev., FRDO, 1.00%, 03/05/03 6,900 575 Clark County, Airport Improvement, Sub Lien, Ser. A-2, Rev., FRDO, 1.09%, 03/05/03 575 18,200 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev., FRDO, FGIC, 1.00%, 03/05/03 18,200 14,600 Clark County, Clark Airport, Sub Lien, Ser. B, Rev., FRDO, MBIA, 1.09%, 03/05/03 14,600 5,300 Clark County, IDR, Nevada Cogeneration Association #2, Ser. C, Rev., FRDO, 1.20%, 03/01/03 5,300 14,800 Nevada Housing Division, Multi-Family Housing, Park Vista Apartments, Ser. A, Rev., FRDO, 1.10%, 03/05/03 14,800 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 1.15%, 03/06/03 3,390
See notes to financial statements. 61 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Nevada -- Continued $ 6,250 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 1.15%, 3/06/03 $ 6,250 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 1.15%, 03/06/03 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 1.15%, 03/06/03 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 1.15%, 03/06/03 3,195 9,500 Nevada Housing Division, Multi-Unit, Flamingo Road, Ser. A, Rev., FRDO, #, 1.40%, 03/06/03 9,500 7,800 Nevada Housing Division, Multi-Unit, Fort Apache, Ser. A, Rev., FRDO, 1.40%, 03/06/03 7,800 4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO, 1.14%, 03/06/03 4,800 9,000 Nevada State, FLOATS, Ser. SG-39, FRDO, 1.14%, 03/06/03 9,000 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 1.20%, 03/01/03 5,800 ------------- 138,815 New Hampshire -- 0.2% 6,000 New Hampshire Health & Education Facilities Authority, Riverbend, Rev., FRDO, 1.10%, 03/06/03 6,000 5,475 New Hampshire Higher Educational & Health Facilities Authority, FLOATER, Ser. 772, Rev., FRDO, FGIC, 1.16%, 03/06/03 5,475 5,820 New Hampshire State Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-624, Rev., FRDO, 1.22%, 03/06/03 5,820 ------------- 17,295 New Jersey -- 3.0% 20,000 Essex County, Essex Vocational School, BAN, 2.25%, 11/06/03 20,067 18,700 Jersey City, New Jersey, Promissory Note, GO, 1.75%, 02/27/04 18,804 7,900 Mercer County Improvement Authority, Atlantic Foundation & Johnson, Rev., FRDO, MBIA, 1.03%, 03/06/03 7,900 14,600 New Jersey Economic Development Authority, Foreign Trade Zone Project, Rev., FRDO, 1.10%, 03/01/03 14,600 2,500 New Jersey Economic Development Authority, Natural Gas Facilities, NUI Corp. Project, Ser. A, Rev., FRDO, AMBAC, 1.15%, 03/01/03 2,500 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 1.20%, 03/06/03 4,995
See notes to financial statements. 62 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New Jersey -- Continued $ 7,800 New Jersey Economic Development Authority, Special Facilities, Port Newark Container LLC, Rev., FRDO, 1.15%, 03/05/03 $ 7,800 1,470 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.05%, 03/06/03 1,470 6,100 New Jersey State, FLOATS, Ser. PA-946, GO, FRDO, 1.03%, 03/06/03 6,100 185,000 New Jersey State, Rev., TRAN, 3.00%, 06/12/03 185,797 14,592 Passaic County, GO, BAN, 2.75%, 03/27/03 14,598 ------------- 284,631 New Mexico -- 0.4% 8,050 Bernalillo County, Rev., TRAN, 3.00%, 06/30/03 8,091 3,200 Chaves County, IDR, Friona Industries LP, Ser. A, Rev., FRDO, 1.20%, 03/06/03 3,200 4,300 New Mexico Finance Authority, Administrative Fee, Ser. A, Rev., FRDO, 1.11%, 03/05/03 4,300 6,285 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1308, Rev., FRDO, 1.35%, 09/04/03 6,285 6,670 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1378, Rev., FRDO, 1.35%, 09/04/03 6,670 4,210 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-196, FRDO, 1.22%, 03/06/03 4,210 5,395 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-643, Rev., FRDO, 1.19%, 03/06/03 5,395 ------------- 38,151 New York -- 7.9% 10,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.55%, 08/20/03 10,000 685 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 96C-4901, Class A, #, FRDO, 1.20%, 03/06/03 685 8,500 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 1.08%, 03/06/03 8,500 2,300 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-522, Rev., FRDO, FSA, 1.10%, 03/06/03 2,300 3,400 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 1.05%, 03/06/03 3,400 14,995 Metropolitan Transportation Authority, FLOATS, Ser. 1040, Rev., FRDO, FGIC, 1.11%, 03/06/03 14,995 6,700 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 1.10%, 03/06/03 6,700
See notes to financial statements. 63 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, MBIA, 1.11%, 03/06/03 $ 1,520 11,300 Nassau County Interim Financing Authority, FLOATS, Ser. PA 901, Rev., FRDO, AMBAC, 1.10%, 03/06/03 11,300 5,300 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.15%, 03/05/03 5,300 7,565 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.13%, 03/05/03 7,565 4,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1045, Rev., FRDO, 1.10%, 03/06/03 4,995 5,885 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 1.12%, 03/06/03 5,885 9,895 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 1.10%, 03/06/03 9,895 13,500 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-523, Rev., FRDO, FGIC, 1.08%, 03/06/03 13,500 6,385 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 1.13%, 03/05/03 6,385 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.11%, 03/06/03 2,000 5,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 1.10%, 03/01/03 5,900 16,575 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-11, Rev., FRDO, 1.10%, 03/05/03 16,575 8,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-1043-R, Rev., FRDO, 1.11%, 03/06/03 8,995 51,900 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 1.06%, 03/05/03 51,900 52,600 New York City Transitional Finance Authority, Rev., BAN, 2.50%, 11/06/03 52,939 15,000 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 1.10%, 03/01/03 15,000 25,000 New York City Transitional Finance Authority, Sub Ser. 2-E, Rev., FRDO, 1.06%, 03/05/03 25,000
See notes to financial statements. 64 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 25,000 New York City, New York, 1.10%, 06/12/03 $ 25,000 15,000 New York City, New York, 1.10%, 08/06/03 15,000 40,100 New York City, New York, 1.10%, 08/15/03 40,100 60,000 New York City, New York, Floating Rate Trust Receipts, FLOATER, Ser. L-28-J, Regulation D, GO, FRDO, 1.10%, 03/05/03 60,000 10,920 New York City, New York, FLOATS, Ser. PA-878, FRDO, 1.50%, 07/02/03 10,920 5,410 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.11%, 03/06/03 5,410 400 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.15%, 03/01/03 400 2,600 New York City, New York, Ser. B, Sub Ser. B-3, GO, FRDO, MBIA, 1.15%, 03/01/03 2,600 1,400 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 1.15%, 03/01/03 1,400 900 New York City, New York, Ser. H, Sub Ser. H-3, FRDO, GO, FSA, 1.10%, 03/01/03 900 800 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.10%, 03/01/03 800 1,400 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.10%, 03/01/03 1,400 3,600 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.10%, 03/01/03 3,600 7,700 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.10%, 03/01/03 7,700 27,550 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 1.10%, 03/01/03 27,550 22,500 New York City, New York, Sub Ser. C-4, GO, FRDO, 1.00%, 03/05/03 22,500 4,565 New York Counties TOB (Tobacco) Trust I, FLOATS, Ser. PA-799, Rev., FRDO, 1.17%, 03/06/03 4,565 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.50%, 05/15/03 8,140 11,215 New York State Dormitory Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 1.08%, 03/06/03 11,215 11,180 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-198,Rev., FRDO, MBIA, 1.08%, 03/06/03 11,180 4,495 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA, 1.08%, 03/06/03 4,495 7,750 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-906, Rev., FRDO, 1.08%, 03/06/03 7,750
See notes to financial statements. 65 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued New York -- Continued $ 4,300 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 1.05%, 03/05/03 $ 4,300 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.08%, 03/06/03 1,300 9,000 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, 1.12%, 03/06/03 9,000 6,365 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-414, Rev., FRDO, 1.35%, 09/04/03 6,365 7,315 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev., FRDO, FGIC, 1.08%, 03/06/03 7,315 11,070 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1578, Rev., FRDO, MBIA, 1.08%, 03/06/03 11,070 10,000 New York State Thruway Authority, Ser. A, Rev., BAN, 3.25%, 03/26/03 10,007 22,400 New York State Urban Development Corp., Correctional and Youth Facilities Services, FLOATS, PT-723, Rev., FRDO, 1.11%, 03/06/03 22,400 21,700 New York State Urban Development Corp., FLOATS, Ser. 768, Rev., FRDO, MBIA-IBC, 1.11%, 03/06/03 21,700 7,295 New York State Urban Development Corp., FLOATS, Ser. PT-1644, Rev., FRDO, 1.08%, 03/06/03 7,295 4,200 New York State, Housing Finance Agency, Saxony Housing, Rev., FRDO, 1.15%, 03/05/03 4,200 15,910 Orange County IDA, Civic Facilities, Arden Hill Hospital Project, Rev., FRDO, FSA, 1.05%, 03/06/03 15,910 13,090 Port Authority of New York & New Jersey, Rev., FRDO, 1.34%, 03/04/03 13,090 10,000 Rockland County, GO, RAN, 3.00%, 04/09/03 10,008 900 St. Lawrence County IDA, IDB, PCR, Reynolds Metals, Rev., FRDO, 1.15%, 03/01/03 900 15,000 Triborough Bridge & Tunnel Authority, Ser. C, Rev., FRDO, AMBAC, 1.05%, 03/06/03 15,000 4,200 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 1.10%, 03/05/03 4,200 7,000 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 1.05%, 03/05/03 7,000 2,930 TSASC, Inc., FLOATS, Ser. PA-797, Rev., FRDO, 1.17%, 03/06/03 2,930 ------------- 737,849
See notes to financial statements. 66 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued North Carolina -- 1.6% $ 6,850 Charlotte, North Carolina, Airport, Ser. D, Rev., FRDO, MBIA, 1.00%, 03/05/03 $ 6,850 1,700 Durham, North Carolina, Water and Sewer Utility Systems, Rev., FRDO, 1.10%, 03/05/03 1,700 9,000 Fayetteville Public Works Commission, Rev., FRDO, FSA, 1.00%, 03/05/03 9,000 2,500 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.05%, 03/05/03 2,500 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.05%, 03/05/03 20,190 600 Guilford County Industrial Facilities & PCFA, Industrial Development, Neal Manufacturing, Inc., Rev., FRDO, 1.15%, 03/06/03 600 5,000 Iredell County Public Facilities Corp., Iredell County Schools Project, Rev., FRDO, AMBAC, 1.05%, 03/06/03 5,000 11,330 Mecklenburg County, FLOATS, Ser. PA-710, GO, FRDO, (p), 1.08%, 03/06/03 11,330 9,310 North Carolina Educational Facilities Finance Agency, Elon College, Rev., FRDO, 1.05%, 03/05/03 9,310 1,700 North Carolina Educational Facilities Finance Agency, Greensboro College, Rev., FRDO, 1.05%, 03/05/03 1,700 7,640 North Carolina Housing Finance Agency, FLOATS, Ser. PT 465, 1.19%, 03/06/03 7,640 19,930 North Carolina Medical Care Commission, Baptist Hospitals Project, Rev., FRDO, 1.04%, 03/05/03 19,930 18,400 North Carolina Medical Care Commission, Baptist Hospitals Project, Ser. B, Rev., FRDO, 1.04%, 03/06/03 18,400 9,400 North Carolina Medical Care Commission, Health Care Facilities, FirstHealth Carolinas Project, Rev., FRDO, 1.05%, 03/05/03 9,400 5,000 North Carolina Medical Care Commission, Health Care Facilities, Union Regional Medical Center Project, Ser. B, Rev., FRDO, 1.05%, 03/06/03 5,000 3,000 North Carolina Medical Care Commission, Health Systems, Catholic Health East, Ser. D, Rev., FRDO, AMBAC, 1.04%, 03/05/03 3,000 3,000 North Carolina Medical Care Commission, Hospital, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 1.05%, 03/06/03 3,000 15,400 North Carolina Medical Care Commission, Hospital, Pooled Equipment Financing Project, Rev., FRDO, MBIA, 1.05%, 03/04/03 15,400 ------------- 149,950
See notes to financial statements. 67 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued North Dakota -- 0.1% $ 3,900 Grand Forks, North Dakota, Health Care Facilities, United Hospital Obligation Group, Ser. A, Rev., FRDO, 1.19%, 03/01/03 $ 3,900 7,260 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 1.20%, 03/06/03 7,260 ------------- 11,160 Ohio -- 1.1% 3,450 Columbus, Ohio, Ser. 1, GO, FRDO, 1.00%, 03/06/03 3,450 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 1.28%, 03/06/03 8,000 4,395 Greene County, Nursing Homes, Ser. B, Rev., FRDO, 1.05%, 03/06/03 4,395 4,100 Hamilton County, Hospital Facilities, Health Alliance, Ser. E, Rev., FRDO, MBIA, 1.04%, 03/05/03 4,100 5,840 Ohio Housing Finance Agency, Ser. II-R-187, Rev., FRDO, 1.20%, 03/06/03 5,840 100 Ohio State Air Quality Development Authority, Cincinnati Gas & Electric, Ser. A, Rev., FRDO, 1.15%, 03/01/03 100 14,000 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.20%, 03/05/03 14,000 11,100 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.20%, 03/05/03 11,100 700 Ohio State Air Quality Development Authority, Pollution Control, Toledo Edison Co., Ser. A, Rev., FRDO, 1.15%, 03/01/03 700 8,975 Ohio State Building Authority, Floating Rate Trust Receipts, Ser. L-41, Regulation D, Rev., FRDO, 1.17%, 03/05/03 8,975 10,440 Ohio State Building Authority, FLOATS, Ser. PA-908, Rev., FRDO, AMBAC, 1.14%, 03/06/03 10,440 9,480 Ohio State Building Authority, FLOATS, Ser. PA-939P, Rev., FRDO, 1.14%, 03/06/03 9,480 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 1.16%, 03/28/03 4,995 5,000 Ohio State Water Development Authority, Environmental Facilities, Premcor Refining Group, Rev., FRDO, 1.40%, 12/01/03 5,000 2,800 Ohio State Water Development Authority, PCR, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 1.15%, 03/01/03 2,800 10,000 Ohio State Water Development Authority, Pure Water Development, Ser. B, Rev., FRDO, MBIA, 1.10%, 03/05/03 10,000 ------------- 103,375
See notes to financial statements. 68 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Oklahoma -- 0.5% $ 5,340 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-342, Rev., 1.72%, 07/10/03 $ 5,340 5,415 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-493, Rev., FRDO, 1.22%, 03/06/03 5,415 10,000 Payne County Economic Development Authority, Student Housing, OSUF Phase III Project, Rev., FRDO, AMBAC, 1.13%, 03/06/03 10,000 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 1.10%, 03/06/03 10,490 6,465 Tulsa County Home Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO, 1.19%, 03/06/03 6,465 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 1.10%, 03/06/03 6,500 ------------- 44,210 Oregon -- 0.8% 10,000 Multnomah County, Ser. R-17, GO, FRDO, 1.16%, 03/06/03 10,000 5,205 Oregon State Department of Administrative Services, State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA, 1.14%, 03/06/03 5,205 8,200 Oregon State Housing & Community Services Department, Department of Housing and Development, Covenant Retirement, Ser. A, Rev., FRDO, 1.25%, 03/06/03 8,200 7,000 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. J, Rev., 1.50%, 09/25/03 7,000 9,000 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. L, Rev., 1.55%, 09/25/03 9,000 3,545 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, FRDO, 1.17%, 03/05/03 3,545 24,250 Oregon State, Ser. A, Rev., TAN, 3.25%, 05/01/03 24,302 5,500 Portland, Oregon, Sewer Systems, FLOATS, Ser. PA-872, Rev., FRDO, 1.14%, 03/06/03 5,500 ------------- 72,752 Pennsylvania -- 3.8% 9,690 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 1.08%, 03/05/03 9,690 4,755 Chester County Health & Educational Facilities Authority, Barclay Friends Project, Ser. B, Rev., FRDO, 1.05%, 03/05/03 4,755
See notes to financial statements. 69 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Pennsylvania -- Continued $ 8,800 Chester County IDA, Archdiocese Philadelphia, Rev., FRDO, 1.15%, 03/01/03 $ 8,800 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 1.10%, 03/05/03 8,300 5,500 Delaware County, 1.10%, 03/06/03 5,500 12,495 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1028, Rev., FRDO, 1.13%, 03/06/03 12,495 26,995 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1041, Rev., FRDO, 1.13%, 03/06/03 26,995 9,200 Delaware Valley Regional Financial Authority, Local Government, Rev., FRDO, 1.05%, 03/05/03 9,200 6,400 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.05%, 03/05/03 6,400 2,700 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.05%, 03/05/03 2,700 5,000 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.05%, 03/05/03 5,000 11,400 Delaware Valley Regional Financial Authority, Local Government, Ser. B, Rev., FRDO, 1.05%, 03/05/03 11,400 28,300 Delaware Valley Regional Financial Authority, Local Government, Ser. C, Rev., FRDO, 1.05%, 03/05/03 28,300 14,400 Delaware Valley Regional Financial Authority, Local Government, Ser. D, Rev., FRDO, 1.05%, 03/05/03 14,400 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 1.16%, 03/06/03 5,900 11,600 Emmaus General Authority, Pennsylvania Loan Project, Ser. A, Rev., FRDO, FSA, 1.12%, 03/06/03 11,600 7,090 Emmaus General Authority, Sub Ser. G-16, Rev., FRDO, 1.15%, 03/05/03 7,090 8,135 Lehigh County, FLOATS, Ser. PA-976, 1.09%, 03/06/03 8,135 10,000 Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Ser. A, Rev., FRDO, 1.05%, 03/06/03 10,000 13,330 North Penn Water Authority, Municipal Securities Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC, 1.18%, 03/05/03 13,330
See notes to financial statements. 70 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Pennsylvania -- Continued $ 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 1.09%, 03/06/03 $ 7,600 4,880 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 1.10%, 03/05/03 4,880 3,600 Pennsylvania Energy Development Authority, B&W Edensburg Project, Rev., FRDO, 1.10%, 03/05/03 3,600 7,390 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-16, 1.09%, 03/06/03 7,390 9,000 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 1.09%, 03/06/03 9,000 5,500 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.10%, 03/05/03 5,500 8,800 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.15%, 03/05/03 8,800 22,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev., FRDO, 1.05%, 03/05/03 22,300 8,900 Pennsylvania Turnpike Commission, Ser. B, Rev., FRDO, 1.05%, 03/06/03 8,900 27,000 Philadelphia School District, GO, TRAN, 2.75%, 06/30/03 27,111 6,170 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Trust Receipts, Ser. L-16, Regulation D, Rev., FRDO, FGIC, 1.12%, 03/05/03 6,170 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, 1.09%, 03/06/03 10,905 10,235 Southeastern Pennsylvania Transportation Authority, Ser. SG-28, Rev., FRDO, FGIC, 1.09%, 03/06/03 10,236 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.05%, 03/05/03 7,500 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.05%, 03/05/03 7,500 ------------- 357,382 Puerto Rico -- 0.2% 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.01%, 03/06/03 3,315 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.01%, 03/06/03 800
