-----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, AruYKTJClCA3K9dwHrmfZpnkBwi+2qs/s+/bgfxy4K2nQhgxG+cBgPgMFq1of3KS tv2WmXHcaBAjtF0ilzGUkQ== 0001047469-03-034559.txt : 20031028 0001047469-03-034559.hdr.sgml : 20031028 20031028132658 ACCESSION NUMBER: 0001047469-03-034559 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030831 FILED AS OF DATE: 20031028 EFFECTIVENESS DATE: 20031028 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND TRUST CENTRAL INDEX KEY: 0000919034 IRS NUMBER: 161408763 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08358 FILM NUMBER: 03960411 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-CSR 1 a2120888zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-08358 ------------------------------------------- J.P. Morgan Mutual Fund Trust - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: August 31, 2003 ------------------------------------------------------ Date of reporting period: September 1, 2002 through August 31, 2003 ------------------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). [GRAPHIC] JPMORGAN FUNDS ANNUAL REPORT AUGUST 31, 2003 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 MoneyMarket Fund 4 Treasury Plus Money Market Fund 5 Federal Money Market Fund 6 California Tax Free Money Market Fund 7 New York Tax Free MoneyMarket 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 110 Notes to Financial Statements 125 Financial Highlights 154
HIGHLIGHTS - - Economic weakness persists - - Investor optimism grows 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 OCTOBER 6, 2003 DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Money Market Funds for the year ended August 31, 2003. Inside you will find in-depth information on our money market funds. ECONOMIC WEAKNESS PERSISTS The U.S. economy continued to send mixed signals through most of the period. In the autumn of 2002, investors were confronted with contradictory economic data, lackluster corporate earnings, a declining stock market and escalating geopolitical risk, all of which combined to hold back the recovery. In response, many elected to buy only the highest quality issues. In November, the Federal Reserve Board once again eased short-term interest rates, cutting them by 1/2 percent. Dominating attention during the winter were concerns about an impending war with Iraq, the outbreak of SARS, an increased threat of terrorism and rising energy prices. In general, consumer prices were higher, suggesting that household real income had fallen. Energy was certainly more expensive, putting more pressure on the American consumer. In fact, consumer confidence -- which had remained strong through the recession -- began to falter. According to the Conference Board, the measure of consumer confidence fell in February to its lowest level since 1993. INVESTOR OPTIMISM GROWS Money market funds saw large inflows through most of the period. Despite low yields, money markets were seen as a safe haven by many risk-averse investors. However, investors had good news to celebrate during the spring, including a quick end to the combat phase of the Iraq war, better-than-expected corporate earnings, the passage of a new tax package and a more positive economic outlook. Business remained reluctant to invest and hire, but consumers were more optimistic and continued to take advantage of low mortgage interest rates. Money flowed back into riskier, higher yielding issues as investors took on more risk for the possibility of an increased return. To support the emerging recovery, investors expected the Federal Reserve Board to ease interest rates by 1/2 percent. In June, however, the Fed cut the Federal Funds Rate by just 1/4 percent to 1%. Yields surged after the conservative cut as investors speculated that the easing cycle had ended. As economic fundamentals continued to improve, many economists predicted that third-quarter GDP growth could be near 5%. 1 In the months ahead, your portfolio managers will continue to work hard to maintain strong performance. They will try to obtain the highest possible yields while focusing on the preservation of your principal. The portfolio management team and all of us at JPMorgan Fleming Asset Management appreciate your continued investment with us and we anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME WHILE MAINTAINING LIQUIDITY AND PROVIDING CAPITAL PRESERVATION Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net assets $5.0 BILLION Average maturity 78 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 0.0% 2-7 days 0.3% 8-30 days 23.0% 31-60 days 18.7% 61-90 days 22.6% 91-180 days 34.4% 181+ days 1.0%
7-DAY SEC YIELD(1) Morgan Shares 0.41% Premier Shares 0.55% Agency Shares 0.75% Institutional Shares 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, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.31%, 0.54%, 0.68% and 0.69% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan 100% U.S. Treasury Securities Money Market Fund are now available 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME WHILE STILL MAINTAINING LIQUIDITY AND PRESERVING CAPITAL 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 49 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. 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 7.5% 2-7 days 21.9% 8-30 days 17.3% 31-60 days 19.1% 61-90 days 10.3% 91-180 days 23.0% 181+ days 0.9%
7-DAY SEC YIELD(1) Morgan Shares 0.51% Premier Shares 0.65% Agency Shares 0.84% Institutional Shares 0.90%
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 0.42%, 0.53%, 0.79% and 0.78% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan U.S. Government Money Market Fund are now available 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME WHILE STILL MAINTAINING LIQUIDITY AND PRESERVING CAPITAL 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 $3.8 BILLION Average maturity 44 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* EXEMPT
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. 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 50.2% 8-30 days 10.0% 31-60 days 17.8% 61-90 days 3.4% 91-180 days 15.7% 181+ days 2.9%
7-DAY SEC YIELD(1) Morgan Shares 0.44% Premier Shares 0.58% Agency Shares 0.78% Institutional Shares 0.83% Reserve Shares 0.33%
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 0.31%, 0.54%, 0.69%, 0.69% and 0.28% for Morgan Shares, Premier Shares, Agency Shares, Reserve Shares and Institutional Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan Treasury Plus Money Market Fund are now available 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME WHILE STILL PRESERVING CAPITAL AND MAINTAINING LIQUIDITY 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 $3.6 BILLION Average maturity 45 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* APPROVED
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. The National Association of Insurance Commissioners' (NAIC's) "approved" status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1 day 12.9% 2-7 days 12.3% 8-30 days 44.9% 31-60 days 8.9% 61-90 days 6.4% 91-180 days 8.4% 181+ days 6.2%
7-DAY SEC YIELD(1) Morgan Shares 0.36% Premier Shares 0.61% Agency Shares 0.80% Institutional Shares 0.86%
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 0.25%, 0.59%, 0.72% and 0.74% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan Federal Money Market Fund are now available 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME EXEMPT FROM FEDERAL AND CALIFORNIA INCOME TAXES; PRESERVING CAPITAL AND MAINTAINING LIQUIDITY* Primary Investments CALIFORNIA SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN SHARES Net assets $149.1 MILLION Average maturity 56 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 15.1% 2-7 days 60.6% 8-30 days 1.3% 31-60 days 1.3% 61-90 days 3.5% 91-180 days 2.7% 181+ days 15.5%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - -------------------------------------------------------- Morgan Shares 0.39% 0.66%
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 0.15%. (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 41.05%. * 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. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. (UNAUDITED) 7 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS INCOME AND EXEMPT FROM NEW YORK STATE AND NEW YORK CITY PERSONAL INCOME TAXES; PRESERVING CAPITAL AND MAINTAINING LIQUIDITY* Primary Investments NEW YORK SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN AND RESERVE SHARES Net assets $1.8 BILLION Average maturity 52 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 9.5% 2-7 days 62.1% 8-30 days 1.6% 31-60 days 4.0% 61-90 days 1.4% 91-180 days 6.2% 181+ days 15.2%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - -------------------------------------------------------- Morgan Shares 0.36% 0.63% Reserve Shares 0.16% 0.28%
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 and Reserve Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.25% for Morgan Shares and 0.07% 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 43.10%. * 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. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. (UNAUDITED) 8 JPMORGAN TAX FREE MONEY MARKET FUND AS OF AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME EXCLUDED FROM GROSS INCOME WHILE PRESERVING CAPITAL AND MAINTAINING LIQUIDITY Primary Investments SHORT-TERM MUNICIPAL OBLIGATIONS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net assets $11.1 BILLION Average maturity 50 DAYS S&P rating** AAAm Moody's rating NOT RATED NAIC rating NOT RATED
** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. MATURITY SCHEDULE 1 day 15.3% 2-7 days 61.7% 8-30 days 2.5% 31-60 days 2.7% 61-90 days 1.2% 91-180 days 3.3% 181+ days 13.3%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - -------------------------------------------------------- Morgan Shares 0.34% 0.52% Premier Shares 0.48% 0.74% Agency Shares 0.67% 1.03% Institutional Shares 0.73% 1.12%
Past performance is not a guarantee of future results. Yields will fluctuate. An investment in a money market fund is not insured by the FDIC or any other government agency. Although money market funds strive to preserve the value of the investment at $1.00 per share, it is possible to lose money by investing in a money market fund. (1) The yields for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares reflect the reimbursements or waivers of certain expenses. Without these subsidies, the yields would have been 0.25%, 0.46%, 0.61% and 0.62% 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 35.00%. * 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. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. (UNAUDITED) 9 JPMORGAN LIQUID ASSETS MONEY MARKET FUND AS OF AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION AND SAME-DAY LIQUIDITY 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 $2.6 BILLION Average maturity 60 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 19.8% 2-7 days 6.9% 8-30 days 21.3% 31-60 days 15.7% 61-90 days 5.4% 91-180 days 28.9% 181+ days 2.0%
7-DAY SEC YIELD(1) Morgan Shares 0.61% Premier Shares 0.75% Agency Shares 0.94% Institutional Shares 1.00%
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 0.23%, 0.62%, 0.82% and 0.83% for Morgan Shares, Premier Shares, Agency Shares and Institutional Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan Liquid Assets Money Market Fund are now available 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 AUGUST 31, 2003 FUND FACTS Objective HIGH CURRENT INCOME WHILE MAINTAINING LIQUIDITY AND PRESERVING CAPITAL 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 $49.4 BILLION Average maturity 50 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. 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 8.3% 2-7 days 14.8% 8-30 days 31.8% 31-60 days 16.6% 61-90 days 5.4% 91-180 days 21.3% 181+ days 1.8%
7-DAY SEC YIELD(1) Morgan Shares 0.53% Premier Shares 0.67% Agency Shares 0.86% Select Shares 0.68% Cash Management Shares 0.17% Institutional Shares 0.92% Reserve Shares 0.42% B Shares 0.08% C Shares 0.08%
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, 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 0.49%, 0.66%, 0.81%, 0.64%, 0.16%, 0.81%, 0.40%, (0.11%) and (0.11%) for Morgan Shares, Premier Shares, Agency Shares, Select Shares, Cash Management Shares, Institutional Shares, Reserve Shares, B Shares and C Shares, respectively. A list of prior-day portfolio holdings of the JPMorgan Prime Money Market Fund are now available 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 August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 100.0% U.S. Treasury Bills, $ 12,756 0.88%, 09/04/03 $ 12,755 355,495 1.10%, 09/11/03 355,386 412,337 1.07%, 09/18/03 412,128 374,876 0.96%, 09/25/03 374,636 110,843 0.91%, 10/02/03 110,756 293,136 0.86%, 10/09/03 292,869 370,887 1.10%, 10/16/03 370,377 133,691 1.01%, 10/23/03 133,495 24,417 0.92%, 10/30/03 24,380 556,202 0.92%, 11/20/03 555,065 125,000 1.10%, 11/06/03 124,748 168,673 0.93%, 11/13/03 168,356 277,697 0.93%, 11/28/03 277,062 131,937 0.94%, 12/04/03 131,614 70,000 0.95%, 12/11/03 69,814 327,515 0.79%, 12/18/03 326,736 431,072 0.93%, 12/26/03 429,780 253,453 1.01%, 02/05/04 252,342 189,559 1.03%, 02/12/04 188,674 211,373 1.03%, 02/19/04 210,336 100,000 1.04%, 02/26/04 99,488 50,000 U.S. Treasury Notes & Bonds, 3.00%, 02/29/04 50,407 - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 4,971,204 (Cost $4,971,204)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 12 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 79.3% Federal Farm Credit Bank, $ 10,681 1.13%, 09/29/03, DN $ 10,672 23,000 1.80%, 11/03/03 23,001 50,000 1.12%, 12/01/03, DN 49,858 100,000 1.00%, 04/15/04, FRN 99,987 75,000 1.04%, 05/14/04, DN 74,445 550,000 0.99%, 09/19/03, FRN 550,000 Federal Home Loan Bank, 47,296 1.01%, 09/05/03, DN 47,291 405 5.13%, 09/15/03 406 49,143 1.01%, 10/22/03, DN 49,073 36,400 1.17%, 10/24/03, DN 36,337 179,525 1.14%, 11/07/03, DN 179,144 160,000 0.99%, 05/27/04, Ser. 369, FRN 159,934 335,000 1.11%, 09/03/04, FRN 335,000 Federal Home Loan Mortgage Corp., 40,000 1.19%, 09/05/03, DN 39,995 114,653 1.12%, 09/11/03, DN 114,617 6,944 3.50%, 09/15/03 6,950 100,000 1.18%, 09/24/03, DN 99,925 15,000 1.19%, 09/30/03, DN 14,986 79,900 1.17%, 10/09/03, DN 79,801 98,885 1.18%, 10/20/03, DN 98,726 38,600 1.15%, 10/24/03, DN 38,535 50,000 1.06%, 10/30/03, DN 49,914 76,845 1.19%, 11/06/03, DN 76,677 68,000 6.38%, 11/15/03 68,676 190,009 0.88%, 11/21/03, DN 189,633 290,000 1.05%, 12/01/03, DN 289,232 192,000 1.00%, 12/15/03, DN 191,441 31,865 3.25%, 12/15/03 32,053 388,000 0.99%, 12/19/03, DN 386,833 170,000 1.04%, 12/23/03, DN 169,445 95,000 0.99%, 12/31/03, DN 94,684 49,000 3.25%, 01/15/04 49,400 110,000 1.30%, 01/29/04, DN 109,404 111,500 1.13%, 02/12/04, DN 110,929 135,565 1.15%, 02/26/04, DN 134,798 12,071 1.15%, 03/08/04, DN 11,998 Federal National Mortgage Association, 227,500 1.10%, 09/10/03, DN 227,438 192,000 1.23%, 09/15/03, DN 191,908 130,400 1.15%, 09/24/03, DN 130,304 280,215 1.18%, 10/01/03, DN 279,939 355,000 1.19%, 10/08/03, DN 354,564 220,243 1.17%, 10/15/03, DN 219,928
See notes to financial statements. 13
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- $ 293,368 1.17%, 10/22/03, DN $ 292,880 66,658 1.04%, 10/29/03, DN 66,546 100,000 0.95%, 11/14/03, DN 99,805 180,000 1.14%, 11/19/03, DN 179,549 172,531 1.10%, 12/04/03, DN 172,034 94,000 0.95%, 12/10/03, DN 93,753 96,022 1.07%, 01/28/04, DN 95,597 36,300 1.14%, 02/18/04, DN 36,105 165,000 1.15%, 02/25/04, DN 164,071 225,000 0.98%, 05/27/04, FRN 224,903 272,000 0.98%, 06/17/04, MTN, FRN 271,957 250,000 0.98%, 07/30/04, FRN 249,827 Student Loan Marketing Association, 28,725 1.42%, 09/02/03, DN 28,724 32,029 1.03%, 09/12/03, DN 32,019 11,396 1.02%, 09/17/03, DN 11,391 26,500 1.00%, 09/23/03, DN 26,484 ----------------------------------------------------------------------------- Total U.S. Government Agency Securities 7,523,526 (Cost $7,523,526) ----------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 20.7% 571,038 Deutsche Bank Securities, Inc., 1.07%, dated 08/29/03, due 09/02/03, repurchase price $571,106, collateralized by U.S. Government Agency Securities 571,038 691,179 Greenwich Capital Markets, Inc., 1.08%, dated 08/29/03, due 09/02/03, repurchase price $691,262, collateralized by U.S. Government Agency Securities 691,179 700,000 UBS Warburg LLC, 1.08%, dated 08/29/03, due 09/02/03, repurchase price $700,084, collateralized by U.S. Government Agency Securities 700,000 ----------------------------------------------------------------------------- Total Repurchase Agreements 1,962,217 (Cost $1,962,217) - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 9,485,743 (Cost $9,485,743)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 14 JPMORGAN TREASURY PLUS MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 57.7% U.S. Treasury Bills, $ 275,000 0.81%, 09/04/03 $ 274,982 75,000 1.11%, 09/11/03 74,977 275,000 0.81%, 09/18/03 274,895 285,000 1.03%, 10/09/03 284,690 335,000 1.16%, 10/16/03 334,514 120,000 0.99%, 11/28/03 119,711 100,000 0.90%, 12/11/03 99,748 200,000 0.91%, 12/26/03 199,414 50,000 0.91%, 01/02/04 49,845 150,000 1.03%, 02/19/04 149,270 50,000 1.02%, 02/26/04 49,748 100,000 U.S. Treasury Notes & Bonds, 2.13%, 08/31/04 100,877 ----------------------------------------------------------------------------- Total U.S. Treasury Securities 2,012,671 (Cost $2,012,671) ----------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 42.3% 5,000 Deutsche Bank Securities, Inc., 1.02%, dated 08/29/03, due 09/02/03, repurchase price $5,001, collateralized by U.S. Treasury Securities 5,000 672,284 Deutsche Bank Securities, Inc., 1.02%, dated 08/29/03, due 09/02/03, repurchase price $672,360, collateralized by U.S. Treasury Securities 672,284 100,000 Greenwich Capital Markets, Inc., 1.01%, dated 08/29/03, due 09/02/03, repurchase price $100,011, collateralized by U.S. Treasury Securities 100,000 700,000 Merrill Lynch & Co., Inc., 1.01%, dated 08/29/03, due 09/02/03, repurchase price $700,079, collateralized by U.S. Treasury Securities 700,000 ----------------------------------------------------------------------------- Total Repurchase Agreements 1,477,284 (Cost $1,477,284) - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 3,489,955 (Cost $3,489,955)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 15 JPMORGAN FEDERAL MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- U.S. TREASURY SECURITIES -- 1.9% U.S. Treasury Bills, $ 11,946 0.90%, 09/04/03 $ 11,945 6,046 0.88%, 11/20/03 6,034 50,000 1.04%, 02/26/04 49,744 ----------------------------------------------------------------------------- Total U.S. Treasury Securities 67,723 (Cost $67,723) ----------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY SECURITIES -- 98.1% Federal Farm Credit Bank, 24,200 1.15%, 09/23/03, DN 24,183 62,350 1.17%, 09/29/03, DN 62,293 21,886 1.23%, 10/27/03, DN 21,844 22,000 1.80%, 11/03/03 22,001 10,500 1.19%, 11/13/03, DN 10,475 24,975 1.17%, 11/25/03, DN 24,906 17,475 1.27%, 01/06/04, DN 17,397 100,000 1.00%, 04/15/04, FRN 99,987 125,000 1.01%, 05/05/04, FRN 124,996 250,000 1.02%, 07/02/04, DN 250,000 50,000 1.04%, 07/09/04, DN 49,549 450,000 0.99%, 09/19/03, FRN 449,999 Federal Home Loan Bank, 62,851 1.05%, 09/03/03, DN 62,847 72,704 1.00%, 09/05/03, DN 72,696 22,429 1.14%, 09/10/03, DN 22,423 42,700 1.12%, 09/12/03, DN 42,685 25,000 5.13%, 09/15/03 25,037 94,481 0.98%, 09/17/03, DN 94,440 60,000 1.03%, 10/08/03, DN 59,937 100,857 1.01%, 10/22/03, DN 100,713 136,862 1.02%, 10/24/03, DN 136,657 2,903 1.14%, 11/07/03, DN 2,897 25,870 5.38%, 01/05/04 26,229 170,000 1.05%, 01/07/04, DN 169,368 19,500 1.10%, 02/11/04, DN 19,403 48,150 3.75%, 04/15/04 48,945 120,000 0.99%, 05/27/04, Ser. 369, FRN 119,951 50,000 3.38%, 06/15/04 50,841 19,500 1.13%, 07/21/04 19,495 110,000 1.11%, 09/03/04, FRN 110,000 Student Loan Marketing Association, 66,334 1.02%, 09/02/03, DN 66,332 142,871 1.00%, 09/12/03, DN 142,827 239,445 1.02%, 09/15/03, DN 239,350
See notes to financial statements. 16
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- $ 68,604 1.02%, 09/17/03, DN $ 68,573 222,222 1.03%, 09/19/03, DN 222,108 113,500 1.00%, 09/23/03, DN 113,431 41,939 1.17%, 11/12/03, DN 41,841 19,570 1.25%, 12/02/03, DN 19,507 22,300 3.38%, 07/15/04 22,701 Tennessee Valley Authority, 100,000 0.94%, 09/04/03, DN 99,992 95,000 0.99%, 09/18/03, DN 94,955 28,250 4.75%, 07/15/04 29,103 ----------------------------------------------------------------------------- Total U.S. Government Agency Securities 3,502,914 (Cost $3,502,914) - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 3,570,637 (Cost $3,570,637)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 17 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% CALIFORNIA -- 91.8% $ 1,500 ABAG Finance Authority for Nonprofit Corps, Point Loma Nazarene University, Rev., FRDO, 0.90%, 09/04/03 $ 1,500 1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1, GO, FRDO, AMBAC, 0.84%, 09/04/03 1,500 3,000 ABN AMRO Munitops Certificate Trust, Ser. 2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 3,000 1,200 Alameda County IDA, Scientific Technology Project, Ser. A, Rev., FRDO, 0.90%, 09/03/03 1,200 3,135 Auburn Union School District, COP, FRDO, FSA, 0.85%, 09/02/03 3,135 575 California Communities Housing Finance Agency, Subordinated, Ser. B, Rev., FRDO, 0.85%, 09/04/03 575 1,300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 0.85%, 09/03/03 1,300 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 0.85%, 09/04/03 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 0.86%, 09/03/03 150 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 0.85%, 09/04/03 500 2,700 California Health Facilities Financing Authority, Ser. B, Rev., FRDO, AMBAC, 0.77%, 09/01/03 2,700 2,000 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, FSA, 0.76%, 09/01/03 2,000 100 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, MBIA, 0.76%, 09/01/03 100 900 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, MBIA, 0.76%, 09/01/03 900 100 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 0.80%, 09/06/03 100 1,000 California Housing Finance Agency, Ser. D, Rev., FRDO, FSA, 0.90%, 09/04/03 1,000
See notes to financial statements. 18
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 0.85%, 09/03/03 $ 1,000 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 0.85%, 09/01/03 1,610 1,950 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 0.85%, 09/04/03 1,950 400 California PCFA, PCR, ExxonMobil Project, Rev., FRDO, 0.70%, 09/01/03 400 100 California PCFA, Solid Waste Disposal, Gilton Solid Waste Management, Ser. A, Rev., FRDO, 0.85%, 09/02/03 100 1,000 California Pollution Control Financing Authority, PCR, Sierra Pacific Industries Project, Rev., FRDO, 0.85%, 09/03/03 1,000 535 California School Facilities Financing Corp., Capital Improvement Financing Project, Ser. B, COP, FRDO, 0.85%, 09/01/03 535 1,000 California State Department of Water Resources, Power Supply, EAGLE, Ser. 2002-6017, Class A, Rev., FRDO, AMBAC, 0.86%, 09/04/03 1,000 430 California State Department of Water Resources, Power Supply, Ser. B-6, Rev., FRDO, 0.75%, 09/01/03 430 4,000 California State Department of Water Resources, Power Supply, Ser. C-12, Rev., FRDO, 0.85%, 09/03/03 4,000 700 California State Department of Water Resources, Power Supply, Ser. C-13, Rev., FRDO, FSA, 0.79%, 09/03/03 700 750 California State Municipal Securities Trust Certificates, Ser. 1998-47, Class A, Rev., FRDO, AMBAC, #, 0.90%, 09/03/03 750 300 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 0.83%, 09/01/03 300 300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 0.83%, 09/03/03 300 14,000 California State, Ser. A, RAN, 2.00%, 06/16/04 14,092 2,000 California Statewide Communities Development Authority, Cathedral High School Project, Rev., FRDO, 0.85%, 09/03/03 2,000
See notes to financial statements. 19
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 2,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 0.91%, 09/03/03 $ 2,000 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.38%, 12/04/03 3,000 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 0.91%, 09/03/03 1,000 1,000 California Statewide Communities Development Authority, Multi-Family Housing, Canyon Springs Apartments, Ser. KK, Rev., FRDO, 0.85%, 09/04/03 1,000 2,200 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.00%, 09/04/03 2,200 2,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.00%, 09/04/03 2,000 900 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 0.75%, 09/04/03 900 600 East Bay Municipal Utility District, Water System, Sub Ser. A, Rev., FRDO, FSA, 0.76%, 09/03/03 600 2,125 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 0.80%, 09/03/03 2,125 1,600 Elsinore Valley Municipal Water District, COP, Ser. A, FRDO, FGIC, 0.85%, 09/04/03 1,600 1,000 Fremont Unified High School District, Santa Clara County, GO, TRAN, 1.50%, 06/30/04 1,005 5,368 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 0.88%, 09/04/03 5,368 300 Hayward, California, Multi-Family Housing, Shorewoood, Ser. A, Rev., FRDO, 0.85%, 09/05/03 300 700 Irvine Ranch Water District, CONS, Rev., FRDO, 0.75%, 09/01/03 700 800 Irvine Ranch Water District, No. 102, 103, 105 & 106, GO, FRDO, 0.71%, 09/01/03 800 600 Irvine Ranch Water District, No. 105, 140, 240 & 250, GO, FRDO, 0.75%, 09/01/03 600 2,300 Irvine Unified School District, Special Tax, Community Facilities District No. 01-1, FRDO, 0.75%, 09/01/03 2,300 69 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 0.85%, 09/01/03 69
See notes to financial statements. 20
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 2,400 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 0.75%, 09/01/03 $ 2,400 3,000 La Quinta Redevelopment Agency, Tax Allocation, Multi-Family Housing, MiraFlores Apartments, Ser. A, Rev., FRDO, 0.80%, 09/04/03 3,000 200 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 0.74%, 09/03/03 200 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Second Ser., Ser. A, Rev., FRDO, MBIA, 0.85%,09/03/03 100 415 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-54, 0.86%, 09/03/03 415 100 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 0.80%, 09/04/03 100 575 Los Angeles Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 0.80%, 09/02/03 575 2,000 Los Angeles Unified School District, Floating Rate Trust Receipts, Ser. L-2-J, Regulation D, GO, FRDO, MBIA, 0.85%, 09/07/03 2,000 2,000 Los Angeles Unified School District, Floating Rate Trust Receipts, Ser. L-6-J, GO, FRDO, FSA, 1.10%, 09/30/03 2,000 1,840 Los Angeles, California, Single Family Mortgage, FLOATS, Ser. PT-707, Rev., FRDO, 0.95%, 09/04/03 1,840 2,000 Los Angeles, California, Water & Power, Ser. RR-II-R-4510, Rev., FRDO, MBIA, 0.86%, 09/02/03 2,000 1,000 Marysville Joint Unified School District, GO, TRAN, 2.50%, 10/15/03 1,001 1,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 0.80%, 09/03/03 1,000 1,000 Monrovia Unified School District, Municipal Securities Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA, 0.83%, 09/07/03 1,000 3,100 Newport Beach, California, Hoag Memorial Presbyterian Hospital, Rev., FRDO, 0.76%, 09/01/03 3,100 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 0.77%, 09/04/03 3,000 100 Ontario Redevelopment Agency, IDR, Safariland Project, Rev., FRDO, 0.90%, 09/05/03 100 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 0.85%, 09/04/03 300 2,000 Orange County Sanitation District, COP, Ser. A, FRDO, 0.75%, 09/01/03 2,000
See notes to financial statements. 21
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 949 Orange County, Apartment Development Corp., Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 0.80%, 09/06/03 $ 949 700 Orange County, Apartment Development Corp., Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 0.85%, 09/01/03 700 800 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 0.85%, 09/02/03 800 2,020 Pasadena, California, Rose Bowl Improvements Project, COP, FRDO, 0.85%, 09/03/03 2,020 1,500 Petaluma City School District, GO, TRAN, 2.00%, 06/30/04 1,513 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 0.85%, 09/03/03 1,000 800 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 0.75%, 09/03/03 800 900 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 0.90%, 09/02/03 900 4,000 Sacramento County Housing Authority, Multi-Family Housing, Ashford, Ser. D, Rev., FRDO, 0.77%, 09/04/03 4,000 550 San Bernardino County Housing Authority, Multi-Family Housing, Victoria Terrace Project, Ser. A, Rev., FRDO, 0.95%, 09/01/03 550 300 San Diego, California, Multi-Family Housing, Issue A, Rev., FRDO, 0.80%, 09/03/03 300 370 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 0.78%, 09/01/03 370 1,000 San Francisco City & County Airports Commission, International Airport, Municipal Villa Monterey Securities Trust Receipts, Ser. SGA-50, FRDO, MBIA, 0.86%, 09/02/03 1,000 1,000 San Jose Unified School District/Santa Clara County, GO, TRAN, 2.50%, 10/29/03 1,001 1,000 San Jose, California, Airport, Ser. II-R-2004, Rev., FRDO, FSA, 0.86%, 09/04/03 1,000 700 San Jose, California, Multi-Family Housing, Apartments, Ser. F, Rev., FRDO, 0.80%, 09/04/03 700 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 0.80%, 09/04/03 500 497 Santa Ana Unified School District, COP, FRDO, 0.80%, 09/02/03 497
See notes to financial statements. 22
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,000 Santa Clara Valley Transportation Authority, Rev., BAN, GAN, 3.00%, 12/04/03 $ 1,004 2,000 Santa Cruz County, GO, TRAN, 2.00%, 07/01/04 2,015 4,300 Solano County Board Education, GO, TRAN, 2.50%, 11/13/03 4,307 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 0.85%, 09/03/03 600 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 0.80%, 09/03/03 425 1,000 Visalia Unified School District, GO, TRAN, 2.00%, 09/04/04 1,010 4,000 West Contra Costa Unified School District, FLOATS, Ser. PT-1828, GO, FRDO, FGIC, 0.86%, 09/04/03 4,000 1,000 West Contra Costa Unified School District, GO, TRAN, 2.50%, 11/06/03 1,001 ------------ 137,487 PUERTO RICO -- 8.2% 2,000 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, 0.78%, 09/03/03 2,000 2,100 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 0.85%, 09/02/03 2,100 1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 0.81%, 09/06/03 1,235 510 Puerto Rico Commonwealth, GO, (p), 6.45%, 07/01/04 541 2,000 Puerto Rico Electric Power Authority, Rev., FRDO, 1.60%, 09/05/03 2,000 400 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.86%, 09/04/03 400 800 Puerto Rico Highway & Transportation Authority, Ser. 816, Rev., FRDO, MBIA, 0.86%, 09/04/03 800 1,800 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 0.86%, 09/03/03 1,800 170 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 0.83%, 09/04/03 170 1,300 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 0.83%, 09/05/03 1,300 ------------ 12,346 - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 149,833 (Cost $149,833)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 23 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% NEW YORK -- 98.0% $ 12,000 ABN AMRO Munitops Certificates Trust, Ser. 1999-13, FRDO, FGIC, 0.85%, 09/03/03 $ 12,000 455 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 0.90%, 09/04/03 455 2,300 Allegany County, IDA, Environmental Facilties, Atlantic Richfield Project, Rev., FRDO, 0.86%, 09/01/03 2,300 9,950 Auburn, New York, Ser. B, GO, BAN, 1.38%, 06/11/04 9,977 1,150 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 0.85%, 09/03/03 1,150 10,000 Beekmantown Central School District, GO, BAN, 1.30%, 06/25/04 10,026 2,000 Binghamton City School District, GO, BAN, 2.50%, 10/24/03 2,002 12,000 Board of Cooperative Educational Services First Supervisory District, Suffolk County, RAN, 1.38%, 06/28/04 12,037 11,300 Board of Cooperative Educational Services of Second Supervisory District, Westchester, RAN, 1.50%, 06/30/04 11,339 4,990 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, GO, RAN, 1.50%, 06/25/04 5,010 3,700 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, RAN, 1.25%, 06/30/04 3,706 10,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Rev., RAN, 1.38%, 06/29/04 10,031 2,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Rev., RAN, 1.75%, 06/29/04 2,011 2,500 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Ser. B, RAN, 1.50%, 06/30/04 2,508 100 Broome County IDA, IDR, Binghamton Realty Project, Rev., FRDO, 0.80%, 09/04/03 100 2,000 Canandaigua City School District, GO, RAN, 1.50%, 05/06/04 2,002 8,000 Candor Central School District, GO, BAN, 2.15%, 11/21/03 8,011 3,708 Chautauqua County, GO, BAN, 1.75%, 08/06/04 3,732
