N-CSRS 1 a2134949zn-csrs.txt N-CSRS ----------------------------- 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, 2004 ---------------------------------------------- Date of reporting period: September 1, 2003 through February 29, 2004 --------------------------------------------- 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). SEMI-ANNUAL REPORT FEBRUARY 29, 2004 (UNAUDITED) JPMORGAN FUNDS [GRAPHIC] MONEY MARKET FUNDS PRIME MONEY MARKET FUND LIQUID ASSETS MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND TREASURY PLUS MONEY MARKET FUND FEDERAL MONEY MARKET FUND 100% U.S. TREASURY SECURITIES MONEY MARKET FUND TAX FREE MONEY MARKET FUND CALIFORNIA TAX FREE MONEY MARKET FUND NEW YORK TAX FREE MONEY MARKET FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS President's Letter 1 Fund Facts: Prime Money Market Fund 3 Liquid Assets Money Market Fund 4 U.S. Government Money Market Fund 5 Treasury Plus Money Market Fund 6 Federal Money Market Fund 7 100% U.S. Treasury Securities Money Market Fund 8 Tax Free Money Market Fund 9 California Tax Free Money Market Fund 10 New York Tax Free Money Market Fund 11 Portfolios of Investments 12 Financial Statements 112 Notes to Financial Statements 127 Financial Highlights 148
HIGHLIGHTS - Economic recovery underway - Fed kept monetary policy unchanged - Bank One merger news Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN MONEY MARKET FUNDS DEAR SHAREHOLDER: APRIL 12, 2004 We are pleased to present this semi-annual report for the JPMorgan Money Market Funds for the period ended February 29, 2004. Inside you'll find in-depth information on some of our money market funds. THE ECONOMIC RECOVERY STEADIES As the period began, a strong economic recovery seemed to be underway. For example, during the third quarter, the U.S. gross domestic product (GDP) -- the total output of all the goods and services produced in the United States -- had grown 8.2%. Nonetheless, American companies continued to lay off employees and delayed adding to their inventory. Inflation remained low; in fact, the general impression was of ongoing disinflation. The perceived risk of deflation, which dominated the second quarter of 2003, appeared to have subsided. Economic growth accelerated during the last few months of the year -- showing signs that it was becoming self-sustaining and no longer driven by fiscal and monetary policy. Fourth-quarter GDP growth was reported at 4.1%, below the market consensus of 4.5% to 5%. Some attributed the lower-than-expected GDP to weak inventory accumulation and suggested that stronger growth was likely in early 2004. Supporting this theory was the continued capital spending and earnings growth of America's corporations. In February, economic data reinforced the expectation that the economy would continue to grow at about 4%. POLICY In December, the Federal Reserve Board (Fed) had announced that it would keep its monetary policy on hold. As investors speculated on the timing of a rate increase, the short end of the yield curve anticipated nearly one percent of tightening in 2004. In January, the Fed decided to drop the term "considerable period" from its language on interest rates and said instead that it could remain "patient." The Fed's rhetoric -- considered friendly by the market -- buoyed