See notes to financial statements. 71 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Puerto Rico -- Continued $ 2,100 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.08%, 03/06/03 $ 2,100 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 0.89%, 03/05/03 4,900 600 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.01%, 03/06/03 600 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.08%, 03/06/03 1,330 1,700 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 1.05%, 03/06/03 1,700 ------------- 14,745 Rhode Island -- 1.6% 5,905 Rhode Island Clean Water Finance Agency, PCR, FLOATS, Ser. PT-1535,, 1.14%, 03/06/03 5,905 28,215 Rhode Island Convention Center Authority, Ser. A, Rev., FRDO, MBIA, 1.05%, 03/06/03 28,215 27,900 Rhode Island Health & Educational Building Corp., Hospital Financing Care New England, Ser. A, Rev., FRDO, 1.10%, 03/01/03 27,900 4,700 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 1.10%, 03/06/03 4,700 26,365 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 1.05%, 03/05/03 26,365 52,050 Rhode Island State & Providence Plantations, GO, TAN, 2.50%, 06/30/03 52,274 8,450 Rhode Island State, FLOATS, Ser. PT-1589, COP, FRDO, MBIA, 1.14%, 03/06/03 8,450 ------------- 153,809 South Carolina -- 1.1% 26,000 Charleston County School District, GO, BAN, 2.50%, 03/03/03 26,000 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev., FRDO, 1.20%, 03/05/03 3,000 7,480 Darlington County, PCR, Floating Rate Receipts, Ser. L-36, Rev., FRDO, AMBAC, 1.12%, 03/05/03 7,480 2,150 Florence County, Solid Waste Disposal & Wastewater Treatment, Roche Carolina, Inc., Rev., FRDO, 1.20%, 03/01/03 2,150 2,000 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.20%, 03/06/03 2,000 28,900 South Carolina Jobs & Economic Development Authority, FLOATS, Ser. PT- 499, Rev., FRDO, 1.28%, 03/06/03 28,900
See notes to financial statements. 72 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued South Carolina -- Continued $ 3,375 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 1.10%, 03/06/03 $ 3,375 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 1.20%, 03/05/03 4,600 3,750 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, Rev., FRDO, 1.18%, 03/06/03 3,750 4,710 South Carolina State Housing Finance & Development Authority, Rental Housing, Oak Ridge/McGuire, FRDO, 1.08%, 03/06/03 4,710 2,645 South Carolina State Housing Finance & Development Authority, Rental Housing, Waverly Place Project, Rev., FRDO, 1.08%, 03/06/03 2,645 5,320 South Carolina State Public Service Authority, FLOATS, Ser. PT-1525, Rev., FRDO, FSA, 1.14%, 03/06/03 5,320 6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO, 1.10%, 03/06/03 6,000 ------------- 99,930 South Dakota -- 0.1% 4,710 South Dakota Economic Development Finance Authority, Hastings Filters, Inc. Project, Rev., FRDO, 1.25%, 03/06/03 4,710 4,500 South Dakota Housing Development Authority, Floating Rate Trust Receipts, Ser. N-1, Regulation D, Rev., FRDO, 1.17%, 03/05/03 4,500 3,470 South Dakota Housing Development Authority, FLOATS, Ser. PT-73, FRDO, 1.14%, 03/06/03 3,470 ------------- 12,680 Tennessee -- 2.5% 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-25, GO, FRDO, MBIA, 1.60%, 08/13/03 5,000 2,200 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-E, Rev., FRDO, AMBAC, 1.20%, 03/01/03 2,200 3,400 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-F, Rev., FRDO, AMBAC, 1.20%, 03/05/03 3,400 3,925 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-F, Rev., FRDO, AMBAC, 1.20%, 03/07/03 3,925 2,580 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-4-A, Rev., FRDO, 1.15%, 03/01/03 2,580 5,800 Blount County Public Building Authority, Local Government Public Improvement, Ser. A3A, Rev., FRDO, AMBAC, 1.20%, 03/01/03 5,800
See notes to financial statements. 73 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Tennessee -- Continued $ 1,120 Blount County, Tennessee, Public Building Authority, Local Government Public Improvement, Ser. A-2C, Rev., FRDO, 1.20%, 03/01/03 $ 1,120 12,865 Bristol Health & Educational Facilities Board, FLOATS, Ser. PA-1096, Rev., FRDO, FGIC, 1.14%, 03/06/03 12,865 5,300 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 1.05%, 03/06/03 5,300 10,510 Clarksville Public Building Authority, Tennessee Municipal Bond Fund, Pooled Financing, Rev., FRDO, 1.15%, 03/01/03 10,510 3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp. Project, FRDO, 1.15%, 03/06/03 3,000 100 Knoxville Utilities Board, Wastewater Systems, Rev., FRDO, FSA, 1.15%, 03/01/03 100 5,560 Knoxville Utilities Board, Water Systems, Rev., FRDO, FSA, 1.15%, 03/01/03 5,560 7,485 Knoxville, Tennessee, Utilities Board, Sub-Gas Systems, Rev., FRDO, 1.15%, 03/05/03 7,485 6,995 Metropolitan Government Nashville & Davidson Counties, FLOATS, Ser. PT-394, GO, FRDO, 1.15%, 03/06/03 6,995 14,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 1.25%, 05/01/03 14,000 14,800 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 1.05%, 03/05/03 14,800 7,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Vanderbilt University, Ser. B, Rev., FRDO, 1.15%, 03/01/03 7,000 2,600 Metropolitan Government Nashville & Davidson County IDB, Country Music Hall of Fame, Rev., FRDO, 1.05%, 03/06/03 2,600 3,445 Metropolitan Government Nashville & Davidson County IDB, L&S LLC Project, Rev., FRDO, 1.20%, 03/06/03 3,445 2,510 Metropolitan Government Nashville & Davidson County, Energy, FLOATS, Ser. PT-1526, Rev., FRDO, AMBAC, 1.14%, 03/06/03 2,510 7,575 Montgomery County Public Building Authority, Tennesse County Loan Pool, Rev., FRDO, 1.15%, 03/05/03 7,575
See notes to financial statements. 74 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Tennessee -- Continued $ 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 1.10%, 03/06/03 $ 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 1.10%, 03/06/03 2,500 6,000 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-C-2, Rev., FRDO, AMBAC, 1.10%, 03/06/03 6,000 1,060 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 1.10%, 03/06/03 1,060 3,300 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 1.10%, 03/06/03 3,300 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 1.10%, 03/06/03 6,800 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 1.10%, 03/06/03 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 1.10%, 03/06/03 2,500 50,000 Shelby County Health Authority, 1.05%, 03/12/03 50,000 5,205 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 1.10%, 03/06/03 5,205 600 South Pittsburg IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 1.15%, 03/05/03 600 18,050 Stewart County IDB, Solid Waste Disposal, Standard Gypsum Project, Rev., FRDO, 1.20%, 03/05/03 18,050 10,000 Tennergy Corp., Gas, Rev., MBIA, 4.75%, 06/01/03 10,075 ------------- 236,960 Texas -- 11.8% 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6, FRDO, #, 1.14%, 03/05/03 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9, FRDO, #, 1.14%, 03/05/03 10,000 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10, FRDO, MBIA, 1.14%, 03/05/03 13,280 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11, FRDO, 1.19%, 03/05/03 14,990 16,685 ABN-AMRO Munitops Certificate Trust, Ser. 2000-13, Class C, FRDO, 1.20%, 10/01/03 16,685 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26, GO, FRDO, 1.14%, 03/05/03 8,000
See notes to financial statements. 75 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Texas -- Continued $ 5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16, GO, FRDO, 1.55%, 08/20/03 $ 5,500 2,900 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-D, Rev., FRDO, 1.20%, 03/01/03 2,900 4,200 Angelina & Neches River Authority, Industrial Development Corp., Solid Waste, Ser. 1984-E, Rev., FRDO, 1.20%, 03/01/03 4,200 5,595 Arlington Independent School District, FLOATS, Ser. PA-874, FRDO, 1.14%, 03/06/03 5,595 995 Bexar County Health Facilities Development Corp., FLOATS, Ser. PT-444, Rev., FRDO, 1.14%, 03/06/03 995 5,025 Bexar County Housing Finance Authority, Multi-Family Housing, Fountainhead Apartments, Rev., FRDO, 1.10%, 03/05/03 5,025 6,620 Brazos River Authority, FLOATS, Ser. PT-679, Rev., FRDO, MBIA, 1.14%, 03/06/03 6,620 4,200 Brazos River Habor Navigation District, Brazoria County Environmental, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 1.20%, 03/01/03 4,200 8,719 Collin County Housing Finance Corp., Multi-Family Housing, Preston Bend Apartment Project, Rev., FRDO, 1.10%, 03/05/03 8,719 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 1.16%, 03/06/03 5,000 9,005 Dallas-Fort Worth International Airport Facilities Improvement Corp., FLOATS, Ser. PT-682, Rev., FRDO, FGIC, 1.21%, 03/06/03 9,005 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 1.16%, 03/06/03 5,000 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, #, FRDO, 1.16%, 03/06/03 2,420 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, #, FRDO, 1.16%, 03/06/03 3,910 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 1.12%, 03/06/03 5,000 10,000 Greater Texas Student Loan Corp., Student Loan, Ser. A, Rev., FRDO, 1.12%, 03/06/03 10,000 3,000 Gulf Coast IDA, Environmental Facilities, Citgo Petroleum Corp. Project, Rev., FRDO, 1.25%, 03/01/03 3,000 5,700 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 1.00%, 03/01/03 5,700 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 1.21%, 03/05/03 5,000
See notes to financial statements. 76 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Texas -- Continued $ 9,555 Harris County Health Facilities Development Authority, FLOATS, Ser. PT-1665, Rev., FRDO, (p), 1.14%, 03/06/03 $ 9,555 2,500 Harris County Industrial Development Corp., PCR, Shell Oil Co. Project, Rev., FRDO, 1.15%, 03/01/03 2,500 7,250 Harris County, Ser. RR-II-R-1029, Rev., FRDO, FSA, 1.16%, 03/06/03 7,250 6,800 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., FRDO, 1.05%, 03/06/03 6,800 29,245 Houston Higher Education Finance Corp., Floating Rate Certificates, Ser. SG-139, Rev., FRDO, 1.14%, 03/06/03 29,245 9,700 Houston Housing Finance Corp., Single Family Mortgage, FLOATS, Ser. PT-1, FRDO, FSA, 1.14%, 03/06/03 9,700 13,300 Houston Housing Finance Corp., Single Family Mortgage, Ser. B, Rev., 2.10%, 04/30/03 13,300 3,000 Houston, Texas, Rev., FRDO, 1.16%, 03/06/03 3,000 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.16%, 03/06/03 17,500 19,950 Houston, Texas, Floating Rate Certificates, Ser. 523, COP, FRDO, MBIA, 1.16%, 03/06/03 19,950 25,000 Houston, Texas, Water & Sewer, 1.10%, 07/09/03 25,000 12,495 Houston, Texas, Water & Sewer Systems, FLOATS, Ser. PA-974-R, Rev., FRDO, MBIA, 2.00%, 03/06/03 12,495 11,270 Hurst-Euless-Bedford Independent School District, Floating Rate Receipts, Ser. SG-98, GO, FRDO, 1.14%, 03/06/03 11,270 6,500 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 1.20%, 03/01/03 6,500 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, 1.14%, 03/06/03 19,425 1,100 Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 1.10%, 03/01/03 1,100 22,990 Lower Neches Valley Authority Industrial Development Corp., Exxon Mobil Project, Ser. B, Rev., FRDO, 1.15%, 03/01/03 22,990 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 1.21%, 03/05/03 5,455
See notes to financial statements. 77 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Texas -- Continued $ 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 1.21%, 03/05/03 $ 5,290 17,050 New Caney Independent School District, Floating Rate Trust Certificates, Ser. SG-142, GO, FRDO, 1.14%, 03/06/03 17,050 7,885 North Central Texas Health Facility Development Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC, 1.14%, 03/06/03 7,885 20,000 North East Independent School District, Floating Rate Certificates, Ser. SG-143, GO, FRDO, 1.14%, 03/06/03 20,000 3,700 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.15%, 03/05/03 3,700 1,400 North Texas Higher Education Authority, Student Loan, Ser. F, Rev., FRDO, AMBAC, 1.15%, 03/05/03 1,400 7,000 North Texas Tollway, 1.10%, 07/15/03 7,000 8,000 North Texas Tollway, 1.15%, 06/03/03 8,000 13,700 Panhandle-Plains Higher Education Authority, Student Loans, Ser. A, Rev., FRDO, 1.10%, 03/05/03 13,700 2,100 Panhandle-Plains Higher Education Authority, Student Loans, Ser. A, Rev., FRDO, 1.10%, 03/05/03 2,100 12,700 Panhandle-Plains Higher Education Authority, Student Loans, Ser. A, Rev., FRDO, 1.10%, 03/05/03 12,700 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 1.21%, 03/05/03 11,735 9,000 Port Corpus Christi Authority, Nueces County Marine Terminal, Reynolds Metals Co. Project, Rev., FRDO, 1.15%, 03/05/03 9,000 10,475 Round Rock, Texas, FRDO, 1.16%, 03/06/03 10,475 8,780 San Angelo Independent School District, GO, FRDO, 1.07%, 03/06/03 8,780 10,800 San Antonio, Texas, Electric & Gas, FLOATS, Ser. PT-1498, Rev., FRDO, 1.15%, 03/06/03 10,800 21,300 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, FRDO, (p), 1.14%, 03/06/03 21,300 19,920 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, 1.21%, 03/05/03 19,920 3,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., FRDO, FSA, 1.14%, 03/06/03 3,935 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 1.21%, 03/05/03 10,432
See notes to financial statements. 78 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Texas -- Continued $ 5,000 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 1.21%, 03/05/03 $ 5,000 9,000 Schertz/Seguin Local Government Corp., Texas Contract, Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 1.20%, 03/01/03 9,000 3,430 Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., FRDO, 1.05%, 03/05/03 3,430 1,440 Tarrant Regional Water District, FLOATS, Ser. PT-1691, Rev., FRDO, FSA, 1.17%, 03/06/03 1,440 4,250 Texas Department of Housing & Community Affairs, Single Family Mortgage, Ser. II-R-178, Rev., FRDO, MBIA, 1.20%, 03/06/03 4,250 2,500 Texas State Affordable Housing Corp., Multi-Family Housing, FLOATS, Ser. 780, Rev., FRDO, MBIA, 1.16%, 03/06/03 2,500 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 1.15%, 03/05/03 1,100 3,000 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, Rev., FRDO, 1.14%, 03/06/03 3,000 20,000 Texas State Turnpike Authority, Ser. B, Rev., FRDO, AMBAC, 1.00%, 03/05/03 20,000 15,630 Texas State, College Student Loan, GO, FRDO, 1.125%, 08/18/03 15,630 14,560 Texas State, College Student Loan, GO, FRDO, 1.125%, 08/18/03 14,560 4,200 Texas State, Floating Rate Certificates, Ser. 290, GO, FRDO, (p), 1.16%, 03/06/03 4,200 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 1.20%, 03/01/03 9,970 40,000 Texas State, Floating Rate Trust Receipts, Ser. L-23, Regulation D, GO, FRDO, 1.00%, 03/05/03 40,000 326,200 Texas State, Rev., TRAN, 2.75%, 08/29/03 328,328 8,100 Texas State, Ser. A, GO, 5.70%, 10/01/03 8,307 4,110 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 1.20%, 03/05/03 4,110 5,640 Trinity River Authority, Ser. RR-II-R-2006, Rev., FRDO, MBIA, 1.16%, 03/06/03 5,640 4,255 University of Texas, Municipal Trust Certificates, Ser. ZTC-52, Class A, Rev., FRDO, 1.23%, 03/06/03 4,255 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 1.20%, 03/01/03 3,600 ------------- 1,108,796
See notes to financial statements. 79 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Utah -- 1.8% $ 7,665 Intermountain Power Agency, Power Supply, Municipal Trust Receipts, Ser. SG-6, 1.14%, 03/06/03 $ 7,665 5,000 Intermountain Power Agency, Power Supply, Ser. F, Rev., FRDO, AMBAC, 1.25%, 06/02/03 5,000 50,000 Intermountain Power Authority, 1.05%, 03/03/03 50,000 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 1.10%, 03/06/03 4,000 5,880 Salt Lake City, Utah, Salt Lake City Airport, Floating Rate Trust Receipts, Ser. 2002-L, Class 20, Rev., FRDO, FGIC, 1.12%, 03/05/03 5,880 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 1.17%, 03/05/03 28,560 10,600 Utah County, IHC Health Services, Inc., Ser. C, Rev., FRDO, 1.15%, 03/01/03 10,600 7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1, Class 1, Rev., FRDO, 1.15%, 03/05/03 7,000 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.15%, 03/05/03 5,000 6,955 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 1.15%, 03/05/03 6,955 4,660 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 1.15%, 03/05/03 4,660 4,995 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.15%, 03/05/03 4,995 11,200 Utah State Board of Regents, Student Loans, Ser. Q, Rev., FRDO, AMBAC, 1.15%, 03/05/03 11,200 21,000 Utah Transit Authority, Sales Tax & Transportation, Light Rail Transit, Ser. R, Rev., FRDO, 1.05%, 03/06/03 21,000 ------------- 172,515 Vermont -- 0.3% 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 1.10%, 03/05/03 5,900 6,845 Vermont Educational & Health Buildings Financing Agency, Middlebury College Project, Ser. A, Rev., FRDO, 1.95%, 05/01/03 6,845 10,400 Vermont IDA, 1.15%, 04/08/03 10,400 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.15%, 03/01/03 5,000 ------------- 28,145
See notes to financial statements. 80 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Virginia -- 0.7% $ 2,400 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Multi-Mode, First Mortgage, Goodwin House, Ser. B, Rev., FRDO, 1.10%, 03/01/03 $ 2,400 3,600 Fairfax County, Energy Northwest Electric, FLOATS, Ser. PA-977R, GO, FRDO, 1.10%, 03/06/03 3,600 6,170 Fairfax County, FLOATS, Ser. PT-1480, GO, FRDO, 1.10%, 03/06/03 6,170 2,000 Harrisonburg Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 1.11%, 03/06/03 2,000 8,000 James City & County IDA, Multi-Family Housing, Chambrel Project, Ser. R, Rev., FRDO, 1.10%, 03/06/03 8,000 4,500 King George County IDA, Exempt Facilities, Birchwood Power Partners Project, Rev. FRDO, 1.20%, 03/01/03 4,500 3,325 Petersburg Hospital Authority, Southside Regional Hospital Facilities, Rev., FRDO, 1.10%, 03/01/03 3,325 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 1.14%, 03/06/03 23,590 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 1.10%, 03/06/03 8,885 ------------- 62,470 Washington -- 2.6% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16, FRDO, MBIA, 1.13%, 03/05/03 17,676 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1, GO, FRDO, MBIA, 1.14%, 03/05/03 5,000 9,020 Broadway Office Properties, FLOATS, Ser. PT-1586, Rev., FRDO, MBIA, 1.14%, 03/06/03 9,020 6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734, Rev., FRDO, MBIA, 1.14%, 03/06/03 6,995 13,650 King County, FLOATS, Ser. PA-904, GO, FRDO, 1.14%, 03/06/03 13,650 15,830 King County, FLOATS, Ser. PT-385, GO, FRDO, 1.15%, 03/06/03 15,830 5,355 King County, Ser. RR-II-R-1028, GO, FRDO, FSA, 1.16%, 03/06/03 5,355 6,000 Port Bellingham Industrial Development Corp., Environmental Facilities, Atlantic Richfield Project, Rev., FRDO, 1.20%, 03/01/03 6,000 4,430 Port of Seattle, Rev., FLOATS, Ser. PT-728, Rev., FRDO, FGIC, 1.19%, 03/06/03 4,430 375 Redmond Public Corp., IDB, Integrated Circuits Project, Rev., FRDO, 1.10%, 03/06/03 375
See notes to financial statements. 81 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Washington -- Continued $ 1,180 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 1.10%, 03/06/03 $ 1,180 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 1.14%, 03/06/03 19,885 11,990 Seattle, Washington, Municipal Light & Power, FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 1.14%, 03/06/03 11,990 9,400 Seattle, Washington, Water Systems, Rev., FRDO, 0.99%, 03/05/03 9,400 10,000 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 1.00%, 03/05/03 10,000 8,500 Snohomish County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 1.20%, 03/01/03 8,500 5,103 Tacoma, Washington, Electric Systems, Floating Rate Certificates, Ser. 507, Rev., FRDO, FGIC, 1.16%, 03/06/03 5,103 11,400 Tacoma, Washington, Electric Systems, FLOATS, Ser. ST-1404, Rev., FRDO, AMBAC, 1.14%, 03/06/03 11,400 5,615 Washington Public Power Supply System, Nuclear Project No. 3, Ser. B, Rev., (p), 5.625%, 07/01/03 5,798 12,885 Washington State Floating Rate Trust Receipts, Ser. L-15, Regulation D, GO, FRDO, 1.17%, 03/05/03 12,885 350 Washington State Housing Finance Commission, Non-Profit Housing, Golden Sands Project, Rev., FRDO, 1.25%, 03/01/03 350 2,900 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 1.15%, 03/06/03 2,900 15,590 Washington State Public Power Supply System, Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA, 1.00%, 03/05/03 15,590 13,430 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 1.10%, 03/05/03 13,430 2,490 Washington State, FLOATS, Ser. PA-1111, GO, FRDO, 1.25%, 03/06/03 2,490 13,710 Washington State, Rev., FRDO, 1.16%, 03/06/03 13,710 17,000 Washington State, Ser. VR-96A, GO, FRDO, 0.99%, 03/05/03 17,000 ------------- 245,942