See notes to financial statements. 24
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 15,000 Chautauqua County, GO, TAN, 1.75%, 01/15/04 $ 15,028 2,762 Clinton County, GO, BAN, 1.75%, 07/22/04 2,779 4,000 Copiague Union Free School District, GO, TAN, 1.50%, 06/29/04 4,016 3,390 Cortland County, GO, BAN, 3.00%, 03/05/04 3,422 2,000 Delhi Central School District, GO, RAN, 1.50%, 06/25/04 2,006 1,700 Dutchess County IDA, Civic Facilities, Marist College, Ser. A, Rev., FRDO, 0.85%, 09/03/03 1,700 2,625 Dutchess County IDA, Marist College Civic Facilities, Ser. A, Rev., FRDO, 0.85%, 09/01/03 2,625 4,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA, #, 0.86%, 09/04/03 4,000 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 0.86%, 09/03/03 5,990 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 0.86%, 09/04/03 3,300 10,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 0.86%, 09/03/03 10,000 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 0.86%, 09/05/03 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 0.86%, 09/04/03 9,910 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 0.86%, 09/03/03 12,155 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3203, Class A, FRDO, #, 0.86%, 09/04/03 5,900 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 0.86%, 09/02/03 14,850 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate, Class A, Rev., FRDO, AMBAC, #, 0.86%, 09/04/03 8,135 10,000 East Islip Union Free School District, GO, TAN, 1.50%, 06/29/04 10,037
See notes to financial statements. 25
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 3,500 Elmira Heights Central School District, GO, RAN, 1.25%, 10/23/03 $ 3,502 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 0.73%, 09/02/03 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 0.73%, 09/02/03 1,400 7,500 Fabius-Pompey Central School District, GO, BAN, 1.38%, 12/12/03 7,507 4,000 Farmingdale Union Free School District, GO, BAN, 2.25%, 11/19/03 4,006 4,000 Fayetteville-Manlius Central School District, TAN, GO, 1.75%, 06/18/04 4,024 5,355 Fonda-Fultonville Central School District, GO, BAN, 1.90%, 04/09/04 5,377 2,820 Franklin County IDA, Trudeau Institute, Inc. Project, Rev., FRDO, 0.80%, 09/05/03 2,820 5,000 Fulton City School District, GO, RAN, 1.25%, 06/25/04 5,010 1,600 Glen Cove, New York, GO, BAN, 2.50%, 12/04/03 1,603 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 0.88%, 09/02/03 530 13,340 Gorham-Middlesex Central School District, GO, BAN, 1.50%, 04/23/04 13,340 7,275 Gorham-Middlesex Central School District, GO, BAN, 1.75%, 01/23/04 7,275 3,740 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 0.80%, 09/01/03 3,740 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 0.80%, 09/01/03 1,000 3,600 Hempstead Village, New York, GO, TAN, 2.00%, 12/11/03 3,605 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 0.85%, 09/03/03 2,000 1,900 Jefferson County IDA, Fisher Gauge LTD Facilities, Rev., FRDO, 0.90%, 09/05/03 1,900 5,000 Levittown Union Free School District, GO, BAN, 1.50%, 10/16/03 5,003 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, 0.86%, 09/03/03 8,780 7,710 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 0.84%, 09/04/03 7,710
See notes to financial statements. 26
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 4,375 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-368, Rev., FRDO, #, 0.93%, 09/02/03 $ 4,375 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 0.86%, 09/04/03 4,360 7,495 Long Island Power Authority, Electric Systems, FLOATS, Ser. PT-386, 0.84%, 09/04/03 7,495 462 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 0.76%, 09/03/03 462 2,000 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 0.80%, 09/01/03 2,000 5,000 Long Island Power Authority, Electric Systems, Ser. B, Rev., 3.00%, 06/01/04 5,074 300 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 0.80%, 09/04/03 300 700 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 0.80%, 09/01/03 700 20,000 Metroplitan Transport Authority, 0.85%, 09/04/03 20,000 15,000 Metropolitan Transportation Authority, 0.90%, 10/06/03 15,000 6,815 Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PA-683, 0.86%, 09/07/03 6,815 3,300 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6021, Class A, Rev., FRDO, MBIA, 0.86%, 09/03/03 3,300 5,000 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6028, Class A, Rev., FRDO, MBIA, 0.86%, 09/04/03 5,000 5,990 Metropolitan Transportation Authority, FLOATS, Ser. PT-1547, Rev., FRDO, FGIC, 0.86%, 09/04/03 5,990 7,020 Metropolitan Transportation Authority, Ser. 2003-6, Rev., FRDO, AMBAC, 0.96%, 09/04/03 7,020 10,000 Metropolitan Transportation Authority, Ser. 848-D, Rev., FRDO, FGIC, 0.88%, 09/04/03 10,000 13,775 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 0.85%, 09/04/03 13,775 5,700 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 0.85%, 09/04/03 5,700 4,200 Metropolitan Transportation Authority, Ser. G-1, Rev., FRDO, AMBAC, 0.76%, 09/03/03 4,200
See notes to financial statements. 27
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 9,995 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1042R, Rev., FRDO, MBIA, 0.86%, 09/04/03 $ 9,995 5,405 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1105, Rev., FRDO, 0.86%, 09/04/03 5,405 10,000 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, #, (i), 0.83%, 09/04/03 10,000 1,820 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 0.86%, 09/05/03 1,820 7,500 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 0.85%, 09/02/03 7,500 4,695 New Rochelle, New York, GO, BAN, 2.00%, 04/09/04 4,720 5,500 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 0.80%, 09/02/03 5,500 2,670 New York City Housing Development Corp., Multi-Family Housing, Columbus Apartments, Ser. A, Rev., FRDO, 0.80%, 09/03/03 2,670 3,400 New York City Housing Development Corp., Multi-Family Rental Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 0.82%, 09/05/03 3,400 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, Columbus Green, Ser. A, Rev., FRDO, 0.80%, 09/05/03 3,300 13,100 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 0.82%, 09/04/03 13,100 300 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 0.85%, 09/05/03 300 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 0.82%, 09/02/03 3,300 2,400 New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development, Ser. A, Rev., FRDO, 0.85%, 09/04/03 2,400
See notes to financial statements. 28
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 2,000 New York City IDA, Civic Facilities, Abraham Joshua Heschel Project, Rev., FRDO, 0.90%, 09/04/03 $ 2,000 13,920 New York City IDA, Civic Facilities, Center for Jewish History Project, Rev., FRDO, 0.79%, 09/01/03 13,920 5,150 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 0.85%, 09/04/03 5,150 1,600 New York City IDA, Civic Facilities, Hewitt School Project, Rev., FRDO, 0.85%, 09/04/03 1,600 4,660 New York City IDA, Civic Facilities, Jamaica First Packaging LLC Project, Rev., FRDO, 0.85%, 09/02/03 4,660 580 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 0.83%, 09/04/03 580 2,800 New York City IDA, IDR, DXB Videotape, Inc. Project, Rev., FRDO, 0.90%, 09/03/03 2,800 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 0.78%, 09/03/03 5,400 30,100 New York City Metro Transit Authority, 1.10%, 09/08/03 30,101 8,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-1, Rev., FRDO, 0.79%, 09/02/03 8,000 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 0.85%, 09/04/03 15,960 2,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 0.87%, 09/04/03 2,900 5,100 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 0.86%, 09/04/03 5,100 8,410 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-447, Rev., FRDO, FGIC, 0.84%, 09/04/03 8,410 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 0.87%, 09/05/03 6,495
See notes to financial statements. 29
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 3,300 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 0.83%, 09/05/03 $ 3,300 7,255 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 0.83%, 09/05/03 7,255 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 0.86%, 09/02/03 2,390 9,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 0.86%, 09/04/03 9,000 4,900 New York City Transit Authority, Metropolitan Transportation Authority, Floating Rate Trust Receipts, Triborough, COP, Ser. PMD-10, FRDO, AMBAC, 0.88%, 09/01/03 4,900 20,000 New York City Transitional Finance Authority, Floating Rate Receipts, Ser. L-21, Regulation D, Rev., FRDO, 0.85%, 09/04/03 20,000 9,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-830, Rev., FRDO, 0.86%, 09/04/03 9,995 11,355 New York City Transitional Finance Authority, FLOATS, Ser. PA-831, Rev., FRDO, 0.86%, 09/04/03 11,355 13,160 New York City Transitional Finance Authority, FLOATS, Ser. PT-406, Rev., FRDO, 0.86%, 09/04/03 13,160 9,610 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 0.80%, 09/04/03 9,610 600 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 0.85%, 09/02/03 600 1,400 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 0.80%, 09/01/03 1,400 2,710 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. B-3, Rev., FRDO, 0.80%, 09/01/03 2,710 400 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-4, Rev., FRDO, 0.77%, 09/01/03 400
See notes to financial statements. 30
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 300 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-5, Rev., FRDO, 0.82%, 09/01/03 $ 300 8,385 New York City Transitional Finance Authority, Merlots, Ser. A-40, Rev., FRDO, MBIA-IBC, 0.86%, 09/04/03 8,385 6,740 New York City Transitional Finance Authority, Municipal Trust Certificates, Ser. ZTC-55, Class A, Rev., FRDO, MBIA, 0.93%, 09/04/03 6,740 5,200 New York City Transitional Finance Authority, New York City Recovery, Ser. 1, Sub Ser. 1-A, Rev., FRDO, 0.80%, 09/04/03 5,200 2,900 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 0.79%, 09/02/03 2,900 2,200 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 0.79%, 09/02/03 2,200 800 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO, 0.82%, 09/01/03 800 10,000 New York City Transitional Finance Authority, Rev., BAN, 2.50%, 11/06/03 10,015 2,025 New York City Transitional Finance Authority, Ser. 2003-1, FRDO, FGIC, 0.96%, 09/04/03 2,025 11,600 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 0.80%, 09/01/03 11,600 9,100 New York City Transitional Finance Authority, Sub Ser. 2-E, Rev., FRDO, 0.79%, 09/02/03 9,100 3,985 New York City Trust for Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, MBIA, 0.73%, 09/03/03 3,985 2,588 New York City Trust for Cultural Resources, Carnegie Hall, Rev., FRDO, 0.85%, 09/02/03 2,588 10,210 New York City Trust for Cultural Resources, Floating Certificates, Ser. 162, Rev., FRDO, AMBAC, 1.05%, 09/03/03 10,210 10,920 New York City, New York, FLOATS, Ser. PA-878, 1.00%, 09/02/03 10,920 8,465 New York City, New York, FLOATS, Ser. PT-1670, GO, FRDO, AMBAC, 0.84%, 09/04/03 8,465 9,245 New York City, New York, FLOATS, Ser. PT-405, 0.86%, 09/02/03 9,245 9,720 New York City, New York, Merlots, Ser. A-36, GO, FRDO, AMBAC, 0.86%, 09/03/03 9,720
See notes to financial statements. 31
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, 0.86%, 09/01/03 $ 1,300 1,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 0.83%, 09/02/03 1,000 115 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 0.86%, 09/01/03 115 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 0.85%, 09/02/03 12,865 900 New York City, New York, Ser. B, GO, FRDO, FGIC, 0.85%, 09/01/03 900 430 New York City, New York, Ser. B, Sub Ser. B-3, GO, FRDO, MBIA, 0.85%, 09/01/03 430 700 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 0.80%, 09/01/03 700 3,000 New York City, New York, Ser. F-2, GO, FRDO, 0.80%, 09/06/03 3,000 270 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 0.80%, 09/01/03 270 2,800 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 0.80%, 09/01/03 2,800 1,000 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.75%, 09/01/03 1,000 2,800 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 0.74%, 09/02/03 2,800 2,400 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 0.74%, 09/02/03 2,400 100 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.80%, 09/01/03 100 1,400 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.80%, 09/01/03 1,400 1,700 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 0.80%, 09/01/03 1,700 5,000 New York City, New York, Sub Ser. C-2, GO, FRDO, 0.80%, 09/03/03 5,000 2,300 New York City, New York, Sub Ser. C-4, GO, FRDO, 0.80%, 09/03/03 2,300 3,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 0.78%, 09/03/03 3,000 3,660 New York City, New York, Sub Ser. G-2, GO, FRDO, 0.80%, 09/03/03 3,660 1,500 New York City, New York, Sub. Ser. E-4, GO, FRDO, 0.85%, 09/01/03 1,500
See notes to financial statements. 32
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 10,420 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 0.84%, 09/04/03 $ 10,420 1,395 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 0.84%, 09/03/03 1,395 12,100 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 0.85%, 09/01/03 12,100 20,000 New York Local Government Assistance Corp., Senior Lien, Ser. A-BV, Rev., FRDO, FGIC, 0.73%, 09/04/03 20,000 900 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 0.75%, 09/01/03 900 1,845 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 0.80%, 09/04/03 1,845 1,250 New York Local Government Assistance Corp., Ser. C, Rev., FRDO, 0.80%, 09/02/03 1,250 4,700 New York Local Government Assistance Corp., Ser. D, Rev., FRDO, 0.75%, 09/02/03 4,700 2,800 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 0.73%, 09/02/03 2,800 3,245 New York Mortgage Agency, FLOATS, Ser. PA-657, Rev., FRDO, 0.87%, 09/07/03 3,245 9,965 New York Mortgage Agency, FLOATS, Ser. PA-77, 0.87%, 09/04/03 9,965 5,665 New York Mortgage Agency, FLOATS, Ser. PA-870, Rev., FRDO, 0.87%, 09/04/03 5,665 3,770 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 0.87%, 09/06/03 3,770 3,860 New York State Dorm Authority, Beverwyck, Inc., Rev., FRDO, 0.83%, 09/03/03 3,860 9,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 0.84%, 09/01/03 9,415 2,670 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 0.84%, 09/01/03 2,670 6,995 New York State Dorm Authority, FLOATS, Ser. PA-434, Rev., FRDO, FSA, 0.84%, 09/04/03 6,995 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, 0.84%, 09/05/03 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, 0.84%, 09/07/03 9,340
See notes to financial statements. 33
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 905 New York State Dorm Authority, FLOATS, Ser. PT-130, 0.84%, 09/07/03 $ 905 5,860 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 0.84%, 09/04/03 5,860 4,200 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 0.84%, 09/04/03 4,200 4,910 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 0.84%, 09/04/03 4,910 5,995 New York State Dorm Authority, FLOATS, Ser. PT-801, Rev., FRDO, MBIA-IBC, 1.00%, 09/04/03 5,995 30,000 New York State Dorm Authority, Mental Health Services, Sub Ser. D-2E, Rev., FRDO, 0.85%, 09/02/03 30,000 2,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 0.83%, 09/04/03 2,000 440 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 0.80%, 09/02/03 440 2,400 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 0.85%, 09/01/03 2,400 25,000 New York State Eagle Trust, FRDO, 0.86%, 09/04/03 25,000 9,345 New York State Energy Research & Development Authority, FLOATS, Ser. PA-411, 0.84%, 09/01/03 9,345 1,100 New York State Energy Research & Development Authority, PCR, New York Electric & Gas, Ser. B, Rev., FRDO, 0.85%, 09/01/03 1,100 6,400 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 0.73%, 09/01/03 6,400 7,477 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 0.85%, 09/04/03 7,477 10,625 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-853, Rev., FRDO, 0.84%, 09/04/03 10,625 10,875 New York State Environmental Facilities Corp., Ser. 767, Rev., FRDO, FGIC, 0.85%, 09/04/03 10,875 3,900 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 0.80%, 09/04/03 3,900 9,700 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 0.78%, 09/04/03 9,700
See notes to financial statements. 34
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 9,150 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 0.78%, 09/04/03 $ 9,150 3,400 New York State Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 0.78%, 09/03/03 3,400 21,500 New York State Housing Finance Agency, 150 East 44th Street, Ser. A, Rev., FRDO, 0.78%, 09/04/03 21,500 10,300 New York State Housing Finance Agency, Bennington Hills Housing, Ser. A, Rev., FRDO, 0.85%, 09/04/03 10,300 2,495 New York State Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 0.93%, 09/06/03 2,495 8,640 New York State Housing Finance Agency, FLOATS, Ser. PA-423, 0.84%, 09/07/03 8,640 5,950 New York State Housing Finance Agency, FLOATS, Ser. PA-805, Rev., FRDO, FSA, 0.84%, 09/04/03 5,950 3,205 New York State Housing Finance Agency, FLOATS, Ser. PA-927, Rev., FRDO, AMBAC, 0.87%, 09/04/03 3,205 3,600 New York State Housing Finance Agency, Lakeview Homes, Ser. II-A, Rev., FRDO, 0.85%, 09/04/03 3,600 4,600 New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage, Ser. A, Rev., FRDO, 0.82%, 09/02/03 4,600 200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 0.85%, 09/03/03 200 3,500 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 0.75%, 09/05/03 3,500 10,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 0.78%, 09/04/03 10,000 9,200 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 0.85%, 09/03/03 9,200 9,500 New York State Housing Finance Agency, Ser. I, Rev., FRDO, 0.82%, 09/03/03 9,500 10,000 New York State Housing Finance Agency, Tallyrand Crescent, Rev., FRDO, 0.85%, 09/05/03 10,000 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 0.85%, 09/04/03 4,200 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 0.84%, 09/04/03 8,400
See notes to financial statements. 35
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, 0.84%, 09/01/03 $ 5,920 5,625 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-61, FRDO, 0.87%, 09/04/03 5,625 3,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, #, 0.87%, 09/01/03 3,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, 0.87%, 09/04/03 8,140 3,350 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-17, 0.84%, 09/01/03 3,350 13,100 New York State Thruway Authority, Floating Rate Reciepts, Ser. SG-121, Rev., FRDO, 0.87%, 09/04/03 13,100 44,705 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 0.80%, 09/01/03 44,706 8,250 New York State Thruway Authority, General Highway & Bridge Trust Fund, FLOATS, Ser. PT-1910, 0.84%, 09/04/03 8,250 9,995 New York State Thruway Authority, General Highway & Bridge Trust Fund, FLOATS, Ser. PT-777, Rev., FRDO, MBIA, 0.84%, 09/04/03 9,995 1,385 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 0.83%, 09/05/03 1,385 1,300 New York State Thruway Authority, Rev., FRDO, FGIC, 0.85%, 09/01/03 1,300 100 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, 0.84%, 09/04/03 100 9,100 New York State Urban Development Corp., FLOATS, Ser. 768, Rev., FRDO, MBIA-IBC, 0.85%, 09/04/03 9,100 2,000 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 0.82%, 09/04/03 2,000 25,520 New York State, Ser. A, GO, FRDO, 1.50%, 02/07/04 25,522 12,260 Newburgh City School District, GO, RAN, 1.38%, 05/27/04 12,270 6,000 Newburgh City School District, GO, RAN, 1.50%, 06/24/04 6,021
See notes to financial statements. 36
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 13,531 Newfane Central School District, GO, BAN, 1.60%, 02/19/04 $ 13,554 4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser. PA-530, 0.84%, 09/05/03 4,995 6,700 Niagara Falls City School District, GO, RAN, 2.50%, 10/10/03 6,703 6,820 Oneida County IDA, Champion Home, Rev., FRDO, 0.90%, 09/04/03 6,820 3,060 Oneida County IDA, Rev., FRDO, 1.05%, 09/05/03 3,060 8,800 Oneida Indian Nation, Rev., FRDO, 0.80%, 09/03/03 8,800 5,275 Onondaga County IDA, IDR, Albany Molecular Research Project, Rev., FRDO, 0.85%, 09/03/03 5,275 3,675 Orangetown, New York, Ser. B, GO, BAN, 1.50%, 01/15/04 3,675 19,405 Oxford Academy & Central School District, GO, BAN, 1.38%, 06/18/04 19,465 2,000 Oyster Bay, New York, Ser. A, GO, TAN, 1.75%, 01/23/04 2,003 2,000 Oyster Bay, New York, Ser. B, BAN, 1.38%, 06/11/04 2,005 2,000 Oyster Bay, New York, Ser. C, BAN, 1.38%, 06/11/04 2,005 10,000 Phelps-Clifton Springs Central School District, GO, BAN, 1.63%, 04/30/04 10,029 7,575 Phelps-Clifton Springs Central School District, GO, BAN, 2.13%, 12/19/03 7,590 12,000 Phelps-Clifton Springs Central School District, GO, BAN, 2.50%, 10/30/03 12,013 25,000 Port Authority of New York & New Jersey, CONS, Ser. VV, Rev., 1.15%, 12/15/03 25,003 3,555 Port Authority of New York & New Jersey, Ser. 129, Rev., CONS, 1.40%, 11/01/03 3,555 1,115 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.00%, 09/03/03 1,115 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 0.95%, 09/03/03 6,360 10,000 Ravena Coeymans Selkirk Central School District, BAN, GO, 1.50%, 06/18/04 10,039 14,000 Rochester, New York, Ser. I, GO, BAN, 2.00%, 03/04/04 14,059 10,000 Rochester, New York, Ser. II, GO, BAN, 2.25%, 10/23/03 10,006 600 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 0.95%, 09/02/03 600 1,750 Rockland County IDA, Shock Tech, Inc. Project, Rev., FRDO, 1.05%, 09/03/03 1,750 5,000 Shenendehowa Central School District, GO, RAN, 1.25%, 06/18/04 5,003
See notes to financial statements. 37
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 7,000 South Glens Falls Central School District, RAN, 1.38%, 06/17/04 $ 7,016 2,000 Southeast IDA, IDR, Unilock New York, Inc. Project, Rev., FRDO, 0.95%, 09/01/03 2,000 900 St. Lawrence County IDA, IDB, PCR, Reynolds Metals, Rev., FRDO, 0.85%, 09/01/03 900 10,300 Steuben-Allegany Counties Board of Cooperative Educational Services Sole Supervisory District, GO, RAN, 1.25%, 06/30/04 10,323 3,605 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 0.85%, 09/04/03 3,605 5,000 Suffolk County Water Authority, Rev., BAN, FRDO, 0.78%, 09/03/03 5,000 500 Suffolk County Water Authority, Rev., BAN, FRDO, 0.78%, 09/03/03 500 10,000 Sullivan West Central School District, GO, BAN, 1.63%, 04/16/04 10,027 19,630 The New York Power Authority, General Purpose, GO, FRDO, 2.95%, 10/15/03 19,630 10,000 The New York State Power Authority, General Purpose, GO, FRDO, 2.90%, 04/15/04 10,134 7,400 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, GO, RAN, 1.75%, 06/30/04 7,439 2,500 Triborough Bridge & Tunnel Authority, EAGLE Ser. 2003-2004, Class A, Rev., FRDO, FGIC, 0.86%, 09/04/03 2,500 7,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1080, Rev., FRDO, 0.87%, 09/04/03 7,675 5,765 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA, 0.84%, 09/04/03 5,765 3,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, (p), 0.87%, 09/04/03 3,995 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, 0.87%, 09/06/03 4,995 18,025 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-427, Rev., FRDO, 0.87%, 09/04/03 18,025 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 0.78%, 09/02/03 100
See notes to financial statements. 38
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- NEW YORK -- CONTINUED $ 3,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 0.78%, 09/02/03 $ 3,400 10,000 Triborough Bridge & Tunnel Authority, Ser. 839, Rev., FRDO, MBIA, 0.86%, 09/04/03 10,000 6,800 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 0.80%, 09/01/03 6,800 100 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 0.78%, 09/07/03 100 19,350 Watkins Glen Central School District, Ser. B, GO, BAN, 1.38%, 06/17/04 19,371 4,685 Westchester County IDA, Civic Facilities, Community Housing Innovations, Inc., Rev., FRDO, 0.85%, 09/04/03 4,685 3,835 Westchester County IDA, Civic Facilities, Northern Westchester Hospital, Rev., FRDO, 0.85%, 09/03/03 3,835 2,725 Westchester County IDA, Civic Facilties, The Masters School, Rev., FRDO, 0.85%, 09/05/03 2,725 9,300 Westchester County IDA, IDR, Levister Redevelopment Co., LLC, Ser. A, Rev., FRDO, 0.85%, 09/02/03 9,300 ------------ 1,790,740 PUERTO RICO -- 2.0% 10,045 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, 0.78%, 09/03/03 10,045 6,000 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 0.85%, 09/02/03 6,000 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 0.81%, 09/04/03 360 400 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 0.83%, 09/04/03 400 18,000 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.86%, 09/04/03 18,000 895 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 0.86%, 09/03/03 895 ------------ 35,700 - --------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 1,826,440 (Cost $1,826,440)* - ---------------------------------------------------------------------------------------------
See notes to financial statements. 39 JPMORGAN TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% - --------------------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 100.0% ALABAMA -- 1.1% $ 10,900 ABN-AMRO Munitops Certificate Trust, Ser. 2002-21, Rev., FRDO, MBIA, #, 1.65%, 09/03/03 $ 10,900 22,400 Alabama Special Care Facilities Financing Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 0.82%, 09/01/03 22,400 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 0.73%, 09/02/03 900 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, #, 0.90%, 09/05/03 5,000 7,035 Birmingham Waterworks & Sewer Board, Water & Sewer, FLOATS, Ser. 781, Rev., FRDO, MBIA, 0.89%, 09/04/03 7,035 10,000 DCH Health Care Authority, Alabama Healthcare Facilities, Rev., FRDO, 0.85%, 09/04/03 10,000 3,000 Infirmary Health System Special Care Facilities Financing Authority, Ser. A, Rev., FRDO, 0.85%, 09/02/03 3,000 5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-6016, Class A, Rev., FRDO, FGIC, 0.90%, 09/04/03 5,735 2,100 Mobile County, IDA, PCR, ExxonMobil Project, Rev., FRDO, 0.80%, 09/01/03 2,100 9,000 Montgomery BMC Special Care Facilities Financing Authority, Hospital, VHA Alabama, Inc., Ser. F, Rev., FRDO, AMBAC, 0.85%, 09/01/03 9,000 4,000 Selma IDB, IDR, Specialty Minerals Project, Rev., FRDO, 0.95%, 09/05/03 4,000 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 1.80%, 09/05/03 4,800 6,035 Tuscaloosa County Board of Education, TAW, FRDO, 0.86%, 09/04/03 6,035 33,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 0.78%, 09/03/03 33,000 ------------ 123,905 ALASKA -- 1.3% 3,400 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-20, Regulation D, Rev., FRDO, 0.90%, 09/05/03 3,400 2,850 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 0.90%, 09/02/03 2,850 255 Alaska Housing Finance Corp., FLOATS, Ser. PT-464, Rev., FRDO, 0.88%, 09/04/03 255
See notes to financial statements. 40
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- ALASKA -- CONTINUED $ 25,620 Alaska Housing Finance Corp., Government Purpose, Ser. A, Rev., FRDO, MBIA, 0.85%, 09/04/03 $ 25,620 9,700 Alaska Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 0.84%, 09/04/03 9,700 10,000 Alaska Housing Finance Corp., State Capital Project, Ser. C, Rev., FRDO, MBIA, 0.82%, 09/04/03 10,000 13,800 North Slope Boro, Alaska, Exempt Facilities, BP Exploration Alaska Project, Rev., FRDO, 0.90%, 09/01/03 13,800 21,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 21,000 20,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. B, Rev., FRDO, 0.80%, 09/01/03 20,000 26,925 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. C, Rev., FRDO, 0.80%, 09/01/03 26,925 13,980 Valdez, Alaska, Marine Terminal, ExxonMobil Project, Rev., FRDO, 0.80%, 09/01/03 13,980 ------------ 147,530 ARIZONA -- 0.6% 7,700 Apache County IDA, IDR, Tucson Electrical Power, Springerville, Rev., FRDO, 0.90%, 09/01/03 7,700 4,200 Apache County IDA, IDR, Tucson Electric Power, Floating Rate Trust Receipts, Ser. 83-A, Rev., FRDO, 0.85%, 09/04/03 4,200 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 0.90%, 09/04/03 7,000 3,840 Maricopa County Public Finance Corp., Floating Rate Certificates, Ser. 511, Rev., FRDO, AMBAC, 0.89%, 09/04/03 3,840 5,730 Phoenix, Arizona, FLOATS, Ser. PA-862, GO, FRDO, 1.10%, 09/04/03 5,730 723 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Certificates, Ser. 274, Rev., FRDO, 0.89%, 09/04/03 723 25,000 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Receipts, Ser. SG-160, Rev., FRDO, 0.88%, 09/04/03 25,000 16,600 University of Arizona, Main Campus & Research, Ser. A, COP, Rev., FRDO, AMBAC, 0.85%, 09/05/03 16,600 ------------ 70,793 ARKANSAS -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.00%, 09/04/03 5,500 6,300 Little Rock Metrocentre Improvement District No. 1, Little Rock Newspapers, Inc., Rev., FRDO, 0.85%, 09/01/03 6,300 ------------ 11,800
See notes to financial statements. 41
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- 8.3% $ 3,995 ABN AMRO Munitops Certificate Trust, Ser. 2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 $ 3,995 300 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 0.85%, 09/03/03 300 200 California Economic Development Financing Authority, IDR, Volk Enterprises, Inc. Project, Rev., FRDO, 0.90%, 09/04/03 200 19,000 California Higher Education Loan Authority, Ser. A, Rev., FRDO, 1.05%, 06/01/04 19,000 22,500 California Higher Education Loan Authority, Ser. C, Rev., FRDO, 1.05%, 06/01/04 22,500 580 California Housing Finance Agency, FLOATS, Ser. PA-539R, Rev., FRDO, 0.86%, 09/01/03 580 14,995 California Housing Finance Agency, FLOATS, Ser. PT-843, Rev., FRDO, 0.97%, 09/04/03 14,995 29,635 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, FSA, 0.76%, 09/01/03 29,635 23,000 California Housing Finance Agency, Private Home Mortgage, Ser. X-2, Rev., FRDO, FSA, 0.81%, 09/03/03 23,000 1,100 California PCFA, PCR, ExxonMobil Project, Rev., FRDO, 0.70%, 09/01/03 1,100 7,600 California State Department of Water Resources, Power Supply, Ser. B-2, Rev., FRDO, 0.85%, 09/01/03 7,600 18,700 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 0.80%, 09/01/03 18,700 3,500 California State Department of Water Resources, Power Supply, Ser. C-12, Rev., FRDO, 0.85%, 09/03/03 3,500 4,995 California State Public Works Board, FLOATS, Ser. PA-865, Rev., FRDO, AMBAC, 0.86%, 09/04/03 4,995 2,000 California State, Floating Rate, Ser. C-2, GO, FRDO, 0.85%, 09/02/03 2,000 563,000 California State, Ser. A, RAN, 2.00%, 06/16/04 566,787 9,400 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 0.91%, 09/03/03 9,400 18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.00%, 09/04/03 18,800 8,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.00%, 09/04/03 8,000 2,300 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 0.75%, 09/04/03 2,300 1,100 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 0.80%, 09/03/03 1,100
See notes to financial statements. 42
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,725 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 0.88%, 09/04/03 $ 1,725 300 Irvine Ranch Water District, CONS, Rev., FRDO, 0.75%, 09/01/03 300 500 Irvine Ranch Water District, Improvement District No. 182, Ser. A, GO, FRDO, 0.85%, 09/01/03 500 600 Irvine Ranch Water District, Improvement District No. 282, Ser. A, GO, FRDO, 0.85%, 09/01/03 600 700 Irvine Ranch Water District, No. 102, 103, 105 & 106, GO, FRDO, 0.71%, 09/01/03 700 2,300 Irvine Unified School District, Special Tax, Community Facilities District No. 01-1, FRDO, 0.75%, 09/01/03 2,300 600 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 0.75%, 09/01/03 600 6,500 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 0.75%, 09/01/03 6,500 100 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 0.74%, 09/03/03 100 1,300 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 0.90%, 09/01/03 1,300 20,000 Los Angeles County, Ser. A, GO, TRAN, 2.00%, 06/30/04 20,180 900 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 0.80%, 09/04/03 900 12,205 Los Angeles Unified School District, Floating Rate Receipts, Ser. SG-162, GO, FRDO, MBIA, 0.86%,09/04/03 12,205 4,995 Los Angeles Unified School District, FLOATS, Ser. PA-1115, GO, FRDO, FSA, 0.86%, 09/04/03 4,995 3,540 Los Angeles, California, Multi-Family Housing, Rev., FRDO, 0.84%, 09/02/03 3,540 4,000 Manteca Financing Authority, Municipal Securities Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA, 0.83%, 09/04/03 4,000 1,400 Metropolitan Water District of Southern California, Ser. B-2, Rev., FRDO, 0.80%, 09/04/03 1,400 400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 0.80%, 09/03/03 400 5,600 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 0.86%,09/02/03 5,600 7,700 Municipal Securities Trust Certificates, Ser. 2001-135, Class A, GO, FRDO, FGIC, #, 0.85%, 09/01/03 7,700 7,970 Municipal Securities Trust Certificates, Ser. 2001-136, Class A, Rev., FRDO, FGIC, #, 0.85%, 09/01/03 7,970