short-term interest rates. The new language gives the Fed the flexibility to respond to evolving economic conditions rather than the mere passage of time. IMPORTANT MERGER NEWS As you may know, JPMorgan Chase and Bank One have agreed to merge by mid-2004, subject to approval of the Firms' shareholders and certain regulatory agencies. We believe that the merger is compelling both strategically and financially. We believe that the newly combined organization will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we will have an extraordinarily talented team that shares common values and a strong client orientation. 1 The economic climate shows promise. Your portfolio managers will continue to work hard on your behalf. Their goal: to obtain the highest possible yields in this low interest rate environment while focusing on the preservation of your principal. On behalf of all of us here at JPMorgan Fleming Asset Management, thank you for the trust you have placed in us over the years. We look forward to 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 PRIME MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 $47.1 BILLION Average maturity 54 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 19.6% 2-7 days 5.9% 8-30 days 27.2% 31-60 days 14.3% 61-90 days 12.4% 91-180 days 15.5% 181 + days 5.1%
7-DAY SEC YIELD(1) Morgan Shares 0.54% Premier Shares 0.68% Agency Shares 0.87% Select Shares 0.69% Cash Management Shares 0.16% Institutional Shares 0.93% Reserve Shares 0.43% B Shares 0.09% C Shares 0.09%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.50%, 0.66%, 0.82%, 0.65%, 0.14%, 0.82%, 0.41%, (0.25%) and (0.25%) 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) 3 JPMORGAN LIQUID ASSETS MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 $3.0 BILLION Average maturity 71 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 13.2% 2-7 days 7.9% 8-30 days 15.1% 31-60 days 16.7% 61-90 days 15.6% 91-180 days 26.1% 181 + days 5.4%
7-DAY SEC YIELD(1) Morgan Shares 0.62% Premier Shares 0.76% Agency Shares 0.95% Institutional Shares 1.01%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.19%, 0.63%, 0.84% and 0.84% 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) 4 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND AS OF FEBRUARY 29, 2004 FUND FACTS Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary Investments DIRECT OBLIGATIONS OF THE U.S.TREASURY AND ITS AGENCIES INCLUDING TREASURY BILLS, BONDS, NOTES, AND REPURCHASE AGREEMENTS Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net Assets $9.1 BILLION Average Maturity 50 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC raiting* CLASS 1
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. 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 40.4% 2-7 days 2.3% 8-30 days 10.6% 31-60 days 15.0% 61-90 days 8.8% 91-180 days 17.4% 181 + days 5.5%
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 indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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%, 0.52%, 0.78%, 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) 5 JPMORGAN TREASURY PLUS MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 $4.2 BILLION Average Maturity 56 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC raiting* EXEMPT