See notes to financial statements. 82 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued West Virginia -- 0.5% $ 4,280 West Virginia Economic Development Authority, IDR, Gemark Services West VA/M & M, Rev., FRDO, 1.20%, 03/06/03 $ 4,280 13,400 West Virginia School Building Authority, Rev., 1.00%, 07/17/03 13,400 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, Rev., FRDO, 1.15%, 03/06/03 5,765 5,700 West Virginia State Hospital Finance Authority, Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC, 1.10%, 03/05/03 5,700 5,000 West Virginia State Hospital Finance Authority, Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC, 1.10%, 03/05/03 5,000 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC, 1.10%, 03/05/03 4,000 10,000 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 1.00%, 03/05/03 10,000 ------------- 48,145 Wisconsin -- 1.7% 7,065 Dane County, Ser. RR-II-R-2003, GO, FRDO, 1.16%, 03/06/03 7,065 1,260 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 1.20%, 03/06/03 1,260 2,340 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 1.22%, 03/05/03 2,340 4,000 Wisconsin Housing & Economic Development Authority, Ser. D, Rev., FRDO, MBIA, 1.19%, 03/05/03 4,000 3,570 Wisconsin Housing & Economic Development Authority, Ser. E, Rev., FRDO, MBIA, 1.19%, 03/05/03 3,570 5,500 Wisconsin Housing & Economic Development Authority, Ser. F, Rev., FRDO, MBIA, 1.14%, 03/05/03 5,500 4,380 Wisconsin Housing & Economic Development Authority, Ser. G, Rev., FRDO, MBIA, 1.19%, 03/05/03 4,380 13,000 Wisconsin Housing & Economic Development Authority, Ser. H, Rev., FRDO, MBIA, 1.14%, 03/05/03 13,000 19,400 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., FRDO, 1.24%, 03/06/03 19,400
See notes to financial statements. 83 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Wisconsin -- Continued $ 7,220 Wisconsin Public Power, Inc., Power Supply System, Municipal Securities Trust Receipts, Ser. SGA-2, Rev., FRDO, AMBAC, 1.21%, 03/05/03 $ 7,261 7,300 Wisconsin State Health & Educational Facilities Authority, Felican Health Care, Inc., Rev., FRDO, 1.09%, 03/05/03 7,300 22,800 Wisconsin State Health & Educational Facilities Authority, Felician Services, Ser. A, Rev., FRDO, AMBAC, 1.09%, 03/05/03 22,800 25,000 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Rev., FRDO, VAR, 8/15/16, 1.09%, 03/06/03 25,000 7,200 Wisconsin State Health Authority, 1.10%, 03/03/03 7,200 5,830 Wisconsin State, Clean Water, FLOATS, Ser. PA-718, Rev., FRDO, (p), 1.14%, 03/06/03 5,830 6,240 Wisconsin State, Clean Water, FLOATS, Ser. PA-915, Rev., FRDO, 1.14%, 03/06/03 6,240 5,250 Wisconsin State, Clean Water, Ser. 2, Rev., 5.00%, 06/01/03 5,294 9,510 Wisconsin State, Ser. II-R-135, GO, FRDO, (p), 1.16%, 03/06/03 9,510 ------------- 156,950 Wyoming -- 1.0% 400 Kemmer, Wyoming, PCR, Exxon Project, Rev., FRDO, 1.00%, 03/01/03 400 1,600 Lincoln County, PCR, Exxon Project, Ser. C, Rev., FRDO, 1.00%, 03/01/03 1,600 13,505 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., FRDO, 1.19%, 03/06/03 13,505 7,900 Wyoming Community Development Authority, Housing, Ser. 7, Rev., FRDO, 1.16%, 03/06/03 7,900 5,000 Wyoming Community Development Authority, Housing, Ser. 8, Rev., FRDO, 1.16%, 03/06/03 5,000 6,580 Wyoming Community Development Authority, Housing, Ser. II-R-141, Rev., FRDO, 1.20%, 03/06/03 6,580 16,715 Wyoming Community Development Authority, Single Family Housing, FLOATS, Ser. PT-562, Rev., FRDO, FGIC, 1.24%, 03/06/03 16,715 22,000 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.09%, 03/06/03 22,000 7,245 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.09%, 03/06/03 7,245
See notes to financial statements. 84 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Wyoming -- Continued $ 10,000 Wyoming State, Education Fund, Rev., TRAN, 2.50%, 06/27/03 $ 10,029 ------------- 90,974 ------------------------------------------------------------------- Total State and Municipal Obligations 9,302,386 (Cost $9,302,386) ------------------------------------------------------------------- MONEY MARKET FUND -- 0.4% 36,750 AIM Tax Free Cash Reserve 36,750 (Cost $36,750) - -------------------------------------------------------------------------------- Total Investments -- 100.0% (Cost $9,339,136)* $ 9,339,136 - --------------------------------------------------------------------------------
See notes to financial statements. 85 JPMORGAN LIQUID ASSETS MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. GOVERNMENT AGENCY SECURITIES -- 0.8% $ 3,000 Federal Farm Credit Bank, 1.27%, 05/08/03, FRN $ 3,000 10,000 Federal Home Loan Bank, 1.90%, 11/14/03, Ser. 9J-03 10,000 10,000 Student Loan Marketing Association, 1.79%, 09/02/03, DN 9,908 ------------------------------------------------------------------- Total U.S. Government Agency Securities 22,908 (Cost $22,908) ------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 11.9% Banking -- 2.1% 5,000 Bankers Trust Corp., 1.45%, 05/11/03, Ser. E, MTN, FRN, # 5,001 50,000 Links Finance LLC, 0.00%, 03/11/03, FRN 49,998 3,000 Wells Fargo Bank N.A., 1.47%, 03/31/03, Ser. C, MTN, FRN 3,000 ------------- 57,999 Diversified -- 0.2% 6,000 General Electric Capital Corp., 1.37%, 02/09/04, FRN 6,000 Financial Services -- 9.6% 5,000 CIT Group, Inc., 1.47%, 08/14/03, MTN, FRN 4,989 4,200 Donaldson Lufkin & Jenrette Securities Corp., 4,208 1.89%, 07/18/03, MTN, FRN ` Dorada Finance, Inc., 54,000 1.33%, 02/12/04, MTN, FRN, # 53,995 25,000 1.33%, 02/20/04, Ser. 1, MTN, FRN, # 24,998 70,000 Goldman Sachs Group, Inc., 1.36%, 08/04/03 70,001 40,000 Halogen Funding Co., LLC, 1.36%, 03/12/03, Ser. 1, MTN, FRN, # 40,000 5,000 Heller Financial, Inc., 7.88%, 05/15/03 5,050 Household Finance Corp., 2,500 1.70%, 08/07/03, MTN, FRN 2,498 4,000 1.64%, 09/26/03, Ser. 2, MTN, FRN 3,995 3,850 1.67%, 09/26/03, MTN, FRN 3,843 5,250 1.84%, 10/08/03, MTN, FRN 5,247 8,500 1.65%, 10/15/03, MTN, FRN 8,485 3,000 Nordea Bank Finland PLC (Finland), 2.92%, 04/04/03 (i), 3,000 30,000 Premium Asset Trust, 1.44%, 05/21/03, Ser. 2001-4, FRN, # 30,005 Salomon Smith Barney Holdings, Inc., 3,000 1.53%, 05/07/03, Ser. K, MTN, FRN 3,001 3,580 6.25%, 05/15/03 3,605 ------------- 266,920 ------------------------------------------------------------------- Total Corporate Notes & Bonds 330,919 (Cost $330,919) -------------------------------------------------------------------
See notes to financial statements. 86 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued COMMERCIAL PAPER -- 49.6% Asset Backed Securities -- 29.1% $ 20,000 Amsterdam Funding Corp., 1.33%, 05/23/03 $ 19,939 Atlantis One Funding Corp., 10,855 1.35%, 05/21/03 10,822 10,000 1.39%, 05/28/03 9,966 32,500 Beta Finance, Inc., 1.36%, 05/22/03 32,399 40,000 Bills Securitization (Germany), 1.27%, 04/29/03 39,917 24,000 Brahms Funding Corp., 1.33%, 03/21/03 23,982 Cantabric Financing LLC, 50,000 1.30%, 04/30/03 49,891 50,000 1.30%, 05/12/03 49,870 CC USA, Inc., 10,000 1.77%, 03/17/03 9,992 11,000 2.98%, 04/08/03 11,013 10,000 1.35%, 04/14/03 9,984 30,000 1.38%, 05/19/03 29,909 10,000 1.40%, 05/30/03 9,965 20,000 1.26%, 06/16/03 19,925 20,000 Charta Corp., 1.26%, 06/09/03 19,930 27,000 Clipper Receivables Corp., 1.30%, 03/10/03 26,991 15,000 Dorada Finance Corp., 1.28%, 05/23/03 14,956 2,000 Edison Asset Securitization LLC, 1.72%, 03/03/03 2,000 Four Winds Funding Corp., 10,000 1.65%, 03/10/03 9,996 3,500 1.73%, 03/18/03 3,497 39,000 Grampian Funding LLC, 1.38%, 05/05/03 38,903 25,000 Hatteras Funding Corp., 1.30%, 03/17/03 24,986 K2 (USA) LLC, 11,800 1.73%, 03/05/03 11,798 30,000 1.75%, 03/17/03 29,977 17,000 1.35%, 05/22/03 16,948 12,000 1.40%, 05/27/03 11,959 11,700 1.28%, 07/25/03 11,639 Liberty Street Funding Corp., 50,000 1.30%, 03/11/03 49,981 25,000 1.28%, 03/24/03 24,980 Mont Blanc Capital Corp., 25,000 1.30%, 04/22/03 24,953 15,000 1.28%, 05/13/03 14,961 25,000 1.27%, 05/19/03 24,930 5,000 New Center Asset Trust, 1.70%, 03/24/03 4,995 Silver Tower U.S. Funding LLC, 25,000 1.38%, 03/03/03 24,998 25,000 1.37%, 03/04/03 24,997 13,000 1.28%, 05/05/03 12,970 Special Purpose Accounts Receivable Cooperative Corp., 15,000 1.31%, 03/25/03 14,987 30,546 1.28%, 04/11/03 30,501
See notes to financial statements. 87 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Asset Backed Securities -- Continued $ 3,314 Thames Asset Global Securitization (TAGS), 1.31%, 04/01/03 $ 3,310 ------------- 807,717 Automotive -- 1.4% DaimlerChrysler N.A. Holdings Corp., 2,200 1.50%, 03/06/03 2,200 1,000 1.52%, 03/06/03 1,000 3,000 1.53%, 03/07/03 2,999 2,400 1.48%, 03/12/03 2,399 5,900 1.45%, 03/24/03 5,895 Ford Motor Co., 1,900 1.56%, 03/17/03 1,899 5,125 1.46%, 03/24/03 5,120 2,000 1.46%, 03/26/03 1,998 Ford Motor Credit Co., 1,000 1.54%, 03/06/03 1,000 4,500 1.54%, 03/07/03 4,499 General Motors Acceptance Corp., 1,000 1.54%, 03/06/03 1,000 7,500 1.50%, 03/07/03 7,497 1,700 1.45%, 03/14/03 1,699 4,300 1.46%, 03/26/03 4,296 ------------- 43,501 Banking -- 9.3% 50,000 Alliance & Leister PLC (United Kingdom), 1.27%, 04/22/03 49,908 15,000 Allied Irish Banks PLC (Ireland), 1.35%, 04/24/03 14,970 40,000 Barclays Bank PLC (United Kingdom), 2.00%, 04/30/03 40,000 20,000 Depfa Deutsche Pfandbrief Bank AG (Germany), 1.31%, 04/09/03 19,972 14,998 Fortis Funding LLC, 1.74%, 03/03/03 14,997 85,000 Links Finance LLC, 1.39%, 02/17/04 85,000 14,000 Macquarie Bank LTD (Australia), 1.40%, 03/06/03 13,997 20,000 Northern Trust Corp., 1.33%, 03/18/03 19,987 ------------- 258,831 Diversified -- 0.3% 7,000 General Electric Capital Corp., 1.72%, 03/04/03 6,999 Financial Services -- 8.0% 20,000 Allianz Finance Corp., 1.29%, 04/14/03 19,968 15,000 Aspen Funding Corp., 1.65%, 03/10/03 14,994 CIT Group, Inc., 8,000 1.30%, 04/28/03 7,983 15,000 1.30%, 05/23/03 14,955 Credit Suisse First Boston Corp., 5,000 1.69%, 04/09/03 4,991 20,000 1.26%, 06/20/03 19,922 10,000 CXC, Inc., 1.77%, 03/13/03 9,994 15,000 Dorada Finance, Inc., 1.35%, 05/12/03 14,960
See notes to financial statements. 88 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Financial Services -- Continued $ 50,000 Goldman Sachs & Co., 1.37%, 05/22/03 $ 50,000 45,000 Halogen Funding Co., LLC, 1.36%, 03/12/04 45,000 20,000 Morgan Stanley, 1.30%, 04/17/03 19,966 ------------- 222,733 Oil & Gas -- 0.2% 5,518 Shell Finance PLC (United Kingdom), 1.73%, 03/06/03 5,517 Printing & Publishing -- 0.5% Reed Elsevier Group PLC (United Kingdom), 11,200 1.42%, 03/05/03 11,198 2,300 1.45%, 03/13/03 2,299 ------------- 13,497 Retailing -- 0.3% Safeway, Inc., 2,495 1.36%, 03/07/03 2,494 5,000 1.38%, 03/13/03 4,998 ------------- 7,492 Utilities -- 0.3% 9,325 Southern Power Co., 1.50%, 03/05/03 9,323 ------------------------------------------------------------------- Total Commercial Paper 1,375,610 (Cost $1,375,610) ------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 37.7% 15,000 Abbey National Treasury Services PLC (United Kingdom) (Yankee), 1.27%, 09/12/03, Floating Rate 14,998 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 25,000 1.73%, 10/31/03 25,000 50,000 1.41%, 02/09/04 50,000 2,000 Bank of America N.A., 2.50%, 05/02/03 2,000 60,000 Bank of Nova Scotia (Canada) (Yankee), 1.30%, 04/14/03 60,000 Barclays Bank PLC (United Kingdom) (Yankee), 40,000 1.30%, 05/02/03 40,002 30,000 1.26%, 05/23/03 30,000 7,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), 1.25%, 04/28/03, Floating Rate 6,999 2,000 BNP Paribas/New York (Yankee), 2.69%, 04/15/03 2,000 10,000 Canadian Imperial Bank of Commerce/New York (Yankee), 1.27%, 09/09/03, Floating Rate 9,998 Canadian Imperial Bank of Commerce (Canada) (Yankee), 3,000 2.89%, 04/03/03 3,000 25,000 1.31%, 04/08/03 25,001 30,000 1.27%, 08/26/03 30,000 50,000 1.31%, 01/27/04, Floating Rate 50,000 Credit Agricole Indosuez SA (France) (Yankee), 5,500 2.72%, 04/15/03 5,500 2,500 2.55%, 05/30/03 2,500
See notes to financial statements. 89 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Certificates of Deposit -- Continued $ 50,000 1.28%, 06/23/03 $ 50,002 14,500 Credit Agricole Indosuez SA/New York (Yankee), 1.27%, 09/25/03, Floating Rate 14,498 60,000 Credit Industriel Et Commercial (France) (Yankee), 1.29%, 03/28/03 60,000 60,000 Credit Industriel Et Commercial/New York (Yankee), 1.30%, 04/07/03 60,000 15,000 Credit Suisse First Boston Corp. (Switzerland) (Yankee), 1.26%, 06/05/03, Floating Rate 14,998 15,000 Den Danske Bank, 1.77%, 03/13/03 15,000 25,000 Den Norske Bank (Norway) (Yankee), 1.29%, 06/23/03 25,000 50,000 Deutsche Bank AG (Germany) (Yankee), 1.45%, 03/26/04 50,000 HBOS Treasury Services PLC (United Kingdom) (Yankee), 50,000 1.32%, 04/10/03 50,000 25,000 1.39%, 05/06/03 25,000 25,000 ING Bank N.V. (The Netherlands) (Yankee), 1.37%, 01/30/04 25,000 3,500 Landesbank Baden-Wurttemberg/New York (Yankee), 1.26%, 04/11/03, Floating Rate 3,500 Natexis Banques Populaires (France) (Yankee) 35,000 1.75%, 03/05/03 35,000 15,000 1.77%, 03/12/03 15,000 10,000 2.57%, 05/07/03 10,000 65,000 Nordea Bank AB (Sweden) (Yankee), 1.31%, 01/27/04 65,001 15,000 Royal Bank of Canada (Canada) (Yankee), 1.27%, 09/12/03 14,998 Societe Generale (France) (Yankee), 20,000 1.35%, 04/25/03 20,000 7,000 1.25%, 04/28/03, Floating Rate 6,999 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 15,000 2.61%, 05/07/03 15,000 30,000 1.31%, 06/10/03 30,001 10,000 Toronto Dominion Bank of New York (Yankee), 1.27%, 09/09/03, Floating Rate 9,998 5,500 UBS AG (Switzerland) (Yankee), 2.70%, 04/15/03 5,500 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 30,000 1.42%, 05/28/03 30,000 20,000 1.26%, 06/24/03, Floating Rate 19,997 20,500 1.26%, 09/22/03, Floating Rate 20,496 ------------------------------------------------------------------- Total Certificates of Deposit 1,047,986 (Cost $1,047,986) - -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,777,423 (Cost $2,777,423)* - --------------------------------------------------------------------------------
See notes to financial statements. 90 JPMORGAN PRIME MONEY MARKET FUND Portfolio of Investments As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% U.S. GOVERNMENT AGENCY SECURITY -- 0.1% $ 62,050 Student Loan Marketing Association, 1.30%, 03/03/03, DN $ 62,046 (Cost $62,046) STATE AND MUNICIPAL OBLIGATIONS -- 1.6% 290,000 California State, Rev., RAN, FRDO, 1.34%, 06/20/03 290,000 655,000 California State, Ser. F, Rev., RAN, FRDO, 1.34%, 06/20/03 655,000 5,460 Wake Forest University, Ser. 1997, Rev., FRDO, 1.34%, 03/06/03 5,460 ------------------------------------------------------------------- Total State and Municipal Obligations 950,460 (Cost $950,460) ------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 9.3% Asset Backed Securities -- 1.6% 120,000 Dorada Finance, Inc., 1.33%, 03/06/03, MTN, FRN, # 119,994 200,000 K2 (USA) LLC, 1.30%, 02/17/04, FRN Restructured Asset Securities with Enhanced Returns (RACERS), 200,000 276,000 1.39%, 04/01/03, Ser. 2001-MM-8, FRN, #, (i) 276,000 130,000 1.40%, 05/30/03, Ser. 2000- ZCM-7, FRN, #, (i) 130,000 232,200 1.49%, 09/16/03, Ser. MM-1999-35, FRN, #, (i) 232,200 ------------- 958,194 Banking -- 1.3% 769,980 Wells Fargo Bank N.A., 1.38%, 02/13/04, MTN, FRN 769,980 Diversified -- 1.5% General Electric Capital Corp., 468,000 1.37%, 02/09/04, FRN 468,000 400,000 1.37%, 02/17/04, MTN, FRN 400,000 ------------- 868,000 Financial Services -- 3.5% Associates Corp. of North America, 110,000 1.48%, 06/15/03, FRN 110,000 75,000 1.47%, 06/26/03, FRN 75,000 CC USA, Inc., 150,000 1.33%, 03/06/03, MTN, FRN, # 150,000 125,000 1.33%, 02/09/04, MTN, FRN, # 124,982 125,000 1.33%, 02/27/04, MTN, FRN, # 125,000 CIT Group, Inc., 110,000 1.84%, 04/07/03, MTN, FRN 110,016 41,450 1.47%, 08/14/03, MTN, FRN 41,358 25,000 1.49%, 08/14/03, MTN, FRN 24,948 106,300 Citigroup, Inc., 5.70%, 02/06/04 110,550
See notes to financial statements. 91 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Financial Services -- Continued $ 244,000 Goldman Sachs Group LP, 1.63%, 04/15/03, Ser. A, MTN, FRN, #, (i) $ 244,000 455,000 HBOS Treasury Services PLC (United Kingdom), 1.33%, 03/19/04, MTN, FRN, # 455,000 100,000 Money Market Trust, 1.49%, 03/17/03, Ser. A-1, FRN, #, (i) 100,000 60,000 Money Market Trust LLY, 1.39%, 12/03/03, FRN, # 60,000 260,000 Morgan Stanley, 1.44%, 02/16/04, Ser. 1, MTN, FRN 260,000 91,500 Salomon Smith Barney Holdings, Inc., 1.53%, 05/07/03, Ser. K, MTN, FRN 91,536 ------------- 2,082,390 Oil & Gas -- 0.2% 100,000 BP Capitals Markets PLC (United Kingdom), 1.30%, 03/08/04, FRN 99,995 Telecommunications -- 1.2% 250,000 Bellsouth Telecommunications, Inc., 1.38%, 04/04/03, FRN 250,000 438,000 SBC Communications, Inc., 1.38%, 03/14/03, FRN, # 438,000 ------------- 688,000 ------------------------------------------------------------------- Total Corporate Notes & Bonds 5,466,559 (Cost $5,466,559) ------------------------------------------------------------------- ASSET BACKED SECURITY -- 0.4% 260,000 Blue Heron Funding LTD, 1.37%, 03/21/03, Ser. 2-A, Class A, FRN, # (Cost $260,000) 260,000 FUNDING AGREEMENTS/GIC -- 0.3% 100,000 Jackson National Life Global Funding, 1.39%, 02/21/04, FRN, # 100,000 50,000 Travelers Insurance Co., 1.41%, 04/24/03, FRN, #, (i) 50,000 50,000 United of Omaha Life Insurance Co., 1.44%, 05/19/03, FRN, #, (i) 50,000 ------------------------------------------------------------------- Total Funding Agreements/GIC 200,000 (Cost $200,000) ------------------------------------------------------------------- COMMERCIAL PAPER -- 35.6% Asset Backed Securities -- 18.5% 140,000 Alpine Securitization Corp., 1.73%, 04/04/03 139,771 Amsterdam Funding Corp., 50,000 1.33%, 03/07/03 49,989 50,000 1.26%, 04/25/03 49,904 50,000 1.33%, 05/15/03 49,861 Aquinas Funding LLC, 81,139 1.36%, 03/03/03 81,133 9,818 1.77%, 03/12/03 9,813 30,735 1.26%, 08/27/03 30,542
See notes to financial statements. 92 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Asset Backed Securities -- Continued Atlantis One Funding Corp., $ 50,000 1.62%, 03/06/03 $ 49,989 94,631 1.75%, 03/07/03 94,603 100,000 1.33%, 03/19/03 99,934 121,024 1.69%, 03/20/03 120,916 25,000 1.33%, 04/16/03 24,958 55,000 1.77%, 04/17/03 54,873 100,000 1.33%, 05/07/03 99,752 29,948 1.39%, 05/28/03 29,846 58,000 1.26%, 08/14/03 57,663 Beta Finance, Inc., 40,000 1.74%, 03/10/03 39,983 60,000 1.76%, 03/17/03 59,953 12,000 1.31%, 04/07/03 11,984 24,000 1.33%, 05/12/03 23,936 38,000 1.24%, 06/02/03 37,878 50,000 Bills Securitization (Germany), 1.30%, 04/14/03 49,921 CC USA, Inc., 50,000 1.75%, 03/17/03 49,961 45,500 1.27%, 04/17/03 45,425 12,500 1.27%, 05/15/03 12,467 32,000 1.27%, 05/22/03 31,907 50,000 Charta Corp., 1.27%, 03/20/03 49,966 Clipper Receivables Corp., 205,000 1.35%, 03/03/03 204,985 89,155 1.29%, 04/24/03 88,982 20,000 Commercial Federal Bank, 1.26%, 06/12/03 19,928 Compass Securitization LLC, 17,835 1.35%, 03/07/03 17,831 72,000 1.30%, 04/10/03 71,896 70,620 1.27%, 05/12/03 70,441 100,000 1.26%, 05/23/03 99,710 40,835 1.26%, 05/27/03 40,711 51,000 1.27%, 05/27/03 50,843 150,000 Corporate Receivables Corp., 1.33%, 03/07/03 149,967 Dakota Certificate Program (Citibank Credit Card Master Trust I), 100,000 1.35%, 03/18/03 99,936 100,000 1.35%, 03/19/03 99,933 150,000 1.34%, 03/20/03 149,894 125,000 1.27%, 04/10/03 124,824 150,000 1.26%, 05/23/03 149,564 50,000 1.27%, 05/27/03 49,847 Dorada Finance, Inc., 26,000 1.27%, 05/23/03 25,924 45,000 1.28%, 05/23/03 44,867 30,200 1.75%, 03/06/03 30,193 51,887 1.75%, 03/13/03 51,857 7,455 1.33%, 04/02/03 7,446 26,500 1.78%, 04/23/03 26,431 10,500 1.28%, 05/28/03 10,467