See notes to financial statements. 43
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- CALIFORNIA -- CONTINUED $ 1,000 Orange County Sanitation District, COP, Ser. B, FRDO, 0.75%, 09/01/03 $ 1,000 3,900 Orange County, Apartment Development Corp., Bear Brand Apartments Project, Ser. Z, Rev., FRDO, 0.74%, 09/02/03 3,900 1,700 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 0.85%, 09/02/03 1,700 7,400 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 0.75%, 09/03/03 7,400 600 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 0.80%, 09/04/03 600 13,300 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SGA-50, FRDO, MBIA, 0.86%, 09/02/03 13,300 28,265 San Jose Unified School District/Santa Clara County, GO, TRAN, 2.50%, 10/29/03 28,304 1,800 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, Rev., FRDO, 0.80%, 09/04/03 1,800 500 San Leandro, California, Multi-Family Housing, Parkside, Rev., FRDO, 0.80%, 09/04/03 500 29,000 Santa Clara Valley Transportation Authority, Rev., BAN, GAN, 3.00%, 12/04/03 29,125 2,600 Southern California Public Power Authority, Southern Transmission Project, Rev., FRDO, AMBAC, 0.74%, 09/03/03 2,600 10,000 West Contra Costa Unified School District, GO, TRAN, 2.50%, 11/06/03 10,014 6,010 Yuba County, GO, TRAN, 2.50%, 10/15/03 6,016 ------------ 948,261 COLORADO -- 1.3% 10,420 Adams & Arapahoe Joint School District, School District No. 28-J, Ser. II-R-157, GO, FRDO, 0.90%, 09/04/03 10,420 1,000 Arapahoe County, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., FRDO, (p), 0.91%, 09/04/03 1,000 7,100 Arapahoe County, Multi-Family Housing, Highline Oaks Apartments, Rev., FRDO, 0.80%, 09/04/03 7,100 2,850 Arvada, Colorado, Rev., FRDO, FSA, 1.10%, 09/01/03 2,850 15,000 Boulder Valley School District No. Re-2, Ser. A, GO, TAN, 1.75%, 06/30/04 15,095 5,000 Boulder Valley School District No. Re-2, Ser. A, GO, TAN, 2.00%, 06/30/04 5,042 9,950 Broomfield, Colorado, FLOATS, COP, Ser. PT-1643, FRDO, AMBAC, 0.88%, 09/04/03 9,950
See notes to financial statements. 44
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- COLORADO -- CONTINUED $ 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 0.86%,09/02/03 $ 1,600 3,150 Colorado Springs, Colorado, The Colorado College, Rev., FRDO, 0.90%, 09/03/03 3,150 2,500 Colorado Student Obligation Bond Authority, Student Loans, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 0.89%, 09/03/03 2,500 31,155 Denver City & County, Airport, Floating Rate Certificates, Ser. 153, Rev., FRDO, MBIA, 1.20%, 09/04/03 31,155 5,000 Denver City & County, Airport, Floating Rate Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 0.95%, 09/02/03 5,000 10,995 Denver City & County, Airport, Ser. II-R-147, Rev., FRDO, FGIC, 1.25%, 09/04/03 10,995 4,985 Denver City & County, Airport, Ser. ROC-II-R-98, Rev., FRDO, FSA, 1.00%, 09/04/03 4,985 5,000 Denver City & County, Wellington E. Web Project, COP, Ser. C-3, FRDO, AMBAC, 0.85%, 09/04/03 5,000 10,000 Douglas County, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 0.85%, 09/01/03 10,000 3,620 Lower Colorado River Authority, FLOATS, Ser. PT-1523, Rev., FRDO, MBIA, 0.88%, 09/04/03 3,620 5,000 Regional Transportation District, Transit Vehicles Project, COP, Ser. A, FRDO, AMBAC, 0.82%, 09/04/03 5,000 4,610 Smith Creek Metropolitan District, Rev., FRDO, 0.85%, 09/07/03 4,610 7,060 Thornton, Colorado, Ser. RR-II-R-1052, COP, FRDO, AMBAC, 0.90%, 09/01/03 7,060 ------------ 146,132 CONNECTICUT -- 0.2% 2,765 Connecticut State Housing Finance Authority, Housing Mortgage Finance Program, Sub Ser. D-3, Rev., FRDO, AMBAC, 0.80%, 09/05/03 2,765 5,495 Connecticut State, FLOATS, Ser. PA-1056, GO, FRDO, FSA, 0.81%, 09/04/03 5,495 15,130 West Haven, Connecticut, GO, BAN, 2.00%, 01/29/04 15,185 ------------ 23,445 DELAWARE -- 0.2% 7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO, AMBAC, 0.78%, 09/04/03 7,000 16,500 Delaware State Economic Development Authority, Hospital Billing, Ser. B, Rev., FRDO, AMBAC, 0.85%, 09/03/03 16,500 ------------ 23,500
See notes to financial statements. 45
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- 2.4% $ 625 District of Columbia Housing Finance Agency, Floating Rate Receipts, Ser. L-1, Regulation D, Rev., FRDO, 0.90%, 09/04/03 $ 625 11,220 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1380, Rev., FRDO, 0.88%, 09/04/03 11,220 8,195 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1381, Rev., FRDO, 0.88%, 09/04/03 8,195 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.05%, 09/05/03 3,165 5,970 District of Columbia Water & Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 0.88%, 09/04/03 5,970 2,800 District of Columbia, American Psychology Association, Rev., FRDO, 0.90%, 09/04/03 2,800 29,605 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 0.85%, 09/03/03 29,605 17,600 District of Columbia, American University, Rev., FRDO, 0.85%, 09/03/03 17,600 12,000 District of Columbia, American University, Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/04/03 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 0.95%, 09/03/03 7,500 6,100 District of Columbia, FLOATS, Ser. PT-806, GO, FRDO, FSA, 1.10%, 09/04/03 6,100 21,335 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 0.85%, 09/03/03 21,335 2,340 District of Columbia, National Children's Center, Inc., Rev., FRDO, 0.85%, 09/07/03 2,340 4,200 District of Columbia, National Geographic Society, Rev., FRDO, 0.85%, 09/04/03 4,200 13,210 District of Columbia, Pooled Loan Program, Ser. A, Rev., FRDO, 0.85%, 09/02/03 13,210 26,880 District of Columbia, Ser. A, GO, FRDO, FSA, 0.85%, 09/04/03 26,880 30,495 District of Columbia, Ser. B, GO, FRDO, FSA, 0.85%, 09/04/03 30,495 29,300 District of Columbia, Ser. C, GO, FRDO, FGIC, 0.85%, 09/04/03 29,300 10,000 District of Columbia, Ser. D, GO, FRDO, FGIC, 0.85%, 09/04/03 10,000 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 0.80%, 09/04/03 7,690
See notes to financial statements. 46
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- CONTINUED $ 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., #, FRDO, 0.90%, 09/03/03 $ 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, #, FRDO, 0.90%, 09/04/03 6,155 ------------ 270,885 FLORIDA -- 3.2% 9,345 ABN AMRO Munitops Certificate Trust, Ser. 2003-6, Rev., FRDO, MBIA, 1.18%, 11/23/03 9,345 27,075 Alachua County Health Facilities Authority, FLOATS, Ser. PT-834, Rev., FRDO, MBIA, 0.88%, 09/04/03 27,075 5,000 Broward County, Professional Sports Facility, Municipal Securities Trust Receipts, Ser. SGA-38, Rev., FRDO, MBIA, 0.90%, 09/01/03 5,000 1,150 Collier County, Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 0.82%, 09/03/03 1,150 2,545 Dade County Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Ser. 4, Rev., FRDO, 0.90%, 09/06/03 2,545 4,275 Escambia County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 0.93%, 09/04/03 4,275 5,275 Florida Housing Finance Agency, Multi-Family Housing, Banyon Bay Partners, Ser. L, Rev., FRDO, 0.85%, 09/02/03 5,275 5,135 Florida Housing Finance Agency, Multi-Family Housing, Ser. AA, Rev., FRDO, 0.80%, 09/05/03 5,135 6,350 Florida Housing Finance Agency, Multi-Family Housing, Ser. FF, Rev., FRDO, 0.80%, 09/03/03 6,350 7,340 Florida Housing Finance Corp., Multi-Family Housing, Island Club Project, Ser. A, Rev., FRDO, 0.85%, 09/02/03 7,340 20,400 Florida Municipal Power Authority, 0.83%, 09/04/03 20,400 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 0.88%, 09/04/03 7,000 16,800 Florida State Board of Public Education, Public Education, Municipal Securities Trust Receipts, Ser. SGA-102, GO, FRDO, 0.90%, 09/01/03 16,800 11,000 Florida State Department of Environmental Protection, Preservation, FLOATS, Ser. 722, Rev., FRDO, FGIC, 0.89%, 09/04/03 11,000 5,370 Florida State Division of Bond Finance, General Services, FLOATS, Ser. PA-967, FRDO, 0.88%, 09/04/03 5,370 5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO, 0.88%, 09/04/03 5,295 15,000 Fort Lauderdale, Florida, Pine Crest Prep School Project, Rev., FRDO, FSA, 0.85%, 09/02/03 15,000
See notes to financial statements. 47
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- FLORIDA -- CONTINUED $ 1,840 Greater Orlando Aviation Authority, Airport Facilities, FLOATS, Ser. PT-1904, Rev., FRDO, FSA, 0.90%, 09/04/03 $ 1,840 25,000 Greater Orlando Aviation Authority, Airport Facilities, Ser. E, Rev., FRDO, FSA, 0.90%, 09/04/03 25,000 4,790 Gulf Breeze, Florida, Local Government Loan Program, Floating Rate Receipts, Ser. B, Rev., FRDO, FGIC, 0.85%, 09/07/03 4,790 11,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 0.90%, 09/07/03 11,705 9,055 Jacksonville Electric Authority, Ser. II-R-119, Special Obligation, FRDO, 0.90%, 09/04/03 9,055 4,995 Jacksonville Electric Authority, Ser. II-R-120, Rev., FRDO, 0.90%, 09/04/03 4,995 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 0.85%, 09/07/03 1,000 6,000 Lakeland, Florida, Energy Systems, Rev., FRDO, 0.82%, 09/03/03 6,000 6,925 Lee County, Water & Sewer, Ser. RR-II-R-4021, Rev., FRDO, MBIA, 0.90%, 09/01/03 6,925 2,790 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 0.82%, 09/04/03 2,790 14,250 Miami-Dade County School Board, Floating Rate Trust Receipts, COP, Ser. L-4J, FRDO, MBIA, 1.10%, 09/30/03 14,250 6,000 Miami-Dade County, Miami Aviation, Floating Rate Receipts, Ser. SG-141, Rev., FRDO, FGIC, 0.88%, 09/07/03 6,000 18,110 Nassau County, PCR, Private Activity, Rayonier, Rev., FRDO, 0.85%, 09/04/03 18,110 1,215 Orange County Housing Finance Authority, Floating Rate Trust Receipts, Ser. N-6, Regulation D, Rev., FRDO, 0.90%, 09/04/03 1,215 1,845 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 0.91%, 09/04/03 1,845 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 0.85%, 09/02/03 4,900 2,450 Orange County School Board, COP, Ser. B, FRDO, MBIA, 0.80%, 09/01/03 2,450 1,800 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 0.85%, 09/02/03 1,800 10,000 Orlando & Orange County Expressway Authority, Ser. D, Rev., FRDO, FSA, 0.85%, 09/02/03 10,000 15,000 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., FRDO, 0.80%, 09/04/03 15,000
See notes to financial statements. 48
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- FLORIDA -- CONTINUED $ 49,400 Palm Beach County School Board, COP, Ser. B, FRDO, FSA, 0.79%, 09/03/03 $ 49,400 3,000 St. Johns County IDA, Healthcare, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 0.82%, 09/04/03 3,000 7,000 Tampa, Florida, Occupational License Tax, Ser. B, Rev., FRDO, FGIC, 0.77%, 09/03/03 7,000 4,100 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 0.90%, 09/05/03 4,100 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 0.85%, 09/05/03 3,600 ------------ 371,125 GEORGIA -- 4.0% 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4, Rev., FRDO, FGIC, #, 1.10%, 08/06/04 16,610 6,035 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 0.95%, 09/01/03 6,035 4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737, Rev., FRDO, FGIC, 0.95%, 09/04/03 4,385 30,000 Atlanta, Georgia, Airport, Rev., BAN, 2.25%, 10/30/03 30,000 7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO, MBIA, 0.82%, 09/04/03 7,500 20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO, MBIA, 0.85%, 09/04/03 20,000 6,000 Atlanta, Georgia, Water & Wastewater, Municipal Securities Trust Receipts, Ser. SGA-145, Rev., FRDO, MBIA, 0.90%, 09/04/03 6,000 15,205 Atlanta, Georgia, Water & Wastewater, Municipal Securities Trust Receipts, Ser. ZTC-4, Class A, FRDO, 1.03%, 09/03/03 15,205 9,000 Augusta, Georgia, Water & Sewer, Municipal Securities Trust Receipts, Ser. SGS-140, Rev., FRDO, FSA, 0.90%, 09/04/03 9,000 5,995 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO, 0.88%, 09/04/03 5,995 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 0.84%, 09/03/03 7,160 11,200 Cobb County Housing Authority, Multi-Family Housing, Terrell Mill I Project, Rev., FRDO, #, 0.95%, 09/03/03 11,200 25,000 Cobb County Kennestone Hospital Authority, Equipment Pool Project, Anticipation Certificates, Rev., FRDO, 0.87%, 09/03/03 25,000 9,250 De Kalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., FRDO, 0.87%, 09/05/03 9,250
See notes to financial statements. 49
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- GEORGIA -- CONTINUED $ 12,745 De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., FRDO, 0.87%, 09/02/03 $ 12,745 800 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 0.85%, 09/04/03 800 1,720 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 0.85%, 09/05/03 1,720 9,865 Georgia Local Government, COP, FLOATS, Ser. PT-678, FRDO, 0.88%, 09/04/03 9,865 54,164 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 0.81%, 09/03/03 54,164 8,445 Georgia Municipal Electric Authority, FLOATS, Ser. PA-1187, Rev., FRDO, MBIA-IBC, 0.88%, 09/04/03 8,445 8,555 Georgia Municipal Electric Authority, FLOATS, Ser. PT-1518, 0.88%, 09/04/03 8,555 9,610 Georgia Municipal Electric Authority, Ser. RR-II-R-1016, Rev., FRDO, FSA, 0.90%, 09/04/03 9,610 21,970 Georgia State Road & Thruway Authority, FLOATS, Ser. PT-1501, Rev., FRDO, 0.84%, 09/04/03 21,970 10,095 Georgia State, FLOATS, Ser. PT-374, 0.84%, 09/04/03 10,095 1,700 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 0.77%, 09/04/03 1,700 4,360 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 0.91%, 09/03/03 4,360 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 0.77%, 09/04/03 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Anticipation Certificates, Rev., RAN, FRDO, 0.85%, 09/04/03 10,000 5,900 Hapeville Development Authority, IDR, Tend- Hapeville Hotel LTD, Rev., FRDO, 0.85%, 09/01/03 5,900 10,000 Metropolitan Atlanta Rapid Transit Authority, Sales Tax, Ser. B, Rev., FRDO, 0.80%, 09/04/03 10,000 20,000 Municipal Electric Authority of Georgia, 0.84%, 09/03/03 20,000 30,000 Municipal Electric Authority of Georgia, 0.85%, 09/04/03 30,000 32,100 Municipal Electric Authority of Georgia, Sub Ser. B, Rev., FRDO, 0.80%, 09/03/03 32,100 8,600 Private Colleges & Universities Authority, Emory University, Ser. B, Rev., FRDO, 0.80%, 09/04/03 8,600 13,200 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 0.80%, 09/05/03 13,200 5,200 Tift County Hospital Authority, Anticipation Certificates, Ser. A, Rev., FRDO, AMBAC, 0.77%, 09/03/03 5,200 ------------ 458,369
See notes to financial statements. 50
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- HAWAII -- 0.4% $ 1,005 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, Rev., FRDO, 0.97%, 09/03/03 $ 1,005 3,955 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PT-574, Rev., FRDO, 1.05%, 01/01/04 3,955 10,000 Hawaii State, Airport Systems, Rev., FRDO, 2.00%, 08/26/04 10,084 5,080 Hawaii State, FLOATS, Ser. PT-1707, GO, FRDO, FSA, 0.88%, 09/04/03 5,080 19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058, FRDO, 0.88%, 09/04/03 19,790 5,150 Honolulu City & County, Ser. A, GO, FRDO, 0.77%, 09/03/03 5,150 1,000 Honolulu City & County, Ser. A, GO, FRDO, 0.77%, 09/03/03 1,000 ------------ 46,064 IDAHO -- 0.2% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 0.90%, 09/04/03 10,500 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 0.90%, 09/01/03 3,750 10,000 Idaho State, GO, TAN, 2.00%, 06/30/04 10,084 ------------ 24,334 ILLINOIS -- 7.6% 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10, GO, FRDO, MBIA, 1.55%, 09/03/03 9,850 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 0.92%, 09/04/03 15,010 10,815 ABN AMRO Munitops Certificate Trust, Ser. 2001-27, Rev., FRDO, FSA, 1.01%, 09/05/03 10,815 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, 1.01%, 09/05/03 9,995 10,000 Chicago Board of Education, FLOATS, Ser. SG-103, Adj., 0.88%, 09/04/03 10,000 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Receipts, Ser. L-40, Regulation D, Rev., FRDO, 0.90%, 09/03/03 34,950 41,600 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. A, Rev., FRDO, 0.83%, 09/03/03 41,600 3,675 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 0.78%, 09/04/03 3,675
See notes to financial statements. 51
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 6,400 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 0.83%, 09/03/03 $ 6,400 4,750 Chicago, Illinois, IDR, Elston Block Co. Project, Rev., FRDO, 0.92%, 09/04/03 4,750 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 0.88%, 09/04/03 19,540 6,275 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 0.92%, 09/04/03 6,275 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 0.90%, 09/04/03 20,000 13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 0.85%, 09/04/03 13,000 14,165 Chicago, Illinois, Skyway Toll Bridge, Municipal Trust Certificates, Ser. ZTC-3, Class A, FRDO, 1.03%, 09/04/03 14,165 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%, 01/08/04 19,090 4,503 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 0.89%, 09/04/03 4,503 10,120 Cook County, FLOATS, Ser. PA-856, GO, FRDO, FGIC, 0.88%, 09/04/03 10,120 7,435 Cook County, FLOATS, Ser. PT-1497, GO, FRDO, FGIC, 0.88%, 09/04/03 7,435 2,725 Cook County, Municipal Trust Receipts, Ser. SG-7, 0.91%, 09/03/03 2,725 11,545 Du Page Cook & Will Counties Community College District No. 502, Municipal Trust Certificates, Ser. 56, Class A, GO, FRDO, 1.03%, 09/03/03 11,545 5,450 Du Page County Community Unit School District No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO, FSA, 0.90%, 09/05/03 5,450 10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA, 0.90%, 09/04/03 10,000 7,055 Franklin Park, Illinois, Municipal Securities Trust Receipts, Ser. SGB-14, GO, FRDO, AMBAC, #, 0.90%, 09/04/03 7,055 13,925 Glendale Heights, Illinois, Glendale Heights Hospital, FLOATS, Ser. PT-1602, 0.84%, 09/02/03 13,925 41,000 Illinois Health Facilities Authority, 0.99%, 09/09/03 41,000 3,500 Illinois Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 0.85%, 09/01/03 3,500 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Rev., FRDO, 0.85%, 09/04/03 17,900
See notes to financial statements. 52
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 2,605 Illinois Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 0.92%, 09/01/03 $ 2,605 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 0.92%, 09/04/03 4,485 1,560 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 0.92%, 09/01/03 1,560 13,400 Illinois Development Finance Authority, Multi-Family Housing, FLOATS, Ser. PT-1795, 0.89%, 09/04/03 13,400 15,300 Illinois Development Finance Authority, PCR, Commonwealth Edison Co. Project, Ser. B, Rev., FRDO, 0.80%, 09/03/03 15,300 1,300 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 0.90%, 09/04/03 1,300 8,900 Illinois Educational Facilities Authority, Arts Club of Chicago, Rev., FRDO, 0.85%, 09/03/03 8,900 6,895 Illinois Educational Facilities Authority, FLOATS, Ser. PA-896, Rev., FRDO, 0.88%, 09/04/03 6,895 10,000 Illinois Educational Facilities Authority, John F. Kennedy Health Care, Rev., FRDO, 0.85%, 09/04/03 10,000 5,000 Illinois Educational Facilities Authority, St. Xavier University Project, Ser. A, Rev., FRDO, 0.84%, 09/03/03 5,000 11,275 Illinois Educational Facilities Authority, University Pooled Financing Program, Rev., FRDO, FGIC, 0.85%, 09/07/03 11,275 10,330 Illinois Health Facilities Authority, Floating Rate Trust Receipts, Ser. L-26, Regulation D, Rev., (p), FRDO, 0.90%, 09/02/03 10,330 28,300 Illinois Health Facilities Authority, Gottlieb Health Resources, Inc., Rev., FRDO, 0.83%, 09/04/03 28,300 14,300 Illinois Health Facilities Authority, Health Care Systems, Rev., FRDO, 0.85%, 09/01/03 14,300 25,500 Illinois Health Facilities Authority, Herman M. Finch University, Rev., FRDO, 0.85%, 09/01/03 25,500 10,500 Illinois Health Facilities Authority, Multi-Family Housing, Park Plaza Center, Rev., FRDO, 0.85%, 09/03/03 10,500 9,145 Illinois Health Facilities Authority, St. Luke's Medical Center Obligation, Ser. B, Rev., FRDO, MBIA, 0.87%, 09/01/03 9,145 13,900 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 0.84%, 09/02/03 13,900 19,100 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Ser. A, Rev., FRDO, AMBAC, 0.84%, 09/01/03 19,100
See notes to financial statements. 53
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- ILLINOIS -- CONTINUED $ 1,900 Illinois Health Facilities Authority, The Carle Foundation, Ser. B, Rev., FRDO, AMBAC, 0.85%, 09/03/03 $ 1,900 2,640 Illinois Housing Development Authority, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 0.95%, 09/04/03 2,640 10,360 Illinois Housing Development Authority, Homeowner Mortgage, Sub Ser. A-2, Rev., 1.18%, 04/29/04 10,360 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, MBIA, 0.90%, 09/01/03 7,600 15,140 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, MBIA, 0.85%, 09/02/03 15,140 10,465 Illinois State, FLOATS, Ser. PT-379, GO, FRDO, MBIA, 0.88%, 09/04/03 10,465 50,000 Illinois State, GO, 1.50%, 05/15/04 50,188 50,000 Illinois State, GO, 2.00%, 01/15/04 50,193 15,000 Illinois State, GO, 2.00%, 04/15/04 15,096 2,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 0.90%, 09/01/03 2,075 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, 0.88%, 09/04/03 3,255 2,570 Lake County, IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 0.90%, 09/04/03 2,570 1,655 Libertyville, Illinois, IDR, Libertyville Manor Project, Rev., FRDO, 0.91%, 09/03/03 1,655 20,000 Regional Transportation Authority, FLOATS, Ser. 818-D, Rev., FRDO, FGIC, 0.89%, 09/04/03 20,000 5,990 Regional Transportation Authority, FLOATS, Ser. PT-1448, Rev., FRDO, FGIC, 0.88%, 09/04/03 5,990 15,235 Regional Transportation Authority, FLOATS, Ser. PT-1833, Rev., FRDO, FGIC, 0.88%, 09/04/03 15,235 9,995 Regional Transportation Authority, FLOATS, Ser. PT-790, Rev., FRDO, MBIA, 0.88%, 09/04/03 9,995 10,000 Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 0.88%, 09/03/03 10,000 9,400 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 0.85%, 09/01/03 9,400 5,800 Will County, Environmental Facilities, ExxonMobil Corp. Project, Rev., FRDO, 0.85%, 09/01/03 5,800 4,300 Will County, Exempt Facilities, ExxonMobil Project, Rev., FRDO, 0.85%, 09/01/03 4,300 ------------ 866,100 INDIANA -- 1.5% 6,095 Carmel School Building Corp., Ser. RR-II-R-S014, Rev., FRDO, MBIA, 0.90%, 09/04/03 6,095 6,420 Danville Multi-School Building Corp., FLOATS, Ser. PT-1483, Rev., FRDO, FSA, 0.88%, 09/04/03 6,420
See notes to financial statements. 54
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- INDIANA -- CONTINUED $ 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.00%, 09/05/03 $ 5,000 15,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-4, Rev., FRDO, 1.15%, 03/02/04 15,000 16,900 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. B, Rev., FRDO, 0.83%, 09/03/03 16,900 4,600 Indiana Health Facility Financing Authority, Clarian Health Obligation Group, Ser. C, Rev., FRDO, 0.82%, 09/02/03 4,600 2,485 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 0.85%, 09/05/03 2,485 5,055 Indiana Health Facility Financing Authority, FLOATS, Ser. PA-1069, 0.88%, 09/04/03 5,055 1,100 Indiana Secondary Market Educational Loans, Inc., Ser. B, Rev., FRDO, AMBAC, 0.90%, 09/02/03 1,100 6,665 Indiana State Office Building Commission, Capital Complex, FLOATS, Ser. PT-381, 0.88%, 09/06/03 6,665 15,995 Indiana Toll Road Commission, FLOATS, Ser. PT-1595, 0.84%, 09/02/03 15,995 19,500 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 0.90%, 09/01/03 19,500 9,000 Indiana Transportation Finance Authority, Rev., BAN, 1.50%, 10/03/03 9,004 8,975 Indianapolis Airport Authority, Floating Trust Certificates, Ser. F-10J, Regulation D, Rev., FRDO, 1.00%, 09/03/03 8,975 8,380 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-1408, Rev., FRDO, MBIA, 0.88%, 09/04/03 8,380 9,995 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-382, Rev., FRDO, 0.88%, 09/04/03 9,995 8,500 Indianapolis Local Public Improvement Bond Bank, Ser. F-2, Rev., FRDO, MBIA, 0.77%, 09/01/03 8,500 90 Lafayette, Indiana, Economic Development, Health Quest Realty XI Project, Rev., FRDO, 0.88%, 09/01/03 90 9,200 Monroe County Hospital Authority, Rev., FRDO, MBIA, 0.82%, 09/02/03 9,200 190 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 0.88%, 09/01/03 190 6,585 Purdue University, FLOATS, Ser. PA-760, Rev., FRDO, 0.88%, 09/04/03 6,585 10,000 Whiting, Indiana, Environmental Facilities, BP Products North America Project, Ser. B, Rev., FRDO, 0.90%, 09/01/03 10,000 ------------ 175,734
See notes to financial statements. 55
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- IOWA -- 0.1% $ 3,900 Des Moines, Iowa, 1.20%, 01/28/04 $ 3,900 3,450 Des Moines, Iowa, 1.20%, 01/28/04 3,450 6,000 Iowa Finance Authority, Single Family Mortgage, Ser. F, Rev., FRDO, 0.90%, 09/03/03 6,000 ------------ 13,350 KANSAS -- 1.6% 53,700 Burlington, Kansas, PCR, Floating Rate Trust Receipts, Ser. 2002-L3, Rev., FRDO, MBIA, 0.90%, 09/01/03 53,700 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 0.90%, 09/02/03 2,000 5,400 Kansas City, Kansas, IDB, PQ Corp. Project, Rev., FRDO, 0.85%, 09/01/03 5,400 18,000 Kansas State Department of Transportation, Highway, Ser. C-1, Rev., FRDO, 0.80%, 09/02/03 18,000 15,000 Kansas State Department of Transportation, Highway, Ser. C-2, Rev., FRDO, 0.80%, 09/02/03 15,000 35,000 Kansas State Department of Transportation, Highway, Ser. D, Rev., FRDO, 0.73%, 09/02/03 35,000 6,200 Kansas State Department of Transportation, Ser. C-1, Rev., FRDO, 0.80%, 09/03/03 6,200 10,225 Kansas State Department of Transportation, Ser. C-3, Rev., FRDO, 0.80%, 09/03/03 10,225 11,090 Lawrence, Kansas, Ser. 2003-I, GO, 1.50%, 06/01/04 11,116 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, 0.88%, 09/04/03 9,780 4,470 Sedgwick & Shawnee Counties, Single Family Housing, FLOATS, Ser. PT-523, Rev., FRDO, 0.93%, 09/04/03 4,470 1,500 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 0.90%, 09/05/03 1,500 7,740 Wichita, Kansas, Multi-Family Housing, FLOATS, Ser. PT-1641, Rev., FRDO, 1.02%, 09/04/03 7,740 ------------ 180,131 KENTUCKY -- 0.6% 14,075 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 0.88%, 09/04/03 14,075 24,000 Kentucky Association of Counties, COP, Rev., TRAN, 2.00%, 06/30/04 24,217 2,240 Kentucky Development Finance Authority, Pooled Loan Program, Ser. A, Rev., FRDO, FGIC, 0.85%, 09/04/03 2,240 7,020 Kentucky State Property & Buildings Commission, FLOATS, Ser. PA-875, Rev., FRDO, 0.88%, 09/04/03 7,020
See notes to financial statements. 56
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- KENTUCKY -- CONTINUED $ 15,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Floating Rate Receipts, Ser. SG-132, Rev., FRDO, FGIC, 0.88%, 09/03/03 $ 15,000 10,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Ser. B, Rev., FRDO, FSA, 0.83%, 09/02/03 10,000 ------------ 72,552 LOUISIANA -- 1.2% 12,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-17, Rev., FRDO, AMBAC, #, 0.92%, 09/02/03 12,000 6,200 East Baton Rouge Parish, PCR, Exxon Corp. Project, Rev., FRDO, 0.80%, 09/01/03 6,200 9,000 East Baton Rouge Parish, Solid Waste Disposal Authority, Exxon Corp. Project, Rev., FRDO, 0.85%, 09/01/03 9,000 5,225 Ernest N. Morial-New Orleans Exhibit Hall Authority, Special Tax, Ser. RR-II-R-5017, FRDO, AMBAC, 0.90%, 09/02/03 5,225 1,875 Iberia Parish IDB, IDR, Cuming Insulation Corp. Project, Rev., FRDO, 0.97%, 09/04/03 1,875 2,945 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 0.97%, 09/04/03 2,945 3,000 Lake Charles Harbor & Terminal District, District Dock & Wharf, Conoco, Inc. Project, Rev., FRDO, 0.90%, 09/02/03 3,000 4,540 Louisiana Housing Finance Agency, FLOATS, Ser. PT-1340, Rev., FRDO, 1.35%, 09/04/03 4,540 8,300 Louisiana Offshore Terminal Authority, Deepwater Port, 1st Stage Loop LLC, Rev., FRDO, 0.80%, 09/01/03 8,300 31,470 Louisiana Public Facilities Authority, 0.83%, 09/04/03 31,470 15,000 Louisiana Public Facilities Authority, 0.86%, 10/08/03 15,000 100 Louisiana Public Facilities Authority, IDB, Kenner Hotel LTD, Rev., FRDO, 0.85%, 09/01/03 100 5,995 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 0.88%, 09/02/03 5,995 11,700 Louisiana Public Facilities Authority, Tiger Athletic Foundation Project, Rev., FRDO, 0.88%, 09/04/03 11,700 11,170 Louisiana State, Floating Rate Certificates, Ser. 217, GO, FRDO, MBIA, 0.89%, 09/04/03 11,170 220 New Orleans Aviation Board, Ser. C, GO, FRDO, MBIA, 0.85%, 09/04/03 220 4,000 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 0.85%, 09/04/03 4,000 4,740 Tobacco Settlement Financing Corp., FLOATS, Ser. PA-1079, Rev., FRDO, 1.10%, 09/04/03 4,740 ------------ 137,480
See notes to financial statements. 57
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- MAINE -- 0.2% $ 9,800 Maine Finance Authority, Jackson Lab Issue, Ser. 2002, Rev., FRDO, 0.87%, 09/04/03 $ 9,800 2,510 Maine State Housing Authority, FLOATS, Ser. PT-1438, Rev., FRDO, 0.91%, 09/04/03 2,510 10,000 Maine State, GO, BAN, 1.75%, 06/24/04 10,061 ------------ 22,371 MARYLAND -- 1.2% 5,575 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 0.85%, 09/04/03 5,575 8,200 Baltimore IDA, IDR, Baltimore Capital Acquisition, Rev., FRDO, 0.83%, 09/03/03 8,200 4,915 Maryland Community Development Administration Department of Housing & Community Development, FLOATS, Ser. PT-12, 0.85%, 09/01/03 4,915 3,000 Maryland Community Development Administration, Department of Housing and Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 0.90%, 09/03/03 3,000 11,000 Maryland State Economic Development Corp., Floating Rate Receipts, Ser. L9-J, Rev., FRDO, FSA, 0.95%, 09/03/03 11,000 2,550 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 0.93%, 09/05/03 2,550 9,000 Maryland State Health & Higher Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-143, Rev., FRDO, 0.90%, 09/04/03 9,000 24,100 Maryland State Health & Higher Educational Facilities Authority, Ser. D, Rev., FRDO, 0.80%, 09/06/03 24,100 20,065 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 0.90%, 09/03/03 20,065 8,185 Maryland State, FLOATS, Ser. PA-858, GO, FRDO, 0.84%, 09/04/03 8,185 6,400 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Falklands, Ser. B, Rev., FRDO, 0.73%, 09/05/03 6,400 10,700 Montgomery County Housing Opportunities Commission, Multiple Purpose, Ser. C, Rev., FRDO, 0.78%, 09/03/03 10,700 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 0.73%, 09/06/03 16,800 1,400 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 0.72%, 09/03/03 1,400 ------------ 131,890
See notes to financial statements. 58
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- MASSACHUSETTS -- 4.6% $ 8,000 Arlington, Massachusetts, GO, BAN, 1.50%, 04/08/04 $ 8,019 6,030 Canton Housing Authority, Multi-Family Housing, Canton Arboretum Apartments, Rev., FRDO, 0.80%, 09/02/03 6,030 9,010 Clipper Tax-Exempt Trust, COP, Ser. 2001-4, FRDO, 1.25%, 02/15/04 9,010 40,000 Commonwealth of Massachusetts, 0.88%, 09/15/03 40,000 21,000 Commonwealth of Massachusetts, 0.88%, 09/15/03 21,000 56,500 Commonwealth of Massachusetts, 0.90%, 09/16/03 56,500 33,000 Commonwealth of Massachusetts, 0.90%, 09/22/03 33,000 7,000 Commonwealth of Massachusetts, 0.90%, 09/22/03 7,000 20,000 Duxbury, Massachusetts, GO, BAN, 1.75%, 01/15/04 20,037 20,000 Gateway Regional School District, GO, BAN, 1.625%, 05/05/04 20,063 15,000 Masconomet Regional School District, GO, BAN, 1.50%, 02/12/04 15,023 10,000 Massachusetts Bay Transportation Authority, Floating Certificates, Ser. SG-156, Rev., FRDO, 0.80%, 09/01/03 10,000 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 0.90%, 09/04/03 5,750 10,000 Massachusetts Development Finance Agency, Clark University, Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/02/03 10,000 4,910 Massachusetts Development Financing Agency, The Bridge Issue, Rev., FRDO, 0.85%, 09/03/03 4,910 10,700 Massachusetts Health & Educational Facilities Authority, Fairview Extended, Ser. B, Rev., FRDO, 0.80%, 09/02/03 10,700 10,000 Massachusetts Health & Educational Facilities Authority, Capital Asset Program, Ser. M1-A, Pool 1, Rev., FRDO, 0.77%, 09/04/03 10,000 11,910 Massachusetts Health & Educational Facilities Authority, FLOATS, Ser. PT-1668, Rev., FRDO, 0.81%, 09/04/03 11,910 8,300 Massachusetts Health & Educational Facilities Authority, Partners in Healthcare, Ser. D-6, Rev., FRDO, 0.85%, 09/01/03 8,300 2,200 Massachusetts Health & Educational Facilities Authority, University of Massachusetts, Ser. A, Rev., FRDO, 0.73%, 09/03/03 2,200 19,715 Massachusetts Housing Finance Agency, Single Family Housing, Ser. L, Rev., 1.40%, 11/13/03 19,715 10,000 Massachusetts Housing Finance Agency, Single Family Notes, Ser. M, Rev., 1.15%, 05/01/04 10,000 2,506 Massachusetts State Turnpike Authority, FLOATS, Ser. 334, Rev., FRDO, MBIA, 0.83%, 09/04/03 2,506