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. 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 47.0% 2-7 days 0.0% 8-30 days 15.9% 31-60 days 4.7% 61-90 days 6.2% 91-180 days 15.8% 181 + days 10.4%
7-DAY SEC YIELD(1) Morgan Shares 0.43% Premier Shares 0.57% Agency Shares 0.77% Institutional Shares 0.82% Reserve Shares 0.32%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.33%, 0.54%, 0.69%, 0.28%, and 0.69% 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) 6 JPMORGAN FEDERAL MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 54 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC raiting* 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 11.5% 2-7 days 17.1% 8-30 days 27.4% 31-60 days 8.6% 61-90 days 9.0% 91-180 days 21.2% 181 + days 5.2%
7-DAY SEC YIELD(1) Morgan Shares 0.33% Premier Shares 0.58% Agency Shares 0.77% Institutional Shares 0.83%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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%, 0.56%, 0.71%, and 0.71% 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) 7 JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND AS OF FEBRUARY 29, 2004 FUND FACTS Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary Investments DIRECT OBLIGAIONS 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 $5.1 BILLION Average Maturity 84 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 0.0% 2-7 days 7.1% 8-30 days 5.6% 31-60 days 33.0% 61-90 days 19.1% 91-180 days 32.1% 181 + days 3.1%
7-DAY SEC YIELD(1) Morgan Shares 0.39% Premier Shares 0.52% Agency Shares 0.73% Institutional Shares 0.78%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.29%, 0.51%, 0.66%, and 0.67% 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) 8 JPMORGAN TAX FREE MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 $12.1 BILLION Average Maturity 37 DAYS S&P rating** AAAm Moody's rating NOT RATED NAIC raiting NOT RATED
** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. 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 8.6% 2-7 days 65.0% 8-30 days 2.0% 31-60 days 2.1% 61-90 days 2.8% 91-180 days 11.9% 181 + days 7.6%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) ------------------------------------------------ Morgan Shares 0.41% 0.63% Premier Shares 0.55% 0.85% Agency Shares 0.74% 1.14% Institutional Shares 0.80% 1.23%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.32%, 0.53%, 0.68% and 0.69% 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 CALIFORNIA TAX FREE MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 $165.3 MILLION Average Maturity 41 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 11.1% 2-7 days 61.2% 8-30 days 0.5% 31-60 days 0.0% 61-90 days 4.8% 91-180 days 17.5% 181 + days 4.9%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) ------------------------------------------------ Morgan Shares 0.43% 0.73%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.19%. (2) Taxable Equivalent Yields are calculated based on the SEC yield divided by 1 minus the effective tax rate. The effective combined federal and state 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) 10 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND AS OF FEBRUARY 29, 2004 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 49 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC raiting NOT RATED
MATURITY SCHEDULE 1 day 5.9% 2-7 days 62.7% 8-30 days 0.0% 31-60 days 3.5% 61-90 days 1.2% 91-180 days 18.8% 181 + days 7.9%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) ------------------------------------------------ Morgan Shares 0.42% 0.74% Reserve Shares 0.22% 0.39%