See notes to financial statements. 93 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Asset Backed Securities -- Continued Edison Asset Securitization LLC, $ 300,000 1.36%, 03/03/03 $ 299,976 158,680 1.34%, 03/11/03 158,621 65,000 1.76%, 03/12/03 64,965 188,000 1.34%, 03/18/03 187,881 261,000 1.70%, 03/20/03 260,766 90,000 1.30%, 04/07/03 89,880 210,000 1.31%, 04/07/03 209,717 250,000 1.77%, 04/24/03 249,336 400,000 1.26%, 08/12/03 397,703 150,000 1.33%, 05/08/03 149,623 Eureka Securitization, Inc., 28,750 1.27%, 04/03/03 28,717 42,000 1.26%, 05/22/03 41,879 FCAR Owner Trust Series I, 56,000 1.34%, 03/13/03 55,975 40,000 1.26%, 05/22/03 39,885 Galaxy Funding, Inc., 50,000 1.28%, 04/03/03 49,941 49,500 1.28%, 04/22/03 49,408 105,000 1.27%, 04/25/03 104,796 125,000 1.26%, 05/23/03 124,637 202,000 1.27%, 05/27/03 201,380 79,734 Gemini Funding Corp., 1.27%, 03/11/03 79,706 Giro Multi-Funding Corp., 50,000 1.28%, 03/17/03 49,972 40,086 1.27%, 03/20/03 40,059 79,894 1.31%, 03/25/03 79,824 50,000 1.69%, 03/25/03 49,944 72,377 1.27%, 04/25/03 72,237 22,000 1.27%, 05/22/03 21,936 Govco, Inc., 20,000 1.33%, 03/03/03 19,999 45,000 1.27%, 03/17/03 44,975 Grampian Funding LLC, 76,000 1.65%, 03/03/03 75,993 75,000 1.27%, 08/11/03 74,569 Greyhawk Funding LLC, 70,000 1.27%, 04/08/03 69,906 290,000 1.29%, 04/11/03 289,574 35,000 1.27%, 05/19/03 34,902 104,000 1.27%, 05/23/03 103,695 Hatteras Funding Corp., 12,981 1.30%, 03/19/03 12,973 37,000 1.71%, 03/26/03 36,956 77,000 1.27%, 04/10/03 76,891 108,589 1.28%, 04/16/03 108,411 125,000 1.27%, 04/23/03 124,766 K2 (USA) LLC, 30,000 1.75%, 03/17/03 29,977 65,000 1.70%, 03/28/03 64,917
See notes to financial statements. 94 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Asset Backed Securities -- Continued $ 6,500 1.70%, 03/31/03 $ 6,491 46,500 1.33%, 05/12/03 46,376 71,000 1.40%, 05/30/03 70,752 24,000 1.26%, 08/26/03 23,851 16,500 1.28%, 08/28/03 16,394 50,000 1.40%, 02/23/04 50,000 64,659 Kitty Hawk Funding Corp., 1.34%, 03/10/03 64,637 66,000 Liberty Street Funding Corp., 1.30%, 03/17/03 65,962 100,000 Links Finance LLC, 1.33%, 03/03/04 99,995 Mont Blanc Capital Corp., 109,720 1.35%, 03/12/03 109,675 20,072 1.35%, 03/20/03 20,058 38,000 1.33%, 03/21/03 37,972 75,000 1.27%, 05/22/03 74,783 77,859 1.27%, 06/03/03 77,601 Montauk Funding Corp., 95,000 1.28%, 03/07/03 94,980 170,000 1.27%, 04/04/03 169,796 127,200 1.28%, 04/08/03 127,028 115,000 1.30%, 07/15/03 115,000 Old Line Funding Corp., 40,876 1.33%, 03/19/03 40,849 27,333 1.29%, 04/10/03 27,294 217,000 Pennine Funding LLC, 1.30%, 03/11/03 216,922 25,000 Private Export Funding Corp., 1.75%, 04/30/03 24,927 Sheffield Receivables Corp., 70,822 1.75%, 03/03/03 70,815 57,697 1.34%, 03/11/03 57,676 46,410 1.27%, 05/19/03 46,281 Sigma Finance, Inc., 50,000 1.34%, 03/05/03 49,993 45,425 1.35%, 03/17/03 45,398 30,000 1.31%, 03/24/03 29,975 20,000 1.27%, 03/26/03 19,982 200,000 1.30%, 04/03/03 199,762 52,000 1.30%, 04/09/03 51,927 136,000 1.27%, 05/28/03 135,578 Silver Tower U.S. Funding LLC, 50,000 1.37%, 03/03/03 49,996 45,000 1.38%, 03/03/03 44,997 70,000 1.37%, 03/04/03 69,992 447,000 Special Purpose Accounts Receivable Cooperative Corp., 1.40%, 07/24/03 446,981 Stellar Funding Group, Inc., 2,516 1.71%, 03/24/03 2,513 8,891 1.71%, 03/27/03 8,880 50,000 Trident Capital Finance, Inc., 1.31%, 04/01/03 50,000 7,642 Triple-A One Funding Corp., 1.28%, 04/21/03 7,628 Tulip Funding Corp., 99,059 1.27%, 05/28/03 98,751 122,557 1.25%, 09/04/03 121,758
See notes to financial statements. 95 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Asset Backed Securities -- Continued Windmill Funding Corp., $ 60,000 1.26%, 04/28/03 $ 59,878 50,000 1.33%, 05/12/03 49,867 48,000 1.33%, 05/15/03 47,867 10,292 1.33%, 05/22/03 10,261 ------------- 10,828,772 Banking -- 9.3% 100,000 Allied Irish Banks PLC (Ireland), 1.27%, 04/23/03 99,814 Bank of Ireland (Ireland), 156,678 1.34%, 04/21/03 156,382 100,000 1.35%, 04/22/03 99,805 Banque ET Caisse D'Epargne De L'Etat (Luxembourg), 200,000 1.62%, 03/04/03 199,973 50,000 1.60%, 04/01/03 49,931 55,000 1.62%, 04/08/03 54,906 3,000 1.60%, 04/10/03 2,995 420,000 BNP Paribas (France), 1.35%, 04/25/03 419,999 200,000 Citibank N.A., 1.26%, 05/20/03 200,000 110,975 Danske Bank AS (Denmark), 1.23%, 05/12/03 110,703 Den Norske Bank (Norway), 15,000 1.77%, 03/12/03 14,992 59,000 1.36%, 04/24/03 58,880 200,000 1.26%, 06/27/03 199,174 Depfa Deutsche Pfandbrief Bank AG (Germany), 50,000 1.27%, 05/05/03 49,886 50,000 1.27%, 08/04/03 49,726 70,000 1.33%, 03/13/03 69,969 15,000 1.53%, 04/03/03 14,979 15,000 1.27%, 04/14/03 14,977 Deutsche Bank AG (Germany), 375,000 1.29%, 05/05/03 374,124 175,000 1.30%, 05/05/03 175,000 400,000 1.31%, 02/23/04 400,000 Hamburgische Landesbank (Germany), 186,000 1.34%, 03/07/03 185,958 125,000 1.36%, 04/09/03 124,816 ING (US) Funding LLC, 106,000 1.75%, 03/27/03 105,866 141,000 1.34%, 05/08/03 140,643 301,000 KBC Financial Products International (Belgium), 1.35%, 03/03/03 300,977 100,000 Landesbank Baden Wuerttemberg (Germany), 1.25%, 05/27/03 99,997 45,000 Landesbank Schleswig Holstein (Germany), 1.36%, 05/27/03 44,852 Lloyds TSB Bank PLC (United Kingdom), 195,000 1.25%, 07/28/03 193,991 80,000 1.25%, 08/18/03 80,000 200,000 Morgan Stanley, 1.41%, 07/17/03 200,000 Norddeutsche Landesbank Girozentrale (Germany), 200,000 1.33%, 03/14/03 200,000
See notes to financial statements. 96 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Banking -- Continued $ 150,000 1.26%, 05/06/03 $ 149,654 52,000 Nordea North America, Inc. (Sweden), 1.24%, 09/03/03 51,668 Northern Trust Corp., 30,000 1.33%, 03/18/03 29,981 30,000 1.29%, 03/19/03 29,981 150,000 Societe Generale (France), 1.30%, 04/08/03 149,795 10,000 Svenska Handelsbanken, Inc. (Sweden), 1.70%, 03/24/03 9,989 Swedbank, Inc., 150,000 1.30%, 04/03/03 149,822 70,000 1.30%, 04/07/03 69,907 50,000 Swiss Re Financial Products Corp., 1.26%, 07/15/03 49,762 200,000 UBS Finance (Delaware) LLC, 1.34%, 03/03/03 199,985 75,000 Wells Fargo & Co., 1.23%, 03/07/03 74,985 ------------- 5,458,844 Diversified -- 3.0% General Electric Capital Corp., 393,000 1.72%, 03/04/03 392,945 150,000 1.34%, 03/13/03 149,933 217,000 1.32%, 04/23/03 216,578 75,000 1.28%, 05/22/03 74,781 276,352 1.27%, 07/24/03 274,938 325,000 1.26%, 08/14/03 323,112 175,000 1.26%, 08/21/03 173,940 160,000 1.26%, 08/28/03 158,992 ------------- 1,765,219 Financial Services -- 3.8% Allianz Finance Corp. (Germany), 90,000 1.28%, 03/06/03 89,984 136,500 1.58%, 04/03/03 136,302 30,000 1.55%, 04/04/03 29,956 CIT Group, Inc., 15,000 1.30%, 03/19/03 14,990 50,000 1.31%, 05/30/03 49,836 Credit Suisse First Boston Corp., 118,500 1.69%, 04/09/03 118,283 30,000 1.78%, 04/21/03 29,924 CXC, Inc., 70,000 1.77%, 03/12/03 69,962 25,000 1.25%, 05/08/03 24,941 Fortis Funding LLC, 25,000 1.62%, 03/19/03 24,980 20,000 1.62%, 03/26/03 19,978 600,000 Goldman Sachs & Co., 1.37%, 05/22/03 600,001 400,000 Goldman Sachs Group, Inc., 1.31%, 06/23/03, FRN 400,000 56,000 Landesbank Schleswig Holstein (Germany), 1.62%, 04/08/03 55,904
See notes to financial statements. 97 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Financial Services -- Continued Salomon Smith Barney Holdings, Inc., $ 175,000 1.33%, 03/13/03 $ 174,922 245,000 1.31%, 05/05/03, FRN 245,000 50,000 Swedish National Housing Finance (Sweden), 1.34%, 03/06/03 49,991 Swiss Re Financial Products Corp. (Switzerland), 3,254 1.65%, 03/07/03 3,253 70,000 1.75%, 03/13/03 69,959 25,500 1.70%, 03/26/03 25,470 ------------- 2,233,636 Insurance -- 0.2% 32,260 Independence Funding LLC, 1.30%, 05/14/03 32,174 Prudential Corp. PLC (United Kingdom), 20,298 1.27%, 04/15/03 20,266 44,000 1.27%, 04/22/03 43,919 ------------- 96,359 Oil & Gas -- 0.8% 195,000 Schlumberger PLC (United Kingdom), 1.34%, 03/07/03 194,956 Shell Finance PLC (United Kingdom), 75,000 1.73%, 03/06/03 74,982 200,000 2.48%, 05/02/03 199,146 ------------- 469,084 ------------------------------------------------------------------- Total Commercial Paper 20,851,914 (Cost $20,851,914) ------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 39.7% 485,000 Abbey National Treasury Services PLC (United Kingdom) (Yankee), 1.27%, 09/12/03, Floating Rate 484,922 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 280,000 1.34%, 04/22/03 280,002 100,000 1.34%, 04/22/03 100,000 600,000 1.31%, 01/27/04, Floating Rate 599,972 35,000 Banco Bilbao Vizcaya Argentina (Argentina) (Yankee), 1.63%, 04/03/03 35,000 Bank of America N.A., 280,550 2.50%, 05/02/03 280,550 192,700 2.58%, 06/03/03 192,700 Bank of Nova Scotia (Canada) (Yankee), 100,000 1.30%, 03/13/03 100,000 150,000 1.77%, 03/20/03 150,000 100,000 1.34%, 04/21/03 100,000 100,000 1.26%, 06/26/03 100,000 Barclays Bank PLC (United Kingdom) (Yankee), 115,000 1.29%, 03/21/03 115,001 500,000 2.93%, 03/25/03 499,984 47,000 1.30%, 05/02/03 47,000 125,000 1.36%, 05/06/03 125,000 100,000 1.27%, 08/13/03 100,004
See notes to financial statements. 98 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Certificates of Deposit -- Continued $ 100,000 1.25%, 08/18/03 $ 99,995 300,000 1.25%, 08/18/03 300,000 250,000 1.26%, 08/18/03 250,000 200,000 1.25%, 08/21/03 200,000 100,000 1.27%, 08/21/03 100,005 Bayerische Hypo-und Vereinsbank AG (Germany) (Yankee), 250,000 1.77%, 03/10/03 250,000 100,000 1.78%, 03/13/03 100,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), 466,000 1.25%, 04/28/03, Floating Rate 465,963 252,000 1.26%, 06/24/03, Floating Rate 251,968 Beta Finance, Inc., 72,000 1.38%, 02/12/04, MTN, # 71,997 260,000 1.39%, 02/18/04, MTN, # 260,000 BNP Paribas (France) (Yankee), 350,000 2.59%, 04/04/03 349,997 245,000 2.69%, 04/15/03 244,982 600,000 1.26%, 08/04/03 600,000 250,000 1.38%, 02/05/04 250,000 100,000 1.38%, 02/05/04 100,000 421,000 Canadian Imperial Bank of Commerce/New York (Yankee), 1.27%, 09/09/03, Floating Rate 420,934 Canadian Imperial Bank of Commerce (Canada) (Yankee), 100,000 1.28%, 07/10/03 100,000 200,000 1.29%, 08/11/03 200,009 50,000 1.29%, 08/11/03 50,002 200,000 1.27%, 09/29/03 199,971 Citibank N.A., 200,000 1.27%, 04/28/03 200,000 685,000 1.27%, 06/04/03 685,000 Credit Agricole Indosuez SA (France) (Yankee), 350,000 2.60%, 04/04/03 349,995 100,000 1.76%, 04/21/03 100,000 Credit Suisse First Boston (Switzerland) (Yankee), 150,000 1.31%, 07/18/03, Floating Rate 150,000 200,000 1.26%, 06/05/03, Floating Rate 199,979 Deutsche Bank AG (Germany) (Yankee), 250,000 1.31%, 04/09/03 250,000 200,000 1.30%, 04/16/03 200,000 300,000 1.34%, 04/22/03 300,000 300,000 1.35%, 04/25/03 300,000 200,000 Dexia Bank (Belgium) (Yankee), 1.76%, 04/24/03 200,000 Dresdner Bank AG (Germany) (Yankee), 225,000 1.36%, 03/20/03 225,000 110,000 1.64%, 04/04/03 110,000 265,000 Dresdner Bank AG/New York (Yankee), 1.32%, 10/02/03, Floating Rate 265,000
See notes to financial statements. 99 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- 100.0% Certificates of Deposit -- Continued HBOS Treasury Services PLC (United Kingdom) (Yankee), $ 100,000 1.34%, 03/17/03 $ 100,002 170,000 1.53%, 04/07/03 170,000 125,000 1.32%, 04/10/03 125,000 375,000 1.35%, 04/14/03 375,000 375,000 1.35%, 04/14/03 375,000 130,000 1.35%, 04/22/03 130,000 250,000 1.39%, 05/06/03 250,000 350,000 1.37%, 01/30/04 350,000 200,000 HSBC Holdings PLC (United Kingdom) (Yankee), 1.78%, 04/22/03 200,000 ING Bank N.V. (The Netherlands) (Yankee), 100,000 1.70%, 03/27/03 100,000 250,000 1.31%, 04/07/03 250,000 260,000 1.27%, 06/23/03 260,000 100,000 Landesbank Baden-Wuerttemberg (Germany) (Yankee), 1.31%, 04/03/03 100,001 504,500 Landesbank Baden-Wurttemberg/New York (Yankee), 1.26%, 04/11/03, Floating Rate 504,472 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 250,000 1.59%, 04/03/03 250,000 75,000 1.38%, 05/30/03 75,006 74,450 LaSalle National Bank, 2.50%, 05/06/03 74,449 Lloyds TSB Bank PLC (United Kingdom), 100,000 1.35%, 04/25/03 100,000 200,000 1.33%, 05/01/03 200,000 150,000 1.26%, 08/26/03 150,000 Nationwide Building Society (United Kingdom) 100,000 1.27%, 05/27/03 100,001 100,000 1.26%, 06/25/03 100,001 Norddeutsche Landesbank Girozentrale (Germany) (Yankee), 58,000 1.60%, 04/03/03 58,000 100,000 1.28%, 08/11/03 100,002 200,000 1.28%, 10/06/03, Floating Rate 199,976 355,000 Royal Bank of Canada (Canada) (Yankee), 1.27%, 09/12/03 354,943 300,000 Royal Bank of Canada/New York (Yankee), 1.27%, 09/30/03, Floating Rate 299,947 Societe Generale (France) (Yankee), 500,000 1.26%, 03/25/03, Floating Rate 499,986 500,000 1.31%, 04/14/03 500,000 461,000 1.25%, 04/28/03, Floating Rate 460,963 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 250,000 1.77%, 04/22/03 250,000 100,000 1.80%, 04/22/03 100,001 50,000 The Bank of New York Co., 2.11%, 08/12/03 50,183 Toronto Dominion Bank LTD (Canada) (Yankee), 100,000 1.31%, 07/07/03 100,016
See notes to financial statements. 100 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued Certificates of Deposit -- Continued $ 100,000 1.26%, 07/21/03 $ 100,000 90,000 Toronto Dominion Bank of New York (Yankee), 1.27%, 09/09/03, Floating Rate 89,986 UniCredito Italiano SPA (Italy) (Yankee), 150,000 1.77%, 03/13/03 150,000 300,000 1.35%, 03/24/03 300,000 200,000 1.71%, 03/31/03 200,000 325,000 1.33%, 04/07/03 325,002 200,000 1.63%, 04/09/03 200,000 400,000 US Bank N.A., 1.30%, 02/24/04, Floating Rate 399,960 Wells Fargo Bank N.A., 48,000 1.68%, 03/25/03 48,002 50,000 1.68%, 04/02/03 50,002 200,000 1.28%, 01/20/04, Floating Rate 199,982 475,000 1.28%, 02/06/04, Floating Rate 474,956 675,000 1.28%, 02/13/04, Floating Rate 675,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 100,000 1.63%, 04/09/03 100,000 200,000 1.75%, 04/17/03 200,000 150,000 1.42%, 05/28/03 150,000 302,000 1.26%, 06/24/03, Floating Rate 301,962 240,000 Westdeutsche Landesbank Girozentrale/New York (Yankee), 1.26%, 03/24/03, Floating Rate 239,992 ------------------------------------------------------------------- Total Certificates of Deposit 23,228,725 (Cost $23,228,725) ------------------------------------------------------------------- TIME DEPOSITS -- 3.9% 706,188 Citibank N.A., 1.34%, 03/03/03 706,188 550,000 Credit Suisse First Boston, Inc., 1.35%, 03/03/03 550,000 140,000 Fifth Third Bank, 1.31%, 03/03/03 140,000 500,000 National Australia Bank LTD (Australia), 1.35%, 03/03/03 500,000 200,000 National City Bank of Kentucky, 1.34%, 03/03/03 200,000 200,000 Societe Generale (Grand Cayman Branch) (France), 1.34%, 03/03/03 200,000 ------------------------------------------------------------------- Total Time Deposits 2,296,188 (Cost $2,296,188) ------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 9.1% 119,768 Deutsche Bank Securities, Inc., 1.33%, dated 02/28/03, due 03/03/03, repurchase price $119,781, collateralized by U.S. Government Agency Securities & U.S. Treasury Notes 119,768 99,171 Deutsche Bank Securities, Inc., 1.38%, dated 02/28/03, due 03/03/03 repurchase price $99,182, collateralized by U.S. Government Agency Securities & U.S. Treasury Notes 99,171
See notes to financial statements. 101 As of February 28, 2003 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- Money Market Instruments -- Continued REPURCHASE AGREEMENTS -- CONTINUED $ 150,000 Greenwich Capital Markets, Inc., 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $150, 017, collateralized by U.S. Government Agency Securities $ 150,000 5,000,000 UBS Warburg LLC, 1.38%, dated 02/28/03, due 03/03/03, repurchase price, $5,000,575, collateralized by U.S. Government Agency Securities 5,000,000 ------------------------------------------------------------------- Total Repurchase Agreements 5,368,939 (Cost $5,368,939) - -------------------------------------------------------------------------------- Total Investments -- 100.0% (Cost $58,684,831)* $ 58,684,831 - --------------------------------------------------------------------------------
See notes to financial statements. 102 Abbreviations: * -- The cost of securities is substantially the same for federal income tax purposes. # -- Security may only be sold to qualified institutional buyers. ^ -- Amount rounds to less than 0.1%. (i) -- Security is considered illiquid and may be difficult to sell. (p) -- 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. CONS -- Consolidated Bonds. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. FGIC -- Financial Guaranty Insurance Corp. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at February 28, 2003. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at February 28, 2003. FSA -- Financial Securities Assistance GAN -- Grant Anticipation Note. GO -- General Obligation. 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. Rev. -- Revenue Bond. Ser. -- Series. TAN -- Tax Anticipation Notes. TRAN -- Tax & Revenue Anticipation Notes. See notes to financial statements. 103 JPMORGAN FUNDS Statement of Assets and Liabilities As of February 28, 2003 (unaudited) (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 $ 6,180,031 $ 9,531,894 Receivables: Investment securities sold 297,721 -- Fund shares sold 65 -- Interest 3,096 9,650 Expense reimbursements 2 -- - ------------------------------------------------------------------------------------------------------- Total Assets 6,480,915 9,541,544 - ------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian 297,721 -- Dividends 1,713 3,209 Accrued liabilities: Investment advisory fees 461 745 Administration fees 383 409 Shareholder servicing fees 1,055 1,371 Distribution fees 38 130 Trustees' fees - deferred compensation plan 680 1,234 Other 678 750 - ------------------------------------------------------------------------------------------------------- Total Liabilities 302,729 7,848 - ------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 6,178,169 9,533,823 Accumulated undistributed (overdistributed) net investment income (68) (124) Accumulated net realized gain (loss) on investments 85 (3) - ------------------------------------------------------------------------------------------------------- Total Net Assets $ 6,178,186 $ 9,533,696 - ------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 3,206,716 3,145,464 Premier 694,223 926,613 Agency 926,498 4,057,772 Institutional 1,350,802 1,404,021 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------- Cost of investments $ 6,180,031 $ 9,531,894 =======================================================================================================
See notes to financial statements. 104 As of February 28, 2003 (unaudited) (Amounts in thousands, except per share amounts)
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 3,705,969 $ 4,394,794 Cash -- 1 Interest 5,193 6,103 - ------------------------------------------------------------------------------------------------------- Total Assets 3,711,162 4,400,898 - ------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 1,038 2,154 Accrued liabilities: Investment advisory fees 310 332 Administration fees 202 273 Shareholder servicing fees 522 410 Distribution fees 66 9 Trustees' fees - deferred compensation plan 464 198 Other 276 612 - ------------------------------------------------------------------------------------------------------- Total Liabilities 2,878 3,988 - ------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 3,708,483 4,397,116 Accumulated undistributed (overdistributed) net investment income 61 (272) Accumulated net realized gain (loss) on investments (260) 66 - ------------------------------------------------------------------------------------------------------- Total Net Assets $ 3,708,284 $ 4,396,910 - ------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 860,750 367,282 Premier 898,851 1,627,803 Agency 1,029,812 310,741 Institutional 679,769 2,091,764 Reserve 239,352 -- Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------- Cost of investments $ 3,705,969 $ 4,394,794 =======================================================================================================