See notes to financial statements. 59
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- MASSACHUSETTS -- CONTINUED $ 5,100 Massachusetts State Water Pollution Abatement Trust, Municipal Securities Trust Receipts, Ser. SGA-87, Rev., FRDO, 0.90%, 09/01/03 $ 5,100 4,320 Massachusetts State Water Resources Authority, Ser. A, Rev., FRDO, FGIC, 0.78%, 09/03/03 4,320 7,200 Massachusetts State Water Resources Authority, Ser. B, Rev., FRDO, FGIC, 0.80%, 09/03/03 7,200 2,500 Massachusetts State Water Resources Authority, Sub Ser. B, Rev., FRDO, FGIC, 0.78%, 09/02/03 2,500 6,600 Massachusetts State Water Resources Authority, Sub Ser. C, Rev., FRDO, FGIC, 0.78%, 09/03/03 6,600 1,100 Massachusetts State Water Resources Authority, Sub Ser. D, Rev., FRDO, 0.80%, 09/01/03 1,100 12,780 Massachusetts State, Central Artery, Ser. B, GO, FRDO, 0.87%, 09/01/03 12,780 7,380 Massachusetts State, FLOATS, Ser. PA-1033R, GO, FRDO, FSA, 0.81%, 09/04/03 7,380 9,995 Massachusetts State, FLOATS, Ser. PA-800, 0.81%, 09/04/03 9,995 7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO, FRDO, MBIA, 0.81%, 09/04/03 7,830 10,125 Massachusetts State, FLOATS, Ser. PT-1609, GO, FRDO, FGIC, 0.81%, 09/04/03 10,125 8,195 Massachusetts State, FLOATS, Ser. PT-1618, GO, FRDO, FSA, 0.81%, 09/04/03 8,195 10,670 Massachusetts State, FLOATS, Ser. PT-1696, GO, FRDO, MBIA-IBC, 0.81%, 09/04/03 10,670 10,275 Massachusetts State, FLOATS, Ser. PT-1702, GO, FRDO, FGIC, 0.81%, 09/04/03 10,275 5,900 Massachusetts State, Ser. B, GO, FRDO, 0.80%, 09/04/03 5,900 4,995 Massachusetts State, Ser. II-R-104, GO, FRDO, 1.60%, 09/04/03 4,995 8,950 Medford, Massachusetts, GO, BAN, 3.00%, 11/14/03 8,978 13,000 Peabody, Massachusetts, GO, BAN, 2.00%, 02/13/04 13,051 16,610 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 0.79%, 09/04/03 16,610 3,600 Sandwich, Massachusetts, GO, BAN, 2.00%, 02/12/04 3,614 24,494 Westford, Massachusetts, GO, BAN, 1.50%, 05/11/04 24,561 ------------ 523,452 MICHIGAN -- 4.1% 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16, GO, FRDO, FGIC, 0.90%, 09/05/03 30,795 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-29, GO, FRDO, FGIC, 1.05%, 02/13/04 5,000 16,080 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 1.50%, 10/23/03 16,080
See notes to financial statements. 60
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- MICHIGAN -- CONTINUED $ 7,450 East Lansing School District, Municipal Securities Trust Receipts, Ser. SGA-114, GO, FRDO, 0.90%, 09/04/03 $ 7,450 9,255 Holt Public Schools, GO, FRDO, 0.85%, 09/03/03 9,255 8,885 Howell Public Schools, FLOATS, Ser. PT-1502, GO, FRDO, 0.88%, 09/04/03 8,885 5,500 Kent Hospital Financing Authority, Spectrum Health, Ser. B, Rev., FRDO, MBIA, 0.82%, 09/05/03 5,500 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 0.85%, 09/03/03 9,000 5,280 Michigan Municipal Bond Authority, FLOATS, Ser. PA-852, Rev., FRDO, 0.88%, 09/04/03 5,280 8,220 Michigan Municipal Bond Authority, FLOATS, Ser. PA-942, Rev., FRDO, 0.88%, 09/04/03 8,220 8,530 Michigan Municipal Bond Authority, FLOATS, Ser. PT-1477, Rev., FRDO, 0.84%, 09/04/03 8,530 6,205 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 0.88%, 09/04/03 6,205 20,000 Michigan Municipal Bond Authority, Ser. B-1, Rev., 2.00%, 08/20/04 20,188 5,000 Michigan Public Power Agency, Municipal Trust Certificates, Ser. 42, Class A, 1.03%, 09/01/03 5,000 9,500 Michigan State Building Authority, Facilities Program, Ser. I, Rev., FRDO, 0.85%, 09/03/03 9,500 45,300 Michigan State Building Authority, Multi-Modal Facilities Program, Ser. II, Rev., FRDO, 0.80%, 09/04/03 45,300 10,550 Michigan State Building Authority, Ser. RR-II-R-1049, Rev., FRDO, 0.90%, 09/04/03 10,550 5,000 Michigan State Building Authority, Ser. RR-II-R-220, Rev., FRDO, 0.90%, 09/04/03 5,000 8,970 Michigan State Hospital Finance Authority, FLOATS, Ser. PA-919, 0.88%, 09/04/03 8,970 7,495 Michigan State Hospital Finance Authority, FLOATS, Ser. PT-668, Rev., FRDO, MBIA, 0.88%, 09/04/03 7,495 6,350 Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Ser. A, Rev., FRDO, 0.83%, 09/06/03 6,350 7,225 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 0.90%, 09/04/03 7,225 6,000 Michigan State Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 0.90%, 09/05/03 6,000 825 Michigan State Housing Development Authority, Ser. 2000-A, Rev., FRDO, MBIA, 0.85%, 09/05/03 825 17,375 Michigan State Housing Development Authority, Ser. D, Rev., 1.40%, 12/01/03 17,375
See notes to financial statements. 61
PRINCIPAL AMOUNT ISSUER VALUE - --------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED - --------------------------------------------------------------------------------------------- MICHIGAN -- CONTINUED $ 4,860 Michigan State University, Ser. A, Rev., FRDO, 0.80%, 09/01/03 $ 4,860 1,500 Michigan State University, Ser. A, Rev., FRDO, 0.80%, 09/01/03 1,500 18,935 Michigan State University, Ser. A-2, Rev., Adj., 0.85%, 09/03/03 18,935 28,100 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 0.79%, 09/04/03 28,100 15,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 0.80%, 09/04/03 15,000 6,000 Michigan State, Floating Rate Trust Receipts, Ser. L-43J, GO, FRDO, 0.90%, 09/04/03 6,000 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 0.79%, 09/05/03 10,500 37,700 Michigan State, Ser. B, Rev., GAN, FRDO, FSA, 0.79%, 09/05/03 37,700 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 0.93%, 09/03/03 1,175 17,770 Milan Area Schools, GO, FRDO, 0.85%, 09/04/03 17,770 10,000 Oakland University, Rev., FRDO, FGIC, 0.85%,09/04/03 10,000 17,240 Saline Area Schools, GO, FRDO, 0.85%, 09/02/03 17,240 300 University of Michigan, Hospital, Ser. A, Rev., FRDO, 0.85%, 09/01/03 300 6,080 University of Michigan, Hospital, Ser. A-2, Rev., FRDO, 0.85%, 09/01/03 6,080 2,300 University of Michigan, Medical Service Plan, Ser. A-1, Rev., FRDO, 0.85%, 09/01/03 2,300 300 University of Michigan, Medical Services Plan, Ser. A, Rev., FRDO, 0.80%, 09/04/03 300 9,200 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Junior Lien, Rev., FRDO, FSA, 0.83%, 09/04/03 9,200 13,700 Wayne Charter County, Wayne Charter Airport, Floating Rate Receipts, Ser. SG-122, Rev., FRDO, 0.88%, 09/04/03 13,700 ------------ 470,638 MINNESOTA -- 0.9% 8,360 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SG-136, Rev., FRDO, FGIC, 0.90%, 09/04/03 8,360 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 0.90%, 09/02/03 9,000 5,635 Minneapolis, Minnesota, FLOATS, Ser. PA-711, GO, FRDO, 0.88%, 09/04/03 5,635 4,400 Minnesota Housing Finance Agency, Residential Housing, Ser. B, Rev., FRDO, 0.95%, 09/03/03 4,400
See notes to financial statements. 62
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ MINNESOTA -- CONTINUED $ 15,110 Minnesota Housing Finance Agency, Residential Housing, Ser. H, Rev., FRDO, 1.00%, 07/22/04 $ 15,110 5,805 Minnesota Housing Finance Agency, Single Family Mortgage, Ser. I, Rev., FRDO, 1.38%, 01/01/04 5,805 24,030 Minnesota Housing Finance Agency, Single Family Mortgage, Ser. J, Rev., FRDO, 1.40%, 01/01/04 24,030 4,995 Minnesota Public Facilities Authority, PCR, Water, Ser. II-R-31, Rev., FRDO, 0.90%, 09/04/03 4,995 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 0.90%, 09/04/03 4,300 21,450 University of Minnesota, Ser. C, Rev., FRDO, 0.90%, 09/03/03 21,450 --------------- 103,085 MISSISSIPPI -- 0.5% 600 Jackson County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 0.80%, 09/01/03 600 26,705 Jackson County, Port Facilities, Chevron USA, Inc. Project, Rev., FRDO, 0.87%, 09/01/03 26,705 1,545 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms, Inc. Project, Rev., FRDO, 0.95%, 09/01/03 1,545 8,430 Mississippi Development Bank Special Obligation, FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 0.88%, 09/04/03 8,430 3,855 Mississippi Home Corp., Single Family Housing, FLOATS, Ser. PT-620, Rev., FRDO, 0.93%, 09/04/03 3,855 4,385 Mississippi State, Ser. RR-II-R-1043, GO, FRDO, FGIC, 0.90%, 09/03/03 4,385 15,000 Perry County, PCR, Leaf River Forest Production Project, Rev., FRDO, 0.85%, 09/03/03 15,000 --------------- 60,520 MISSOURI -- 0.8% 11,320 Bi-State Development Agency, Metropolitan District, FLOATS, Ser. PT-1593, Rev., FRDO, FSA, 0.88%, 09/04/03 11,320 6,840 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, FRDO, 0.88%, 09/04/03 6,840 3,025 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., FRDO, 1.00%, 09/06/03 3,025 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 0.90%, 09/02/03 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, MBIA, 0.90%, 09/01/03 1,600 3,925 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 1.35%, 09/04/03 3,925 4,230 Missouri Housing Development Commission, FLOATS, Ser. PT-341, Rev., FRDO, 1.05%, 09/01/03 4,230
See notes to financial statements. 63
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ MISSOURI -- CONTINUED $ 5,520 Missouri Housing Development Commission, Mortgage, FLOATS, Ser. PT-495, Rev., FRDO, 0.93%, 09/04/03 $ 5,520 10,000 Missouri Housing Development Commission, Single Family Mortgage, FLOATS, Ser. L-5J, Regulation D, Rev., FRDO, 1.15%, 09/30/03 10,000 18,100 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 0.85%, 09/02/03 18,100 2,500 Missouri State Health & Educational Facilities Authority, EAGLE, Ser. 2002-6026, Class A, Rev., FRDO, 0.90%, 09/04/03 2,500 9,985 Missouri State Highways & Transit Commission, FLOATS, Ser. PT-657, Rev., FRDO, 0.88%, 09/04/03 9,985 6,110 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 0.93%, 09/04/03 6,110 11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396, FRDO, MBIA, 0.88%, 09/04/03 11,125 --------------- 97,280 MONTANA -- 0.0%^ 2,235 Montana Board of Housing, FLOATS, Ser. PT-356, 0.97%, 09/05/03 2,235 MULTIPLE STATES -- 3.0% 5,010 ABN AMRO Munitops Certificate Trust, Ser. 2002-37, Rev., FRDO, 1.25%, 12/04/03 5,010 37,640 ABN-AMRO Munitops Certificate Trust, Ser. 2002-1, Rev., FRDO, 1.05%, 09/01/03 37,640 42,500 Charter Mac Floater Certificate Trust I, Ser. NAT-1, Rev., FRDO, MBIA, 1.03%, 09/02/03 42,500 10,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.03%, 09/04/03 10,000 15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3, Rev., FRDO, MBIA, 1.03%, 09/04/03 15,000 14,000 Charter Mac Floater Certificate Trust I, Ser. NAT-4, Rev., FRDO, 1.03%, 09/02/03 14,000 5,705 Clipper Tax-Exempt Trust, COP, Ser. 1999-2, FRDO, 1.13%, 09/02/03 5,705 26,205 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO, 1.13%, 09/04/03 26,205 20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5, FRDO, 1.03%, 09/04/03 20,000 6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev., FRDO, FGIC, 0.90%, 09/03/03 6,000 9,364 Government Development Bank for Municipal Commercial Paper, 0.85%, 12/01/03 9,364 9,982 Government Development Bank for Municipal Commercial Paper, 0.90%, 09/25/03 9,982
See notes to financial statements. 64
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ MULTIPLE STATES -- CONTINUED $ 3,500 IBM Tax Exempt Grantor Trust, IBM Project, FLOATS, 1.03%, 09/03/03 $ 3,500 17,100 IBM Tax Exempt Trust, IBM Project, FLOATS, Ser. 2001-D, Rev., FRDO, 1.03%, 09/02/03 17,100 32,941 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.08%, 09/04/03 32,941 30,560 MBIA Capital Corp., FLOATS, 0.98%, 09/04/03 30,560 45,470 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, Ser. 2001-2, Class A Certificates, 0.97%, 09/05/03 45,470 10,400 SunAmerica Trust, Ser. 2, Class A Certificates, Rev., FRDO, 1.02%, 09/03/03 10,400 --------------- 341,377 NEBRASKA -- 0.3% 12,350 Lincoln, Nebraska, Electric Systems, FLOATS, Ser. PT-1548, Rev., FRDO, 0.88%, 09/04/03 12,350 3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO, MBIA, 0.90%, 09/05/03 3,285 4,755 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. 2002-L1, Rev., FRDO, 0.95%, 09/01/03 4,755 9,755 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. N-7, Regulation D, Rev., FRDO, 1.20%, 10/19/03 9,755 6,000 Nebraska Investment Finance Authority, Single Family Housing, Ser. E, Rev., FRDO, 0.90%, 09/04/03 6,000 900 Sidney, Nebraska, IDR, Pennington Seed, Inc. Project, Rev., FRDO, 0.95%, 09/02/03 900 --------------- 37,045 NEVADA -- 1.2% 15,000 Clark County School District, FRDO, 0.90%, 09/03/03 15,000 6,805 Clark County, Airport Improvement, Sub Lien, Ser. A-1, Rev., FRDO, 0.77%, 09/03/03 6,805 575 Clark County, Airport Improvement, Sub Lien, Ser. A-2, Rev., FRDO, 0.83%, 09/03/03 575 18,200 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev., FRDO, FGIC, 0.77%, 09/04/03 18,200 5,300 Clark County, IDR, Nevada Cogeneration Association #2, Rev., FRDO, 0.90%, 09/01/03 5,300 15,210 Clark County, Nevada, Airport Revenue, Sub-Lien, Ser. B-2, Rev., FRDO, 0.73%, 09/03/03 15,210 14,800 Nevada Housing Division, Multi-Family Housing, Park Vista Apartments, Ser. A, Rev., FRDO, 0.85%, 09/05/03 14,800 9,500 Nevada Housing Division, Multi-Unit Housing, Flamingo Road, Ser. A, Rev., FRDO, #, 1.20%, 09/05/03 9,500
See notes to financial statements. 65
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEVADA -- CONTINUED $ 7,800 Nevada Housing Division, Multi-Unit Housing, Fort Apache, Ser. A, Rev., FRDO, 1.20%, 09/05/03 $ 7,800 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 0.87%, 09/05/03 3,390 4,350 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 0.87%, 09/05/03 4,350 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 0.87%, 09/03/03 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 0.87%, 09/06/03 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 0.87%, 09/01/03 3,195 4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO, 0.88%, 09/04/03 4,800 9,000 Nevada State, FLOATS, Ser. SG-39, 0.88%, 09/05/03 9,000 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 0.90%, 09/01/03 5,800 --------------- 135,930 NEW HAMPSHIRE -- 0.2% 6,000 New Hampshire Health & Education Facilities Authority, Riverbend, Rev., FRDO, 0.85%, 09/05/03 6,000 5,475 New Hampshire Higher Educational & Health Facilities Authority, Ser. 772, Rev., FRDO, FGIC, 0.89%, 09/04/03 5,475 6,300 New Hampshire Higher Educational & Health Facilities Authority, VHA New England, Inc., Ser. C, Rev., FRDO, AMBAC, 0.85%, 09/06/03 6,300 5,365 New Hampshire State Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-624, Rev., FRDO, 0.93%, 09/04/03 5,365 --------------- 23,140 NEW JERSEY -- 1.2% 20,000 Essex County, Essex Vocational School, BAN, 2.25%, 11/06/03 20,018 5,100 Garden State Preservation Trust, Open Space & Farmland, Ser. 2003-5, Rev., FRDO, FSA, 0.92%, 09/04/03 5,100 18,700 Jersey City, New Jersey, Promissory Note, GO, 1.75%, 02/27/04 18,751 7,900 Mercer County Improvement Authority, Atlantic Foundation & Johnson, Rev., FRDO, MBIA, 0.78%, 09/03/03 7,900 4,985 New Jersey Economic Development Authority, FLOATS, Ser. PA-828, Rev., FRDO, AMBAC, 0.82%, 09/04/03 4,985
See notes to financial statements. 66
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW JERSEY -- CONTINUED $ 12,200 New Jersey Economic Development Authority, Foreign Trade Zone Project, Rev., FRDO, 0.85%, 09/01/03 $ 12,200 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 1.20%, 09/04/03 4,995 1,470 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 0.80%, 09/01/03 1,470 12,820 New Jersey State Educational Facilities Authority, Floating Rate Certificates, Ser. SG-148, Rev., FRDO, 0.82%, 09/04/03 12,820 5,315 New Jersey State Educational Facilities Authority, FLOATS, Ser. PT-1599, 0.82%, 09/02/03 5,315 10,000 New Jersey State Housing & Mortgage Finance Agency, Ser. EE, Rev., MBIA, 1.10%, 04/01/04 10,000 25,000 New Jersey State Turnpike Authority, Ser. C-1, Rev., FRDO, FSA, 0.85%, 09/03/03 25,000 10,365 New Jersey Transportation Trust Fund Authority, FLOATS, Ser. PT-1926, Rev., FRDO, MBIA, 0.86%, 09/04/03 10,365 --------------- 138,919 NEW MEXICO -- 0.2% 3,200 Chaves County, IDR, Friona Industries LP, Ser. A, Rev., FRDO, 1.00%, 09/04/03 3,200 1,000 Farmington, New Mexico, PCR, Arizona Public Services Co., Ser. B, Rev., FRDO, 0.80%, 09/01/03 1,000 5,970 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1308, Rev., FRDO, 1.35%, 09/04/03 5,970 6,670 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1378, Rev., FRDO, 1.35%, 09/04/03 6,670 3,830 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-196, FRDO, 0.93%, 09/04/03 3,830 5,395 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-643, Rev., FRDO, 0.93%, 09/04/03 5,395 --------------- 26,065 NEW YORK -- 11.5% 24,795 ABN AMRO Munitops Certificate Trust, Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.08%, 09/05/03 24,795 270 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 96C-4901, Class A, #, FRDO, 0.95%, 09/03/03 270 2,300 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-522, Rev., FRDO, FSA, 0.86%, 09/04/03 2,300 9,700 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 0.80%, 09/04/03 9,700 10,600 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 0.80%, 09/01/03 10,600 31,000 Metropolitan Transportation Authority, 0.90%, 10/06/03 31,000
See notes to financial statements. 67
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 9,440 Metropolitan Transportation Authority, Dedicated Tax, FLOATS, Ser. PT-395, 0.86%, 09/04/03 $ 9,440 14,350 Metropolitan Transportation Authority, FLOATS, Ser. PT-1547, Rev., FRDO, FGIC, 0.86%, 09/04/03 14,350 28,900 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 0.85%, 09/04/03 28,900 10,000 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 0.85%, 09/04/03 10,000 63,065 Metropolitan Transportation Authority, Ser. G-2, Rev., FRDO, AMBAC, 0.76%, 09/03/03 63,065 25,000 Metropolitan Transportation Authority, Tax Exempt, 0.85%, 09/02/03 25,000 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, MBIA, 0.87%, 09/06/03 1,520 7,555 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, #, 0.83%, 09/04/03 7,555 11,300 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 0.86%, 09/05/03 11,300 14,800 New York City IDA, Civic Facilities, Center for Jewish History Project, Rev., FRDO, 0.79%, 09/01/03 14,800 400 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 0.83%, 09/04/03 400 5,550 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., Adj., FGIC, 0.84%, 09/04/03 5,550 50,710 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-1, Rev., FRDO, 0.79%, 09/02/03 50,710 8,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-2, Rev., FRDO, 0.77%, 09/01/03 8,000 13,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, Fiscal Year 2003, Sub Ser. C-2, Rev., FRDO, 0.80%, 09/02/03 13,900 4,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1045, Rev., FRDO, 0.87%, 09/04/03 4,995 13,545 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1054, 0.86%, 09/04/03 13,545 5,885 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 0.87%, 09/04/03 5,885 9,895 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 0.86%, 09/04/03 9,895
See notes to financial statements. 68
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 6,385 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 0.83%, 09/05/03 $ 6,385 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 0.86%, 09/04/03 2,000 31,400 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 0.80%, 09/01/03 31,400 21,800 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, 0.77%, 09/01/03 21,800 6,550 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 0.85%, 09/01/03 6,550 1,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 0.85%, 09/01/03 1,900 16,575 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-11, Rev., FRDO, 0.85%, 09/03/03 16,575 8,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-1043-R, Rev., FRDO, 0.86%, 09/02/03 8,995 10,300 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 0.80%, 09/01/03 10,300 13,650 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 0.82%, 09/01/03 13,650 9,800 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-4, Rev., FRDO, 0.77%, 09/01/03 9,800 15,840 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-5, Rev., FRDO, 0.82%, 09/01/03 15,840 16,200 New York City Transitional Finance Authority, Recovery, Ser. 1, Sub Ser. 1-E, Rev., FRDO, 0.79%, 09/04/03 16,200 2,100 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-B, Rev., FRDO, 0.88%, 09/01/03 2,100 88,200 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 0.79%, 09/02/03 88,199 12,500 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 0.79%, 09/02/03 12,500
See notes to financial statements. 69
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 25,656 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO, 0.82%, 09/01/03 $ 25,656 52,600 New York City Transitional Finance Authority, Rev., BAN, 2.50%, 11/06/03 52,690 39,700 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 0.80%, 09/01/03 39,700 7,185 New York City Transitional Finance Authority, Sub Ser. 2-E, Rev., FRDO, 0.79%, 09/02/03 7,185 4,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Monterey, Ser. A, Rev., FRDO, 0.80%, 09/05/03 4,300 9,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 0.83%, 09/02/03 9,000 5,410 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 0.86%, 09/01/03 5,410 1,610 New York City, New York, Ser. B, GO, FRDO, FGIC, 0.80%, 09/01/03 1,610 8,500 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 0.85%, 09/01/03 8,500 7,500 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 0.80%, 09/01/03 7,500 9,200 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 0.80%, 09/01/03 9,200 5,000 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 0.80%, 09/01/03 5,000 900 New York City, New York, Ser. H, Sub Ser. H-3, FRDO, GO, FSA, 0.75%, 09/01/03 900 1,400 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.75%, 09/01/03 1,400 1,700 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.75%, 09/01/03 1,700 3,200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.75%, 09/01/03 3,200 1,200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.75%, 09/01/03 1,200 7,900 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 0.74%, 09/02/03 7,900 20,000 New York City, New York, Sub Ser. A-3, GO, FRDO, 0.80%, 09/01/03 20,000 8,600 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.80%, 09/01/03 8,600 7,600 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.80%, 09/01/03 7,600 300 New York City, New York, Sub Ser. A-5, GO, FRDO, 0.85%, 09/01/03 300
See notes to financial statements. 70
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 22,750 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 0.80%, 09/01/03 $ 22,750 12,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 0.78%, 09/03/03 12,000 3,700 New York City, New York, Sub. Ser. E-3, GO, FRDO, 0.75%, 09/01/03 3,700 42,700 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 0.84%, 09/03/03 42,700 11,100 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 0.84%, 09/01/03 11,100 10,000 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 0.84%, 09/04/03 10,000 7,000 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 0.84%, 09/04/03 7,000 9,000 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 0.84%, 09/04/03 9,000 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.10%, 09/03/03 8,140 4,985 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 0.80%, 09/02/03 4,985 7,120 New York State Dormitory Authority, FLOATS, Ser. PA-1089, Rev., FRDO, AMBAC, 0.84%, 09/04/03 7,120 6,445 New York State Dormitory Authority, FLOATS. Ser. PA-773-R, Rev., FRDO, MBIA, 0.84%, 09/04/03 6,445 10,450 New York State Energy Research & Development Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO, AMBAC, 0.84%, 09/04/03 10,450 36,769 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 0.85%, 09/04/03 36,769 4,695 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA, 0.84%, 09/03/03 4,695 11,180 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA, 0.84%, 09/04/03 11,180 7,750 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-906, Rev., FRDO, 0.84%, 09/04/03 7,750 6,600 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 0.80%, 09/04/03 6,600 17,200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 0.85%, 09/03/03 17,200 4,300 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 0.75%, 09/05/03 4,300
See notes to financial statements. 71
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 0.84%, 09/04/03 $ 1,300 9,000 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, #, 0.87%, 09/01/03 9,000 6,365 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-414, Rev., FRDO, #, 1.35%, 12/29/03 6,365 10,000 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 0.80%, 09/01/03 10,000 6,580 New York State Thruway Authority, General Highway & Bridge Trust Fund, FLOATS, Ser. PT-1800, Rev., FRDO, MBIA, 0.84%, 09/04/03 6,580 7,310 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev., FRDO, FGIC, 0.84%, 09/04/03 7,310 11,040 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1578, Rev., FRDO, MBIA, 0.84%, 09/04/03 11,040 15,200 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, 0.84%, 09/04/03 15,200 12,600 New York State Urban Development Corp., FLOATS, Ser. 768, Rev., FRDO, MBIA-IBC, 0.85%, 09/04/03 12,600 5,245 New York State Urban Development Corp., FLOATS, Ser. PA-1108, Rev., FRDO, 0.84%, 09/04/03 5,245 7,290 New York State Urban Development Corp., FLOATS, Ser. PT-1644, Rev., FRDO, 0.84%, 09/04/03 7,290 4,200 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 0.82%, 09/04/03 4,200 15,910 Orange County IDA, Civic Facilities, Arden Hill Hospital Project, Rev., FRDO, FSA, 0.80%, 09/04/03 15,910 13,090 Port Authority of New York & New Jersey, Rev., FRDO, 0.97%, 09/04/03 13,090 3,100 St. Lawrence County IDA, IDB, PCR, Reynolds Metals, Rev., FRDO, 0.85%, 09/01/03 3,100 6,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA, 0.84%, 09/04/03 6,675 24,790 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-948, Rev., FRDO, 0.87%, 09/02/03 24,790 15,000 Triborough Bridge & Tunnel Authority, Ser. C, Rev., FRDO, AMBAC, 0.80%, 09/02/03 15,000 4,200 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 0.80%, 09/01/03 4,200
See notes to financial statements. 72
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ NEW YORK -- CONTINUED $ 7,000 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 0.78%, 09/07/03 $ 7,000 5,000 Ulster County, BAN, 1.75%, 06/11/04 5,029 --------------- 1,305,028 NORTH CAROLINA -- 1.6% 15,350 Charlotte, North Carolina, Airport, Ser. D, Rev., FRDO, MBIA, 0.77%, 09/03/03 15,350 11,400 Charlotte, North Carolina, Government Facilities, COP, Ser. F, FRDO, 1.03%, 11/29/03 11,400 4,700 Charlotte-Mecklenberg Hospital Authority, Health Care Systems, Ser. D, Rev., FRDO, 0.79%, 09/04/03 4,700 1,700 Durham, North Carolina, Water & Sewer Utility Systems, Rev., FRDO, 0.90%, 09/04/03 1,700 8,900 Fayetteville Public Works Commission, Rev., FRDO, FSA, 0.79%, 09/03/03 8,900 2,500 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 0.85%, 09/02/03 2,500 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 0.85%, 09/04/03 20,190 600 Guilford County Industrial Facilities & PCFA, Industrial Development, Neal Manufacturing, Inc., Rev., FRDO, 0.95%, 09/01/03 600 4,900 Iredell County Public Facilities Corp., Iredell County Schools Project, Rev., FRDO, AMBAC, 0.85%, 09/05/03 4,900 12,680 Mecklenburg County, FLOATS, Ser. PA-710, GO, FRDO, (p), 0.83%, 09/04/03 12,680 22,445 Municipal Securities Trust Certificates, Ser. 2001-125, Class A, GO, FRDO, #, 0.85%, 09/01/03 22,445 9,310 North Carolina Educational Facilities Finance Agency, Elon College, Rev., FRDO, 0.82%, 09/03/03 9,310 7,460 North Carolina Housing Finance Agency, FLOATS, Ser. PT-465, 0.93%, 09/04/03 7,460 19,530 North Carolina Medical Care Commission, Baptist Hospitals Project, Rev., FRDO, 0.78%, 09/04/03 19,530 5,000 North Carolina Medical Care Commission, Health Care Facilities, Union Regional Medical Center Project, Ser. B, Rev., FRDO, 0.85%, 09/04/03 5,000 2,900 North Carolina Medical Care Commission, Hospital, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 0.85%, 09/01/03 2,900 5,900 North Carolina State, Ser. D, GO, FRDO, 0.80%, 09/04/03 5,900 19,935 Union County, Enterprise Systems, Ser. B, Rev., FRDO, FSA, 0.77%, 09/04/03 19,935 3,300 University of North Carolina at Chapel Hill, Ser. A, Rev., FRDO, 0.80%, 09/01/03 3,300 --------------- 178,700
See notes to financial statements. 73
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, 0.82%, 09/01/03 $ 3,900 7,095 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 0.95%, 09/04/03 7,095 --------------- 10,995 OHIO -- 1.1% 3,450 Columbus, Ohio, Ser. 1, GO, FRDO, 0.75%, 09/04/03 3,450 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 0.90%, 09/04/03 8,000 4,395 Greene County, Fairview Extended, Ser. B, Rev., FRDO, 0.80%, 09/02/03 4,395 9,000 Hamilton County, Healthcare Facilities, Twin Towers & Twin Lakes, Ser. A, Rev., FRDO, 0.95%, 09/04/03 9,000 14,000 Hamilton County, Healthcare Facilities, Twin Towers & Twin Lakes, Ser. B, Rev., FRDO, 0.95%, 09/04/03 14,000 4,100 Hamilton County, Hospital Facilities, Health Alliance, Ser. E, Rev., FRDO, MBIA, 0.78%, 09/03/03 4,100 14,000 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 0.95%, 09/02/03 14,000 11,100 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 0.95%, 09/04/03 11,100 500 Ohio State Air Quality Development Authority, PCR, Ohio Edison Project, Ser. C, Rev., FRDO,0.90%, 09/01/03 500 8,975 Ohio State Building Authority, Floating Rate Trust Receipts, Ser. L-41, Regulation D, Rev., FRDO, 0.95%, 09/04/03 8,975 10,440 Ohio State Building Authority, FLOATS, Ser. PA-908, Rev., FRDO, AMBAC, 1.05%, 09/04/03 10,440 9,480 Ohio State Building Authority, FLOATS, Ser. PA-939-P, Rev., FRDO, 0.88%, 09/04/03 9,480 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 0.90%, 09/04/03 4,995 5,000 Ohio State Water Development Authority, Environmental Facilities, Premcor Refining Group, Rev., FRDO, 1.40%, 12/27/03 5,000 2,800 Ohio State Water Development Authority, PCR, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 0.89%, 09/01/03 2,800 10,000 Ohio State Water Development Authority, Pure Water Development, Ser. B, Rev., FRDO, MBIA, 0.80%, 09/03/03 10,000 7,755 Ohio State, Ser. RR II-R-208, GO, FRDO, FSA, 1.00%, 09/04/03 7,755 --------------- 127,990
See notes to financial statements. 74
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ OKLAHOMA -- 0.4% $ 4,815 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-342, Rev., FRDO, 1.05%, 09/01/03 $ 4,815 4,930 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-493, Rev., FRDO, 0.93%, 09/04/03 4,930 10,000 Payne County Economic Development Authority, Student Housing, OSUF Phase III Project, Rev., FRDO, AMBAC, 0.86%, 09/04/03 10,000 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 0.85%, 09/04/03 10,490 4,780 Tulsa County Home Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO, 0.93%, 09/04/03 4,780 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 0.85%, 09/04/03 6,500 --------------- 41,515 OREGON -- 0.5% 5,200 Oregon State Department of Administrative Services, State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA, 0.88%, 09/04/03 5,200 8,200 Oregon State Housing & Community Services Department, Department of Housing and Development, Covenant Retirement, Ser. A, Rev., FRDO, 0.93%, 09/02/03 8,200 12,320 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. D, Rev., 1.18%, 04/15/04 12,320 2,515 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, 0.95%, 09/07/03 2,515 15,750 State of Oregon Heath & Housing, 0.86%, 09/02/03 15,750 10,500 State of Oregon Heath & Housing, Tax Exempt, 0.85%, 09/02/03 10,500 --------------- 54,485 PENNSYLVANIA -- 4.6% 6,745 Allegheny County Hospital Development Authority, FLOATS, Ser. PA-748, Rev., FRDO, MBIA, 0.89%, 09/04/03 6,745 9,690 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/05/03 9,690 7,000 Bucks County IDA, Law School Admission Council, Rev., FRDO, 0.80%, 09/03/03 7,000 4,645 Chester County Health & Educational Facilities Authority, Barclay Friends Project, Ser. B, Rev., FRDO, 0.82%, 09/02/03 4,645
See notes to financial statements. 75