Past performance is not indicative of future returns. Investment returns will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost. Please note, current performance may be higher or lower than the performance data shown. Investors should carefully read the fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. 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 0.31% for Morgan Shares and 0.13% 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) 11 JPMORGAN PRIME MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- 100.0% U.S. Government Agency Securities-- 2.9% Federal Home Loan Bank, $ 102,250 1.04%, 09/20/04, Ser. 412, FRN $ 102,211 Federal Home Loan Mortgage Corp., 300,000 1.12%, 03/05/04, DN 299,963 225,000 1.15%, 03/17/04, DN 224,885 75,000 1.14%, 05/20/04, DN 74,810 100,000 4.50%, 08/15/04 101,484 300,000 1.46%, 11/17/04, MTN 299,999 275,000 Federal National Mortgage Association, 0.99%, 07/30/04, FRN 274,914 ---------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 1,378,266 (Cost $1,378,266) ---------------------------------------------------------------------------------------- Corporate Notes & Bonds-- 19.7% ASSET BACKED SECURITIES-- 1.0% K2 (USA) LLC, 100,000 1.08%, 03/17/04, FRN 100,000 80,000 1.06%, 05/10/04, # 79,998 80,000 1.06%, 05/12/04, MTN, FRN 79,998 125,000 1.06%, 05/17/04 124,999 95,000 1.06%, 06/08/04, MTN, FRN, # 94,999 --------------- 479,994 BANKING-- 4.0% Links Finance LLC, 100,000 1.07%, 03/12/04 100,000 100,000 1.07%, 03/22/04 100,000 100,000 1.07%, 03/24/04 100,000 100,000 1.07%, 03/24/04 100,000 Wells Fargo Bank N.A., 543,670 1.04%, 02/14/05, FRN 543,670 769,980 1.16%, 09/14/05, MTN, FRN 769,979 160,000 Westpac Banking Corp./New York, 1.10%, 03/11/05, MTN, FRN 160,000 --------------- 1,873,649 DIVERSIFIED-- 1.9% General Electric Capital Corp., 35,000 7.25%, 05/03/04, Ser. A, MTN 35,365 400,000 1.17%, 03/17/05, MTN, FRN 400,000 468,000 1.18%, 04/08/05, FRN 468,000 --------------- 903,365 FINANCIAL SERVICES-- 12.6% Associates Corp. of North America, 110,000 1.27%, 06/15/04, FRN 110,000 75,000 1.27%, 06/25/04, MTN, FRN 75,000 Beta Finance, Inc., 167,000 1.05%, 05/17/04, MTN, FRN, # 166,998 119,000 1.06%, 05/19/04, MTN, FRN, # 118,999 100,000 1.06%, 06/07/04, Ser. 2, MTN, FRN, # 99,999
See notes to financial statements. 12
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED FINANCIAL SERVICES-- CONTINUED $ 200,000 1.42%, 09/13/04, MTN, # $ 200,000 100,000 1.32%, 02/09/05, MTN, # 100,000 CC USA, Inc., 150,000 1.08%, 03/08/04, MTN, FRN, # 150,000 50,000 1.07%, 03/18/04, MTN, FRN, # 50,000 75,000 1.07%, 03/24/04, MTN, FRN, # 75,000 120,000 1.06%, 06/07/04, MTN, FRN, # 119,998 50,000 Citigroup Global Markets Holdings, Inc., 1.45%, 05/21/04, Ser. K, MTN, FRN 50,045 Dorada Finance, Inc., 120,000 1.08%, 03/08/04, MTN, FRN, # 120,000 150,000 1.06%, 04/15/04, MTN, FRN, # 149,999 60,000 1.06%, 05/24/04, MTN, FRN, # 59,999 Goldman Sachs Group, Inc., 320,000 1.13%, 06/07/04, FRN, # 320,000 550,000 1.23%, 06/28/04 550,000 264,000 