See notes to financial statements. 105 As of February 28, 2003 (unaudited) (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 $ 158,615 $ 2,172,996 Cash -- 41 Receivables: Investment securities sold 4,502 20,020 Fund shares sold -- 55 Interest 497 9,573 - ------------------------------------------------------------------------------------------------------- Total Assets 163,614 2,202,685 - ------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian 8 -- Dividends 57 284 Investment securities purchased -- 15,665 Accrued liabilities: Investment advisory fees 13 168 Administration fees 4 159 Shareholder servicing fees 44 588 Distribution fees -- 47 Trustees' fees - deferred compensation plan 13 272 Other 24 322 - ------------------------------------------------------------------------------------------------------- Total Liabilities 163 17,505 - ------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 163,518 2,185,562 Accumulated undistributed (overdistributed) net investment income (64) (494) Accumulated net realized gain (loss) on investments (3) 112 - ------------------------------------------------------------------------------------------------------- Total Net Assets $ 163,451 $ 2,185,180 - ------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 163,519 1,998,296 Reserve -- 187,368 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------- Cost of investments $ 158,615 $ 2,172,996 =======================================================================================================
See notes to financial statements. 106 As of February 28, 2003 (unaudited) (Amounts in thousands, except per share amounts)
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 9,339,136 $ 2,777,423 Cash 2,789 1 Receivables: Investment securities sold 46,544 -- Fund shares sold -- 96 Interest 35,236 4,339 - ------------------------------------------------------------------------------------------------------- Total Assets 9,423,705 2,781,859 - ------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 4,022 648 Investment securities purchased -- 49,997 Accrued liabilities: Investment advisory fees 724 187 Administration fees 557 42 Shareholder servicing fees 904 65 Distribution fees 10 -- Trustees' fees - deferred compensation plan 262 2 Other 511 178 - ------------------------------------------------------------------------------------------------------- Total Liabilities 6,990 51,119 - ------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 9,420,411 2,730,747 Accumulated undistributed (overdistributed) net investment income (3,914) (7) Accumulated net realized gain (loss) on investments 218 -- - ------------------------------------------------------------------------------------------------------- Total Net Assets $ 9,416,715 $ 2,730,740 - ------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 675,781 15,367 Premier 3,651,016 97,035 Agency 754,701 233,912 Institutional 4,338,708 2,384,433 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------- Cost of investments $ 9,339,136 $ 2,777,423 =======================================================================================================
See notes to financial statements. 107 As of February 28, 2003 (unaudited) (Amounts in thousands, except per share amounts)
PRIME MONEY MARKET FUND - -------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 58,684,831 Receivables: Fund shares sold 2,060 Interest 105,910 - -------------------------------------------------------------------------------------------------- Total Assets 58,792,801 - -------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 22,817 Investment securities purchased 2,177,222 Accrued liabilities: Investment advisory fees 4,430 Administration fees 3,898 Shareholder servicing fees 3,528 Distribution fees 300 Trustees' fees - deferred compensation plan 2,563 Other 4,679 - -------------------------------------------------------------------------------------------------- Total Liabilities 2,219,437 - -------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 56,573,353 Accumulated undistributed (overdistributed) net investment income (136) Accumulated net realized gain (loss) on investments 147 - -------------------------------------------------------------------------------------------------- Total Net Assets $ 56,573,364 - -------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 5,626,937 Premier 5,729,806 Agency 14,622,668 Class B 14,031 Class C 556 Institutional 28,632,035 Reserve 405,009 Select 965,396 Cash Management 577,604 Net asset value, offering and redemption price per share (all classes)* $ 1.00 - -------------------------------------------------------------------------------------------------- Cost of investments $ 58,684,831 ==================================================================================================
* Redemption price for Class B and C Shares may be reduced by contingent deferred sales charge. See notes to financial statements. 108 JPMORGAN FUNDS Statement of Operations For the six months ended February 28, 2003 (unaudited) (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 42,479 $ 72,265 - ------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 2,784 4,501 Administration fees 2,784 4,501 Shareholder servicing fees 7,379 9,359 Distribution fees 1,695 2,138 Custodian and accounting fees 199 351 Printing and postage 8 18 Professional fees 63 95 Registration fees 112 112 Transfer agent fees 465 489 Trustees' fees 28 45 Other 65 84 - ------------------------------------------------------------------------------------------------------- Total expenses 15,582 21,693 - ------------------------------------------------------------------------------------------------------- Less amounts waived 2,508 3,872 Less expense reimbursements 15 -- - ------------------------------------------------------------------------------------------------------- Net expenses 13,059 17,821 - ------------------------------------------------------------------------------------------------------- Net investment income 29,420 54,444 - ------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 74 -- - ------------------------------------------------------------------------------------------------------- Net increase in net assets from operations $ 29,494 $ 54,444 =======================================================================================================
See notes to financial statements. 109 For the six months ended February 28, 2003 (unaudited) (Amounts in thousands)
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 30,546 $ 34,882 - ------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 1,969 2,182 Administration fees 1,969 2,182 Shareholder servicing fees 3,995 3,814 Distribution fees 773 202 Custodian and accounting fees 184 189 Printing and postage 5 6 Professional fees 54 45 Registration fees 318 15 Transfer agent fees 123 325 Trustees' fees 20 22 Other 50 49 - ------------------------------------------------------------------------------------------------------- Total expenses 9,460 9,031 - ------------------------------------------------------------------------------------------------------- Less amounts waived 1,657 1,635 - ------------------------------------------------------------------------------------------------------- Net expenses 7,803 7,396 - ------------------------------------------------------------------------------------------------------- Net investment income 22,743 27,486 - ------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 10 19 - ------------------------------------------------------------------------------------------------------- Net increase in net assets from operations $ 22,753 $ 27,505 =======================================================================================================
See notes to financial statements. 110 For the six months ended February 28, 2003 (unaudited) (Amounts in thousands)
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 1,110 $ 16,206 - ------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 80 1,120 Administration fees 80 1,120 Shareholder servicing fees 282 3,920 Distribution fees 80 1,302 Custodian and accounting fees 1 56 Professional fees 10 30 Registration fees 5 -- Transfer agent fees 17 304 Trustees' fees 1 11 Other 3 18 - ------------------------------------------------------------------------------------------------------- Total expenses 559 7,881 - ------------------------------------------------------------------------------------------------------- Less amounts waived 116 1,091 - ------------------------------------------------------------------------------------------------------- Net expenses 443 6,790 - ------------------------------------------------------------------------------------------------------- Net investment income 667 9,416 - ------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 1 30 - ------------------------------------------------------------------------------------------------------- Net increase in net assets from operations $ 668 $ 9,446 =======================================================================================================
See notes to financial statements. 111 For the six months ended February 28, 2003 (unaudited) (Amounts in thousands)
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 67,316 $ 14,144 - ------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 4,729 869 Administration fees 4,729 869 Shareholder servicing fees 8,128 929 Distribution fees 369 9 Custodian and accounting fees 401 100 Printing and postage 7 12 Professional fees 95 38 Registration fees 492 71 Transfer agent fees 158 48 Trustees' fees 47 9 Other 95 19 - ------------------------------------------------------------------------------------------------------- Total expenses 19,250 2,973 - ------------------------------------------------------------------------------------------------------- Less amounts waived 3,930 1,610 - ------------------------------------------------------------------------------------------------------- Net expenses 15,320 1,363 - ------------------------------------------------------------------------------------------------------- Net investment income 51,996 12,781 - ------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 876 6 - ------------------------------------------------------------------------------------------------------- Net increase in net assets from operations $ 52,872 $ 12,787 =======================================================================================================
See notes to financial statements. 112 For the six months ended February 28, 2003 (unaudited) (Amounts in thousands)
PRIME MONEY MARKET FUND - -------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 431,691 - -------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 26,277 Administration fees 26,277 Shareholder servicing fees 39,981 Distribution fees 1,382 Custodian and accounting fees 2,010 Printing and postage 17 Professional fees 555 Registration fees 17 Transfer agent fees 2,222 Trustees' fees 263 Other 330 - -------------------------------------------------------------------------------------------------- Total expenses 99,331 - -------------------------------------------------------------------------------------------------- Less amounts waived 19,573 - -------------------------------------------------------------------------------------------------- Net expenses 79,758 - -------------------------------------------------------------------------------------------------- Net investment income 351,933 - -------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 16 - -------------------------------------------------------------------------------------------------- Net increase in net assets from operations $ 351,949 ==================================================================================================
See notes to financial statements. 113 JPMORGAN FUNDS Statement of Changes in Net Assets For the periods indicated (unaudited) (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET FUND MONEY MARKET FUND -------------------------- -------------------------- 9/1/02 YEAR 9/1/02 YEAR THROUGH ENDED THROUGH ENDED 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 29,420 $ 90,951 $ 54,444 $ 160,187 Net realized gain (loss) on investments 74 406 -- 71 - --------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 29,494 91,357 54,444 160,258 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (29,390) (90,951) (54,445) (160,284) Net realized gain on investment transactions -- (1,071) (3) (120) - --------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (29,390) (92,022) (54,448) (160,404) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: 942,575 (93,636) 167,368 196,512 - --------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 942,679 (94,301) 167,364 196,366 NET ASSETS: Beginning of period 5,235,507 5,329,808 9,366,332 9,169,966 - --------------------------------------------------------------------------------------------------------------------------------- End of period $ 6,178,186 $ 5,235,507 $ 9,533,696 $ 9,366,332 - --------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (68) $ (98) $ (124) $ (123) - ---------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 114
TREASURY PLUS FEDERAL MONEY MARKET FUND MONEY MARKET FUND -------------------------- -------------------------- 9/1/02 YEAR 9/1/02 YEAR THROUGH ENDED THROUGH ENDED 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 22,743 $ 72,344 $ 27,486 $ 106,084 Net realized gain (loss) on investments 10 60 19 704 - --------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 22,753 72,404 27,505 106,788 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (22,738) (72,229) (27,502) (106,246) Net realized gain on investment transactions -- -- -- (779) - --------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (22,738) (72,229) (27,502) (107,025) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: (295,711) 1,166,546 64,970 2,229,239 - --------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (295,696) 1,166,721 64,973 2,229,002 NET ASSETS: Beginning of period 4,003,980 2,837,259 4,331,937 2,102,935 - --------------------------------------------------------------------------------------------------------------------------------- End of period $ 3,708,284 $ 4,003,980 $ 4,396,910 $ 4,331,937 - --------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 61 $ 56 $ (272) $ (256) - ---------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 115
CALIFORNIA TAX FREE NEW YORK TAX FREE MONEY MARKET FUND MONEY MARKET FUND -------------------------- -------------------------- 9/1/02 YEAR 9/1/02 YEAR THROUGH ENDED THROUGH ENDED 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 667 $ 1,533 $ 9,416 $ 27,181 Net realized gain (loss) on investments 1 11 30 457 - --------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 668 1,544 9,446 27,638 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (682) (1,579) (9,382) (27,725) Net realized gain on investment transactions -- -- (341) (34) - --------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (682) (1,579) (9,723) (27,759) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: 394 80,351 (117,650) (135,502) - --------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 380 80,316 (117,927) (135,623) NET ASSETS: Beginning of period 163,071 82,755 2,303,107 2,438,730 - --------------------------------------------------------------------------------------------------------------------------------- End of period $ 163,451 $ 163,071 $ 2,185,180 $ 2,303,107 - --------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (64) $ (49) $ (494) $ (528) - ---------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 116
TAX FREE LIQUID ASSETS MONEY MARKET FUND MONEY MARKET FUND -------------------------- -------------------------- 9/1/02 YEAR 9/1/02 4/1/02* THROUGH ENDED THROUGH THROUGH 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 51,996 $ 99,873 $ 12,781 $ 5,151 Net realized gain (loss) on investments 876 302 6 20 - --------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 52,872 100,175 12,787 5,171 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (52,352) (103,426) (12,787) (5,152) Net realized gain on investment transactions -- -- (6) (20) - --------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (52,352) (103,426) (12,793) (5,172) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: 465,420 7,010,568 1,515,720 1,215,027 - --------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 465,940 7,007,317 1,515,714 1,215,026 NET ASSETS: Beginning of period 8,950,775 1,943,458 1,215,026 -- - --------------------------------------------------------------------------------------------------------------------------------- End of period $ 9,416,715 $ 8,950,775 $ 2,730,740 $ 1,215,026 - --------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (3,914) $ (3,558) $ (7) $ (1) - ---------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. See notes to financial statements. 117
PRIME MONEY MARKET FUND -------------------------------------- 9/1/02 YEAR THROUGH ENDED 2/28/03 8/31/02 - -------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 351,933 $ 1,183,028 Net realized gain (loss) on investments 16 1,403 - -------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 351,949 1,184,431 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (352,100) (1,182,928) Net realized gain on investment transactions -- (1,417) - -------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (352,100) (1,184,345) - -------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: 7,643,156 19,647,317 - -------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 7,643,005 19,647,403 NET ASSETS: Beginning of period 48,930,359 29,282,956 - -------------------------------------------------------------------------------------------------------------------- End of period $ 56,573,364 $ 48,930,359 - -------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (136) $ 31 - --------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 118 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 Fund ("PRM") Morgan, Premier, Agency, Class B, Class C, 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 Funds. Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds: 119
ACQUIRING SHARES TARGET FUNDS FUND RECEIVED - ---------------------------------------------------------------------------------------- J.P. Morgan Treasury Money Market Reserves Fund TP Reserve Shares J.P. Morgan Institutional Treasury Money Market Fund TP Institutional Shares J.P. Morgan Institutional Service Treasury Money 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
120 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 PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - ---------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Treasury Money Market Reserves Fund 94,137 -- $ 94,097 $ 1.00 J.P. Morgan Institutional Treasury Money Market Fund 310,752 -- $ 310,665 $ 1.00 J.P. Morgan Institutional Service Treasury Money Market Fund 507,600 -- $ 507,445 $ 1.00 Acquiring Fund JPMorgan Treasury Plus Money 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
121
JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION - ------------------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - ------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Federal Money Market Fund 1,683,861 -- $ 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. 122
JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION - ---------------------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - ---------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Prime Money Market Fund 2,959,209 -- $ 2,959,209 $ 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 Class B 17,511 $ 17,502 $ 1.00 Class C 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 Class B 17,511 $ 17,502 $ 1.00 Class C 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
123
JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION - ------------------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE PER OUTSTANDING OUTSTANDING NET ASSETS SHARE - ------------------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Tax Exempt Money Market Fund 1,989,832 -- $ 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. 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 be fully collateralized, primarily 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, realization of the collateral by the Fund may be delayed or limited. 124 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. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. The following is the market value and percentage of restricted and illiquid securities (amounts in thousands).