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ PENNSYLVANIA -- CONTINUED $ 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 0.85%, 09/02/03 $ 8,300 7,420 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PT-1878, Rev., FRDO, AMBAC, 0.84%, 09/04/03 7,420 9,245 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PT-792, Rev., FRDO, AMBAC, 0.84%, 09/04/03 9,245 12,495 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1028, Rev., FRDO, 0.88%, 09/04/03 12,495 26,995 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1041, Rev., FRDO, 0.88%, 09/04/03 26,995 13,815 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PT-749, Rev., FRDO, 0.88%, 09/04/03 13,815 9,200 Delaware Valley Regional Financial Authority, Local Government, Rev., FRDO, 0.82%, 09/03/03 9,200 6,400 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 6,400 5,000 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 5,000 2,700 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.82%, 09/01/03 2,700 700 Delaware Valley Regional Financial Authority, Local Government, Ser. B, Rev., FRDO, 0.82%, 09/01/03 700 14,400 Delaware Valley Regional Financial Authority, Local Government, Ser. D, Rev., FRDO, 0.82%, 09/03/03 14,400 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 0.90%, 09/03/03 5,900 11,600 Emmaus General Authority, Pennsylvania Loan Project, Ser. A, Rev., FRDO, FSA, 0.85%, 09/04/03 11,600 35,000 Emmaus General Authority, Rev., FRDO, FSA, (p), 0.85%, 09/01/03 35,000 42,500 Emmaus General Authority, Ser. D, Rev., FRDO, 0.88%, 09/01/03 42,500 7,090 Emmaus General Authority, Sub Ser. G-16, Rev., FRDO, 0.86%, 09/02/03 7,090 8,135 Lehigh County, FLOATS, Ser. PA-976, 0.84%, 09/04/03 8,135 10,000 Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 10,000 13,330 North Penn Water Authority, Municipal Securities Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC, 0.90%, 09/02/03 13,330
See notes to financial statements. 76
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ PENNSYLVANIA -- CONTINUED $ 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 0.84%, 09/04/03 $ 7,600 4,880 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 0.85%, 09/04/03 4,880 5,200 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/04/03 5,200 10,000 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. C, Rev., FRDO, AMBAC, 0.85%, 09/03/03 10,000 9,630 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 0.84%, 09/03/03 9,630 5,500 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 0.85%, 09/04/03 5,500 8,800 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 0.90%, 09/04/03 8,800 12,180 Pennsylvania State, FLOATS, Ser. PT-1793, GO, FRDO, 0.84%, 09/04/03 12,180 12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev., FRDO, 0.85%, 09/04/03 12,300 8,900 Pennsylvania Turnpike Commission, Ser. B, Rev., FRDO, 0.82%, 09/04/03 8,900 20,000 Philadelphia, Pennsylvania, GO, TRAN, 2.00%, 06/30/04 20,163 700 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Receipts, Ser. SG-158, Rev., FRDO, FGIC, 0.84%, 09/04/03 700 6,170 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Trust Receipts, Ser. L-16, Regulation D, Rev., FRDO, FGIC, 0.90%, 09/04/03 6,170 65,800 Philadelphia, Pennsylvania, Water & Wastewater Systems, Rev., FRDO, FSA, 0.79%, 09/02/03 65,800 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, 0.84%, 09/03/03 10,905 19,800 Sayre Health Care Facilities Authority, VHR Pennsylvania Capital Financing Project, Ser. K, Rev., FRDO, AMBAC, 0.85%, 09/02/03 19,800 10,000 Sayre Health Care Facilities Authority, VHR Pennsylvania Capital Financing Project, Ser. M, Rev., FRDO, AMBAC, 0.85%, 09/02/03 10,000 11,500 Temple University of the Commonwealth System, Higher Education, Rev., 1.20%, 05/04/04 11,500 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 0.80%, 09/03/03 7,500
See notes to financial statements. 77
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ PENNSYLVANIA -- CONTINUED $ 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 0.80%, 09/03/03 $ 7,500 --------------- 523,333 PUERTO RICO -- 0.5% 7,995 Puerto Rico Commonwealth, Floater, Ser. 838, GO, FRDO, MBIA, 1.05%, 09/04/03 7,995 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 0.81%, 09/04/03 3,315 16,535 Puerto Rico Commonwealth, FLOATS, Ser. PA-659, GO, FRDO, MBIA, 0.81%, 09/04/03 16,535 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 0.81%, 09/06/03 800 1,700 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 0.83%, 09/04/03 1,700 18,745 Puerto Rico Electric Power Authority, FLOATS, Ser. PA-1044, Rev., FRDO, FSA, 0.81%, 09/02/03 18,745 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 0.69%, 09/04/03 4,900 1,600 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA,0.86%, 09/04/03 1,600 600 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA,0.81%, 09/04/03 600 1,200 Puerto Rico Highway & Transportation Authority, Ser. 816, Rev., FRDO, MBIA, 0.86%, 09/04/03 1,200 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 0.83%, 09/04/03 1,330 1,700 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 0.83%, 09/05/03 1,700 --------------- 60,420 RHODE ISLAND -- 0.5% 5,900 Rhode Island Clean Water Finance Agency, PCR, FLOATS, Ser. PT-1535, 0.88%, 09/04/03 5,900 4,100 Rhode Island Health & Educational Building Corp., Hospital Financing Care New England, Ser. A, Rev., FRDO, 0.90%, 09/01/03 4,100 4,700 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 0.90%, 09/01/03 4,700 8,500 Rhode Island Industrial Facilities Corp., Marine Terminal, Exxon-Mobil Project, Rev., FRDO, 0.80%, 09/01/03 8,500 26,365 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 0.80%, 09/04/03 26,365 8,450 Rhode Island State, FLOATS, Ser. PT-1589, COP, FRDO, MBIA, 0.88%, 09/04/03 8,450 --------------- 58,015
See notes to financial statements. 78
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- 0.7% $ 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev., FRDO, 1.00%, 09/03/03 $ 3,000 7,480 Darlington County, PCR, Floating Rate Receipts, Ser. L-36, Rev., FRDO, AMBAC, 0.90%, 09/03/03 7,480 2,150 Florence County, Solid Waste Disposal & Wastewater Treatment, Roche Carolina, Inc., Rev., FRDO, 0.90%, 09/01/03 2,150 2,000 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.00%, 09/05/03 2,000 28,900 South Carolina Jobs & Economic Development Authority, FLOATS, Ser. PT- 499, Rev., FRDO, 1.03%, 09/04/03 28,900 3,375 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 0.90%, 09/04/03 3,375 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 0.95%, 09/02/03 4,600 3,450 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, Rev., FRDO, 0.95%, 09/06/03 3,450 4,710 South Carolina State Housing Finance & Development Authority, Rental Housing, Oak Ridge/McGuire, FRDO, 0.85%, 09/03/03 4,710 2,645 South Carolina State Housing Finance & Development Authority, Rental Housing, Waverly Place Project, Rev., FRDO, 0.85%, 09/07/03 2,645 5,310 South Carolina State Public Service Authority, FLOATS, Ser. PT-1525, Rev., FRDO, FSA, 0.88%, 09/04/03 5,310 6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO, 0.84%, 09/04/03 6,000 3,030 South Carolina State, FLOATS, Ser. PT-423, 0.88%, 09/04/03 3,030 8,085 University of South Carolina, Athletic Facilities, Ser. B, Rev., BAN, 2.00%, 03/19/04 8,123 --------------- 84,773 SOUTH DAKOTA -- 0.0%^ 4,710 South Dakota Economic Development Finance Authority, Hastings Filters, Inc. Project, Rev., FRDO, 1.00%, 09/01/03 4,710 195 South Dakota Housing Development Authority, FLOATS, Ser. PT-73, FRDO, 0.88%, 09/04/03 195 --------------- 4,905
See notes to financial statements. 79
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TENNESSEE -- 2.7% $ 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-25, GO, FRDO, MBIA, 1.05%, 11/07/03 $ 5,000 4,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-E, Rev., FRDO, AMBAC, 0.82%, 09/01/03 4,000 3,195 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-F, Rev., FRDO, AMBAC, 0.82%, 09/01/03 3,195 3,740 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-F, Rev., FRDO, AMBAC, 0.82%, 09/01/03 3,740 1,120 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2C, Rev., FRDO, AMBAC, 0.82%, 09/01/03 1,120 30,970 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-4-A, Rev., FRDO, 0.82%, 09/01/03 30,970 12,865 Bristol Health & Educational Facilities Board, FLOATS, Ser. PA-1096, Rev., FRDO, FGIC, 0.88%, 09/04/03 12,865 4,845 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 0.85%, 09/01/03 4,845 21,700 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 0.85%, 09/01/03 21,700 36,180 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 0.85%, 09/01/03 36,180 3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp. Project, FRDO, 0.95%, 09/03/03 3,000 100 Knoxville Utilities Board, Wastewater Systems, Rev., FRDO, FSA, 0.81%, 09/01/03 100 7,485 Knoxville, Tennessee, Utilities Board, Gas Systems, Rev., FRDO, 0.81%, 09/01/03 7,485 14,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 1.25%, 01/05/04 14,000 14,800 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 0.83%, 09/03/03 14,800 20,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Vanderbilt University, Ser. B, Rev., FRDO, 0.80%, 09/01/03 20,000 2,500 Metropolitan Government Nashville & Davidson County IDB, Country Music Hall of Fame, Rev., FRDO, 0.85%, 09/02/03 2,500
See notes to financial statements. 80
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TENNESSEE -- CONTINUED $ 3,345 Metropolitan Government Nashville & Davidson County IDB, L&S LLC Project, Rev., FRDO, 0.95%, 09/04/03 $ 3,345 2,495 Metropolitan Government Nashville & Davidson County, Energy, FLOATS, Ser. PT-1526, Rev., FRDO, AMBAC, 0.88%, 09/04/03 2,495 6,995 Metropolitan Government Nashville & Davidson County, FLOATS, Ser. PT-394, GO, FRDO, 0.89%, 09/03/03 6,995 7,000 Metropolitan Government Nashville & Davidson County, Health & Educational Facility Board, Ascension Health Credit, Ser. B-1, Rev., FRDO, 1.00%, 12/31/03 7,000 16,000 Metropolitan Government of Nashville, 0.90%, 01/07/04 16,000 4,900 Montgomery County Public Building Authority, Pooled Financing, Montgomery County Loan Pool, Rev., FRDO, 0.85%, 09/05/03 4,900 31,310 Montgomery County Public Building Authority, Pooled Financing, Tennessee County Loan Pool, Rev., FRDO, 0.85%, 09/01/03 31,310 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 0.87%, 09/02/03 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 0.87%, 09/02/03 2,500 6,000 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-C-2, Rev., FRDO, AMBAC, 0.87%, 09/04/03 6,000 1,005 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 0.87%, 09/07/03 1,005 3,200 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 0.87%, 09/04/03 3,200 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 0.87%, 09/02/03 6,800 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 0.87%, 09/01/03 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 0.87%, 9/01/03 2,500 5,155 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 0.85%, 09/01/03 5,155 500 South Pittsburg IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 0.95%, 09/03/03 500
See notes to financial statements. 81
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TENNESSEE -- CONTINUED $ 18,050 Stewart County IDB, Solid Waste Disposal, Standard Gypsum Project, Rev., FRDO, 0.89%, 09/04/03 $ 18,050 --------------- 306,355 TEXAS -- 12.8% 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6, FRDO, #, 0.92%, 09/04/03 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9, FRDO, #, 0.92%, 09/03/03 10,000 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10, FRDO, MBIA, 0.92%, 09/04/03 13,280 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11, FRDO, 0.97%, 09/05/03 14,990 16,685 ABN AMRO Munitops Certificate Trust, Ser. 2000-13, Class C, FRDO, 1.20%, 02/29/04 16,685 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26, GO, FRDO, 0.92%, 09/03/03 8,000 5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16, GO, FRDO, 0.89%, 02/29/04 5,500 35,800 Aldine Independent School District, School Buildings, GO, FRDO, 1.00%, 10/17/03 35,800 2,900 Angelina & Neches River Authority, IDB, Solid Waste, Ser. 1984-D, Rev., FRDO, 0.87%, 09/01/03 2,900 4,200 Angelina & Neches River Authority, IDB, Solid Waste, Ser. 1984-E, Rev., FRDO, 0.87%, 09/01/03 4,200 5,595 Arlington Independent School District, FLOATS, Ser. PA-874, GO, FRDO, 0.88%, 09/04/03 5,595 4,350 Austin Higher Education Authority, Concordia University at Austin, Rev., FRDO, 0.85%, 09/01/03 4,350 5,000 Austin, Texas, Electric Utilities System, Ser. 2003-0032, Class A, Rev., FRDO, MBIA, 0.90%, 09/04/03 5,000 995 Bexar County Health Facilities Development Corp., FLOATS, Ser. PT-444, Rev., FRDO, 0.88%, 09/04/03 995 9,100 Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects, Rev., FRDO, 0.80%, 09/01/03 9,100 11,375 Bexar County Housing Finance Authority, Multi-Family Housing, Fountainhead Apartments, Rev., FRDO, 0.80%, 09/05/03 11,375 6,610 Brazos River Authority, FLOATS, Ser. PT-679, Rev., FRDO, MBIA, 0.88%, 09/04/03 6,610 4,200 Brazos River Habor Navigation District, Brazoria County Environmental, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 0.92%, 09/01/03 4,200 22,400 Brownsville, Texas, Utilities Systems, Sub Lien, Ser. B, Rev., FRDO, MBIA, 0.85%, 09/04/03 22,400 8,719 Collin County Housing Finance Corp., Multi-Family Housing, Preston Bend Apartments Project, Rev., FRDO, 0.80%, 09/04/03 8,719
See notes to financial statements. 82
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TEXAS -- CONTINUED $ 10,445 Dallas Area Rapid Trust, 0.85%, 09/04/03 $ 10,445 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 0.93%, 09/05/03 5,000 4,995 Dallas-Fort Worth International Airport Facilities Improvement Corp., FLOATS, Ser. PT-805, Rev., FRDO, FSA, 1.15%, 09/04/03 4,995 200 Dallas-Fort Worth Regional Airport, Municipal Securities Trust Receipts, Ser. SGA-49, FRDO, MBIA, 0.92%, 09/01/03 200 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 0.90%, 09/03/03 5,000 10,475 Eagle Tax Exempt Trust, Weekly Option Mode, Round Rock, Texas, COP, Ser. 2001-4304, Class A, 0.90%, 09/05/03 10,475 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, #, FRDO, 0.90%, 09/01/03 2,420 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, #, FRDO, 0.90%, 09/03/03 3,910 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 0.88%, 09/01/03 5,000 25,000 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 0.88%, 09/02/03 25,000 10,000 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 0.88%, 09/04/03 10,000 17,500 Guadalupe-Blanco River Authority, PCR, Central Power & Light Co. Project, Rev., FRDO, 0.85%, 09/01/03 17,500 3,100 Gulf Coast IDA, Marine Terminal, Amoco Oil Co. Project, Rev., FRDO, 0.90%, 09/01/03 3,100 5,800 Gulf Coast IDA, Tax Exempt Facilities, BP Global Power Corp. Project, Rev., FRDO, 0.90%, 09/01/03 5,800 4,800 Gulf Coast Waste Disposal Authority, Environmental Facilities, ExxonMobil Project, Ser. B, Rev., FRDO, 0.85%, 09/01/03 4,800 23,515 Gulf Coast Waste Disposal Authority, PCR, Amoco Oil Co. Project, Rev., FRDO, 0.80%, 09/01/03 23,515 5,700 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 0.67%, 09/01/03 5,700 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 0.90%, 09/05/03 5,000 9,540 Harris County Health Facilities Development Authority, FLOATS, Ser. PT-1665, Rev., FRDO, (p), 0.88%, 09/04/03 9,540 52,792 Harris County, GO, 0.90%, 12/03/03 52,792 31,500 Harris County, Promissory Note, 0.90%, 10/08/03 31,500
See notes to financial statements. 83
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TEXAS -- CONTINUED $ 7,225 Harris County, Ser. RR-II-R-1029, Rev., FRDO, FSA, 0.90%, 09/02/03 $ 7,225 4,700 Harris County, Toll Road, 0.90%, 10/08/03 4,700 6,800 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., FRDO, 0.85%, 09/01/03 6,800 29,245 Houston Higher Education Finance Corp., Floating Rate Receipts, Ser. SG-139, Rev., FRDO, 0.88%, 09/04/03 29,245 1,965 Houston Housing Finance Corp., Single Family Mortgage, FLOATS, Ser. PT-1, FRDO, FSA, 0.88%, 09/04/03 1,965 13,300 Houston Housing Finance Corp., Single Family Mortgage, Ser. B, Rev., 1.18%, 10/30/03 13,300 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 0.90%, 09/03/03 17,500 18,925 Houston, Texas, Floating Rate Certificates, COP, Ser. 523, FRDO, MBIA, 0.89%, 09/04/03 18,925 4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO, FSA, 0.88%, 09/04/03 4,335 3,000 Houston, Texas, Rev., FRDO, 0.90%, 09/04/03 3,000 30,000 Houston, Texas, Water & Sewer Systems, 0.87%, 10/08/03 30,000 11,270 Hurst-Euless-Bedford Independent School District, Floating Rate Receipts, Ser. SG-98, GO, FRDO, 0.88%, 09/04/03 11,270 6,500 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 0.90%, 09/01/03 6,500 14,285 Keller Independent School District, Municipal Trust Certificates, Ser. 30, Class A, FRDO, 1.03%, 09/02/03 14,285 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, 0.88%, 09/01/03 19,425 13,175 Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities, ExxonMobil Project, Ser. A, Rev., FRDO, 0.80%, 09/01/03 13,175 3,400 Lower Neches Valley Authority Industrial Development Corp., Onyx Environmental Services, Rev., FRDO, 0.95%, 09/04/03 3,400 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 0.90%, 09/03/03 5,455 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 0.90%, 09/05/03 5,290
See notes to financial statements. 84
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ TEXAS -- CONTINUED $ 17,050 New Caney Independent School District, Floating Rate Certificates, Ser. SG-142, GO, FRDO, 0.88%, 09/04/03 $ 17,050 7,885 North Central Texas Health Facility Development Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC, 0.88%, 09/04/03 7,885 20,000 North East Independent School District, Floating Rate Certificates, Ser. SG-143, GO, FRDO, 0.88%, 09/02/03 20,000 1,400 North Texas Higher Education Authority, Student Loan, Ser. F, Rev., FRDO, AMBAC, 0.90%, 09/02/03 1,400 20,000 North Texas Tollway Authority, Floating Rate Receipts, Ser. SG-168, Rev., FRDO, AMBAC, 0.88%, 09/04/03 20,000 4,000 Pasadena Independent School District, Ser. A, GO, FRDO, 1.35%, 08/15/04 4,000 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 0.90%, 09/04/03 11,735 12,500 Port Arthur Navigation District, Texaco, Inc. Project, Rev., FRDO, 0.87%, 09/01/03 12,500 9,000 Port Corpus Christi Authority, Nueces County Marine Terminal, Reynolds Metals Co. Project, Rev., FRDO, 0.90%, 09/04/03 9,000 8,485 Richardson, Texas, Refinancing & Improvement, GO, FRDO, 1.00%, 06/16/04 8,485 8,780 San Angelo Independent School District, GO, FRDO, 0.83%, 09/04/03 8,780 10,760 San Antonio, Texas, Electric & Gas, FLOATS, Ser. PT-1498, Rev., FRDO, 0.89%, 09/04/03 10,760 11,190 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, (p), 0.88%, 09/04/03 11,190 9,540 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-105, (p), 0.88%, 09/04/03 9,540 11,000 San Antonio, Texas, Electric & Gas, Junior Lien, Rev., FRDO, 0.90%, 09/04/03 11,000 10,315 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, #, 0.90%, 09/05/03 10,315 40,000 San Antonio, Texas, Water Authority, Tax Exempt, 0.85%, 09/09/03 40,000 3,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., Adj., FSA, 0.88%, 09/04/03 3,935 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 0.90%, 09/01/03 10,430
See notes to financial statements. 85
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, 0.90%, 09/01/03 $ 5,000 9,000 Schertz-Seguin Local Government Corp., Texas Contract, Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 0.85%, 09/01/03 9,000 3,430 Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., FRDO, 0.85%, 09/01/03 3,430 1,440 Tarrant Regional Water District, FLOATS, Ser. PT-1691, Rev., FRDO, FSA, 0.91%, 09/04/03 1,440 9,250 Texas Department of Housing & Community Affairs, Multi-Family Housing, Reading, Rev., FRDO, 0.90%, 09/02/03 9,250 2,500 Texas State Affordable Housing Corp., Multi-Family Housing, Ser. 780, Rev., FRDO, MBIA, 0.89%, 09/04/03 2,500 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 0.90%, 09/01/03 1,100 20,000 Texas State Turnpike Authority, Central Texas Turnpike Authority, First Tier, Ser. B, Rev., FRDO, AMBAC, 0.77%, 09/04/03 20,000 3,000 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, 0.88%, 09/03/03 3,000 4,200 Texas State, Floating Rate Certificates, Ser. 290, GO, FRDO, (p), 0.89%, 09/04/03 4,200 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 0.85%, 09/01/03 9,970 8,100 Texas State, Ser. A, GO, 5.70%, 10/01/03 8,129 442,600 Texas State, TRAN, 2.00%, 08/31/04 446,312 4,110 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 0.95%, 09/02/03 4,110 5,625 Trinity River Authority, Ser. RR-II-R-2006, Rev., FRDO, MBIA, 0.90%, 09/04/03 5,625 4,255 University of Texas, Municipal Trust Certificates, Ser. ZTC-52, Class A, Rev., FRDO, 1.03%, 09/04/03 4,255 6,000 West Harris County Regional Water Authority, Municipal Securities Trust Receipts, Ser. SGA-148, Rev., FRDO, #, MBIA, 0.90%, 09/03/03 6,000 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 0.90%, 09/01/03 3,600 --------------- 1,453,607 UTAH -- 2.6% 600 Carbon County, PCR, PacifiCorp Project, Rev., FRDO, AMBAC, 0.85%, 09/01/03 600 12,000 Intermountain Power Agency, 0.83%, 09/03/03 12,000
See notes to financial statements. 86
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ UTAH -- CONTINUED $ 13,200 Intermountain Power Agency, 0.85%, 09/02/03 $ 13,200 60,000 Intermountain Power Agency, 0.90%, 09/02/03 60,000 15,000 Intermountain Power Agency, 0.95%, 09/04/03 15,000 7,665 Intermountain Power Agency, Power Supply, Municipal Trust Receipts, Ser. SG-6, 0.88%, 09/03/03 7,665 7,500 Intermountain Power Agency, Power Supply, Ser. E, Rev., FRDO, AMBAC, 0.97%, 10/30/03 7,500 5,330 Salt Lake City Municipal Building Authority, FLOATS, Ser. PT-1744, Rev., FRDO, AMBAC, 0.88%, 09/04/03 5,330 18,680 Salt Lake City, Utah, Airport, Ser. A, Rev., FRDO, 0.88%, 09/04/03 18,680 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 0.83%, 09/03/03 4,000 5,240 Salt Lake City, Utah, Salt Lake City Airport, Floating Rate Trust Receipts, Ser. 2002-L, Class 20, Rev., FRDO, FGIC, 0.90%, 09/04/03 5,240 7,645 Salt Lake County, FLOATS, Ser. PT-420, GO, FRDO, 0.97%, 09/04/03 7,645 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 0.95%, 09/04/03 28,560 52,900 Utah County, Utah Hospital, IHC Health Services, Inc., Ser. C, Rev., FRDO, 0.85%, 09/01/03 52,900 7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1, Class I, Rev., FRDO, 0.90%, 09/03/03 7,000 5,000 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 0.90%, 09/02/03 5,000 6,610 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 0.90%, 09/01/03 6,610 4,235 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 0.90%, 09/02/03 4,235 4,995 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 0.90%, 09/01/03 4,995 11,200 Utah State Board of Regents, Student Loan Weekly Amount, Ser. Q, Rev., FRDO, AMBAC, 0.90%, 09/03/03 11,200 21,000 Utah Transit Authority, Sales Tax & Transportation, Utah Light Rail Transit, Rev., FRDO, 0.80%, 09/01/03 21,000 --------------- 298,360 VERMONT -- 0.2% 11,400 Vermont Economic Development Authority, 0.90%, 10/07/03 11,400 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 0.85%, 09/05/03 5,900
See notes to financial statements. 87
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ VERMONT -- CONTINUED $ 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.00%, 09/01/03 $ 5,000 --------------- 22,300 VIRGINIA -- 0.6% 2,400 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Multi-Mode, First Mortgage, Goodwin House, Ser. B, Rev., FRDO, 0.80%, 09/01/03 2,400 3,600 Fairfax County, Energy Northwest Electric, FLOATS, Ser. PA-977R, GO, FRDO, 0.84%, 09/04/03 3,600 2,000 Harrisonburg Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 0.88%, 09/01/03 2,000 8,000 James City & County IDA, Multi-Family Housing, Chambrel Project, Rev., FRDO, 0.85%, 09/02/03 8,000 4,400 King George County IDA, Exempt Facilities, Birchwood Power Partners Project, Rev. FRDO, 0.90%, 09/01/03 4,400 9,340 Loudoun County IDA, Howard Hughes Medical Center, Ser. A, Rev., FRDO, 0.82%, 09/01/03 9,340 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 0.88%, 09/04/03 23,590 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 0.84%, 09/02/03 8,885 11,100 Virginia State, IDA, 0.85%, 10/07/03 11,100 --------------- 73,315 WASHINGTON -- 2.4% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16, FRDO, MBIA, 0.91%, 09/04/03 17,676 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1, GO, FRDO, MBIA, 0.92%, 09/05/03 5,000 9,005 Broadway Office Properties, FLOATS, Ser. PT-1586, Rev., FRDO, MBIA, 0.88%, 09/04/03 9,005 1,500 Clark County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 0.90%, 09/01/03 1,500 10,295 Clark County School District No. 114 Evergreen, Municipal Trust Certificates, Ser. 54-A, GO, FRDO, FSA, 1.03%, 09/02/03 10,295 6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734, Rev., FRDO, MBIA, 0.88%, 09/04/03 6,995 15,000 Energy Northwest, Project No. 3, Ser. D-3-1, Rev., FRDO, FSA, 0.79%, 09/04/03 15,000 13,650 King County, FLOATS, Ser. PA-904, GO, FRDO, 1.05%, 09/04/03 13,650 5,345 King County, Ser. RR-II-R-1028, GO, FRDO, FSA, 0.90%, 09/02/03 5,345
See notes to financial statements. 88
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ WASHINGTON -- CONTINUED $ 4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO, FGIC, 0.93%, 09/04/03 $ 4,430 1,130 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 0.90%, 09/03/03 1,130 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 0.88%, 09/04/03 19,885 11,965 Seattle, Washington, Municipal Light & Power, FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 0.88%, 09/04/03 11,965 4,000 Seattle, Washington, Municipal Securities Trust Receipts, Ser. SGA-142, GO, FRDO, 0.90%, 09/04/03 4,000 9,400 Seattle, Washington, Water Systems, Rev., FRDO, 0.70%, 09/03/03 9,400 10,000 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 0.79%, 09/03/03 10,000 18,035 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A-2, Rev., FRDO, FSA, 0.79%, 09/04/03 18,035 8,500 Snohomish County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 0.90%, 09/01/03 8,500 5,103 Tacoma, Washington, Electric Systems, Floating Rate Certificates, Ser. 507, Rev., FRDO, FGIC, 0.89%, 09/04/03 5,103 11,370 Tacoma, Washington, Electric Systems, FLOATS, Ser. PT-1404, Rev., FRDO, AMBAC, 0.88%, 09/04/03 11,370 12,885 Washington State Floating Rate Trust Receipts, Ser. L-15, Regulation D, GO, FRDO, 1.35%, 09/01/03 12,885 1,050 Washington State Housing Finance Commission, Non-Profit Housing, Golden Sands Project, Rev., FRDO, 0.95%, 09/01/03 1,050 4,000 Washington State Housing Finance Commission, Nonprofit Housing, Rockwood Retirement Communities, Rev., FRDO, 0.95%, 09/01/03 4,000 2,640 Washington State Housing Finance Commission, Nonprofit Housing, YMCA Snohomish County Project, Rev., FRDO, 0.95%, 09/01/03 2,640 2,880 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 0.85%, 09/05/03 2,880 6,480 Washington State Public Power Supply System Project No. 2, Electric, Ser. 2-A2, Rev., FRDO, MBIA, 0.77%, 09/04/03 6,480 14,790 Washington State Public Power Supply System, Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA, 0.77%, 09/04/03 14,790
See notes to financial statements. 89
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ WASHINGTON -- CONTINUED $ 12,980 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 0.85%, 09/04/03 $ 12,980 2,490 Washington State, FLOATS, Ser. PA-1111, GO, FRDO, 1.05%, 09/04/03 2,490 13,710 Washington State, Rev., FRDO, 0.90%, 09/04/03 13,710 16,400 Washington State, Ser. VR-96A, GO, FRDO, 0.73%, 09/03/03 16,400 --------------- 278,589 WEST VIRGINIA -- 0.4% 3,940 West Virginia Economic Development Authority, IDR, Gemark Services West VA/M & M, Rev., FRDO, 0.95%, 09/03/03 3,940 13,400 West Virginia School Building Authority, 0.87%, 09/09/03 13,400 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, 0.89%, 09/04/03 5,765 5,700 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC, 0.85%, 09/02/03 5,700 5,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC, 0.85%, 09/02/03 5,000 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC, 0.85%, 09/03/03 4,000 10,000 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 0.78%, 09/02/03 10,000 --------------- 47,805 WISCONSIN -- 1.5% 7,045 Dane County, Ser. RR-II-R-2003, GO, FRDO, 0.90%, 09/04/03 7,045 5,845 Dane County, Ser. RR-II-R-4504, GO, FRDO, 0.90%, 09/04/03 5,845 1,260 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 0.95%, 09/04/03 1,260 1,150 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 0.95%, 09/07/03 1,150 4,000 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. A, Rev., FRDO, 0.90%, 09/04/03 4,000 20,000 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. B, Rev., FRDO, 0.90%, 09/02/03 20,000
See notes to financial statements. 90
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ WISCONSIN -- CONTINUED $ 5,000 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. E, Rev., FRDO, 0.90%, 09/04/03 $ 5,000 3,975 Wisconsin Housing & Economic Development Authority, Ser. D, Rev., FRDO, MBIA, 0.93%, 09/02/03 3,975 3,545 Wisconsin Housing & Economic Development Authority, Ser. E, Rev., FRDO, MBIA, 0.93%, 09/02/03 3,545 5,465 Wisconsin Housing & Economic Development Authority, Ser. F, Rev., FRDO, MBIA, 0.88%, 09/02/03 5,465 4,355 Wisconsin Housing & Economic Development Authority, Ser. G, Rev., FRDO, MBIA, 0.93%, 09/02/03 4,355 5,400 Wisconsin Housing & Economic Development Authority, Ser. I, Rev., FRDO, MBIA, 0.93%, 09/02/03 5,400 15,120 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., FRDO, 0.97%, 09/04/03 15,120 7,300 Wisconsin State Health & Educational Facilities Authority, Felican Health Care, Inc., Rev., FRDO, 0.84%, 09/03/03 7,300 22,800 Wisconsin State Health & Educational Facilities Authority, Felician Services, Ser. A, Rev., FRDO, AMBAC, 0.84%, 09/03/03 22,800 8,580 Wisconsin State Health & Educational Facilities Authority, FLOATS, Ser. PT-858, Rev., FRDO, MBIA, 0.88%, 09/04/03 8,580 25,000 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Rev., FRDO, 0.82%, 09/02/03 25,000 15,300 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Ser. B, Rev., FRDO, 0.82%, 09/03/03 15,300 6,240 Wisconsin State, Clean Water, FLOATS, Ser. PA-915, Rev., FRDO, 0.88%, 09/04/03 6,240 9,510 Wisconsin State, Ser. II-R-135, GO, FRDO, (p), 0.90%, 09/04/03 9,510 --------------- 176,890 WYOMING -- 1.0% 400 Kemmerer, Wyoming, PCR, Exxon Project, Rev., FRDO, 0.67%, 09/01/03 400 1,300 Lincoln County, PCR, Exxon Project, Ser. C, Rev., FRDO, 0.67%, 09/01/03 1,300 7,000 Lincoln County, PCR, Exxon Project, Ser. D, Rev., FRDO, 0.67%, 09/01/03 7,000 6,400 Sublette County, PCR, Exxon Project, Ser. A, Rev., FRDO, 0.85%, 09/01/03 6,400 5,700 Sublette County, PCR, Exxon Project, Ser. B, Rev., FRDO, 0.85%, 09/01/03 5,700
See notes to financial statements. 91
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ WYOMING -- CONTINUED $ 4,600 Uinta County, PCR, Amoco Project, Rev., FRDO, 0.80%, 09/01/03 $ 4,600 12,860 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, 1.15%, 09/01/03 12,860 7,900 Wyoming Community Development Authority, Housing, Ser. 7, Rev., FRDO, 0.90%, 09/02/03 7,900 5,000 Wyoming Community Development Authority, Housing, Ser. 8, Rev., FRDO, 0.90%, 09/02/03 5,000 5,955 Wyoming Community Development Authority, Housing, Ser. II-R-141, Rev., FRDO, 0.95%, 09/04/03 5,955 7,245 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 0.84%, 09/03/03 7,245 22,000 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 0.84%, 09/04/03 22,000 25,000 Wyoming State, Education Fund, Rev., TRAN, 1.50%, 06/29/04 25,107 8,000 Wyoming State, Education Fund, Rev., TRAN, 1.75%, 06/29/04 8,051 --------------- 119,518 - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $ 11,452,335 (Cost $11,452,335) * - ------------------------------------------------------------------------------------------------
See notes to financial statements. 92 JPMORGAN LIQUID ASSETS MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- 100.0% - ------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCY SECURITIES -- 4.5% Federal Home Loan Mortgage Corp., $ 20,000 0.98%, 12/19/03, DN $ 19,941 20,000 1.15%, 02/26/04, DN 19,886 75,235 Federal National Mortgage Association, 1.14%, 02/18/04, DN 74,830 -------------------------------------------------------------------------------- Total U.S. Government Agency Securities 114,657 (Cost $114,657) -------------------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 46.5% ASSET BACKED SECURITIES -- 9.9% 30,000 Grampian Funding LLC, 1.21%, 11/07/03 29,932 K2 (USA) LLC, 40,000 1.19%, 09/29/03 39,963 50,000 1.08%, 03/15/04 49,999 Links Finance LLC, 85,000 1.39%, 02/17/04 85,000 50,000 1.08%, 03/11/04, FRN 49,999 --------------- 254,893 BANKING -- 1.9% Bank of America Corp., 5,000 5.75%, 03/01/04, Ser. H, MTN 5,116 18,725 6.63%, 06/15/04 19,525 25,000 Westpac Banking Corp./New York, 1.13%, 06/14/04, FRN 25,011 --------------- 49,652 DIVERSIFIED -- 0.4% General Electric Capital Corp., 1,000 8.09%, 04/01/04, Ser. A, MTN, SUB 1,041 2,000 5.38%, 04/23/04, Ser. A, MTN 2,055 6,000 1.19%, 09/09/03, FRN 6,000 --------------- 9,096 FINANCIAL SERVICES -- 29.4% 4,000 Associates Corp. of North America, 5.75%, 11/01/03 4,031 Beta Finance, Inc., 30,000 1.06%, 05/19/04, MTN, FRN, # 29,999 50,000 1.06%, 06/02/04, MTN, FRN, # 49,998 CC USA, Inc., 25,000 1.07%, 03/18/04, MTN, FRN, # 24,999 25,000 1.07%, 03/31/04, Ser. 1, MTN, FRN, # 25,000 40,000 1.07%, 06/24/04, MTN, FRN, # 40,000 8,000 Citigroup, Inc., 5.70%, 02/06/04 8,159