1.37%, 03/15/05, Ser. A, MTN, FRN, # 264,032 HBOS Treasury Services PLC (United Kingdom), 300,000 1.16%, 01/24/05, MTN, FRN, # 300,000 80,250 1.22%, 03/14/05, MTN, FRN, # 80,338 455,000 1.14%, 03/18/05, MTN, FRN, # 455,000 310,000 1.09%, 04/01/05, MTN, FRN, # 310,000 250,000 Lehman Brothers Holdings, Inc., 1.09%, 02/22/05, Ser. G, MTN, FRN 250,000 345,000 Merrill Lynch & Co., Inc., 1.10%, 02/04/05, MTN, FRN 345,000 60,000 Money Market Trust LLY, 1.15%, 12/03/04, # 60,000 220,000 Money Market Trust, 1.24%, 07/09/04, Ser. A-1, FRN, # 220,000 260,000 Morgan Stanley, 1.21%, 08/15/05, Ser. 1, MTN, FRN 260,000 Restructured Asset Securities with Enhanced Returns (RACERS), 160,000 1.29%, 03/15/04, Ser. 2000-7-ZCM, Class A-3, FRN, # (i) 160,000 475,000 1.30%, 04/01/04, Ser. 2001-8-MM, Class A-1, FRN, # (i) 475,000 185,000 1.20%, 02/08/05, Ser. 2004-1-MM (i) 185,000 --------------- 5,880,407 OIL & GAS-- 0.2% 100,000 BP Capital Markets PLC (United Kingdom), 1.05%, 03/08/04, FRN 100,000 ---------------------------------------------------------------------------------------- Total Corporate Notes & Bonds 9,237,415 (Cost $9,237,415) ---------------------------------------------------------------------------------------- Asset Backed Securities-- 1.2% Blue Heron Funding LTD, 260,000 1.12%, 03/19/04, Ser. 2-A, Class A, FRN, # 260,000 175,000 1.13%, 05/28/04, Ser. 7-A, Class A1, FRN, # 175,000 100,000 Newcastle CDO LTD (Cayman Islands), 1.12%, 03/24/04, Ser. 3-A, Class 1-MM, FRN (i) 100,000
See notes to financial statements. 13
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED Asset Backed Securities-- Continued $ 50,000 TIAA Retail Commercial Trust, 1.13%, 03/28/04, Ser. 2003-1A, Class A1-MM, FRN $ 50,000 ---------------------------------------------------------------------------------------- Total Asset Backed Securities 585,000 (Cost $585,000) ---------------------------------------------------------------------------------------- Commercial Paper-- 40.1% ASSET BACKED SECURITIES-- 17.3% Amsterdam Funding Corp., 200,000 1.03%, 03/08/04 199,960 25,000 1.03%, 03/16/04 24,989 25,000 1.03%, 03/18/04 24,988 135,000 1.03%, 03/22/04 134,919 50,000 1.03%, 04/12/04 49,940 Aquinas Funding LLC, 30,000 1.15%, 05/17/04 29,926 34,210 1.09%, 07/14/04 34,070 70,000 Aspen Funding Corp., 1.04%, 04/12/04 69,915 150,000 Asset Securitization Cooperative Corp., 1.06%, 04/05/04 150,000 Atlantis One Funding Corp., 157,066 1.10%, 03/10/04 157,023 88,214 1.12%, 03/15/04 88,176 101,220 1.12%, 03/24/04 101,148 39,469 Barton Capital Corp., 1.03%, 04/05/04 39,429 45,000 Bills Securitization (Germany), 1.15%, 05/18/04 44,888 98,000 Blue Ridge Asset Funding Corp., 1.03%, 03/05/04 97,989 Charta Corp., 16,000 1.03%, 03/08/04 15,997 65,500 1.05%, 05/06/04 65,374 40,000 1.04%, 05/18/04 39,910 10,000 Ciesco LP, 1.03%, 04/08/04 9,989 50,000 Clipper Receivables Corp., 1.05%, 05/17/04 49,888 Compass Securitization LLC, 20,000 1.03%, 03/19/04 19,990 40,000 1.03%, 03/22/04 39,976 36,190 1.05%, 04/13/04 36,145 120,000 Crown Point Capital Co., LLC, 1.05%, 05/06/04 119,769 Edison Asset Securitization LLC, 132,000 1.04%, 03/08/04 131,973 10,000 1.05%, 03/22/04 9,994 385,000 1.11%, 04/07/04 384,563 125,000 1.05%, 05/11/04 124,741 Eureka Securitization, Inc., 22,000 1.04%, 03/23/04 21,986 73,500 1.04%, 03/30/04 73,438 49,520 1.04%, 04/28/04 49,437 24,000 1.04%, 05/13/04 23,949 Fairway Finance Corp., 36,124 1.03%, 03/22/04 36,102 56,524 1.04%, 05/20/04 56,393