MARKET % OF TOTAL FUND VALUE MARKET VALUE - ------------------------------------------------ LA $ 30,005 1.08% PRM 1,082,200 1.84%
E. 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. F. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The policy of the Funds is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of their 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. G. 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. 125 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 "Advisor") 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 Advisor 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 and/or reimbursed expenses as outlined in Note 4.E. below. 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. BISYS Fund Services, LP ("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 (%):
CASH FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT - ------------------------------------------------------------------------------------------------------------------------- USTS 0.59 0.46^ 0.25 n/a n/a 0.20 n/a n/a n/a USG 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a TP 0.59 0.45 0.25 n/a n/a 0.20 0.70 n/a n/a FED 0.70 0.45 0.26 n/a n/a 0.20 n/a n/a n/a CTF 0.55 n/a n/a n/a n/a n/a n/a n/a n/a NYTF 0.59 n/a n/a n/a n/a n/a 0.79 n/a n/a TF 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a LA 0.59 0.45 0.26 n/a n/a 0.20 n/a n/a n/a PRM 0.59 0.45 0.30^^ 1.24 1.24 0.20 0.70 0.44 0.97
^ The limitation percentage prior to September 8, 2002 was 0.48%. ^^ The limitation percentage prior to January 1, 2003 was 0.26%. 126 The contractual expense limitation agreements were in effect for the six months ended February 28, 2003 for the Funds. The expense limitation percentages in the table above are due to expire as follows:
CASH FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT - ---------------------------------------------------------------------------------------------------------------------- USTS 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a USG 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a TP 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 12/31/04 n/a n/a FED 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 n/a n/a n/a CTF 12/31/03 n/a n/a n/a n/a n/a n/a n/a n/a NYTF 12/31/03 n/a n/a n/a n/a n/a 12/31/03 n/a n/a TF 12/31/03 12/31/04 12/31/03 n/a n/a 12/31/04 n/a n/a n/a LA 12/31/03 12/31/03 12/31/03 n/a n/a 12/31/03 n/a n/a n/a PRM 12/31/03 12/31/04 12/31/04 12/31/03 12/31/03 12/31/04 12/31/04 12/31/04 12/31/04
The Administrator waived fees and/or reimbursed expenses as outlined in Note 4.E. below. 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. 127 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 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 (%):
CASH FUND MORGAN PREMIER AGENCY CLASS B CLASS C INSTITUTIONAL RESERVE SELECT MANAGEMENT - ------------------------------------------------------------------------------------------------------------------- USTS 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a USG 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a TP 0.35 0.25 0.10 n/a n/a 0.10 0.25 n/a n/a FED 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a CTF 0.35 n/a n/a n/a n/a n/a n/a n/a n/a NYTF 0.35 n/a n/a n/a n/a n/a 0.35 n/a n/a TF 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a LA 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a PRM 0.35 0.25 0.10 0.25 0.25 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. The Shareholder Servicing Agents have waived fees as outlined in Note 4.E. below. 128 E. WAIVERS AND REIMBURSEMENTS -- For the six months ended February 28, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
VOLUNTARY WAIVERS ---------------------------------------------------- SHAREHOLDER SERVICING ADMINISTRATION TOTAL - ------------------------------------------------------------------- USTS $ -- $ 1 $ 1 LA -- 508 508 PRM 598 274 872 - ------------------------------------------------------------------- Total $ 598 $ 783 $ 1,381 - -------------------------------------------------------------------
CONTRACTUAL WAIVERS --------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS - ------------------------------------------------------------------------------------------ USTS $ -- $ 472 $ 623 $ 1,412 $ 2,507 $ 15 USG -- 2,054 538 1,280 3,872 -- TP -- 689 621 347 1,657 -- FED -- 393 1,126 116 1,635 -- CTF -- 36 -- 80 116 -- NYTF -- 8 -- 1,083 1,091 -- TF -- 1,183 2,451 296 3,930 -- LA 171 229 693 9 1,102 -- PRM -- 3,050 15,651 -- 18,701 -- - ------------------------------------------------------------------------------------------ Total $ 171 $ 8,114 $ 21,703 $ 4,623 $ 34,611 $ 15 - ------------------------------------------------------------------------------------------
F. OTHER -- Certain officers of the Trust are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain of the Funds may purchase securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affliated with the Funds. 129 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended February 28, 2003 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ------------------------------------------------------------------------ USTS Morgan $ 5,933 $ 1,695 $ 394 Premier 595 -- 23 Agency 523 -- 33 Institutional 328 -- 15 - ------------------------------------------------------------------------ $ 7,379 $ 1,695 $ 465 - ------------------------------------------------------------------------ USG Morgan $ 5,779 $ 1,651 $ 413 Premier 1,217 487 31 Agency 1,936 -- 29 Institutional 427 -- 16 - ------------------------------------------------------------------------ $ 9,359 $ 2,138 $ 489 - ------------------------------------------------------------------------ TP Morgan $ 1,666 $ 476 $ 76 Premier 1,097 -- 13 Agency 634 -- 12 Institutional 301 -- 9 Reserve 297 297 13 - ------------------------------------------------------------------------ $ 3,995 $ 773 $ 123 - ------------------------------------------------------------------------ FED Morgan $ 706 $ 202 $ 223 Premier 1,880 -- 53 Agency 240 -- 19 Institutional 988 -- 30 - ------------------------------------------------------------------------ $ 3,814 $ 202 $ 325 - ------------------------------------------------------------------------
130
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ------------------------------------------------------------------------ CTF Morgan $ 282 $ 80 $ 17 - ------------------------------------------------------------------------ NYTF Morgan $ 3,601 $ 1,029 $ 298 Reserve 319 273 6 - ------------------------------------------------------------------------ $ 3,920 $ 1,302 $ 304 - ------------------------------------------------------------------------ TF Morgan $ 1,293 $ 369 $ 78 Premier 4,127 -- 39 Agency 490 -- 20 Institutional 2,218 -- 21 - ------------------------------------------------------------------------ $ 8,128 $ 369 $ 158 - ------------------------------------------------------------------------ LA Morgan $ 31 $ 9 $ 12 Premier 63 -- 12 Agency 59 -- 14 Institutional 776 -- 10 - ------------------------------------------------------------------------ $ 929 $ 9 $ 48 - ------------------------------------------------------------------------ PRM Morgan $ 11,422 $-- $ 1,935 Premier 7,091 -- 71 Agency 6,479 -- 65 ClassB 16 49 4 ClassC 1 3 -- Institutional 12,838 -- 64 Reserve 509 509 11 Select 1,214 -- 59 Cash Management 411 821 13 - ------------------------------------------------------------------------ $ 39,981 $ 1,382 $ 2,222 - ------------------------------------------------------------------------
131 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended February 28, 2003 and for the year ended August 31, 2002, respectively, are as follows (amounts in thousands):
SIX MONTHS ENDED 2/28/03 YEAR ENDED 8/31/02 -------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN - ---------------------------------------------------------------------------------------- USTS Morgan $ 16,001 $ -- $ 62,290 $ 803 Premier 2,465 -- 4,704 39 Agency 6,713 -- 20,972 218 Institutional 4,211 -- 2,985 11 - --------------------------------------------------------------------------------------- $ 29,390 $ -- $ 90,951 $ 1,071 - --------------------------------------------------------------------------------------- USG Morgan $ 16,928 $ 1 $ 62,610 $ 51 Premier 5,659 1 20,040 15 Agency 26,206 1 68,962 51 Institutional 5,652 -- 8,672 3 - --------------------------------------------------------------------------------------- $ 54,445 $ 3 $ 160,284 $ 120 - --------------------------------------------------------------------------------------- TP Morgan $ 4,623 $ -- $ 20,433 $ -- Premier 4,877 -- 14,880 -- Agency 8,261 -- 24,183 -- Institutional 3,960 -- 9,517 -- Reserve 1,017 -- 3,216 -- - --------------------------------------------------------------------------------------- $ 22,738 $ -- $ 72,229 $ -- - --------------------------------------------------------------------------------------- FED Morgan $ 1,842 $ -- $ 9,623 $ 90 Premier 8,639 -- 30,113 242 Agency 3,273 -- 17,971 124 Institutional 13,748 -- 48,539 323 - --------------------------------------------------------------------------------------- $ 27,502 $ -- $ 106,246 $ 779 - --------------------------------------------------------------------------------------- CTF Morgan $ 682 $ -- $ 1,579 $ -- - --------------------------------------------------------------------------------------- NYTF Morgan $ 8,787 $ 314 $ 26,970 $ 31 Reserve 595 27 755 3 - --------------------------------------------------------------------------------------- $ 9,382 $ 341 $ 27,725 $ 34 - --------------------------------------------------------------------------------------- TF Morgan $ 3,168 $ -- $ 10,529 $ -- Premier 16,146 -- 35,766 -- Agency 5,837 -- 14,441 -- Institutional 27,201 -- 42,690 -- - --------------------------------------------------------------------------------------- $ 52,352 $ -- $ 103,426 $ -- - ---------------------------------------------------------------------------------------
132
SIX MONTHS ENDED 2/28/03 YEAR ENDED 8/31/02 -------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN - --------------------------------------------------------------------------------------- LA Morgan $ 102 $ -- $ 88 $ -- Premier 316 -- 117 1 Agency 831 1 257 1 Institutional 11,538 5 4,690 18 - --------------------------------------------------------------------------------------- $ 12,787 $ 6 $ 5,152 $ 20 - --------------------------------------------------------------------------------------- PRM Morgan $ 35,247 $ -- $ 161,387 $ 224 Premier 33,977 -- 95,052 148 Agency 90,223 -- 348,599 383 Class B 28 -- 151 1 Class C 1 -- 6 -- Intitutional 183,718 -- 551,186 610 Reserve 1,936 -- 3,847 10 Select 5,922 -- 20,304 31 Cash Management 1,048 -- 2,396 10 - --------------------------------------------------------------------------------------- $ 352,100 $ -- $ 1,182,928 $ 1,417 - ---------------------------------------------------------------------------------------
7. CONCENTRATIONS AND INDEMNIFICATIONS 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 February 28, 2003, LA invested 29.0% of 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. CTF, NYTF and TF 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 CTF primarily investing in issuers in the State of California, and NYTF primarily investing in issuers in the State of New York. The issuers' abilities to meet their obligations may be affected by economic or political developments in a specific state or region. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve 133 future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 8. SUBSEQUENT EVENTS The Funds' Board of Trustees has approved a change of name for Mutual Fund Trust. The Trust will be renamed J.P. Morgan Mutual Fund Trust effective May 1, 2003. The Funds' Board of Trustees has also approved a change in the fund accounting and custody vendor from The Bank of New York to JPMCB. This change is expected to occur on or about May 1, 2003. 134 9. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (Amounts in thousands): 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
MORGAN^ PREMIER ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,585,751 3,585,751 $ 1,245,754 1,245,754 Shares issued in reinvestment of distributions 9,312 9,312 735 735 Shares redeemed (3,914,000) (3,914,000) (904,945) (904,945) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (318,937) (318,937) $ 341,544 341,544 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 10,314,404 10,314,412 $ 905,565 905,563 Shares issued in reinvestment of distributions 41,451 41,451 2,121 2,121 Shares redeemed (10,857,005) (10,857,007) (687,896) (687,896) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (501,150) (501,144) $ 219,790 219,788 ============================================================================================================================ AGENCY@ INSTITUTIONAL ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,710,885 2,710,885 $ 2,703,775 2,703,775 Shares issued in reinvestment of distributions 4,644 4,644 2,632 2,632 Shares redeemed (2,879,060) (2,879,060) (1,622,908) (1,622,908) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (163,531) (163,531) $ 1,083,499 1,083,499 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 6,533,319 6,533,319 $ 886,767 886,767 Shares issued in reinvestment of distributions 14,742 14,742 2,593 2,593 Shares redeemed (6,627,631) (6,627,631) (622,066) (622,057) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (79,570) (79,570) $ 267,294 267,303 ============================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 135 U.S. GOVERNMENT MONEY MARKET FUND
MORGAN^ PREMIER ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 6,747,115 6,747,115 $ 2,013,694 2,013,694 Shares issued in reinvestment of distributions 7,500 7,500 4,079 4,079 Shares redeemed (6,983,943) (6,983,943) (2,138,813) (2,138,813) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (229,328) (229,328) $ (121,040) (121,040) ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 14,899,594 14,899,592 $ 4,696,629 4,696,625 Shares issued in reinvestment of distributions 28,756 28,756 13,895 13,895 Shares redeemed (15,703,649) (15,703,649) (4,914,063) (4,914,063) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (775,299) (775,301) $ (203,539) (203,543) ============================================================================================================================ AGENCY@ INSTITUTIONAL ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 15,065,826 15,065,826 $ 3,948,553 3,948,553 Shares issued in reinvestment of distributions 16,667 16,667 3,955 3,955 Shares redeemed (15,521,606) (15,521,606) (2,995,659) (2,995,659) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (439,113) (439,113) $ 956,849 956,849 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 25,336,802 25,336,802 $ 5,667,034 5,667,034 Shares issued in reinvestment of distributions 43,240 43,240 6,352 6,352 Shares redeemed (24,651,864) (24,651,864) (5,226,214) (5,226,214) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 728,178 728,178 $ 447,172 447,172 ============================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 136 TREASURY PLUS MONEY MARKET FUND
MORGAN^ PREMIER ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,052,124 3,052,124 $ 2,725,542 2,725,542 Shares issued in reinvestment of distributions 2,704 2,704 1,196 1,196 Shares redeemed (3,297,476) (3,297,476) (2,645,576) (2,645,576) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (242,648) (242,648) $ 81,162 81,162 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 8,543,551 8,543,525 $ 4,775,127 4,775,127 Shares issued in connection with Fund Reorganization (Note 2) -- -- 507,445 507,600 Shares issued in reinvestment of distributions 10,617 10,617 3,118 3,118 Shares redeemed (9,017,947) (9,017,947) (4,794,351) (4,794,351) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (463,779) (463,805) $ 491,339 491,494 ============================================================================================================================ AGENCY@ INSTITUTIONAL ------------------------------- ------------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 5,373,525 5,373,525 $ 3,839,905 3,839,905 Shares issued in reinvestment of distributions 5,802 5,802 3,351 3,351 Shares redeemed (5,766,019) (5,766,019) (3,595,266) (3,595,266) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (386,692) (386,692) $ 247,990 247,990 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 11,465,056 11,465,056 $ 7,160,765 7,160,765 Shares issued in connection with Fund Reorganization (Note 2) -- -- 310,665 310,752 Shares issued in reinvestment of distributions 17,410 17,410 7,132 7,132 Shares redeemed (11,010,007) (11,010,007) (7,046,870) (7,046,870) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 472,459 472,459 $ 431,692 431,779 ============================================================================================================================ RESERVE -------------------------------- AMOUNT SHARES - ------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ------------------------------------------------------------------------------------------- Shares sold $ 359,611 359,611 Shares issued in reinvestment of distributions 865 865 Shares redeemed (355,999) (355,999) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,477 4,477 =========================================================================================== 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 (decrease) 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. 137 FEDERAL MONEY MARKET FUND
MORGAN^ PREMIER ------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 478,670 478,670 $ 3,610,373 3,610,373 Shares issued in reinvestment of distributions 1,393 1,393 1,547 1,547 Shares redeemed (565,027) (565,027) (3,388,934) (3,388,934) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (84,964) (84,964) $ 222,986 222,986 ============================================================================================================================= YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,285,693 1,285,693 $ 7,091,868 7,091,868 Shares issued in connection with Fund Reorganization (Note 2) 1,001 1,001 1,710,889 1,711,369 Shares issued in reinvestment of distributions 7,180 7,180 6,980 6,980 Shares redeemed (1,499,950) (1,499,950) (7,680,485) (7,680,485) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (206,076) (206,076) $ 1,129,252 1,129,732 ============================================================================================================================= AGENCY@ INSTITUTIONAL ------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 996,953 996,953 $ 3,421,419 3,421,419 Shares issued in reinvestment of distributions 990 990 7,975 7,975 Shares redeemed (1,209,924) (1,209,924) (3,290,465) (3,290,465) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (211,981) (211,981) $ 138,929 138,929 ============================================================================================================================= YEAR ENDED AUGUST 31, 2002* - ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,410,637 2,410,637 $ 10,250,685 10,250,685 Shares issued in connection with Fund Reorganization (Note 2) -- -- 2,447,079 2,447,081 Shares issued in reinvestment of distributions 6,180 6,180 31,586 31,586 Shares redeemed (3,062,586) (3,062,586) (10,776,517) (10,776,517) - ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (645,769) (645,769) $ 1,952,833 1,952,835 ============================================================================================================================= RESERVE -------------------------------- AMOUNT SHARES - ------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- -- =========================================================================================== YEAR ENDED AUGUST 31, 2002 - ------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1,001) (1,001) Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,001) (1,001) ===========================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 138 CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN^ ----------------------------------- AMOUNT SHARES - -------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - -------------------------------------------------------------------------------------------- Shares sold $ 221,173 221,173 Shares issued in reinvestment of distributions 175 175 Shares redeemed (220,954) (220,954) - -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 394 394 =========================================================================================== 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 (decrease) in Fund shares outstanding $ 80,351 80,351 =========================================================================================