See notes to financial statements. 93
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ FINANCIAL SERVICES -- CONTINUED $ 18,335 Countrywide Home Loans, Inc., 1.65%, 10/01/03, Ser. J, MTN, FRN $ 18,342 Dorada Finance, Inc., 54,000 1.08%, 02/12/04, MTN, FRN, # 53,998 25,000 1.08%, 02/20/04, Ser. 1, MTN, FRN, # 24,999 30,000 1.07%, 03/31/04, MTN, FRN, # 30,000 10,000 1.06%, 05/24/04, Ser. 1, MTN, FRN, # 10,000 74,000 Fairway Finance Corp., 1.06%, 11/26/03 73,995 40,000 Goldman Sachs Group, Inc., 1.24%, 10/30/03 Household Finance Corp., 40,000 28,850 1.28%, 09/26/03, MTN, FRN 28,852 10,000 1.41%, 09/26/03, Ser. 2, MTN, FRN 10,001 5,250 1.56%, 10/08/03, MTN, FRN 5,249 19,320 1.38%, 10/15/03, MTN, FRN 19,320 12,000 1.56%, 12/19/03, Ser. 1, MTN, FRN 12,016 5,000 John Hancock Global Funding II, 1.27%, 09/15/03, MTN, FRN, # 5,000 67,000 Money Market Trust, 1.25%, 07/09/04, Ser. A-1, FRN, #, (i) 67,000 Morgan Stanley, 5,105 5.63%, 01/20/04 5,194 30,000 1.29%, 03/19/04, Ser. 1, MTN, FRN 30,037 55,000 1.49%, 04/05/04, Ser. 1, MTN, FRN 55,140 24,000 1.43%, 05/14/04, Ser. C, MTN, FRN 24,061 Premium Asset Trust/GEFA, 35,000 1.46%, 06/01/04, Ser. 2002-6, FRN, # 35,035 25,000 5.25%, 07/19/04, Ser. 2001-6, # 25,871 --------------- 756,296 TRANSPORTATION -- 4.9% 125,000 Network Rail LTD (United Kingdom), 1.04%, 12/16/03 124,617 -------------------------------------------------------------------------------- Total Corporate Notes & Bonds 1,194,554 (Cost $1,194,554) -------------------------------------------------------------------------------- COMMERCIAL PAPER -- 17.9% ASSET BACKED SECURITIES -- 8.6% 10,000 Amsterdam Funding Corp., 1.25%, 10/20/03 9,983 75,000 Aquinas Funding LLC, 1.05%, 01/15/04 74,704 50,000 Atlantis One Funding Corp., 1.04%, 12/17/03 49,845 27,000 Cantabric Financing LLC, 1.09%, 11/12/03 26,941 Four Winds Funding Corp., 7,600 1.20%, 09/05/03 7,599 5,800 1.20%, 09/09/03 5,798
See notes to financial statements. 94
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ ASSET BACKED SECURITIES -- CONTINUED $ 25,000 New Center Asset Trust, 1.25%, 10/17/03 $ 24,960 20,000 Windmill Funding Corp., 1.25%, 10/23/03 19,964 --------------- 219,794 AUTOMOTIVE -- 1.6% DaimlerChrysler N.A. Holdings Corp., 8,400 1.23%, 09/02/03 8,400 1,000 1.22%, 09/10/03 1,000 4,200 1.23%, 09/23/03 4,197 Ford Motor Credit Co., 8,800 1.23%, 09/08/03 8,798 5,000 1.26%, 10/02/03 4,995 General Motors Acceptance Corp., 12,600 1.25%, 09/12/03 12,594 1,400 1.26%, 09/16/03 1,399 --------------- 41,383 BANKING -- 2.9% 20,000 Caisse des Depots at Consignations (France), 1.04%, 12/30/03 19,931 15,000 Hamburgische Landesbank (Germany), 1.28%, 10/16/03 14,976 40,000 Norddeutsche Landesbank Girozentrale (Germany), 1.03%, 12/23/03 39,870 --------------- 74,777 BROADCASTING/CABLE -- 0.5% 13,000 Time Warner Entertainment, 1.18%, 09/03/03 12,999 FINANCIAL SERVICES -- 2.6% Allianz Finance Corp. (Germany), 28,020 1.04%, 10/09/03 27,989 38,998 1.08%, 11/07/03 38,920 --------------- 66,909 FOOD/BEVERAGE PRODUCTS -- 0.5% Cadbury Schweppes PLC (United Kingdom), 2,095 1.22%, 09/08/03 2,095 10,700 1.22%, 09/16/03 10,694 1,200 1.22%, 09/22/03 1,199 --------------- 13,988 INSURANCE -- 0.8% 20,000 Prudential Funding Corp., 1.20%, 10/16/03 19,970
See notes to financial statements. 95
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ RETAILING -- 0.4% $ 10,000 Sears Roebuck Acceptance Corp., 1.25%, 09/30/03 $ 9,990 -------------------------------------------------------------------------------- Total Commercial Paper 459,810 (Cost $459,810) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 30.6% 15,000 Abbey National Treasury Services PLC (United Kingdom) (Yankee), 1.04%, 09/12/03, Floating Rate 15,000 20,000 Alliance Finance Corp. (Germany) (Yankee), 1.03%, 12/09/03 20,000 35,000 Banco Bilbao Vizcaya Argentaria SA (Spain) (Yankee), 1.29%, 10/22/03 35,000 50,000 Bank One Corp., 1.12%, 06/17/04, Floating Rate 50,031 30,000 BNP Paribas/New York (Yankee), 1.06%, 06/10/04 Canadian Imperial Bank of Commerce (Canada) (Yankee), 29,995 10,000 1.04%, 09/09/03, Floating Rate 10,000 50,000 1.06%, 01/27/04, Floating Rate 50,000 Credit Agricole Indosuez/New York (Yankee), 14,500 1.04%, 09/25/03, Floating Rate 14,500 35,000 1.04%, 06/04/04, Floating Rate 34,995 50,000 Credit Lyonnais (France) (Yankee), 1.05%, 12/31/03 50,000 25,000 Credit Suisse First Boston (Switzerland) (Yankee), 1.19%, 09/04/03 25,000 15,000 Goldman Sachs Group, Inc., 1.26%, 11/07/03 15,000 75,000 HBOS Treasury Services PLC (United Kingdom) (Yankee), 1.26%, 10/22/03 74,999 25,000 ING Bank N.V. (The Netherlands) (Yankee), 1.37%, 01/30/04 25,000 25,000 Landesbank Baden-Wurttemberg (Germany) (Yankee), 1.14%, 02/26/04 25,000 25,000 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 1.32%, 10/24/03 25,002 20,000 Norddeutsche Landesbank Girozentrale (Germany) (Yankee), 1.25%, 10/24/03 20,000 65,000 Nordea Bank AB (Sweden) (Yankee), 1.06%, 01/27/04 65,000 15,000 Royal Bank of Canada/New York (Yankee), 1.04%, 09/12/03, Floating Rate 15,000
See notes to financial statements. 96
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- CONTINUED Societe Generale (France) (Yankee), $ 60,000 1.25%, 10/16/03 $ 60,000 40,500 1.03%, 12/09/03 40,500 10,000 Toronto Dominion Bank/New York (Yankee), 1.04%, 09/09/03, Floating Rate 10,000 25,000 UniCredito Italiano SPA (Italy) (Yankee), 1.06%, 01/07/04 25,000 30,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 1.05%, 05/03/04 29,998 20,500 Westdeutsche Landesbank Girozentrale/New York (Yankee), 1.03%, 09/22/03, Floating Rate 20,500 -------------------------------------------------------------------------------- Total Certificates of Deposit 785,520 (Cost $785,520) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT -- 0.5% 13,281 Greenwich Capital Markets, Inc., 1.08%, dated 08/29/03, due 09/02/03, repurchase price $13,283, collateralized by U.S. Government Agency Securities (Cost $13,281) 13,281 -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,567,822 (Cost $2,567,822)* --------------------------------------------------------------------------------
See notes to financial statements. 97 JPMORGAN PRIME MONEY MARKET FUND Portfolio of Investments As of August 31, 2003 (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- 100.0% - ------------------------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCY SECURITIES -- 8.6% Federal Home Loan Mortgage Corp., $ 221,389 1.11%, 09/11/03, DN $ 221,321 307,475 1.08%, 12/10/03, DN 306,552 293,500 1.09%, 12/15/03, DN 292,567 195,000 1.01%, 12/17/03, DN 194,415 600,000 0.98%, 12/19/03, DN 598,219 328,294 1.08%, 01/29/04, DN 326,821 221,904 1.08%, 01/30/04, DN 220,899 184,944 1.13%, 02/17/04, DN 183,960 115,000 1.14%, 02/23/04, DN 114,363 218,000 1.14%, 02/26/04, DN 216,766 300,000 1.12%, 03/05/04, DN 298,264 225,000 1.15%, 03/17/04, DN 223,577 Federal National Mortgage Association, 306,058 1.11%, 09/03/03, DN 306,039 474,844 1.07%, 01/28/04, DN 472,733 274,810 0.97%, 07/30/04, FRN 274,810 -------------------------------------------------------------------------------- Total U.S. Government Agency Securities 4,251,306 (Cost $4,251,306) -------------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 0.0%^ 5,460 Wake Forest University, Ser. 1997, Rev., FRDO, 1.11%, 09/02/03 (Cost $5,460) 5,460 CORPORATE NOTES & Bonds -- 16.1% ASSET BACKED SECURITIES -- 3.9% K2 (USA) LLC, 200,000 1.07%, 02/17/04 200,000 50,000 1.40%, 02/23/04, FRN 50,000 50,000 1.07%, 03/15/04 49,999 100,000 1.07%, 03/17/04, FRN 99,997 90,000 1.07%, 04/20/04 89,997 80,000 1.02%, 05/10/04, # 79,994 80,000 1.07%, 05/12/04, MTN, FRN 79,994 125,000 1.07%, 05/17/04 124,996 95,000 1.06%, 06/08/04, MTN, FRN, # 94,996 Links Finance LLC, 100,000 1.07%, 03/03/04 99,997 100,000 1.08%, 03/12/04 100,000 100,000 1.07%, 03/22/04 99,999 100,000 1.07%, 03/24/04 99,999 100,000 1.07%, 03/24/04 99,997 100,000 1.06%, 03/29/04, # 99,997
See notes to financial statements. 98
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ ASSET BACKED SECURITIES -- CONTINUED $ 447,000 Special Purpose Accounts Receivables Cooperative Corp., 1.15%, 01/26/04, Ser. 2003-5, FRN, # $ 447,001 --------------- 1,916,963 BANKING -- 1.9% 150,000 Landesbank Rheinland-Pfalz Girozentrale (Germany), 1.24%, 10/21/03 149,741 769,980 Wells Fargo Bank N.A., 1.15%, 09/14/03, MTN, FRN 769,980 --------------- 919,721 DIVERSIFIED -- 1.7% General Electric Capital Corp., 468,000 1.19%, 09/09/03, FRN 468,000 400,000 1.14%, 09/19/03, MTN, FRN 400,000 --------------- 868,000 FINANCIAL SERVICES -- 8.4% Associates Corp. of North America, 110,000 1.22%, 06/15/04, FRN 110,000 75,000 1.11%, 06/25/04, MTN, FRN 75,000 Beta Finance, Inc., 72,000 1.38%, 02/12/04, MTN, # 71,998 260,000 1.39%, 02/18/04, MTN, # 260,000 167,000 1.07%, 05/17/04, MTN, FRN, # 166,994 119,000 1.06%, 05/19/04, MTN, FRN, # 118,996 100,000 1.06%, 06/07/04, Ser. 2, MTN, FRN, # 99,996 CC USA, Inc., 125,000 1.08%, 02/09/04, MTN, FRN, # 124,992 125,000 1.08%, 02/27/04, MTN, FRN, # 125,000 150,000 1.08%, 03/08/04, MTN, FRN, # 150,000 50,000 1.07%, 03/18/04, MTN, FRN, # 49,997 75,000 1.07%, 03/24/04, MTN, FRN, # 74,996 120,000 1.06%, 06/07/04, MTN, FRN, # 119,995 106,300 Citigroup, Inc., 5.70%, 02/06/04 108,263 Dorada Finance, Inc., 23,000 1.25%, 10/23/03 22,958 120,000 1.07%, 03/08/04, MTN, FRN, # 119,997 150,000 1.06%, 04/15/04, MTN, FRN, # 149,993 60,000 1.06%, 05/24/04, MTN, FRN, # 59,998 264,000 Goldman Sachs Group, Inc., 1.36%, 09/13/04, Ser. A, MTN, FRN, # 264,048 HBOS Treasury Services PLC (United Kingdom), 300,000 1.27%, 09/05/03, MTN, FRN, # 300,000 455,000 1.12%, 11/20/03, MTN, FRN, # 455,001
See notes to financial statements. 99
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ FINANCIAL SERVICES -- CONTINUED Money Market Trust, $ 60,000 1.15%, 06/03/04, Ser. 2003-A, #, (i) $ 60,000 220,000 1.25%, 07/09/04, Ser. A-1, FRN, #, (i) 220,000 260,000 Morgan Stanley, 1.22%, 09/15/03, Ser. 1, MTN, FRN 260,000 Restructured Asset Securities with Enhanced Returns (RACERS), 150,000 1.35%, 09/02/03, Ser. 2000-7-ZCM, FRN, #, (i) 150,000 465,000 1.30%, 10/01/03, Ser. 2001-8-MM, FRN, #, (i) 464,991 --------------- 4,183,213 OIL & GAS -- 0.2% 100,000 BP Capitals Markets PLC (United Kingdom), 1.05%, 03/08/04, FRN 99,997 -------------------------------------------------------------------------------- Total Corporate Notes & Bonds 7,987,894 (Cost $7,987,894) -------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 0.9% Blue Heron Funding LTD, 260,000 1.14%, 03/19/04, Ser. 2-A, Class A, FRN, # 260,000 175,000 1.13%, 05/28/04, Ser. 7-A, Class A1, FRN, # 175,000 -------------------------------------------------------------------------------- Total Asset Backed Securities 435,000 (Cost $435,000) -------------------------------------------------------------------------------- FUNDING AGREEMENTS/GIC -- 0.2% 100,000 Jackson National Life Global Funding, 1.18%, 02/21/04, FRN, #, (i) (Cost $100,000) 100,000 COMMERCIAL PAPER -- 35.9% ASSET BACKED SECURITIES-- 16.6% 379,500 Alpine Securitization Corp., 1.06%, 09/18/03 379,309 Amsterdam Funding Corp., 50,000 1.06%, 09/19/03 49,974 50,000 1.05%, 01/08/04 49,812 50,000 1.05%, 01/09/04 49,810 75,000 Aquinas Funding LLC, 1.15%, 02/27/04 74,571 Atlantis One Funding Corp., 147,529 1.25%, 09/05/03 147,509 75,000 1.24%, 09/09/03 74,979 109,000 1.21%, 09/19/03 108,934
See notes to financial statements. 100
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ ASSET BACKED SECURITIES -- CONTINUED $ 24,665 1.25%, 10/15/03 $ 24,627 70,000 1.19%, 10/30/03 69,863 100,993 1.04%, 12/10/03 100,701 50,000 1.04%, 12/17/03 49,845 42,377 1.08%, 01/26/04 42,190 79,950 1.15%, 01/28/04 79,569 84,549 1.13%, 02/05/04 84,132 37,742 1.13%, 02/11/04 37,549 30,789 1.13%, 02/17/04 30,626 25,171 1.15%, 02/18/04 25,034 Beta Finance, Inc., 50,775 1.15%, 09/15/03 50,752 33,000 1.03%, 10/10/03 32,963 Blue Ridge Asset Funding Corp., 200,000 1.05%, 09/12/03 199,936 150,000 1.06%, 09/18/03 149,925 50,000 Cantabric Financing LLC (Ireland), 1.10%, 11/21/03 49,876 167,183 Compass Securitization LLC, 1.06%, 09/22/03 167,080 125,750 Concord Minutemen Capital Co., 1.14%, 09/18/04 125,750 Corporate Asset Funding, 205,000 1.14%, 09/12/03 204,929 66,000 1.20%, 09/15/03 65,969 22,000 Corporate Receivables Corp., 1.25%, 09/03/03 21,998 Edison Asset Securitization LLC, 317,357 1.20%, 09/10/03 317,262 25,000 1.07%, 09/22/03 24,984 92,000 1.25%, 09/23/03 91,930 124,000 0.94%, 09/24/03 123,926 46,111 1.25%, 10/16/03 46,039 285,000 1.12%, 02/05/04 283,608 30,000 1.13%, 02/11/04 29,847 FCAR Owner Trust Series I, 93,000 1.15%, 09/12/03 92,967 75,000 0.95%, 09/19/03 74,964 Giro Multi-Funding Corp., 34,096 1.07%, 09/03/03 34,094 156,021 1.03%, 09/10/03 155,981 150,000 1.07%, 09/16/03 149,933 50,113 1.04%, 10/01/03 50,070 99,316 1.04%, 10/15/03 99,190 100,320 1.04%, 10/16/03 100,190
See notes to financial statements. 101
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ ASSET BACKED SECURITIES -- CONTINUED Grampian Funding LLC, $ 30,000 1.25%, 09/02/03 $ 29,999 290,000 0.95%, 09/23/03 289,832 110,000 1.15%, 02/24/04 109,382 125,000 Greyhawk Funding LLC, 1.04%, 01/12/04 124,520 120,000 Jupiter Securitization Corp., 1.06%, 09/23/03 119,922 K2 (USA) LLC, 20,100 1.25%, 10/17/03 20,068 35,000 1.09%, 01/14/04 34,857 53,000 1.03%, 01/15/04 52,794 36,500 1.14%, 02/09/04 36,314 Mont Blanc Capital Corp., 50,000 1.23%, 09/03/03 49,997 60,000 1.07%, 09/22/03 59,963 Montauk Funding Corp., 195,000 1.07%, 10/15/03, FRN 195,000 100,000 1.07%, 01/15/04 100,000 50,000 1.07%, 02/17/04 50,000 Park Granada LLC, 200,000 1.13%, 09/02/03 199,994 80,000 1.10%, 09/15/03 79,966 60,000 0.97%, 09/16/03 59,976 55,000 0.97%, 09/17/03 54,976 35,000 1.06%, 09/25/03 34,975 140,000 1.08%, 09/29/03 139,882 100,000 1.06%, 10/20/03 99,856 100,000 1.06%, 10/21/03 99,853 90,203 1.07%, 10/22/03 90,066 52,000 1.08%, 10/28/03 51,911 Scaldis Capital LLC, 66,020 1.01%, 09/11/03 66,001 190,954 1.07%, 09/22/03 190,835 100,000 1.04%, 10/21/03 99,856 47,913 1.09%, 11/18/03 47,800 Sheffield Receivables Corp., 35,608 1.26%, 09/03/03 35,606 300,000 1.07%, 02/25/04 300,000 Sigma Finance, Inc., 44,000 1.22%, 09/03/03 43,997 54,245 0.95%, 09/08/03 54,235 50,000 0.95%, 09/09/03 49,989 122,000 1.08%, 09/24/03 121,916 175,000 1.04%, 10/01/03 174,848 50,000 1.03%, 10/08/03 49,947 150,000 1.07%, 11/14/03 149,670
See notes to financial statements. 102
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ ASSET BACKED SECURITIES -- CONTINUED Special Purpose Accounts Receivable Cooperative Corp., $ 25,000 1.07%, 09/23/03 $ 24,984 50,000 1.07%, 02/12/04 50,000 Thames Asset Global Securitization (TAGS), 15,119 1.21%, 09/02/03 15,118 156,617 1.06%, 09/22/03 156,520 165,329 Tulip Funding Corp., 1.08%, 12/01/03 164,878 50,000 Variable Funding Capital Corp., 1.03%, 10/07/03 49,949 --------------- 8,253,449 AUTOMOTIVE -- 0.2% 100,000 DaimlerChrysler N.A. Holdings Corp., 1.25%, 09/10/03 99,969 BANKING -- 11.7% Alliance & Leicester PLC (United Kingdom), 100,000 1.04%, 10/03/03 99,908 26,500 1.04%, 12/10/03 26,424 35,000 1.20%, 09/02/03 34,999 225,000 Anz (Delaware), Inc. (Australia), 1.05%, 09/08/03 224,954 Citibank Credit Card Issuance Trust, 100,000 1.07%, 09/04/03 99,991 200,000 1.05%, 09/08/03 199,959 108,000 1.04%, 09/10/03 107,972 100,000 1.04%, 09/23/03 99,936 100,000 1.05%, 09/26/03 99,927 100,000 1.08%, 10/16/03 99,865 85,000 Credit Agricole Indosuez SA (France), 1.07%, 10/01/03 84,924 Danske Bank AS (Denmark), 175,000 1.19%, 09/04/03 174,983 200,000 1.05%, 09/30/03 199,831 200,000 Den Norske Bank (Norway), 1.08%, 01/30/04 199,094 160,000 Depfa Deutsche Pfandbrief Bank AG (Germany), 1.09%, 11/21/03 159,609 Hamburgische Landesbank (Germany), 130,000 1.18%, 09/04/03 129,987 140,000 1.19%, 10/02/03 139,857 130,000 1.19%, 10/24/03 129,771 ING Bank N.V. (The Netherlands), 20,000 1.22%, 09/02/03 19,999 100,000 1.18%, 09/04/03 99,990 27,000 1.04%, 10/06/03 26,973 49,000 1.05%, 01/05/04 48,821
See notes to financial statements. 103
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ BANKING -- CONTINUED $ 50,000 Landesbank Schleswig-Holstein Girozentrale (Germany), 1.18%, 09/03/03 $ 50,000 65,000 Natexis Banques Populaires (France), 1.04%, 10/10/03 64,927 National Bank of New Zealand (New Zealand), 200,000 1.24%, 10/21/03 199,656 26,000 1.09%, 01/26/04 25,884 150,000 Norddeutsche Landesbank Girozentrale (Germany), 1.07%, 10/23/03 149,768 Nordea North America (Sweden), 50,000 1.16%, 09/02/03 49,998 52,000 1.25%, 09/03/03 51,996 200,000 1.06%, 09/25/03 199,859 100,000 Santander Central Hispano SA (Spain), 1.11%, 02/11/04 99,497 Societe Generale (France), 500,000 1.21%, 09/22/03 499,647 150,000 1.19%, 10/09/03 149,811 315,000 1.19%, 10/10/03 314,594 Spintab AB (Germany), 100,000 1.04%, 11/05/03 99,812 110,000 1.10%, 02/02/04 109,482 37,000 Stadshypotek Delaware, Inc., 1.07%, 10/15/03 36,952 250,000 Svenska Handelsbanken, Inc. (Sweden), 1.07%, 10/22/03 249,621 75,000 Swiss Re Financial Products Corp. (Switzerland), 1.03%, 09/30/03 74,938 Wells Fargo Bank, N.A., 675,000 1.05%, 02/13/04, Floating Rate 675,001 100,000 1.04%, 06/17/04, Floating Rate 99,992 Westdeutsche Landesbank Girozentrale (Germany), 70,000 1.20%, 09/02/03 69,998 49,000 1.03%, 11/03/03 48,912 --------------- 5,828,119 DIVERSIFIED -- 2.3% General Electric Capital Corp., 300,000 1.26%, 09/03/03 299,978 85,000 1.26%, 09/03/03 84,994 248,181 1.07%, 10/09/03 247,901 59,421 1.09%, 11/05/03 59,304 200,000 1.09%, 12/02/03 199,443 236,241 1.09%, 12/03/03 235,576 --------------- 1,127,196
See notes to financial statements. 104
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ FINANCIAL SERVICES -- 4.2% Allianz Finance Corp. (Germany), $ 90,000 1.22%, 09/05/03 $ 89,988 65,000 1.04%, 10/10/03 64,927 54,000 1.08%, 11/07/03 53,891 Cafco LLC, 24,000 1.06%, 10/14/03 23,970 200,000 1.07%, 11/07/03 199,601 200,000 1.07%, 11/20/03 199,522 CC USA, Inc., 23,500 1.25%, 10/20/03 23,460 35,000 1.25%, 10/23/03 34,937 Citigroup Global Markets Holdings, Inc., 170,000 1.03%, 10/06/03 169,830 250,000 1.04%, 10/10/03 249,719 200,000 CRC Funding LLC, 1.07%, 11/07/03 199,602 100,000 CXC, Inc., 1.15%, 02/25/04 99,435 100,000 Discover Card Master Trust, 1.08%, 10/09/03 99,886 90,952 Govco, Inc., 1.03%, 10/14/03 90,840 8,000 HBOS Treasury Services PLC (United Kingdom), 1.06%, 10/23/03 7,988 PB Finance (Delaware), Inc., 41,000 1.07%, 09/23/03 40,973 173,000 1.06%, 10/27/03 172,715 110,000 1.10%, 01/26/04 109,506 150,000 1.13%, 02/04/04 149,266 --------------- 2,080,056 INSURANCE -- 0.5% 250,000 Prudential Funding Corp., 1.20%, 10/15/03 249,633 TRANSPORTATION -- 0.4% Network Rail (United Kingdom), 152,000 1.03%, 12/12/03 151,556 34,000 1.04%, 12/16/03 33,896 --------------- 185,452 -------------------------------------------------------------------------------- Total Commercial Paper 17,823,874 (Cost $17,823,874) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 31.6% 485,000 Abbey National Treasury Services PLC (United Kingdom) (Yankee), 1.04%, 09/12/03, Floating Rate 484,996 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 600,000 1.05%, 01/27/04, Floating Rate 599,988
See notes to financial statements. 105
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- CONTINUED $ 48,000 1.24%, 03/17/04 $ 48,020 Barclays Bank PLC (United Kingdom) (Yankee), 600,000 1.18%, 09/02/03 599,999 100,000 1.03%, 09/07/04, Floating Rate 99,964 BNP Paribas (France) (Yankee), 500,000 1.02%, 12/08/03 500,000 100,000 1.38%, 02/05/04 100,000 250,000 1.38%, 02/05/04 250,000 310,000 BNP Paribas/New York (Yankee), 1.06%, 06/10/04 309,952 200,000 Canadian Imperial Bank of Commerce (Canada) (Yankee), 1.05%, 09/29/03 199,996 Canadian Imperial Bank of Commerce/New York (Yankee), 421,000 1.04%, 09/09/03, Floating Rate 420,997 138,000 0.93%, 12/29/03, Floating Rate 137,989 Citibank N.A., 50,000 1.20%, 10/09/03 50,000 100,000 1.20%, 10/10/03 100,000 Credit Agricole Indosuez/New York (Yankee), 225,000 1.18%, 10/03/03 225,000 230,000 1.04%, 06/04/04, Floating Rate 229,965 Credit Lyonnais (France) (Yankee), 75,000 1.04%, 12/08/03 75,002 100,000 1.14%, 02/06/04 100,009 65,000 Credit Lyonnais/New York (Yankee), 1.16%, 10/09/03 65,009 Deutsche Bank AG (Germany) (Yankee), 400,000 1.06%, 02/23/04 400,000 265,000 1.08%, 10/02/03, Floating Rate 265,000 750,000 Deutsche Bank AG/New York (Yankee), 1.03%, 12/18/03 749,999 150,000 Fortis Bank (Belgium) (Yankee), 1.05%, 10/15/03 149,996 Goldman Sachs Group, Inc., 550,000 1.26%, 11/07/03 550,000 175,000 0.99%, 12/23/03 175,000 HBOS Treasury Services PLC (United Kingdom) (Yankee), 200,000 1.21%, 09/12/03 200,000 100,000 1.26%, 09/17/03 100,000 350,000 0.99%, 09/22/03 350,000 200,000 1.03%, 12/15/03 200,000 350,000 1.37%, 01/30/04 350,000
See notes to financial statements. 106
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- CONTINUED ING Bank N.V. (The Netherlands) (Yankee), $ 100,000 1.21%, 09/29/03 $ 100,000 325,000 1.05%, 09/30/03 325,000 200,000 1.04%, 10/15/03 200,000 325,000 1.05%, 01/05/04 325,000 100,000 1.41%, 08/05/04 100,000 Landesbank Baden-Wuerttemberg/New York (Yankee), 350,000 1.05%, 09/10/04, Floating Rate 349,946 50,000 1.11%, 03/15/04, Floating Rate 50,011 350,000 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 1.05%, 01/02/04 350,000 Lloyds TSB Bank PLC (United Kingdom) (Yankee), 50,000 1.22%, 09/08/03 50,000 50,000 1.19%, 09/22/03 50,001 50,000 1.20%, 09/25/03 50,001 300,000 Montauk Funding Corp., 1.08%, 11/20/03 300,000 150,000 Natexis Banques Popularies (France) (Yankee), 1.08%, 12/12/03 150,000 Norddeutsche Landesbank Girozentrale (Germany) (Yankee), 200,000 1.04%, 10/06/03, Floating Rate 199,996 100,000 1.25%, 10/28/03 100,000 100,000 Nordea Bank Finland PLC (Finland) (Yankee), 1.19%, 10/14/03 100,000 Royal Bank of Canada/New York (Yankee), 355,000 1.04%, 09/12/03, Floating Rate 354,997 300,000 1.04%, 09/30/03, Floating Rate 299,993 Societe Generale (France) (Yankee), 500,000 1.20%, 10/10/03 500,000 200,000 1.25%, 10/16/03 200,000 250,000 1.40%, 08/05/04 250,000 50,000 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 1.21%, 09/05/03 50,000 Toronto Dominion Bank/New York (Yankee), 100,000 1.04%, 11/21/03 100,001 100,000 1.13% 02/09/04 100,009 150,000 1.12% 02/19/04 150,000 90,000 1.04%, 09/09/03, Floating Rate 89,999 UniCredito Italiano SPA (Italy) (Yankee), 300,000 1.00%, 09/22/03 300,000 300,000 1.05%, 10/14/03 300,001 200,000 0.92%, 10/27/03 199,963 400,000 US Bank N.A., 1.05%, 02/24/04, Floating Rate 399,981
See notes to financial statements. 107
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------ MONEY MARKET INSTRUMENTS -- CONTINUED - ------------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- CONTINUED Wells Fargo Bank, N.A., $ 200,000 1.05%, 01/20/04, Floating Rate $ 199,992 475,000 1.05%, 02/06/04, Floating Rate 474,980 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 350,000 1.25%, 10/24/03 350,000 200,000 1.05%, 01/05/04 200,000 100,000 1.10%, 02/12/04 100,000 170,000 1.05%, 05/03/04 169,989 -------------------------------------------------------------------------------- Total Certificates of Deposit 15,676,741 (Cost $15,676,741) -------------------------------------------------------------------------------- TIME DEPOSITS -- 6.3% 550,000 BNP Paribas (France), 1.13%, 09/02/03 550,000 243,133 Fifth Third Bank, 1.00%, 09/02/03 243,133 Goldman Sachs Group, Inc., 200,000 1.24%, 10/30/03 200,000 350,000 1.19%, 12/11/03 350,000 250,000 Natexis Banques Populaires (France), 1.09%, 09/02/03 250,000 900,000 National Australia Bank LTD (Australia), 1.09%, 09/02/03 900,000 54,000 Royal Bank of Canada (Canada), 1.13%, 09/02/03 54,000 600,000 Suntrust Bank, 1.00%, 09/02/03 600,000 -------------------------------------------------------------------------------- Total Time Deposits 3,147,133 (Cost $3,147,133) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.4% 137,716 Deutsche Bank Securities, Inc., 1.02%, dated 08/29/03, due 09/02/03, repurchase price $137,732, collateralized by U.S. Treasury Securities 137,716 10,750 Greenwich Capital Markets, Inc., 1.01%, dated 08/29/03, due 09/02/03, repurchase price $10,751, collateralized by U.S. Government Agency Securities 10,750 68,893 Greenwich Capital Markets, Inc., 1.08%, dated 08/29/03, due 09/02/03, repurchase price $68,901, collateralized by U.S. Government Agency Securities 68,893 -------------------------------------------------------------------------------- Total Repurchase Agreements 217,359 (Cost $217,359) -------------------------------------------------------------------------------- Total Investments -- 100.0% $ 49,644,767 (Cost $49,644,767)* --------------------------------------------------------------------------------
See notes to financial statements. 108 Abbreviations: * -- The cost of securities is substantially the same for federal income tax purposes. ^ -- Amount rounds to less than 0.1%. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. (i) -- Security is illiquid and may be difficult to sell. (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call. Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest rate shown is the rate in effect at August 31, 2003. ACES -- Auction Rate Securities. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Note. CONS -- Consolidated Bonds. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. EAGLE -- Earnings of accrual generated on local tax-exempt securities. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at August 31, 2003. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at August 31, 2003. FSA -- Financial Securities Assistance. GAN -- Grant Anticipation Note. GO -- General Obligation Bond. IBC -- Insured Bond Certificates. IDA -- Industrial Development Authority. IDB -- Industrial Development Board. IDR -- Industrial Development Revenue. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCFA -- Pollution Control Financing Authority. PCR -- Pollution Control Revenue. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. SUB -- Step-up bond. The rate shown is the rate in effect as of August 31, 2003. TAN -- Tax Anticipation Note. TAW -- Tax Anticipation Warrant. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. See notes to financial statements. 109 JPMORGAN FUNDS Statement of Assets and Liabilities As of August 31, 2003 (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 $ 4,971,204 $ 9,485,743 Cash --^ --^ Receivables: Fund shares sold 107 -- Interest 754 3,540 Expense reimbursements 2 -- - ------------------------------------------------------------------------------------------------- Total Assets 4,972,067 9,489,283 - ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 1,132 2,278 Accrued liabilities: Investment advisory fees 441 801 Administration fees 384 441 Shareholder servicing fees 931 1,477 Distribution fees 22 168 Custodian fees 202 311 Trustees' fees -- deferred compensation plan 677 1,231 Other 615 411 - ------------------------------------------------------------------------------------------------- Total Liabilities 4,404 7,118 - ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 4,967,517 9,482,047 Accumulated undistributed (overdistributed) net investment income (36) (160) Accumulated net realized gain (loss) on investments 182 278 - ------------------------------------------------------------------------------------------------- Total Net Assets $ 4,967,663 $ 9,482,165 - ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 2,535,198 3,076,049 Premier 488,882 1,113,733 Agency 817,215 3,765,093 Institutional 1,126,294 1,527,216 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------- Cost of investments $ 4,971,204 $ 9,485,743 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 110
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 3,489,955 $ 3,570,637 Cash --^ 2 Receivables: Investment securities sold 300,347 -- Interest 1,193 2,971 - ------------------------------------------------------------------------------------------------- Total Assets 3,791,495 3,573,610 - ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 994 1,328 Accrued liabilities: Investment advisory fees 316 310 Administration fees 196 260 Shareholder servicing fees 578 364 Distribution fees 57 3 Custodian fees 162 180 Trustees' fees -- deferred compensation plan 463 195 Other 154 413 - ------------------------------------------------------------------------------------------------- Total Liabilities 2,920 3,053 - ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 3,788,876 3,570,738 Accumulated undistributed (overdistributed) net investment income (46) (186) Accumulated net realized gain (loss) on investments (255) 5 - ------------------------------------------------------------------------------------------------- Total Net Assets $ 3,788,575 $ 3,570,557 - ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 782,307 311,008 Premier 1,228,146 1,214,947 Agency 1,246,787 333,488 Institutional 297,471 1,711,771 Reserve 234,218 -- Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------- Cost of investments $ 3,489,955 $ 3,570,637 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 111
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 149,833 $ 1,826,440 Cash 22 102 Receivables: Investment securities sold -- 26,600 Fund shares sold -- 2 Interest 430 5,508 - ------------------------------------------------------------------------------------------------- Total Assets 150,285 1,858,652 - ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 37 129 Investment securities purchased 1,010 19,630 Accrued liabilities: Investment advisory fees 13 159 Administration fees 4 146 Shareholder servicing fees 35 557 Distribution fees -- 32 Custodian fees 15 85 Trustees' fees -- deferred compensation plan 12 271 Other 12 245 - ------------------------------------------------------------------------------------------------- Total Liabilities 1,138 21,254 - ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 149,196 1,837,240 Accumulated undistributed (overdistributed) net investment income (49) (260) Accumulated net realized gain (loss) on investments -- 418 - ------------------------------------------------------------------------------------------------- Total Net Assets $ 149,147 $ 1,837,398 - ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 149,212 1,662,521 Reserve -- 174,821 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------- Cost of investments $ 149,833 $ 1,826,440 =================================================================================================
See notes to financial statements. 112
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 11,452,335 $ 2,567,822 Cash 13 -- Receivables: Investment securities sold 126,140 -- Fund shares sold 11 12 Interest 24,527 4,863 - ------------------------------------------------------------------------------------------------- Total Assets 11,603,026 2,572,697 - ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian -- 44 Dividends 3,559 600 Investment securities purchased 454,538 -- Accrued liabilities: Investment advisory fees 960 231 Administration fees 816 46 Shareholder servicing fees 955 41 Distribution fees 11 -- Custodian fees 344 108 Trustees' fees -- deferred compensation plan 261 1 Other 661 169 - ------------------------------------------------------------------------------------------------- Total Liabilities 462,105 1,240 - ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 11,144,658 2,571,399 Accumulated undistributed (overdistributed) net investment income (3,818) (9) Accumulated net realized gain (loss) on investments 81 67 - ------------------------------------------------------------------------------------------------- Total Net Assets $ 11,140,921 $ 2,571,457 - ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 655,915 18,404 Premier 3,430,541 36,015 Agency 725,339 284,072 Institutional 6,332,659 2,232,909 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------- Cost of investments $ 11,452,335 $ 2,567,822 =================================================================================================
See notes to financial statements. 113