See notes to financial statements. 14
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED ASSET BACKED SECURITIES-- CONTINUED Gemini Funding Corp., $ 50,000 1.03%, 03/08/04 $ 49,990 150,000 1.03%, 04/05/04 149,850 Giro Balanced Funding Corp., 25,832 1.04%, 03/01/04 25,832 69,238 1.05%, 05/07/04 69,103 Giro Funding U.S. Corp., 30,000 1.03%, 03/08/04 29,994 50,000 1.03%, 04/01/04 49,956 140,261 1.04%, 04/07/04 140,111 65,000 1.04%, 05/17/04 64,856 Giro Multi-Funding Corp., 98,446 1.03%, 03/15/04 98,407 174,000 1.03%, 03/22/04 173,895 Grampian Funding LLC, 75,000 1.04%, 03/29/04 74,939 32,000 1.16%, 05/04/04 31,934 276,000 1.05%, 05/27/04 275,300 239,000 1.13%, 07/02/04 238,077 15,000 1.10%, 07/09/04 14,940 49,000 1.09%, 07/20/04 48,791 Greyhawk Funding LLC, 200,000 1.03%, 03/04/04 199,983 99,000 1.03%, 03/10/04 98,975 70,000 1.03%, 03/19/04 69,964 90,000 1.11%, 04/01/04 89,914 70,000 1.05%, 05/19/04 69,839 K2 (USA) LLC, 50,000 1.15%, 03/02/04 49,998 50,000 1.08%, 03/15/04 50,000 90,000 1.07%, 04/20/04 89,999 60,000 1.10%, 07/07/04 59,766 19,400 1.09%, 07/15/04 19,320 23,975 1.09%, 07/19/04 23,873 63,887 Kitty Hawk Funding Corp., 1.05%, 05/10/04 63,757 25,000 Liberty Street Fund Corp., 1.05%, 05/25/04 24,938 42,000 Mont Blanc Capital Corp., 1.04%, 03/10/04 41,989 Newport Funding Corp., 55,091 1.03%, 04/08/04 55,031 70,000 1.04%, 04/12/04 69,915 Park Granada LLC, 100,000 1.06%, 03/12/04 99,968 120,000 1.04%, 03/19/04 119,938 100,000 1.06%, 04/13/04 99,873 45,000 1.06%, 04/13/04 44,943 50,000 1.07%, 05/07/04 49,900 50,000 Scaldis Capital LLC, 1.04%, 03/25/04 49,965 Sheffield Receivables Corp., 85,000 1.03%, 03/05/04 84,990 32,000 1.03%, 03/19/04 31,984
See notes to financial statements. 15
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED ASSET BACKED SECURITIES-- CONTINUED $ 150,000 1.03%, 03/25/04 $ 149,897 40,000 1.03%, 03/29/04, # 39,968 Sigma Finance, Inc., 19,100 1.10%, 03/15/04 19,092 30,000 1.10%, 03/22/04 29,981 Silver Tower U.S. Funding LLC, 110,000 1.23%, 05/10/04 109,737 52,000 1.18%, 05/13/04 51,876 115,000 1.17%, 05/19/04 114,705 760,000 Special Purpose Accounts Receivable Cooperative Corp., 1.15%, 07/26/04 760,001 40,000 Stadshypotek Delaware, Inc., 1.04%, 05/21/04 39,906 Surrey Funding Corp., 90,000 1.03%, 03/15/04 89,964 80,000 1.04%, 03/29/04 79,935 95,000 Thames Asset Global Securitization (TAGS), 1.03%, 03/22/04 94,943 Tulip Funding Corp., 200,000 1.14%, 03/01/04 200,000 50,996 1.03%, 03/09/04 50,984 100,000 1.07%, 05/27/04 99,741 25,000 Windmill Funding Corp., 1.03%, 03/22/04 24,985 Yorktown Capital LLC, 34,566 1.03%, 03/08/04 34,559 143,379 1.03%, 03/18/04 143,309 227,000 1.03%, 03/22/04 226,864 --------------- 8,112,218 AUTOMOTIVE-- 0.1% 66,070 DaimlerChrysler Revolving Auto Trust, 1.03%, 03/18/04 66,038 BANKING-- 15.2% Abbey National North America Corp., 45,000 1.04%, 05/19/04 44,898 174,750 1.10%, 08/23/04 173,816 175,000 Abbey National PLC (United Kingdom), 1.15%, 05/14/04 175,000 Banco Santander Central Hispano SA (Spain), 75,000 1.11%, 04/09/04 74,910 190,000 1.11%, 04/13/04 189,748 Bank of Ireland (Ireland), 129,000 1.03%, 04/23/04 128,804 59,000 1.16%, 05/07/04 58,873 208,700 BankAmerica Corp., 1.05%, 05/12/04 208,261 Banque ET Caisse D'Epargne De L'Etat (Luxembourg), 75,000 1.12%, 04/16/04 74,893 125,000 1.13%, 06/30/04 124,525 100,000 1.12%, 08/03/04 99,518