^ Formerly Vista Shares. 139 NEW YORK TAX FREE MONEY MARKET FUND
MORGAN^ RESERVE ------------------------------ --------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,412,463 1,412,463 $ 85,436 85,436 Shares issued in reinvestment of distributions 6,583 6,583 607 607 Shares redeemed (1,544,525) (1,544,525) (78,214) (78,214) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (125,479) (125,479) $ 7,829 7,829 ============================================================================================================================ 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 ============================================================================================================================
^ Formerly Vista Shares. 140 TAX FREE MONEY MARKET FUND
MORGAN^ PREMIER AGENCY@ INSTITUTIONAL ------------------------- ------------------------- ------------------------- -------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 660,304 660,304 $ 7,001,971 7,001,971 $ 1,918,692 1,918,692 $ 12,377,480 12,377,480 Shares issued in reinvestment of distributions 1,486 1,486 2,295 2,295 2,862 2,862 14,416 14,416 Shares redeemed (889,263) (889,263) (6,420,937) (6,420,937) (2,259,328) (2,259,328) (11,944,558) (11,944,558) - ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (227,473) (227,473) $ 583,329 583,329 $ (337,774) (337,774) $ 447,338 447,338 ================================================================================================================================== 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 ================================================================================================================================== RESERVE ------------------------------------- AMOUNT SHARES - ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2003 - ------------------------------------------------------------------------------------------------------ Shares sold $ -- -- Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ -- -- ====================================================================================================== YEAR ENDED AUGUST 31, 2002 - ------------------------------------------------------------------------------------------------------ Shares sold $ -- -- Shares transferred in connection with Fund Reorganization (Note 2) (1) (1) Shares issued in reinvestment of distributions -- -- Shares redeemed -- -- - ------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (1) (1) ======================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 141 LIQUID ASSETS MONEY MARKET FUND
MORGAN PREMIER AGENCY INSTITUTIONAL ------------------------- ------------------------- ------------------------- -------------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 19,251 19,251 $ 194,948 194,948 $ 775,478 775,478 $ 3,998,657 3,998,657 Shares issued in reinvestment of distributions 96 96 253 253 508 508 8,553 8,553 Shares redeemed (21,484) (21,484) (123,902) (123,902) (594,626) (594,626) (2,742,012) (2,742,012) - ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,137) (2,137) $ 71,299 71,299 $ 181,360 181,360 $ 1,265,198 1,265,198 ================================================================================================================================== 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. 142 PRIME MONEY MARKET FUND
MORGAN^ PREMIER AGENCY@ CLASS B -------------------------- -------------------------- -------------------------- ------------------- AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ------------------------------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2003 - ------------------------------------------------------------------------------------------------------------------------------ Shares sold $ 10,595,513 10,595,514 $ 16,839,100 16,839,100 $ 37,773,579 37,773,579 $ 10,734 10,734 Shares issued in reinvestment of distributions 26,480 26,480 6,281 6,281 62,416 62,416 24 24 Shares redeemed (12,546,880) (12,546,880) (16,297,774) (16,297,774) (35,775,526) (35,775,527) (10,039) (10,039) - ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (1,924,887) (1,924,886) $ 547,607 547,607 $ 2,060,469 2,060,468 $ 719 719 ============================================================================================================================== 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) ============================================================================================================================== CLASS C INSTITUTIONAL RESERVE SELECT --------------------- ---------------------------- ----------------------- ------------------------ AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 28, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 649 649 $ 136,194,317 136,194,319 $ 415,255 415,255 $ 1,787,446 1,787,447 Shares issued in reinvestment of distributions 2 2 79,963 79,963 1,063 1,063 5,755 5,755 Shares redeemed (723) (723) (129,523,820) (129,523,820) (403,997) (403,997) (1,891,977) (1,891,978) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (72) (72) $ 6,750,460 6,750,462 $ 12,321 12,321 $ (98,776) (98,776) ============================================================================================================================ 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 (decrease) in Fund shares outstanding $ 325 325 $ 21,881,137 21,881,573 $ 382,680 382,687 $ 1,064,247 1,064,172 ============================================================================================================================
143 PRIME MONEY MARKET FUND
CASH MANAGEMENT ------------------------------------- AMOUNT SHARES - ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 28, 2003 - ------------------------------------------------------------------------------------------------------ Shares sold $ 1,035,676 1,035,676 Shares issued in reinvestment of distributions 280 280 Shares redeemed (740,641) (740,641) - ------------------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 295,315 295,315 ====================================================================================================== 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 (decrease) 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. 144 JPMORGAN FUNDS Financial Highlights (unaudited)
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - -------------------------------------------------------------------------------------------------------------------------- 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 0.04 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 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.47% 1.55% 4.75% 5.02% 4.31% 4.92% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,206 $ 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% 0.59% - -------------------------------------------------------------------------------------------------------------------------- Net investment income 0.95% 1.53% 4.59% 4.92% 4.15% 4.78% - -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.71% 0.71% 0.71% 0.71% - -------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.85% 1.43% 4.47% 4.80% 4.03% 4.66% - -------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------- PREMIER --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - -------------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.53% 1.68% 4.84% 5.12% 4.40% 5.00% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 694 $ 353 $ 133 $ 116 $ 24 $ 22 - -------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - -------------------------------------------------------------------------------------------------------------------------- Net expenses 0.46% 0.46% 0.48% 0.49% 0.50% 0.51% - -------------------------------------------------------------------------------------------------------------------------- Net investment income 1.04% 1.52% 4.70% 5.02% 4.22% 4.99% - -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.48% 0.48% 0.52% 0.53% 0.56% 0.78% - -------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.02% 1.50% 4.66% 4.98% 4.16% 4.72% - --------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized See notes to financial statements. 145
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - -------------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.64% 1.89% 5.11% 5.38% 4.67% 5.30% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 927 $ 1,090 $ 1,170 $ 872 $ 895 $ 1,796 - -------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - -------------------------------------------------------------------------------------------------------------------------- Net expenses 0.25% 0.25% 0.25% 0.25% 0.24% 0.21% - -------------------------------------------------------------------------------------------------------------------------- Net investment income 1.28% 1.86% 4.93% 5.26% 4.51% 5.13% - -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.35% 0.34% 0.32% 0.25% - -------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.21% 1.79% 4.83% 5.17% 4.43% 5.09% - -------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------- INSTITUTIONAL ---------------------- 9/1/02 9/10/01* THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 - --------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 Less dividends from net investment income 0.01 0.02 --------- ---------- Net asset value, end of period $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.66% 1.85% ======================================================================================= RATIOS/SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,351 $ 267 - --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - --------------------------------------------------------------------------------------- Net expenses 0.20% 0.20% - --------------------------------------------------------------------------------------- Net investment income 1.28% 1.67% - --------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% - --------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.16% 1.54% - ---------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 146
U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - -------------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.51% 1.65% 4.93% 5.48% 4.55% 5.14% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,145 $ 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% 0.59% - -------------------------------------------------------------------------------------------------------------------------- Net investment income 1.03% 1.67% 4.80% 5.35% 4.46% 5.01% - -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.68% 0.69% 0.69% 0.69% 0.70% - -------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.93% 1.58% 4.70% 5.25% 4.36% 4.90% - -------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------- PREMIER --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - -------------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.58% 1.79% 5.08% 5.62% 4.70% 5.25% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 927 $ 1,047 $ 1,251 $ 1,134 $ 922 $ 1,084 - -------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - -------------------------------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.48% - -------------------------------------------------------------------------------------------------------------------------- Net investment income 1.16% 1.79% 4.95% 5.50% 4.60% 5.12% - -------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.57% 0.57% 0.59% 0.58% 0.58% 0.60% - -------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.04% 1.67% 4.81% 5.37% 4.47% 5.00% - --------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. (a) Not annualized for periods less than one year. # Short periods have been annualized See notes to financial statements. 147
U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------------------------ AGENCY@ INSTITUTIONAL --------------------------------------------------------- ------------------ 9/1/02 YEAR ENDED 9/1/02 9/10/01* THROUGH ----------------------------------------------- THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.05 0.06 0.05 0.05 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 0.05 0.01 0.02 ------- ------- ------- ------- ------- ------- ------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.67% 1.98% 5.28% 5.83% 4.92% 5.51% 0.70% 1.96% ================================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 4,058 $ 4,497 $ 3,769 $ 2,639 $ 2,913 $ 2,797 $ 1,404 $ 447 - --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - --------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.25% 0.24% 0.20% 0.20% - --------------------------------------------------------------------------------------------------------------------------------- Net investment income 1.35% 1.98% 5.09% 5.66% 4.80% 5.36% 1.32% 1.89% - --------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.33% 0.33% 0.31% 0.24% 0.32% 0.32% - --------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.29% 1.92% 5.02% 5.59% 4.74% 5.36% 1.20% 1.77% - ---------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 148
TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------- MORGAN^ --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.04 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.48% 1.59% 4.77% 5.29% 4.39% 5.05% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 860 $ 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% 0.59% - ----------------------------------------------------------------------------------------------------------------- Net investment income 0.97% 1.57% 4.70% 5.14% 4.27% 4.92% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.70% 0.72% 0.71% 0.69% 0.70% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.86% 1.46% 4.57% 5.02% 4.17% 4.81% - ----------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------- PREMIER --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.04 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.55% 1.73% 4.91% 5.44% 4.54% 5.18% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 899 $ 818 $ 326 $ 228 $ 476 $ 155 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.46% - ----------------------------------------------------------------------------------------------------------------- Net investment income 1.11% 1.68% 4.84% 5.28% 4.42% 5.06% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.49% 0.49% 0.52% 0.51% 0.50% 0.50% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.07% 1.64% 4.77% 5.22% 4.37% 5.02% - -----------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 149
TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------- AGENCY@ --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.06 0.05 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.65% 1.93% 5.12% 5.65% 4.75% 5.44% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,030 $ 1,416 $ 944 $ 904 $ 980 $ 876 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------- Net expenses 0.25% 0.25% 0.25% 0.25% 0.24% 0.21% - ----------------------------------------------------------------------------------------------------------------- Net investment income 1.30% 1.88% 5.04% 5.48% 4.61% 5.29% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.34% 0.36% 0.36% 0.31% 0.25% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.22% 1.79% 4.93% 5.37% 4.54% 5.25% - ----------------------------------------------------------------------------------------------------------------- INSTITUTIONAL RESERVE ------------------- ------------------- 9/1/02 9/10/01* 9/1/02 9/10/01* THROUGH THROUGH THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 2/28/03 8/31/02 - ------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 --+ 0.01 Less dividends from net investment income 0.01 0.02 --+ 0.01 -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.67% 1.90% 0.42% 1.40% =========================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 680 $ 432 $ 239 $ 235 - ------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ------------------------------------------------------------------------------------------- Net expenses 0.20% 0.20% 0.70% 0.70% - ------------------------------------------------------------------------------------------- Net investment income 1.32% 1.87% 0.85% 1.35% - ------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.34% 0.34% 0.74% 0.74% - ------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.18% 1.73% 0.81% 1.31% - -------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 150
FEDERAL MONEY MARKET FUND --------------------------------------------------------------- MORGAN^ --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.05 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.45% 1.51% 4.84% 5.29% 4.46% 4.94% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 367 $ 452 $ 658 $ 576 $ 550 $ 359 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------- Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% 0.70% - ----------------------------------------------------------------------------------------------------------------- Net investment income 0.91% 1.53% 4.57% 5.17% 4.35% 4.88% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.77% 0.72% 0.74% 0.75% 0.78% 0.84% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.84% 1.51% 4.53% 5.12% 4.27% 4.74% - ----------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND --------------------------------------------------------------- PREMIER --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.05 0.05 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.58% 1.77% 5.07% 5.50% 4.67% 5.22% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,627 $ 1,404 $ 276 $ 279 $ 298 $ 313 - ----------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.49% 0.50% 0.50% 0.50% - ----------------------------------------------------------------------------------------------------------------- Net investment income 1.15% 1.73% 4.78% 5.35% 4.56% 5.07% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.49% 0.50% 0.50% 0.51% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.13% 1.71% 4.78% 5.35% 4.56% 5.06% - -----------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 151