PRIME MONEY MARKET FUND - ------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 49,644,767 Cash 11 Receivables: Fund shares sold 372 Interest 50,394 - ------------------------------------------------------------------------------------------------- Total Assets 49,695,544 - ------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 17,114 Investment securities purchased 213,177 Accrued liabilities: Investment advisory fees 4,207 Administration fees 3,660 Shareholder servicing fees 3,295 Distribution fees 171 Custodian fees 1,786 Trustees' fees -- deferred compensation plan 2,536 Other 1,369 - ------------------------------------------------------------------------------------------------- Total Liabilities 247,315 - ------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 49,449,541 Accumulated undistributed (overdistributed) net investment income (1,313) Accumulated net realized gain (loss) on investments 1 - ------------------------------------------------------------------------------------------------- Total Net Assets $ 49,448,229 - ------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 4,626,551 Premier 5,412,608 Agency 12,648,663 Class B 10,104 Class C 563 Institutional 25,076,660 Reserve 355,439 Select 775,570 Cash Management 544,046 Net asset value, offering and redemption price per share (all classes)* $ 1.00 - ------------------------------------------------------------------------------------------------- Cost of investments $ 49,644,767 =================================================================================================
*Redemption price for Class B and Class C may be reduced by contingent deferred sales charge. See notes to financial statements. 114 Statement of Operations For the year ended August 31, 2003 (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 73,527 $ 131,275 - ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 5,486 9,277 Administration fees 5,486 9,277 Shareholder servicing fees 14,191 18,761 Distribution fees 3,168 4,199 Custodian and accounting fees 386 624 Printing and postage 11 39 Professional fees 179 266 Registration fees 126 137 Transfer agent fees 893 812 Trustees' fees 59 100 Other 117 255 - ------------------------------------------------------------------------------------------------- Total expenses 30,102 43,747 - ------------------------------------------------------------------------------------------------- Less amounts waived 4,924 7,959 Less expense reimbursements 25 -- Less earnings credits --^ --^ - ------------------------------------------------------------------------------------------------- Net expenses 25,153 35,788 - ------------------------------------------------------------------------------------------------- Net investment income 48,374 95,487 - ------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 231 281 - ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 48,605 $ 95,768 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 115
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 53,329 $ 59,091 - ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 3,856 4,200 Administration fees 3,856 4,200 Shareholder servicing fees 7,856 7,323 Distribution fees 1,442 381 Custodian and accounting fees 320 327 Printing and postage 14 4 Professional fees 137 117 Registration fees 639 14 Transfer agent fees 284 658 Trustees' fees 41 45 Other 120 102 - ------------------------------------------------------------------------------------------------- Total expenses 18,565 17,371 - ------------------------------------------------------------------------------------------------- Less amounts waived 3,233 3,211 Less earnings credits --^ --^ - ------------------------------------------------------------------------------------------------- Net expenses 15,332 14,160 - ------------------------------------------------------------------------------------------------- Net investment income 37,997 44,931 - ------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 15 24 - ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 38,012 $ 44,955 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 116
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 1,978 $ 27,858 - ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 156 2,121 Administration fees 156 2,121 Shareholder servicing fees 547 7,425 Distribution fees 156 2,484 Custodian and accounting fees 4 121 Printing and postage 1 1 Professional fees 37 77 Registration fees 45 -- Transfer agent fees 36 543 Trustees' fees 2 23 Other 4 43 - ------------------------------------------------------------------------------------------------- Total expenses 1,144 14,959 - ------------------------------------------------------------------------------------------------- Less amounts waived 284 2,081 Less earnings credits --^ --^ - ------------------------------------------------------------------------------------------------- Net expenses 860 12,878 - ------------------------------------------------------------------------------------------------- Net investment income 1,118 14,980 - ------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 5 417 - ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 1,123 $ 15,397 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 117
TAX FREE LIQUID ASSETS MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest income $ 125,582 $ 31,962 Dividend income 125 -- - ------------------------------------------------------------------------------------------------- Total investment income 125,707 31,962 - ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 9,952 2,256 Administration fees 9,952 2,256 Shareholder servicing fees 16,837 2,376 Distribution fees 702 18 Custodian and accounting fees 785 212 Printing and postage 38 8 Professional fees 282 90 Registration fees 705 163 Transfer agent fees 336 101 Trustees' fees 108 25 Other 257 37 - ------------------------------------------------------------------------------------------------- Total expenses 39,954 7,542 - ------------------------------------------------------------------------------------------------- Less amounts waived 8,241 3,886 Less earnings credits 4 1 - ------------------------------------------------------------------------------------------------- Net expenses 31,709 3,655 - ------------------------------------------------------------------------------------------------- Net investment income 93,998 28,307 - ------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 858 73 - ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 94,856 $ 28,380 =================================================================================================
See notes to financial statements. 118
PRIME MONEY MARKET FUND - ------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 758,664 - ------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 52,172 Administration fees 52,172 Shareholder servicing fees 77,880 Distribution fees 2,912 Custodian and accounting fees 3,606 Printing and postage 17 Professional fees 1,082 Registration fees (1,983) Transfer agent fees 4,383 Trustees' fees 559 Other 844 - ------------------------------------------------------------------------------------------------- Total expenses 193,644 - ------------------------------------------------------------------------------------------------- Less amounts waived 37,351 Less earnings credits --^ - ------------------------------------------------------------------------------------------------- Net expenses 156,293 - ------------------------------------------------------------------------------------------------- Net investment income 602,371 - ------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 9 - ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 602,380 =================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 119 Statement of Changes in Net Assets For the periods indicated (Amounts in thousands)
100% U.S. TREASURY SECURITIES U.S. GOVERNMENT MONEY MARKET FUND MONEY MARKET FUND ------------------------------- ------------------------------- YEAR ENDED YEAR ENDED 8/31/03 8/31/02 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 48,374 $ 90,951 $ 95,487 $ 160,187 Net realized gain (loss) on investments 231 406 281 71 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 48,605 91,357 95,768 160,258 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (48,312) (90,951) (95,524) (160,284) Net realized gain on investment transactions (60) (1,071) (3) (120) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (48,372) (92,022) (95,527) (160,404) - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (268,077) (93,636) 115,592 196,512 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (267,844) (94,301) 115,833 196,366 NET ASSETS: Beginning of period 5,235,507 5,329,808 9,366,332 9,169,966 - ------------------------------------------------------------------------------------------------------------------------------- End of period $ 4,967,663 $ 5,235,507 $ 9,482,165 $ 9,366,332 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (36) $ (98) $ (160) $ (123) - -------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 120
TREASURY PLUS FEDERAL MONEY MARKET FUND MONEY MARKET FUND ------------------------------- ------------------------------- YEAR ENDED YEAR ENDED 8/31/03 8/31/02 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 37,997 $ 72,344 $ 44,931 $ 106,084 Net realized gain (loss) on investments 15 60 24 704 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 38,012 72,404 44,955 106,788 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (38,099) (72,229) (44,861) (106,246) Net realized gain on investment transactions -- -- (66) (779) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (38,099) (72,229) (44,927) (107,025) - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (215,318) 1,166,546 (761,408) 2,229,239 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (215,405) 1,166,721 (761,380) 2,229,002 NET ASSETS: Beginning of period 4,003,980 2,837,259 4,331,937 2,102,935 - ------------------------------------------------------------------------------------------------------------------------------- End of period $ 3,788,575 $ 4,003,980 $ 3,570,557 $ 4,331,937 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (46) $ 56 $ (186) $ (256) - -------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 121
CALIFORNIA TAX FREE NEW YORK TAX FREE MONEY MARKET FUND MONEY MARKET FUND ------------------------------- ------------------------------- YEAR ENDED YEAR ENDED 8/31/03 8/31/02 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 1,118 $ 1,533 $ 14,980 $ 27,181 Net realized gain (loss) on investments 5 11 417 457 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 1,123 1,544 15,397 27,638 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (1,133) (1,579) (14,748) (27,725) Net realized gain (loss) on investment transactions -- -- (386) (34) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (1,133) (1,579) (15,134) (27,759) - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (13,914) 80,351 (465,972) (135,502) - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (13,924) 80,316 (465,709) (135,623) NET ASSETS: Beginning of period 163,071 82,755 2,303,107 2,438,730 - ------------------------------------------------------------------------------------------------------------------------------- End of period $ 149,147 $ 163,071 $ 1,837,398 $ 2,303,107 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (49) $ (49) $ (260) $ (528) - -------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 122
TAX FREE LIQUID ASSETS MONEY MARKET FUND MONEY MARKET FUND ------------------------------- ------------------------------- YEAR 4/1/02* YEAR ENDED ENDED THROUGH 8/31/03 8/31/02 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 93,998 $ 99,873 $ 28,307 $ 5,151 Net realized gain (loss) on investments 858 302 73 20 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 94,856 100,175 28,380 5,171 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (94,379) (103,426) (28,315) (5,152) Net realized gain on investment transactions -- -- (6) (20) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (94,379) (103,426) (28,321) (5,172) - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 2,189,669 7,010,568 1,356,372 1,215,027 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 2,190,146 7,007,317 1,356,431 1,215,026 NET ASSETS: Beginning of period 8,950,775 1,943,458 1,215,026 -- - ------------------------------------------------------------------------------------------------------------------------------- End of period $ 11,140,921 $ 8,950,775 $ 2,571,457 $ 1,215,026 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (3,818) $ (3,558) $ (9) $ (1) - -------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. See notes to financial statements. 123
PRIME MONEY MARKET FUND ------------------------------- YEAR ENDED 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 602,371 $ 1,183,028 Net realized gain (loss) on investments 9 1,403 - ------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 602,380 1,184,431 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (603,707) (1,182,928) Net realized gain on investment transactions (147) (1,417) - ------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (603,854) (1,184,345) - ------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 519,344 19,647,317 - ------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 517,870 19,647,403 NET ASSETS: Beginning of period 48,930,359 29,282,956 - ------------------------------------------------------------------------------------------------------------------------------- End of period $ 49,448,229 $ 48,930,359 - ------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (1,313) $ 31 - -------------------------------------------------------------------------------------------------------------------------------
124 JPMORGAN FUNDS Notes to Financial Statements 1. ORGANIZATION JPMorgan Mutual Fund Trust ("MFT" or "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. MFT was formerly named Mutual Fund Trust. The name change went into effect May 1, 2003. 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. 125 Shareholders of the Target Funds received the following class of Shares of the Acquiring Funds:
ACQUIRING SHARES TARGET FUNDS FUND RECEIVED - --------------------------------------------------------------------------- J.P. Morgan Treasury Money Market Reserves Fund TP Reserve Shares J.P. Morgan Institutional Treasury Money Market Fund TP Institutional Shares J.P. Morgan Institutional Service Treasury Money 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
126 The following is a summary of Beneficial Interest Outstanding, Shares Outstanding, Net Assets and Net Asset Value Per Share immediately before and after the Reorganizations (amounts in thousands, except per share amounts):
JPMORGAN TREASURY PLUS MONEY MARKET FUND REORGANIZATION - ----------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - ----------------------------------------------------------------------------------------- Target Funds 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 Market Fund Vista Shares (Renamed Morgan Shares) 1,352,315 $ 1,352,126 $ 1.00 Premier Shares 325,008 $ 324,992 $ 1.00 Institutional Shares (Renamed Agency Shares) 965,202 $ 965,226 $ 1.00 Post Reorganization Fund JPMorgan Treasury Plus Money Market Fund Morgan Shares 1,352,315 $ 1,352,126 $ 1.00 Premier Shares 832,608 $ 832,437 $ 1.00 Agency Shares 965,202 $ 965,226 $ 1.00 Institutional Shares 310,752 $ 310,665 $ 1.00 Reserve Shares 94,137 $ 94,097 $ 1.00
127
JPMORGAN FEDERAL MONEY MARKET FUND REORGANIZATION - -------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - -------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Federal Money Market Fund 1,683,861 -- $ 1,683,381 $ 1.00 J.P. Morgan Institutional Federal Money Market Fund 2,447,081 -- $ 2,447,079 $ 1.00 J.P. Morgan Institutional Service Federal Money Market Fund 27,508 -- $ 27,508 $ 1.00 Acquiring Fund JPMorgan Federal Money Market Fund II (Renamed JPMorgan Federal Money Market Fund) Vista Shares (Renamed Morgan Shares) 657,732 $ 657,737 $ 1.00 Premier Shares 281,550 $ 281,551 $ 1.00 Institutional Shares (Renamed Agency Shares) 1,176,516 $ 1,176,546 $ 1.00 Reserve Shares* 1,001 $ 1,001 $ 1.00 Post Reorganization Fund JPMorgan Federal Money Market Fund Morgan Shares 658,733 $ 658,738 $ 1.00 Premier Shares 1,992,919 $ 1,992,440 $ 1.00 Agency Shares 1,176,516 $ 1,176,546 $ 1.00 Institutional Shares 2,447,081 $ 2,447,079 $ 1.00
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. 128
JPMORGAN PRIME MONEY MARKET FUND REORGANIZATION - ------------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - ------------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Prime Money Market Fund 2,959,209 -- $ 2,959,283 $ 1.00 J.P. Morgan Institutional Prime Money Market Fund 19,841,553 -- $ 19,841,087 $ 1.00 J.P. Morgan Institutional Service Prime Money Market Fund 993,962 -- $ 993,883 $ 1.00 J.P. Morgan Prime Money Market Reserves Fund 121,016 -- $ 121,009 $ 1.00 J.P. Morgan Institutional Prime Direct Money Market Fund 27,613 -- $ 27,614 $ 1.00 J.P. Morgan Prime Cash Management Fund 139,285 -- $ 139,283 $ 1.00 Acquiring Fund JPMorgan Prime Money Market Fund II (Renamed JPMorgan Prime Money Market Fund) Vista Shares (Renamed Morgan Shares) 10,478,092 $ 10,477,967 $ 1.00 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
129
JPMORGAN TAX FREE MONEY MARKET FUND REORGANIZATION - --------------------------------------------------------------------------------------------- BENEFICIAL NET ASSET INTEREST SHARES VALUE OUTSTANDING OUTSTANDING NET ASSETS PER SHARE - --------------------------------------------------------------------------------------------- Target Funds J.P. Morgan Tax Exempt Money Market Fund 1,989,832 -- $ 1,989,763 $ 1.00 J.P. Morgan Institutional Tax Exempt Money Market Fund 1,606,636 -- $ 1,606,663 $ 1.00 J.P. Morgan Institutional Service Tax Exempt Money Market Fund 62,224 -- $ 62,227 $ 1.00 Acquiring Fund JPMorgan Tax Free Money Market Fund Vista Shares (Renamed Morgan Shares) 859,836 $ 859,225 $ 1.00 Premier Shares 119,034 $ 119,019 $ 1.00 Institutional Shares (Renamed Agency Shares) 887,548 $ 887,450 $ 1.00 Reserve Shares* 1 $ 1 $ 1.00 Post Reorganization Fund JPMorgan Tax Free Money Market Fund Morgan Shares 859,837 $ 859,226 $ 1.00 Premier Shares 2,171,090 $ 2,171,009 $ 1.00 Agency Shares 887,548 $ 887,450 $ 1.00 Institutional Shares 1,606,636 $ 1,606,663 $ 1.00
* In conjunction with the Fund Reorganization, Reserve Shares merged into Morgan Shares. 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. 130 B. REPURCHASE AGREEMENTS -- PRM and LA may engage in repurchase agreement transactions that are collateralized by money market instruments or corporate debt securities that, at the time the transaction is entered into, are rated at least investment grade. USTS, USG, TP, FED, CTF, NYTF, TF engage in repurchase agreements that are 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. C. 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. D. 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. 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 131 principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature, (i.e., that they result from other than timing of recognition --"temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts at August 31, 2003 (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS - ------------------------------------------------------------------------------ CTF $ (14) $ 15 $ (1) NYTF -- 36 (36) TF (2) 121 (119) PRM -- (8) 8
The reclassifications for CTF primarily relate to the character for tax purposes of overdistributions. For NYTF, TF, and PRM, the reclassification primarily relates to the character for tax purposes of dividends paid. 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. B. 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. 132 The Trustees have adopted Distribution Plans (the "Distribution Plans") for Morgan, Premier, Class B, Class C, Reserve and Cash Management Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CASH FUND MORGAN PREMIER CLASS B CLASS C RESERVE MANAGEMENT - ------------------------------------------------------------------------------------------ USTS 0.10 n/a n/a n/a n/a n/a USG 0.10 0.10 n/a n/a n/a n/a TP 0.10 n/a n/a n/a 0.25 n/a FED 0.10 n/a n/a n/a n/a n/a CTF 0.10 n/a n/a n/a n/a n/a NYTF 0.10 n/a n/a n/a 0.30 n/a TF 0.10 n/a n/a n/a n/a n/a LA 0.10 n/a n/a n/a n/a n/a PRM n/a n/a 0.75 0.75 0.25 0.50
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in Note 4.E. C. SHAREHOLDER 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
133 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. D. CUSTODIAN AND ACCOUNTING FEES -- Effective May 5, 2003, JPMCB provides portfolio custody and portfolio accounting services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on the uninvested cash balances held by the custodian. Such earning credits are presented separately in the Statement of Operations. The amounts paid to JPMCB for custody and accounting fees were as follows (in thousands):
FUND AMOUNT ----------------------------- USTS $ 126 USG 187 TP 87 FED 94 CTF 2 NYTF 46 TF 243 LA 76 PRM 1,015
E. 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. 134 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%. The contractual expense limitation agreements were in effect for the year ended August 31, 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. 135 F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 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 FUND ADMINISTRATION SERVICING TOTAL ----------------------------------------------- USTS $ 15 $ -- $ 15 LA 1,202 -- 1,202 PRM 2,427 1,093 3,520 ----------------------------------------------- Total $ 3,644 $ 1,093 $ 4,737 ===============================================
CONTRACTUAL WAIVERS --------------------------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS - ------------------------------------------------------------------------------------------------------------------------- USTS $ -- $ 837 $ 1,385 $ 2,687 $ 4,909 $ 25 USG -- 4,203 1,347 2,409 7,959 -- TP -- 1,406 1,181 646 3,233 -- FED -- 715 2,218 278 3,211 -- CTF -- 89 39 156 284 -- NYTF -- 63 1 2,017 2,081 -- TF -- 2,279 5,400 562 8,241 -- LA 171 644 1,851 18 2,684 -- PRM -- 3,381 30,450 -- 33,831 -- - ------------------------------------------------------------------------------------------------------------------------ Total $ 171 $ 13,617 $ 43,872 $ 8,773 $ 66,433 $ 25 ========================================================================================================================
G. 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. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 136 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended August 31, 2003, are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------------- USTS Morgan $ 11,087 $ 3,168 $ 772 Premier 1,310 -- 35 Agency 959 -- 66 Institutional 835 -- 20 - ---------------------------------------------------------------------- $ 14,191 $ 3,168 $ 893 - ---------------------------------------------------------------------- USG Morgan $ 11,152 $ 3,187 $ 682 Premier 2,531 1,012 62 Agency 3,794 -- 38 Institutional 1,284 -- 30 - ---------------------------------------------------------------------- $ 18,761 $ 4,199 $ 812 - ---------------------------------------------------------------------- TP Morgan $ 2,982 $ 852 $ 165 Premier 2,526 -- 36 Agency 1,183 -- 34 Institutional 575 -- 20 Reserve 590 590 29 - ---------------------------------------------------------------------- $ 7,856 $ 1,442 $ 284 - ---------------------------------------------------------------------- FED Morgan $ 1,335 $ 381 $ 478 Premier 3,616 -- 87 Agency 396 -- 43 Institutional 1,976 -- 50 - ---------------------------------------------------------------------- $ 7,323 $ 381 $ 658 ======================================================================
137
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT - ---------------------------------------------------------------------- CTF Morgan $ 547 $ 156 $ 36 - ---------------------------------------------------------------------- NYTF Morgan $ 6,791 $ 1,940 $ 530 Reserve 634 544 13 - ---------------------------------------------------------------------- $ 7,425 $ 2,484 $ 543 - ---------------------------------------------------------------------- TF Morgan $ 2,457 $ 702 $ 148 Premier 8,550 -- 95 Agency 860 -- 38 Institutional 4,970 -- 55 - ---------------------------------------------------------------------- $ 16,837 $ 702 $ 336 - ---------------------------------------------------------------------- LA Morgan $ 62 $ 18 $ 35 Premier 127 -- 19 Agency 246 -- 20 Institutional 1,941 -- 27 - ---------------------------------------------------------------------- $ 2,376 $ 18 $ 101 - ---------------------------------------------------------------------- PRM Morgan $ 20,441 $ -- $ 3,760 Premier 14,274 -- 153 Agency 13,045 -- 131 Class B 30 90 8 Class C 2 5 --^ Institutional 25,882 -- 173 Reserve 1,011 1,011 16 Select 2,292 -- 127 Cash Management 903 1,806 15 - ---------------------------------------------------------------------- $ 77,880 $ 2,912 $ 4,383 ======================================================================
^ Amount rounds to less than one thousand. 138 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended August 31, 2003, and for the year ended August 31, 2002, respectively, are as follows (amounts in thousands):
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02 --------------------------------- --------------------------------- NET NET INVESTMENT REALIZED INVESTMENT REALIZED INCOME GAIN INCOME GAIN - ------------------------------------------------------------------------------------------ USTS Morgan $ 24,263 $ 34 $ 62,290 $ 803 Premier 4,451 7 4,704 39 Agency 10,629 9 20,972 218 Institutional 8,969 10 2,985 11 - ------------------------------------------------------------------------------------------ $ 48,312 $ 60 $ 90,951 $ 1,071 - ------------------------------------------------------------------------------------------ USG Morgan $ 26,848 $ 1 $ 62,610 $ 51 Premier 9,729 1 20,040 15 Agency 44,401 1 68,962 51 Institutional 14,546 -- 8,672 3 - ------------------------------------------------------------------------------------------ $ 95,524 $ 3 $ 160,284 $ 120 - ------------------------------------------------------------------------------------------ TP Morgan $ 6,988 $ -- $ 20,433 $ -- Premier 9,186 -- 14,880 -- Agency 13,515 -- 24,183 -- Institutional 6,795 -- 9,517 -- Reserve 1,615 -- 3,216 -- - ------------------------------------------------------------------------------------------ $ 38,099 $ -- $ 72,229 $ -- - ------------------------------------------------------------------------------------------ FED Morgan $ 2,728 $ 6 $ 9,623 $ 90 Premier 13,807 23 30,113 242 Agency 4,738 6 17,971 124 Institutional 23,588 31 48,539 323 - ------------------------------------------------------------------------------------------ $ 44,861 $ 66 $ 106,246 $ 779 - ------------------------------------------------------------------------------------------ CTF Morgan $ 1,133 $ -- $ 1,579 $ -- - ------------------------------------------------------------------------------------------ NYTF Morgan $ 13,831 $ 355 $ 26,970 $ 31 Reserve 917 31 755 3 - ------------------------------------------------------------------------------------------ $ 14,748 $ 386 $ 27,725 $ 34 ==========================================================================================
139
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02 --------------------------------- --------------------------------- NET NET INVESTMENT REALIZED INVESTMENT REALIZED INCOME GAIN INCOME GAIN - ------------------------------------------------------------------------------------------ TF Morgan $ 4,971 $ -- $ 10,529 $ -- Premier 28,176 -- 35,766 -- Agency 9,026 -- 14,441 -- Institutional 52,206 -- 42,690 -- - ------------------------------------------------------------------------------------------ $ 94,379 $ -- $ 103,426 $ -- - ------------------------------------------------------------------------------------------ LA Morgan $ 167 $ --^ $ 88 $ -- Premier 551 --^ 117 1 Agency 2,856 1 257 1 Institutional 24,741 5 4,690 18 - ------------------------------------------------------------------------------------------ $ 28,315 $ 6 $ 5,152 $ 20 - ------------------------------------------------------------------------------------------ PRM Morgan $ 52,751 $ 13 $ 161,387 $ 224 Premier 57,405 15 95,052 148 Agency 156,314 34 348,599 383 Class B 33 --^ 151 1 Class C 2 --^ 6 -- Institutional 322,886 80 551,186 610 Reserve 3,076 1 3,847 10 Select 9,496 2 20,304 31 Cash Management 1,744 2 2,396 10 - ------------------------------------------------------------------------------------------ $ 603,707 $ 147 $ 1,182,928 $ 1,417 ==========================================================================================
^ Amount rounds to less than one thousand. 140 7. FEDERAL INCOME TAX MATTERS The tax character of distributions paid during the periods ended August 31, 2003, and August 31, 2002, were as follows (amounts in thousands):
YEAR ENDED 8/31/03 YEAR ENDED 8/31/02 --------------------------------------------------------- ----------------------------------------------------------- TAX EXEMPT ORDINARY LONG-TERM TOTAL TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTION INCOME INCOME CAPITAL GAIN DISTRIBUTIONS - --------------------------------------------------------------------------------------------------------------------------------- USTS $ -- $ 48,372 $ -- $ 48,372 $ -- $ 92,022 $ -- $ 92,022 USG -- 95,527 -- 95,527 -- 160,404 -- $ 160,404 TP -- 38,099 -- 38,099 -- 72,229 -- $ 72,229 FED -- 44,927 -- 44,927 -- 107,025 -- $ 107,025 CTF 1,115 18 -- 1,133 1,547 32 -- $ 1,579 NYTF 14,676 458 -- 15,134 27,339 420 -- $ 27,759 TF 93,988 272 119 94,379 100,494 2,932 -- $ 103,426 LA -- 28,321 -- 28,321 -- 5,172 -- $ 5,172 PRM -- 603,854 -- 603,854 -- 1,184,345 -- $ 1,184,345
At August 31, 2003, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
USTS USG TP - ----------------------------------------------------------------------------------- Current distributable ordinary income $ 1,955 $ 3,615 $ 1,410 Plus/Less: cumulative timing differences (1,809) (3,507) (1,456) --------- --------- --------- Undistributed ordinary income or overdistribution of ordinary income $ 146 $ 108 $ (46) ========= ========= ========= Current distributable long-term capital gain or tax basis capital loss carryover --^ 11 (255) Plus/Less: cumulative timing differences -- -- -- --------- --------- --------- Undistributed long-term gains/ accumulated capital loss --^ 11 (255) ========= ========= ========= Unrealized appreciation (depreciation) $ -- $ -- $ -- ========= ========= =========
FED CTF NYTF - ----------------------------------------------------------------------------------- Current Distributable Tax Exempt Income $ -- $ -- $ 140 Current distributable ordinary income 1,342 -- 389 Plus/Less: cumulative timing differences (1,523) (49) (400) --------- --------- --------- Undistributed ordinary income or overdistribution of ordinary income $ (181) $ (49) $ 129 ========= ========= ========= Current distributable long-term capital gain or tax basis capital loss carryover -- -- 29 Plus/Less: cumulative timing differences -- -- -- --------- --------- --------- Undistributed long-term gains/accumulated capital loss -- -- 29 ========= ========= ========= Unrealized appreciation (depreciation) $ -- $ -- $ -- ========= ========= =========
^ Amount rounds to less than one thousand. 141
TF LA PRM - ----------------------------------------------------------------------------------- Current distributable tax exempt income $ -- $ -- $ -- Current distributable ordinary income -- 660 18,329 Plus/Less: cumulative timing differences (3,818) (601) (19,642) --------- --------- --------- Undistributed ordinary income or overdistribution of ordinary income $ (3,818) $ 59 $ (1,313) ========= ========= ========= Current distributable long-term capital gain or tax basis capital loss carryover 80 -- -- Plus/Less: cumulative timing differences -- -- -- --------- --------- --------- Undistributed long-term gains/ accumulated capital loss 80 -- -- ========= ========= ========= Unrealized appreciation (depreciation) $ -- $ -- $ -- ========= ========= =========
For USTS, USG, TP, FED, CTF, TF, LA and PRM, the cumulative timing differences primarily consist of dividends payable and deferred compensation. For NYTF, the cumulative timing difference consists of dividends payable, deferred compensation and post October loss deferral. At August 31, 2003, the following Funds have capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amounts in thousands).