See notes to financial statements. 16
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED BANKING -- CONTINUED Banque Generale du Luxembourg SA (Luxembourg), $ 75,000 1.03%, 03/12/04 $ 74,976 61,000 1.15%, 05/21/04 60,842 13,400 1.09%, 07/12/04 13,346 55,000 1.09%, 07/26/04 54,755 30,679 Bradford & Bingley PLC (United Kingdom), 1.04%, 03/09/04 30,672 127,000 Caisse Nationale De Credit Agricole (France), 1.20%, 06/04/04 126,598 95,000 CBA (Delaware) Finance, Inc., 1.09%, 07/13/04 94,616 Citibank Credit Card Issuance Trust, 50,000 1.03%, 03/09/04 49,989 200,000 1.03%, 03/10/04 199,949 70,000 1.04%, 03/11/04 69,980 185,118 1.05%, 03/12/04 185,059 100,000 1.04%, 03/18/04 99,951 100,000 1.04%, 03/26/04 99,928 175,000 1.04%, 04/13/04 174,783 50,000 Credit Suisse First Boston, Inc., 1.09%, 07/12/04 49,799 18,281 Danske Bank AS (Denmark), 1.12%, 07/30/04 18,195 Den Norske Bank (Norway), 41,000 1.13%, 04/19/04 40,937 84,200 1.05%, 05/18/04 84,008 50,000 1.10%, 07/15/04 50,000 110,000 1.10%, 08/19/04 109,428 50,000 Depfa Deutsche Pfandbrief Bank AG (Germany), 1.09%, 07/15/04 49,794 22,000 Dexia Delaware LLC, 1.03%, 03/15/04 21,991 21,000 Household Finance Corp., 1.11%, 04/07/04 20,976 HSH Nordbank AG/New York, 70,000 1.08%, 03/05/04 69,992 124,400 1.05%, 06/14/04 124,019 47,500 ING (US) Funding LLC, 1.10%, 03/10/04 47,487 Links Finance LLC, 100,000 1.08%, 03/03/04 100,000 100,000 1.06%, 03/29/04 100,000 76,700 Macquarie Bank (Australia), 1.12%, 03/09/04 76,681 24,000 Natexis Banques Populaires (France), 1.12%, 08/04/04 23,884 Nationwide Building Society (United Kingdom), 50,000 1.15%, 05/17/04 49,878 157,000 1.20%, 06/09/04 156,477 100,000 1.09%, 07/12/04 99,599 120,200 1.09%, 08/20/04 119,574 NBNZ International LTD (United Kingdom), 180,000 1.20%, 04/22/04 179,688 180,000 1.08%, 07/14/04 179,269 Norddeutsche Landesbank Girozentrale (Germany), 100,000 1.03%, 03/16/04 99,957 77,500 1.04%, 04/12/04 77,406
See notes to financial statements. 17
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED BANKING -- CONTINUED $ 200,000 1.37%, 09/07/04 $ 199,989 75,000 1.24%, 10/22/04 74,393 Nordea North America (Sweden), 264,500 1.03%, 03/08/04 264,446 50,000 1.03%, 03/24/04 49,967 200,000 1.03%, 04/06/04 199,794 Northern Rock PLC (United Kingdom), 75,000 1.05%, 04/15/04 75,000 50,000 1.05%, 04/16/04 50,000 100,000 Royal Bank of Scotland (United Kingdom), 1.51%, 12/08/04 99,992 Santander Central Hispano SA (Spain), 78,568 1.09%, 07/06/04 78,267 195,000 1.09%, 07/07/04 194,248 Swedbank, Inc. (Sweden), 100,000 1.04%, 03/09/04 99,977 36,000 1.09%, 07/20/04 35,846 95,000 1.09%, 07/23/04 94,586 Swiss Re Financial Products Corp. (Switzerland), 23,549 1.11%, 04/06/04 23,523 56,000 1.05%, 05/27/04 55,858 99,000 Unicredito Delaware, 1.10%, 04/02/04 98,904 100,000 Wells Fargo Bank N.A., 1.04%, 06/17/04, FRN 99,997 Westdeutsche Landesbank Girozentrale (Germany), 150,000 1.18%, 05/06/04 150,001 120,011 1.11%, 08/04/04 119,434 Westpac Banking Corp. (Australia), 100,000 1.15%, 05/24/04 99,733 22,367 1.20%, 06/03/04 22,297 WestpacTrust (New Zealand), 100,000 1.16%, 04/20/04 99,839 100,000 1.15%, 05/04/04 