FEDERAL MONEY MARKET FUND ----------------------------------------------------------------------------- AGENCY@ INSTITUTIONAL --------------------------------------------------------- ----------------- 9/1/02 YEAR ENDED 9/1/02 9/10/01* THROUGH ----------------------------------------------- THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 2/28/03 8/31/02 - -------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.05 0.06 0.05 0.05 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 0.05 0.01 0.02 ------- ------- ------- ------- ------- ------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.67% 1.96% 5.30% 5.75% 4.92% 5.46% 0.70% 1.93% ================================================================================================================================ RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 311 $ 523 $ 1,169 $ 287 $ 248 $ 198 $ 2,092 $ 1,953 - -------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - -------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.27% 0.20% 0.20% - -------------------------------------------------------------------------------------------------------------------------------- Net investment income 1.36% 2.02% 5.01% 5.61% 4.79% 5.32% 1.39% 1.97% - -------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.34% 0.34% 0.34% 0.27% 0.32% 0.32% - -------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.30% 1.96% 4.93% 5.53% 4.71% 5.32% 1.27% 1.85% - --------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 152
CALIFORNIA TAX FREE MONEY MARKET FUND --------------------------------------------------------- MORGAN^ --------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ----------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ------------------------------------------------------------------------------------------------------------ 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 0.03 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 $ 1.00 - ------------------------------------------------------------------------------------------------------------ TOTAL RETURN(a) 0.42% 1.13% 2.70% 3.00% 2.66% 2.97% ============================================================================================================ RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------ Net assets, end of period (millions) $ 163 $ 163 $ 83 $ 78 $ 68 $ 50 - ------------------------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS:# - ------------------------------------------------------------------------------------------------------------ Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% - ------------------------------------------------------------------------------------------------------------ Net investment income 0.83% 1.05% 2.68% 3.03% 2.55% 2.89% - ------------------------------------------------------------------------------------------------------------ Expenses without waivers, reimbursements and earnings credits 0.70% 0.76% 0.83% 0.90% 0.94% 0.93% - ------------------------------------------------------------------------------------------------------------ Net investment income without waivers, reimbursements and earnings credits 0.68% 0.84% 2.40% 2.68% 2.16% 2.51% - ------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 153
NEW YORK TAX FREE MONEY MARKET FUND --------------------------------------------------------------- MORGAN^ --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------- 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 0.03 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------- TOTAL RETURN (a) 0.44% 1.20% 2.98% 3.27% 2.66% 3.03% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,998 $ 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% 0.59% - ----------------------------------------------------------------------------------------------------------------- Net investment income 0.86% 1.17% 2.88% 3.24% 2.61% 2.97% - ----------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.71% 0.70% 0.71% 0.72% - ----------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.76% 1.07% 2.76% 3.13% 2.49% 2.84% - ----------------------------------------------------------------------------------------------------------------- NEW YORK TAX FREE MONEY MARKET FUND -------------------------------------------- RESERVE -------------------------------------------- 9/1/02 YEAR ENDED 7/31/00* THROUGH ------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 - ---------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 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 $ 1.00 - ---------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.34% 1.00% 2.77% 0.28% ============================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 187 $ 180 $ --+ $ --+ - ---------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ---------------------------------------------------------------------------------------------- Net expenses 0.79% 0.79% 0.90% 0.79% - ---------------------------------------------------------------------------------------------- Net investment income 0.66% 0.85% 2.57% 3.04% - ---------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.87% 0.90% 1560.21%!! 1.49% - ---------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.58% 0.74% (1556.74%)!! 2.34% - ----------------------------------------------------------------------------------------------
^ Formerly Vista Shares. * Commencement of offering of class of shares. + Less than 0.005 (a) Not annualized for periods less than one year. + 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. 154
TAX FREE MONEY MARKET FUND ----------------------------------------------------------------- MORGAN^ ----------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------------------- 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 0.03 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.42% 1.21% 3.13% 3.37% 2.73% 3.10% ============================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 675 $ 903 $ 907 $ 895 $ 754 $ 733 - ----------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------------- Net investment income 0.85% 1.14% 3.09% 3.33% 2.68% 3.05% - ----------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.69% 0.72% 0.75% 0.73% 0.72% - ----------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.74% 1.04% 2.96% 3.17% 2.54% 2.92% - ----------------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND --------------------------------------------------------------- PREMIER --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ----------------------------------------------------------------------------------------------------------------------------- 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 0.03 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 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.49% 1.35% 3.21% 3.41% 2.78% 3.17% ============================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,650 $ 3,066 $ 116 $ 120 $ 130 $ 133 - ----------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ----------------------------------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.51% 0.55% 0.54% 0.53% - ----------------------------------------------------------------------------------------------------------------------------- Net investment income 0.97% 1.25% 3.17% 3.40% 2.74% 3.10% - ----------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.48% 0.48% 0.53% 0.59% 0.56% 0.53% - ----------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.94% 1.22% 3.15% 3.26% 2.72% 3.10% - -----------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 155
TAX FREE MONEY MARKET FUND ------------------------------------------------------------------------------ AGENCY@ INSTITUTIONAL --------------------------------------------------------- ------------------ 9/1/02 YEAR ENDED 9/1/02 9/10/01* THROUGH ----------------------------------------------- THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 2/28/03 8/31/02 - ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.03 0.04 0.03 0.03 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.03 0.04 0.03 0.03 0.01 0.02 ------- ------- ------- ------- ------- ------- ------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.58% 1.54% 3.47% 3.71% 3.07% 3.45% 0.61% 1.54% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 754 $ 1,091 $ 921 $ 640 $ 476 $ 410 $ 4,338 $ 3,891 - ---------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% 0.20% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income 1.17% 1.45% 3.42% 3.67% 3.01% 3.37% 1.22% 1.46% - ---------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.33% 0.36% 0.39% 0.35% 0.26% 0.32% 0.33% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.10% 1.38% 3.32% 3.54% 2.92% 3.37% 1.10% 1.33% - ----------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. * Commencement of offering of class of shares. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 156
LIQUID ASSETS MONEY MARKET FUND ----------------------------------------------------------------------------- MORGAN PREMIER AGENCY INSTITUTIONAL ----------------- ----------------- ----------------- ----------------- 9/1/02 4/1/02** 9/1/02 4/1/02** 9/1/02 4/1/02** 9/1/02 4/1/02** THROUGH THROUGH THROUGH THROUGH THROUGH THROUGH THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 2/28/03 8/31/02 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01 0.01 0.01 ------- ------- ------- ------- ------- ------- ------- ------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.57% 0.64% 0.64% 0.70% 0.74% 0.78% 0.77% 0.81% ================================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 15 $ 17 $ 97 $ 26 $ 234 $ 53 $ 2,385 $ 1,119 - --------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - --------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.53% 0.45% 0.39% 0.31% 0.20% 0.13% 0.14% 0.08% - --------------------------------------------------------------------------------------------------------------------------------- Net investment income 1.16% 1.51% 1.25% 1.65% 1.40% 1.82% 1.49% 1.87% - --------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.82% 0.83% 0.53% 0.63% 0.35% 0.44% 0.33% 0.40% - --------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.87% 1.13% 1.11% 1.33% 1.25% 1.51% 1.30% 1.55% - ---------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 157
PRIME MONEY MARKET FUND --------------------------------------------------------- MORGAN^ --------------------------------------------------------- 9/1/02 YEAR ENDED 10/1/98* THROUGH --------------------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 - ------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.06 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.04 --------- --------- --------- --------- --------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.53% 1.71% 5.10% 5.65% 4.26 =============================================================================================================% RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 5,627 $ 7,552 $ 10,367 $ 1,475 $ 515 - ------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ------------------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.58% 0.59% 0.59% 0.59% - ------------------------------------------------------------------------------------------------------------- Net investment income 1.08% 1.72% 4.82% 5.53% 4.61% Expenses without waivers, reimbursements and earnings credits 0.62% 0.61% 0.61% 0.61% 0.72% - ------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.05% 1.69% 4.80% 5.51% 4.48% - ------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND --------------------------------------------------------------------- PREMIER --------------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH --------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ------------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.06 0.05 0.05 Less dividends from net investment income 0.01 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 $ 1.00 - ------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.60% 1.85% 5.25% 5.81% 4.90% 5.44% ========================================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 5,730 $ 5,182 $ 2,153 $ 1,841 $ 1,094 $ 590 - ------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - ------------------------------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.44% 0.45% 0.45% 0.45% 0.45% - ------------------------------------------------------------------------------------------------------------------------- Net investment income 1.20% 1.80% 4.96% 5.67% 4.77% 5.29% - ------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.49% 0.49% 0.49% 0.51% - ------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.18% 1.77% 4.92% 5.63% 4.73% 5.23% - -------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. * Commencement of offering of class of shares. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 158
PRIME MONEY MARKET FUND --------------------------------------------------------------- AGENCY@ --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ------------------------------------------------------------------------------------------------------------------- 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 0.02 0.05 0.06 0.05 0.06 Less dividends from net investment income 0.01 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 $ 1.00 - ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.69% 2.05% 5.45% 6.01% 5.10% 5.65% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 14,623 $ 12,562 $ 16,676 $ 9,430 $ 8,166 $ 4,722 - ------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# Net expenses 0.26% 0.25% 0.26% 0.26% 0.26% 0.24% - ------------------------------------------------------------------------------------------------------------------- Net investment income 1.39% 2.08% 5.15% 5.86% 4.96% 5.50% - ------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.31% 0.32% 0.33% 0.33% 0.33% 0.24% - ------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.34% 2.01% 5.08% 5.79% 4.89% 5.50% - ------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND --------------------------------------------------------------- CLASS B --------------------------------------------------------------- 9/1/02 YEAR ENDED THROUGH ---------------------------------------------------- 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 --------------------------------------------------------------- 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 0.05 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 $ 1.00 - ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.21% 1.05% 4.43% 4.97% 4.07% 4.60% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 14 $ 13 $ 18 $ 11 $ 36 $ 29 - ------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# Net expenses 1.24% 1.23% 1.24% 1.25% 1.25% 1.25% - ------------------------------------------------------------------------------------------------------------------- Net investment income 0.42% 1.10% 4.17% 4.87% 4.00% 4.49% - ------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.27% 1.26% 1.26% 1.27% 1.47% 1.50% - ------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.39% 1.07% 4.15% 4.85% 3.78% 4.24% - -------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 159
PRIME MONEY MARKET FUND --------------------------------------------------------------- CLASS C --------------------------------------------------------------- 9/1/02 YEAR ENDED 5/14/98* THROUGH ----------------------------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/98 - ------------------------------------------------------------------------------------------------------------------- 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 Less dividends from net investment income --+ 0.01 0.04 0.05 0.04 0.01 -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.21% 1.05% 4.43% 4.95% 3.85% 1.29% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1 $ 1 $ --+ $ --+ $ 1 $ 1 - ------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# Net expenses 1.24% 1.23% 1.24% 1.26% 1.45% 1.50% - ------------------------------------------------------------------------------------------------------------------- Net investment income 0.42% 1.16% 4.17% 4.86% 3.75% 4.21% - ------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.27% 1.26% 1.26% 1.26% 1.45% 1.50% - ------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.39% 1.13% 4.15% 4.86% 3.75% 4.21% - ------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND --------------------------------------------------------------- INSTITUTIONAL RESERVE ------------------- ----------------------------------------- 9/1/02 9/10/01* 9/1/02 YEAR ENDED 7/31/00* THROUGH THROUGH THROUGH ------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 2/28/03 8/31/02 8/31/01 8/31/00 - ------------------------------------------------------------------------------------------------------------------- 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 0.02 --+ 0.02 0.05 0.01 Less dividends from net investment income 0.01 0.02 --+ 0.02 0.05 0.01 -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.72% 2.02% 0.47% 1.60% 4.88% 0.50% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 28,631 $ 21,881 $ 405 $ 393 $ 10 $ --+ - ------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# Net expenses 0.20% 0.19% 0.70% 0.68% 0.79% 0.79% - ------------------------------------------------------------------------------------------------------------------- Net investment income 1.43% 2.06% 0.95% 1.41% 4.62% 5.33% - ------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.31% 0.32% 0.72% 0.72% 2.17% 1.45% - ------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.32% 1.93% 0.93% 1.37% 3.24% 4.67% - -------------------------------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. + Less than 0.005 (a) Not annualized for periods less than one year. + Amount rounds to less than one million. # Short periods have been annualized. See notes to financial statements. 160
PRIME MONEY MARKET FUND ----------------------------------------- SELECT CASH MANAGEMENT ------------------- ------------------- 9/1/02 9/10/01* 9/1/02 9/10/01* THROUGH THROUGH THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 2/28/03 8/31/02 2/28/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 --+ 0.01 Less dividends from net investment income 0.01 0.02 --+ 0.01 -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN(a) 0.60% 1.78% 0.35% 1.25% =========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 965 $ 1,064 $ 577 $ 282 - --------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# - --------------------------------------------------------------------------------------------------------------------------- Net expenses 0.44% 0.42% 0.96% 0.96% - --------------------------------------------------------------------------------------------------------------------------- Net investment income 1.22% 1.83% 0.64% 1.17% - --------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.46% 0.97% 0.99% - --------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.19% 1.79% 0.63% 1.14% - ---------------------------------------------------------------------------------------------------------------------------
* Commencement of offering of class of shares. + Less than 0.005 (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 161 THIS PAGE IS INTENTIONALLY LEFT BLANK 162 JPMorgan Funds U.S. EQUITY FUNDS Capital Growth 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 Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund Fleming Asia Equity Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income 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 SEMI-ANNUAL REPORT (UNAUDITED) 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. The financial information in this report has been taken from the books and records of the funds without examination by independent accountants, who express no opinion thereto. 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., 2003 All Rights Reserved. April 2003 SAN-MMKT-203 -----END PRIVACY-ENHANCED MESSAGE-----