EXPIRATION AMOUNT DATE - ---------------------------------------------------- TP $ (219) August 31, 2008 (36) August 31, 2009 -------- (255)
During the year ended August 31, 2003, TP, CTF, and TF utilized capital loss carryforwards of $15, $4, and $657, respectively (amounts in thousands). 8. 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 August 31, 2003, LA and PRM invested 37.6% and 26.7%, respectively, 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. 142 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 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. 9. SUBSEQUENT EVENT On September 1, 2003 Robert Fleming Inc. and J.P. Morgan Fleming Asset Management (USA) Inc. merged into J.P. Morgan Investment Management, Inc. ("JPMIM"). The investment advisory services and personnel providing investment advice have not changed as a result of the merger. Effective September 1, 2003, JPMIM, the surviving entity, will serve as adviser to all the funds. On October 1, 2003, JPMIM changed from being a wholly-owned subsidiary of J.P. Morgan ("Parent") to being an indirectly wholly-owned subsidiary of the Parent, with the intermediary being J.P. Morgan Fleming Asset Management Holdings Inc. 143 10. 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 6,776,952 6,776,951 $ 2,050,702 2,050,702 Shares issued in reinvestment of distributions 14,095 14,095 1,250 1,249 Shares redeemed (7,781,503) (7,781,501) (1,915,748) (1,915,748) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (990,456) (990,455) $ 136,204 136,203 ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 4,968,483 4,968,483 $ 5,930,523 5,930,523 Shares issued in reinvestment of distributions 7,593 7,593 4,721 4,722 Shares redeemed (5,248,891) (5,248,890) (5,076,254) (5,076,254) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (272,815) (272,814) $ 858,990 858,991 ================================================================================================================= 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. 144 U.S. GOVERNMENT MONEY MARKET FUND
MORGAN^ PREMIER ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 11,505,562 11,505,571 $ 4,867,870 4,867,870 Shares issued in reinvestment of distributions 11,649 11,649 7,060 7,060 Shares redeemed (11,815,954) (11,815,963) (4,808,850) (4,808,850) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (298,743) (298,743) $ 66,080 66,080 ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 28,452,633 28,452,632 $ 9,580,574 9,580,573 Shares issued in reinvestment of distributions 27,436 27,435 9,812 9,813 Shares redeemed (29,211,858) (29,211,859) (8,510,342) (8,510,342) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (731,789) (731,792) $ 1,080,044 1,080,044 ================================================================================================================= 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. 145 TREASURY PLUS MONEY MARKET FUND
MORGAN^ PREMIER ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 5,531,658 5,531,657 $ 6,571,629 6,571,629 Shares issued in reinvestment of distributions 4,046 4,047 1,962 1,962 Shares redeemed (5,856,791) (5,856,795) (6,163,135) (6,163,134) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (321,087) (321,091) $ 410,456 410,457 ============================================================================================================================ 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 - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 8,914,743 8,914,743 $ 6,993,523 6,993,523 Shares issued in reinvestment of distributions 9,425 9,425 5,472 5,471 Shares redeemed (9,093,885) (9,093,885) (7,133,307) (7,133,302) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (169,717) (169,717) $ (134,312) (134,308) ============================================================================================================================ 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 - -------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - -------------------------------------------------------------------------------------------- Shares sold $ 709,925 709,925 Shares issued in reinvestment of distributions 1,377 1,378 Shares redeemed (711,960) (711,960) - -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (658) (657) ============================================================================================ 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. 146 FEDERAL MONEY MARKET FUND
MORGAN^ PREMIER ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 730,646 730,643 $ 5,877,312 5,877,310 Shares issued in reinvestment of distributions 2,042 2,042 2,370 2,370 Shares redeemed (873,924) (873,923) (6,069,550) (6,069,550) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (141,236) (141,238) $ (189,868) (189,870) ============================================================================================================================ 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 - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,916,272 1,916,272 $ 6,055,216 6,054,030 Shares issued in reinvestment of distributions 1,380 1,380 13,339 13,339 Shares redeemed (2,106,886) (2,106,886) (6,309,625) (6,308,433) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (189,234) (189,234) $ (241,070) (241,064) ============================================================================================================================ 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 - -------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2002* - -------------------------------------------------------------------------------------------- Shares sold $ -- -- Shares issued 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 and Reserve Shares, from commencement of operations on September 10, 2001. 147 CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN^ ---------------------------- AMOUNT SHARES - -------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - -------------------------------------------------------------------------------------------- Shares sold $ 470,080 470,082 Shares issued in reinvestment of distributions 280 280 Shares redeemed (484,274) (484,275) - -------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (13,914) (13,913) ============================================================================================ 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. 148 NEW YORK TAX FREE MONEY MARKET FUND
MORGAN^ RESERVE ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,685,034 2,685,035 $ 157,434 157,433 Shares issued in reinvestment of distributions 10,305 10,305 928 928 Shares redeemed (3,156,594) (3,156,594) (163,079) (163,079) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (461,255) (461,254) $ (4,717) (4,718) ============================================================================================================================ 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. 149 TAX FREE MONEY MARKET FUND
MORGAN^ PREMIER ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,239,654 1,239,654 $ 12,469,538 12,469,545 Shares issued in reinvestment of distributions 2,354 2,354 3,773 3,773 Shares redeemed (1,489,347) (1,489,347) (12,110,456) (12,110,464) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (247,339) (247,339) $ 362,855 362,854 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,166,957 2,166,957 $ 12,250,326 12,250,326 Shares issued in connection with fund reorganization (note 2) 1 1 2,051,990 2,052,056 Shares issued in reinvestment of distributions 5,573 5,573 6,386 6,386 Shares redeemed (2,176,569) (2,176,569) (11,356,662) (11,356,662) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (4,038) (4,038) $ 2,952,040 2,952,106 ============================================================================================================================ AGENCY@ INSTITUTIONAL ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,061,611 3,061,611 $ 27,825,383 27,825,382 Shares issued in reinvestment of distributions 4,197 4,197 26,713 26,713 Shares redeemed (3,432,944) (3,432,944) (25,410,807) (25,410,806) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (367,136) (367,136) $ 2,441,289 2,441,289 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 4,036,424 4,036,424 $ 17,612,670 17,612,670 Shares issued in connection with fund reorganization (note 2) -- -- 1,606,663 1,606,636 Shares issued in reinvestment of distributions 8,449 8,449 22,933 22,933 Shares redeemed (3,873,703) (3,873,703) (15,350,869) (15,350,869) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 171,170 171,170 $ 3,891,397 3,891,370 ============================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares, from commencement of operations on September 10, 2001. 150 LIQUID ASSETS MONEY MARKET FUND
MORGAN PREMIER ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 41,433 41,433 $ 254,965 254,965 Shares issued in reinvestment of distributions 156 156 456 456 Shares redeemed (40,689) (40,689) (245,143) (245,142) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 900 900 $ 10,278 10,279 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 23,482 23,482 $ 34,620 34,620 Shares issued in reinvestment of distributions 88 88 108 108 Shares redeemed (6,066) (6,066) (8,992) (8,992) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 17,504 17,504 $ 25,736 25,736 ============================================================================================================================ AGENCY INSTITUTIONAL ---------------------------- ---------------------------- AMOUNT SHARES AMOUNT SHARES - ---------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,702,858 2,702,858 $ 9,336,047 9,336,047 Shares issued in reinvestment of distributions 2,258 2,258 18,384 18,384 Shares redeemed (2,473,595) (2,473,596) (8,240,758) (8,240,757) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 231,521 231,520 $ 1,113,673 1,113,674 ============================================================================================================================ YEAR ENDED AUGUST 31, 2002* - ---------------------------------------------------------------------------------------------------------------------------- Shares sold $ 75,072 75,072 $ 1,676,712 1,676,712 Shares issued in reinvestment of distributions 238 238 3,740 3,740 Shares redeemed (22,758) (22,758) (561,217) (561,217) - ---------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 52,552 52,552 $ 1,119,235 1,119,235 ============================================================================================================================
* For the period from April 1, 2002 (commencement of operations) through August 31, 2002. 151 PRIME MONEY MARKET FUND
MORGAN^ PREMIER ------------------------------ ------------------------------ AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 19,430,639 19,430,640 $ 32,907,116 32,907,113 Shares issued in reinvestment of distributions 39,643 39,643 10,165 10,165 Shares redeemed (22,395,554) (22,395,555) (32,686,869) (32,686,869) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,925,272) (2,925,272) $ 230,412 230,409 ================================================================================================================================ YEAR ENDED AUGUST 31, 2002 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 31,146,230 31,145,581 $ 39,727,933 39,727,974 Shares issued in connection with fund reorganization (note 2) -- -- 993,883 993,962 Shares issued in reinvestment of distributions 123,505 123,505 21,646 21,646 Shares redeemed (34,084,449) (34,083,794) (37,715,271) (37,715,317) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,814,714) (2,814,708) $ 3,028,191 3,028,265 ================================================================================================================================ AGENCY@ CLASS B ------------------------------ ------------------------------ AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 75,329,197 75,329,195 $ 16,176 16,177 Shares issued in reinvestment of distributions 108,352 108,352 29 28 Shares redeemed (75,351,083) (75,351,084) (19,413) (19,413) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 86,466 86,463 $ (3,208) (3,208) ================================================================================================================================ YEAR ENDED AUGUST 31, 2002 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 110,364,729 110,364,784 $ 49,866 49,866 Shares issued in connection with fund reorganization (note 2) 27,614 27,613 -- -- Shares issued in reinvestment of distributions 236,129 236,129 128 128 Shares redeemed (114,800,874) (114,800,914) (54,428) (54,428) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (4,172,402) (4,172,388) $ (4,434) (4,434) ================================================================================================================================ CLASS C INSTITUTIONAL ------------------------------ ------------------------------ AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,217 2,217 $ 269,286,703 269,286,690 Shares issued in reinvestment of distributions 1 1 139,752 139,752 Shares redeemed (2,283) (2,283) (266,231,348) (266,231,355) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (65) (65) $ 3,195,107 3,195,087 ================================================================================================================================ YEAR ENDED AUGUST 31, 2002* - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,029 2,029 $ 337,668,768 337,668,780 Shares issued in connection with fund reorganization (note 2) -- -- 19,841,087 19,841,553 Shares issued in reinvestment of distributions 4 4 243,192 243,192 Shares redeemed (1,708) (1,708) (335,871,910) (335,871,952) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 325 325 $ 21,881,137 21,881,573 ================================================================================================================================ RESERVE SELECT ------------------------------ ------------------------------ AMOUNT SHARES AMOUNT SHARES - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 837,293 837,293 $ 2,851,148 2,851,148 Shares issued in reinvestment of distributions 1,651 1,651 9,195 9,195 Shares redeemed (876,193) (876,193) (3,148,945) (3,148,945) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (37,249) (37,249) $ (288,602) (288,602) ================================================================================================================================ YEAR ENDED AUGUST 31, 2002* - -------------------------------------------------------------------------------------------------------------------------------- Shares sold $ 910,702 910,702 $ 5,422,509 5,422,509 Shares issued in connection with fund reorganization (note 2) 121,009 121,016 2,959,283 2,959,209 Shares issued in reinvestment of distributions 1,804 1,804 19,673 19,673 Shares redeemed (650,835) (650,835) (7,337,218) (7,337,219) - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 382,680 382,687 $ 1,064,247 1,064,172 ================================================================================================================================
^ Formerly Vista Shares. @ Formerly Institutional Shares. * For Institutional Shares and Select Shares, from commencement of operations on September 10, 2001. 152
CASH MANAGEMENT ------------------------------ AMOUNT SHARES - ---------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2003 - ---------------------------------------------------------------------------------------------- Shares sold $ 2,026,984 2,026,986 Shares issued in reinvestment of distributions 401 401 Shares redeemed (1,765,630) (1,765,630) - ---------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 261,755 261,757 ============================================================================================== 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 ==============================================================================================
* For Cash Management Shares from commencement of operations on September 10, 2001. 153 JPMORGAN FUNDS Financial Highlights
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.75% 1.55% 4.75% 5.02% 4.31% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 2,535 $ 3,526 $ 4,027 $ 3,535 $ 3,312 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------- Net investment income 0.77% 1.53% 4.59% 4.92% 4.15% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.71% 0.71% 0.71% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.67% 1.43% 4.47% 4.80% 4.03% - ----------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ---------------------------------------------------- PREMIER ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.88% 1.68% 4.84% 5.12% 4.40% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 489 $ 353 $ 133 $ 116 $ 24 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.46% 0.46% 0.48% 0.49% 0.50% - ----------------------------------------------------------------------------------------------------- Net investment income 0.85% 1.52% 4.70% 5.02% 4.22% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.48% 0.52% 0.53% 0.56% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.84% 1.50% 4.66% 4.98% 4.16% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 154
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ INSTITUTIONAL ---------------------------------------------------- -------------------- YEAR ENDED YEAR 9/10/01** ---------------------------------------------------- ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02 - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.05 0.05 0.05 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.05 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 - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.09% 1.89% 5.11% 5.38% 4.67% 1.14% 1.85% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 818 $ 1,090 $ 1,170 $ 872 $ 895 $ 1,126 $ 267 - ---------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------- Net expenses 0.25% 0.25% 0.25% 0.25% 0.24% 0.20% 0.20% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income 1.11% 1.86% 4.93% 5.26% 4.51% 1.08% 1.67% - ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.35% 0.34% 0.32% 0.32% 0.33% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.04% 1.79% 4.83% 5.17% 4.43% 0.96% 1.54% - ----------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 155
U.S. GOVERNMENT MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.84% 1.65% 4.93% 5.48% 4.55% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,077 $ 3,375 $ 4,150 $ 3,398 $ 3,538 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------- Net investment income 0.84% 1.67% 4.80% 5.35% 4.46% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.68% 0.69% 0.69% 0.69% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.74% 1.58% 4.70% 5.25% 4.36% - ----------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND ---------------------------------------------------- PREMIER ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.05 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.05 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.98% 1.79% 5.08% 5.62% 4.70% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,113 $ 1,047 $ 1,251 $ 1,134 $ 922 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% - ----------------------------------------------------------------------------------------------------- Net investment income 0.96% 1.79% 4.95% 5.50% 4.60% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.57% 0.57% 0.59% 0.58% 0.58% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.84% 1.67% 4.81% 5.37% 4.47% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 156
U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ INSTITUTIONAL ---------------------------------------------------- -------------------- YEAR ENDED YEAR 9/10/01** ---------------------------------------------------- ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02 - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.05 0.06 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 - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.17% 1.98% 5.28% 5.83% 4.92% 1.23% 1.96% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,766 $ 4,497 $ 3,769 $ 2,639 $ 2,913 $ 1,526 $ 447 - ---------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.25% 0.20% 0.20% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income 1.17% 1.98% 5.09% 5.66% 4.80% 1.13% 1.89% - ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.33% 0.33% 0.31% 0.32% 0.32% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.11% 1.92% 5.02% 5.59% 4.74% 1.01% 1.77% - ----------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 157
TREASURY PLUS MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.79% 1.59% 4.77% 5.29% 4.39% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 782 $ 1,103 $ 1,567 $ 1,367 $ 1,734 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------- Net investment income 0.82% 1.57% 4.70% 5.14% 4.27% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.70% 0.72% 0.71% 0.69% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.71% 1.46% 4.57% 5.02% 4.17% - ----------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND ---------------------------------------------------- PREMIER ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.04 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.94% 1.73% 4.91% 5.44% 4.54% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,228 $ 818 $ 326 $ 228 $ 476 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% - ----------------------------------------------------------------------------------------------------- Net investment income 0.91% 1.68% 4.84% 5.28% 4.42% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.49% 0.49% 0.52% 0.51% 0.50% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.87% 1.64% 4.77% 5.22% 4.37% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 158
TREASURY PLUS MONEY MARKET FUND ---------------------------------------------------- AGENCY@ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.14% 1.93% 5.12% 5.65% 4.75% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,247 $ 1,416 $ 944 $ 904 $ 980 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ----------------------------------------------------------------------------------------------------- Net expenses 0.25% 0.25% 0.25% 0.25% 0.24% - ----------------------------------------------------------------------------------------------------- Net investment income 1.14% 1.88% 5.04% 5.48% 4.61% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.34% 0.34% 0.36% 0.36% 0.31% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.05% 1.79% 4.93% 5.37% 4.54% - ----------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND ------------------------------------------- INSTITUTIONAL RESERVE ------------------------------------------- YEAR 9/10/01** YEAR 9/10/01** ENDED THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 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 0.01 Less dividends from net investment income 0.01 0.02 0.01 0.01 -------- --------- -------- --------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - -------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.19% 1.90% 0.68% 1.40% ============================================================================================ RATIOS/SUPPLEMENTAL DATA: - -------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 298 $ 432 $ 234 $ 235 - -------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - -------------------------------------------------------------------------------------------- Net expenses 0.20% 0.20% 0.70% 0.70% - -------------------------------------------------------------------------------------------- Net investment income 1.18% 1.87% 0.68% 1.35% - -------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.34% 0.34% 0.75% 0.74% - -------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.04% 1.73% 0.63% 1.31% - --------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 159
FEDERAL MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.01 0.05 0.05 0.04 Less dividends from net investment income 0.01 0.01 0.05 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.70% 1.51% 4.84% 5.29% 4.46% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 311 $ 452 $ 658 $ 576 $ 550 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% - ----------------------------------------------------------------------------------------------------- Net investment income 0.72% 1.53% 4.57% 5.17% 4.35% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.79% 0.72% 0.74% 0.75% 0.78% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.63% 1.51% 4.53% 5.12% 4.27% - ----------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND ---------------------------------------------------- PREMIER ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 0.05 Less dividends from net investment income 0.01 0.02 0.05 0.05 0.05 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.95% 1.77% 5.07% 5.50% 4.67% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,214 $ 1,404 $ 276 $ 279 $ 298 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.49% 0.50% 0.50% - ----------------------------------------------------------------------------------------------------- Net investment income 0.96% 1.73% 4.78% 5.35% 4.56% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.49% 0.50% 0.50% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.94% 1.71% 4.78% 5.35% 4.56% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 160
FEDERAL MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ INSTITUTIONAL ---------------------------------------------------- -------------------- YEAR ENDED YEAR 9/10/01** ---------------------------------------------------- ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02 - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.05 0.06 0.05 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.05 0.06 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 - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.14% 1.96% 5.30% 5.75% 4.92% 1.20% 1.93% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 334 $ 523 $ 1,169 $ 287 $ 248 $ 1,712 $ 1,953 - ---------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% 0.20% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income 1.20% 2.02% 5.01% 5.61% 4.79% 1.20% 1.97% - ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.32% 0.34% 0.34% 0.34% 0.32% 0.32% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.13% 1.96% 4.93% 5.53% 4.71% 1.08% 1.85% - ----------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 161
CALIFORNIA TAX FREE MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.01 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.72% 1.13% 2.70% 3.00% 2.66% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 149 $ 163 $ 83 $ 78 $ 68 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% - ----------------------------------------------------------------------------------------------------- Net investment income 0.72% 1.05% 2.68% 3.03% 2.55% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.73% 0.76% 0.83% 0.90% 0.94% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.54% 0.84% 2.40% 2.68% 2.16% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 162
NEW YORK TAX FREE MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.01 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.72% 1.20% 2.98% 3.27% 2.66% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1,662 $ 2,123 $ 2,439 $ 1,831 $ 1,505 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ----------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------- Net investment income 0.72% 1.17% 2.88% 3.24% 2.61% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.71% 0.70% 0.71% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.62% 1.07% 2.76% 3.13% 2.49% - ----------------------------------------------------------------------------------------------------- NEW YORK TAX FREE MONEY MARKET FUND ------------------------------------------------ RESERVE ------------------------------------------------ YEAR ENDED 7/31/00** --------------------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.01 0.03 --+ Less dividends from net investment income 0.01 0.01 0.03 --+ -------- --------- ---------- --------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.52% 1.00% 2.77% 0.28% ================================================================================================= RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 175 $ 180 $ --* $ --* - ------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ------------------------------------------------------------------------------------------------- Net expenses 0.79% 0.79% 0.90% 0.79% - ------------------------------------------------------------------------------------------------- Net investment income 0.50% 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 0.42% 0.74% (1556.74%)!! 2.34% - -------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. ** Commencement of offering of class of shares. + Less than .005. (b) 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. 163
TAX FREE MONEY MARKET FUND ---------------------------------------------------- MORGAN^ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.01 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.69% 1.21% 3.13% 3.37% 2.73% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 655 $ 903 $ 907 $ 895 $ 754 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------- Net investment income 0.72% 1.14% 3.09% 3.33% 2.68% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.72% 0.75% 0.73% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.62% 1.04% 2.96% 3.17% 2.54% - ----------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND ---------------------------------------------------- PREMIER ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: YEAR ENDED - ----------------------------------------------------------------------------------------------------- 8/31/03 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 0.01 0.03 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.03 0.03 0.03 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 0.83% 1.35% 3.21% 3.41% 2.78% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 3,429 $ 3,066 $ 116 $ 120 $ 130 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.45% 0.51% 0.55% 0.54% - ----------------------------------------------------------------------------------------------------- Net investment income 0.82% 1.25% 3.17% 3.40% 2.74% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.48% 0.53% 0.59% 0.56% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.80% 1.22% 3.15% 3.26% 2.72% - -----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 164
TAX FREE MONEY MARKET FUND -------------------------------------------------------------------------- AGENCY@ INSTITUTIONAL ---------------------------------------------------- ------------------- YEAR ENDED YEAR 9/10/01** ---------------------------------------------------- ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02 - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.02 0.03 0.04 0.03 0.01 0.02 Less dividends from net investment income 0.01 0.02 0.03 0.04 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 - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.02% 1.54% 3.47% 3.71% 3.07% 1.09% 1.54% ============================================================================================================================ RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 725 $ 1,091 $ 921 $ 640 $ 476 $ 6,332 $ 3,891 - ---------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.20% 0.20% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income 1.05% 1.45% 3.42% 3.67% 3.01% 1.05% 1.46% - ---------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.33% 0.36% 0.39% 0.35% 0.32% 0.33% - ---------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.98% 1.38% 3.32% 3.54% 2.92% 0.93% 1.33% - ----------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 165
LIQUID ASSETS MONEY MARKET FUND --------------------------------------------------------------------------------- MORGAN PREMIER AGENCY INSTITUTIONAL ------------------ ------------------ ------------------ ------------------ YEAR 4/1/02** YEAR 4/1/02** YEAR 4/1/02** YEAR 4/1/02** ENDED THROUGH ENDED THROUGH ENDED THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 8/31/02 8/31/03 8/31/02 8/31/03 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 (b) 0.95% 0.64% 1.09% 0.70% 1.29% 0.78% 1.35% 0.81% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 18 $ 17 $ 36 $ 26 $ 284 $ 53 $ 2,233 $ 1,119 - ---------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 0.54% 0.45% 0.40% 0.31% 0.21% 0.13% 0.15% 0.08% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.95% 1.51% 1.08% 1.65% 1.16% 1.82% 1.27% 1.87% - ---------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.87% 0.83% 0.51% 0.63% 0.33% 0.44% 0.33% 0.40% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.62% 1.13% 0.97% 1.33% 1.04% 1.51% 1.09% 1.55% - ----------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 166
PRIME MONEY MARKET FUND ----------------------------------------------------- MORGAN^ ----------------------------------------------------- YEAR ENDED 10/1/98** ----------------------------------------- THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 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 (b) 0.87% 1.71% 5.10% 5.65% 4.26% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------------------ Net assets, end of period (millions) $ 4,627 $ 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 0.90% 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 0.87% 1.69% 4.80% 5.51% 4.48% - ------------------------------------------------------------------------------------------------------ PRIME MONEY MARKET FUND --------------------------------------------------- PREMIER --------------------------------------------------- YEAR ENDED --------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 ------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.01% 1.85% 5.25% 5.81% 4.90% ==================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 5,412 $ 5,182 $ 2,153 $ 1,841 $ 1,094 - ---------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------- Net expenses 0.45% 0.44% 0.45% 0.45% 0.45% - ---------------------------------------------------------------------------------------------------- Net investment income 1.00% 1.80% 4.96% 5.67% 4.77% - ---------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.46% 0.47% 0.49% 0.49% 0.49% - ---------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.99% 1.77% 4.92% 5.63% 4.73% - ----------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 167
PRIME MONEY MARKET FUND ---------------------------------------------------- AGENCY@ ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.05 Less dividends from net investment income 0.01 0.02 0.05 0.06 0.05 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN (1) 1.20% 2.05% 5.45% 6.01% 5.10% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 12,648 $ 12,562 $ 16,676 $ 9,430 $ 8,161 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 0.26% 0.25% 0.26% 0.26% 0.26% - ----------------------------------------------------------------------------------------------------- Net investment income 1.20% 2.08% 5.15% 5.86% 4.96% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.31% 0.32% 0.33% 0.33% 0.33% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.15% 2.01% 5.08% 5.79% 4.89% - ----------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ---------------------------------------------------- CLASS B ---------------------------------------------------- YEAR ENDED ---------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.04 0.05 0.04 Less dividends from net investment income --+ 0.01 0.04 0.05 0.04 -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN (1) 0.25% 1.05% 4.43% 4.97% 4.07% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ----------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 10 $ 13 $ 18 $ 11 $ 36 - ----------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: - ----------------------------------------------------------------------------------------------------- Net expenses 1.21% 1.23% 1.24% 1.25% 1.25% - ----------------------------------------------------------------------------------------------------- Net investment income 0.27% 1.10% 4.17% 4.87% 4.00% - ----------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.27% 1.26% 1.26% 1.27% 1.47% - ----------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.21% 1.07% 4.15% 4.85% 3.78% - -----------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. + Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any deferred sales load. See notes to financial statements. 168
PRIME MONEY MARKET FUND -------------------------------------------------------------------------- CLASS C INSTITUTIONAL ---------------------------------------------------- ------------------- YEAR ENDED YEAR 9/10/01** ---------------------------------------------------- ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 8/31/03 8/31/02 - --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.04 0.05 0.04 0.01 0.02 Less dividends from net investment income --+ 0.01 0.04 0.05 0.04 0.01 0.02 -------- -------- -------- -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - --------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1)(b) 0.25% 1.05% 4.43% 4.95% 3.85% 1.27% 2.02% =========================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - --------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 1 $ 1 $ --* $ --* $ 1 $ 25,075 $ 21,881 - --------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - --------------------------------------------------------------------------------------------------------------------------- Net expenses 1.21% 1.23% 1.24% 1.26% 1.45% 0.20% 0.19% - --------------------------------------------------------------------------------------------------------------------------- Net investment income 0.25% 1.16% 4.17% 4.86% 3.75% 1.24% 2.06% - --------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 1.27% 1.26% 1.26% 1.26% 1.45% 0.31% 0.32% - --------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.19% 1.13% 4.15% 4.86% 3.75% 1.13% 1.93% - --------------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ----------------------------------------- RESERVE ----------------------------------------- YEAR ENDED 7/31/00** ------------------------------ THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 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 0.02 0.05 0.01 Less dividends from net investment income 0.01 0.02 0.05 0.01 -------- -------- -------- -------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------ TOTAL RETURN (1)(b) 0.76% 1.60% 4.88% 0.50% ========================================================================================== RATIOS/SUPPLEMENTAL DATA: - ------------------------------------------------------------------------------------------ Net assets, end of period (millions) $ 355 $ 393 $ 10 $ --* - ------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # - ------------------------------------------------------------------------------------------ Net expenses 0.70% 0.68% 0.79% 0.79% - ------------------------------------------------------------------------------------------ Net investment income 0.76% 1.41% 4.62% 5.33% - ------------------------------------------------------------------------------------------ Expenses without waivers, reimbursements and earnings credits 0.71% 0.72% 2.17% 1.45% - ------------------------------------------------------------------------------------------ Net investment income without waivers, reimbursements and earnings credits 0.75% 1.37% 3.24% 4.67% - ------------------------------------------------------------------------------------------
** Commencement of offering of class of shares. + Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. # Short periods have been annualized. * Amount rounds to less than one million. See notes to financial statements. 169
PRIME MONEY MARKET FUND --------------------------------------------- SELECT CASH MANAGEMENT --------------------- --------------------- YEAR 9/10/01** YEAR 9/10/01** ENDED THROUGH ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/03 8/31/02 8/31/03 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 0.01 Less dividends from net investment income 0.01 0.02 0.01 0.01 --------- --------- --------- --------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------- TOTAL RETURN (b) 1.02% 1.78% 0.50% 1.25% ============================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------- Net assets, end of period (millions) $ 776 $ 1,064 $ 544 $ 282 - ---------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------- Net expenses 0.44% 0.42% 0.95% 0.96% - ---------------------------------------------------------------------------------------------- Net investment income 1.03% 1.83% 0.48% 1.17% - ---------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.46% 0.96% 0.99% - ---------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 1.00% 1.79% 0.47% 1.14% - ----------------------------------------------------------------------------------------------
** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 170 JPMORGAN FUNDS Report of Independent Auditors To the Trustees and Shareholders of J.P.Morgan Mutual Fund Trust: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Liquid Assets Money Market Fund, and JPMorgan Prime Money Market Fund (separate portfolios of J.P.Morgan Mutual Fund Trust, hereafter referred to as the "Funds") at August 31, 2003, the results of each of their operations for the year then ended and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York October 20, 2003 171 JPMORGAN FUNDS Trustee and Officer Information (unaudited) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Since 1994 Retired; Vice President 71 None 522 Fifth Avenue, and Treasurer of New York, NY 10036; Ingersoll-Rand Company 12/4/1941 (manufacturer of industrial equipment) (1972-2000) Roland R. Eppley, Jr.; Trustee Since 1994 Retired 71 Director, Janel Hydro, 522 Fifth Avenue, Inc. (1993-present) New York, NY 10036; 4/1/1932 Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Corporation (1997-Present) New York, NY 10036; Inc. (communications) Director of Elan 8/22/1945 (1986-1998); President Corporation, Plc of Diversified (pharmaceuticals) Publishing Group (2001-Present); Director of (1991-1997) The Phoenix Companies (wealth management services) (2002-Present) Matthew Healey; Trustee and Since 2001 Retired; Chief Executive 71 None 522 Fifth Avenue, President of Officer of certain New York, NY 10036; the Board of J.P. Morgan Fund Trusts 8/23/1937 Trustees (1982-2001) Fergus Reid, III; Trustee and Since 1994 Chairman of Lumelite 71 Trustee of 16 Morgan 522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds New York, NY 10036; the Board of manufacturing) (1995-Present) 8/12/1932 Trustees (1985-present) James J. Schonbachler; Trustee Since 2001 Retired; Managing 71 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1/26/1943 (financial services) (1968-1998); Group Head and Director of Bankers Trust, A.G., Zurich and BT Brokerage Corp. (financial services) (1995-2002) Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian 522 Fifth Avenue, Administration of the Financial Corp. (banking) New York, NY 10036; State of Rhode Island (2002-Present) 10/9/1945 (2003-Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002)
172
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the City 71 Trustee of the Albert 522 Fifth Avenue, University of New York, Einstein School of Medicine New York, NY 10036; since September 1, (1998-Present); Trustee of 11/10/1941 1999; President, Bronx University (New York) Lebanon Hospital Center Adelphi University (1992-Present); Director of (New York) (1998-1999). New Plan Excel Realty Trust, Inc (real estate investment company) (2000-Present); Director of Lincoln Center Institute for the Arts in Education (1999-Present); Director of Jewish Community Relations Counsel of New York, Inc (2000-Present); Director of United Way of New York City (2002-Present). William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 71 Director of Radio Shack 522 Fifth Avenue, Emeritus (March 2001- Corporation (electronics) New York, NY 10036; October 2002), and (1987-Present); Director of 3/13/1937 Chairman and Chief the Griswold Company Executive Officer, (securities brokerage) Boston Stock Exchange (2002-Present); Director of (June 1985-March The National Football 2001). Foundation and College Hall of Fame (1994- Present); Trustee of the Berklee College of Music (1998-Present); Trustee of the Stratton Mountain School (2001-Present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Since 1998 Retired; Chief 71 Director of Glenview Trust; 522 Fifth Avenue, Executive Officer of Director of Pizza New York, NY 10036; Chase Mutual Funds Magia; Trustee of St. 7/20/1935 (investment company) Catherine College (1989-1998); Chief Trust; Trustee of Investment Executive of Bellarmine University Chase Manhattan Private of Marion Washington Bank (investment Airport Trust; Director management) (1990-1995) Board Trust; Director of Springfield Washington Economic Development Board Trust.
(1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other investment companies. The JPMorgan Fund complex for which the Trustees serve includes 11 investment companies. * Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. 173
POSITIONS HELD WITH PRINCIPAL NAME, EACH TERM OF OFFICE OCCUPATIONS CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS - ---------------------------------------------------------------------------------------------------------------- George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management 522 Fifth Avenue, Inc.; Head of J.P. Morgan Fleming's U.S. Mutual Funds New York, NY and Financial Intermediaries Business ("FFI"); he has 10036; held numerous positions throughout the firm in 12/21/1962 business management, marketing and sales. David Wezdenko; Treasurer Since 2001 Managing Director, J.P. Morgan Investment Management 522 Fifth Avenue, Inc.; Chief Operating Officer for FFI; since joining New York, NY J.P. Morgan Chase in 1996, he has held numerous 10036; financial and operation related positions supporting 10/2/1963 the J.P. Morgan pooling funds business. Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management 522 Fifth Avenue, Inc.; Head of Business and Product Strategy for New York, NY FFI; since joining J.P. Morgan Chase in 1996, she has 10036; held numerous positions throughout the asset 6/15/1959 management business in mutual funds marketing, legal and product development. Stephen M. Ungerman; Vice Since 2001 Vice President, J.P. Morgan Investment Management 522 Fifth Avenue, President Inc.; Fund Administration - Pooled Vehicles; prior to New York, NY and joining J.P. Morgan Chase in 2000, he held a number of 10036; Assistant senior management positions in Prudential Financial's 6/2/1953 Treasurer asset management business, including assistant General Counsel, Tax Director and Co-head of Fund Administration Department; Mr. Ungerman also served as the Assistant Treasurer of all mutual funds managed by Prudential. Judy R. Bartlett; Vice Since 2001 Vice President and Assistant General Counsel, 522 Fifth Avenue, President J.P. Morgan Investment Management Inc., since New York, NY and September 2000; from August 1998 through August 10036; Assistant 2000, she was an attorney at New York Life Insurance 5/29/1965 Secretary Company where she served as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice Since 2001 Vice President and Assistant General Counsel, 522 Fifth Avenue, President J.P. Morgan Investment Management Inc. New York, NY and 10036; Assistant 11/4/1965 Secretary Wayne H. Chan Vice Since 2003 Vice President and Assistant General Counsel, 522 Fifth Avenue, President J.P. Morgan Investment Management Inc. since September New York, NY and 2002; Mr. Chan was an associate at the law firm of 10036 Assistant Shearman & Sterling LLP from May 2001 through September 6/27/1965 Secretary 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999 Paul M. DeRusso Assistant Since 2001 Vice President, J.P. Morgan Investment Management, Inc.; 522 Fifth Avenue, Treasurer Manager of the Budgeting and Expense Group of Funds New York, NY Administration Group. 10036 12/3/1954 Lai Ming Fung Assistant Since 2001 Associate, J.P. Morgan Investment Management, Inc.; 522 Fifth Avenue, Treasurer Budgeting Analyst for the Budgeting and Expense Group New York, NY of Funds Administration Group. 10036 9/08/1974 Mary D. Squires Assistant Since 2001 Vice President, J.P. Morgan Investment Management, Inc.; 522 Fifth Avenue, Treasurer Ms. Squires has held numerous financial and operations New York, NY positions supporting the J.P. Morgan Chase organization 10036 complex. 1/8/1955
174
POSITIONS HELD WITH PRINCIPAL NAME, EACH TERM OF OFFICE OCCUPATIONS CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS - ---------------------------------------------------------------------------------------------------------------- Nimish S. Bhatt Assistant Since 2001 Senior Vice President of Alternative Investment and 3435 Stelzer Rd. Treasurer Tax Services of BISYS Fund Services, Inc. since January Columbus, OH 2002; held various positions within BISYS since 43219 1996, including Senior Vice President of Fund 6/6/1963 Administration and Financial Services, Vice President and Director of International Operation, Vice President of Financial Administration and Vice President of Tax. Arthur A. Jensen Assistant Since 2001 Vice President of Financial Services of BISYS Fund 3435 Selzer Rd. Treasurer Services, Inc. since June 2001; formerly Section Manager Columbus, OH of Northern Trust Company and Accounting Supervisor at 43219 Allstate Insurance Company. 9/28/1966 Martin R. Dean Assistant Since 2001 Vice President of Regulatory Services of BISYS Fund 3435 Stelzer Rd. Treasurer Services, Inc. Columbus, OH 43219 11/27/1963 Alaina Metz Assistant Since 2001 Chief Administrative Officer of BISYS Fund 3435 Stelzer Rd. Secretary Services, Inc.; formerly, Supervisor of the Blue Sky Columbus, OH Department of Alliance Capital Management, L.P. 43219 4/7/1967 Ryan M. Louvar Assistant Since 2003 Counsel of Legal Services, BISYS Fund Services Inc. 60 State Street, Secretary since 2000; formerly Attorney at Hill, Farrer & Burrill Suite 1300 LLP from 1999 to 2000 and Knapp Petersen & Clarke, PC Boston, MA from 1997 to 1999. 02109 2/18/1972 Lisa Hurley Assistant Since 2001 Executive Vice President and General Counsel of BISYS 60 State Street, Secretary Fund Services, Inc. Suite 1300 Boston, MA 02109 5/29/1955 Thomas J. Smith Vice President Since 2002 Managing Director, Head of Compliance for J.P. Morgan 522 Fifth Avenue, and Assistant Chase & Co.'s asset management business in the New York, NY Secretary Americas. 10036 6/24/1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 175 TAX LETTER (UNAUDITED) JPMorgan 100% U.S. Treasury Securities Money Market Fund ("USTS") JPMorgan U.S. Government Money Market Fund ("USG") JPMorgan Treasury Plus Money Market Fund ("TP") JPMorgan Federal Money Market Fund ("FED") JPMorgan California Tax Free Money Market Fund ("CTF") JPMorgan New York Tax Free Money Market Fund ("NYTF") JPMorgan Tax Free Money Market Fund ("TF") JPMorgan Liquid Assets Money Market Fund ("LA") JPMorgan Prime Money Market Fund ("PRM") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2003. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. The following schedule presents the source and percentage of income from government obligations for the fiscal year ended August 31, 2003.
USTS USG TP FED LA PRM - ------------------------------------------------------------------------------------------------------ U.S. Treasury Obligations 99.89% 0.04% 48.37% 2.39% -- -- Federal Farm Credit Bank -- 10.39% -- 35.13% 0.10% -- Federal Home Loan Bank -- 13.04% -- 38.34% 1.07% -- Student Loan Marketing Association -- 2.12% -- 12.11% 0.39% -- Tennessee Valley Authority -- 0.04% -- 11.42% -- -- Federal Home Loan Mortgage -- 9.22% -- -- -- 0.06% Federal National Mortgage Association -- 22.95% -- -- 0.10% 0.58%
Also, for the fiscal year ended August 31, 2003: * The dividends paid from net investment income are 99.62%, 99.51% and 99.71% exempt from Federal income tax for CTF, NYTF and TF, respectively. * For shareholders who are subject to the Alternative Minimum Tax, the percentage of income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 17.44%, 7.51% and 13.86% for CTF, NYTF and TF, respectively. During the period ended August 31, 2003, TF had long-term capital gain distributions of $119 (amount in thousands). 176 THIS PAGE IS INTENTIONALLY LEFT BLANK JPMorgan Family of 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 Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund 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 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 Funds may be registered under separate registrants. ANNUAL REPORT JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. JPMorgan Funds Fulfillment Center 393 Manley Street WestBridgewater, MA 02379-1039 (C) J.P. Morgan Chase & Co., 2003 All Rights Reserved. October 2003 AN-MMKT-803 ITEM 2. CODE OF ETHICS. (a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS WITH FISCAL YEARS ENDING ON OR AFTER DECEMBER 15, 2003. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. NOT APPLICABLE. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, about the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph. THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose whether or not there were significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 10. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Mutual Fund Trust -------------------------------------------------------------------- By (Signature and Title)* /s/ David Wezdenko ------------------------------------------------------- David Wezdenko, Treasurer Date October 21,2003 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ David Wezdenko ------------------------------------------------------- David Wezdenko, Treasurer Date October 21, 2003 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date October 21, 2003 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 a2120888zex-99_cert.txt EXHIBIT 99.CERT Exhibit-99-Cert CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C.W. Gatch - --------------------------------------- George C.W. Gatch President October 21, 2003 - --------------------------------------- Date CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, David Wezdenko, certify that: 1 I have reviewed this report on Form N-CSR of JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ David Wezdenko - --------------------------------------- David Wezdenko Treasurer October 21, 2003 - --------------------------------------- Date EX-99.906CERT 4 a2120888zex-99_906cert.txt EXHIBIT 99.906CERT Exhibit-99-906-Cert CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended August 31, 2003 of the JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund, each as series of J.P. Morgan Mutual Fund Trust (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund, each a series of the Registrant. /s/ George C.W. Gatch - -------------------------------------- George C.W. Gatch President October 21, 2003 - -------------------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended August 31, 2003 of the JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund, each as series of J.P. Morgan Mutual Fund Trust (the "Registrant"). I, David Wezdenko, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan California Tax Free Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan Liquid Asset Money Market Fund, JPMorgan New York Tax Free Money Market Fund, JPMorgan Prime Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan Treasury Plus Money Market Fund and JPMorgan U.S. Government Money Market Fund, each a series of the Registrant. /s/ David Wezdenko - -------------------------------------- David Wezdenko Treasurer October 21, 2003 - -------------------------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----