99,796 93,357 1.20%, 06/03/04 93,066 --------------- 7,116,682 COMPUTER SOFTWARE-- 0.5% 250,000 Descartes Funding Trust Corp., 1.09%, 11/15/04 250,000 DIVERSIFIED-- 1.8% General Electric Capital Corp., 150,000 1.14%, 03/04/04 149,986 200,000 1.10%, 04/08/04 199,768 General Electric Capital International Funding, Inc., 200,000 1.04%, 03/17/04 199,908 298,014 1.20%, 06/03/04 297,079 --------------- 846,741 FINANCIAL SERVICES-- 4.1% 55,000 Beta Finance, Inc., 1.03%, 04/16/04 54,928 Cafco LLC, 24,624 1.03%, 03/08/04 24,619 75,000 1.03%, 03/17/04 74,966
See notes to financial statements. 18
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED FINANCIAL SERVICES-- CONTINUED $ 37,950 1.03%, 04/06/04 $ 37,911 43,000 1.04%, 04/19/04 42,939 50,000 1.03%, 04/26/04 49,920 100,000 1.04%, 05/17/04 99,778 CC USA, Inc., 55,500 1.03%, 04/15/04 55,429 56,500 1.05%, 05/10/04 56,385 45,500 1.04%, 05/24/04 45,390 41,000 1.05%, 06/02/04 40,889 Citigroup Global Markets Holdings, Inc., 100,000 1.04%, 03/15/04 99,960 200,000 1.03%, 04/16/04 199,736 50,000 1.04%, 05/19/04 49,886 51,000 CRC Funding LLC, 1.04%, 03/11/04 50,985 Discover Card Master Trust, 132,000 1.04%, 03/22/04 131,919 51,700 1.05%, 05/11/04 51,593 125,000 Fortis Funding LLC, 1.03%, 04/26/04 124,799 225,000 Goldman Sachs Group, Inc., 1.23%, 04/28/04 224,999 Govco, Inc., 7,350 1.04%, 04/21/04 7,339 125,000 1.05%, 05/10/04 124,745 73,102 1.04%, 05/20/04 72,933 90,206 Independence Funding LLC, 1.03%, 03/22/04 90,152 90,765 PB Finance (Delaware), Inc., 1.04%, 04/12/04 90,655 50,000 Statens Bostadsfinansier (Luxembourg), 1.05%, 05/06/04 49,904 --------------- 1,952,759 INSURANCE-- 0.3% ING America Insurance Holding Corp., 50,000 1.14%, 04/16/04 49,927 50,000 1.15%, 05/11/04 49,887 21,000 Prudential PLC (United Kingdom), 1.04%, 05/17/04 20,953 --------------- 120,767 METALS/MINING-- 0.2% 78,964 Rio Tinto LTD (Australia), 1.10%, 03/12/04 78,937 TRANSPORTATION-- 0.6% Network Rail LTD (United Kingdom), 65,000 1.12%, 04/13/04 64,913 50,000 1.05%, 04/14/04 49,936 70,000 1.13%, 07/12/04 69,708 80,000 1.10%, 08/03/04 79,621 --------------- 264,178 ---------------------------------------------------------------------------------------- Total Commercial Paper 18,808,320 (Cost $18,808,320) ----------------------------------------------------------------------------------------
See notes to financial statements. 19
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED Certificates of Deposit-- 25.3% ABN-AMRO Bank N.V. (The Netherlands) (Yankee), $ 48,000 1.24%, 03/17/04 $ 48,002 75,000 1.14%, 07/08/04 75,000 50,000 Alliance & Leicester PLC (United Kingdom) (Yankee), 1.09%, 07/27/04 50,000 100,000 Banco Bilbao Vizcaya Argentina/New York (Yankee), 1.07%, 11/16/04, Floating Rate 99,993 275,000 Banco Santander Central Hispano SA (Spain) (Yankee), 1.11%, 07/26/04 275,011 300,000 Banque Nationale de Paris/New York (Yankee), 1.52%, 12/08/04 299,954 Barclays Bank PLC (United Kingdom) (Yankee), 400,000 1.16%, 03/15/04 400,001 225,000 1.11%, 04/15/04 225,000 120,000 1.09%, 08/25/04 120,001 Barclays Bank PLC/New York (Yankee), 100,000 1.02%, 09/07/04, Floating Rate 99,982 250,000 1.05%, 09/13/04, Floating Rate 249,980 500,000 1.05%, 11/03/04, Floating Rate 499,948 405,000 1.05%, 12/01/04 404,938 Bayerische Landesbank/New York (Yankee), 36,000 1.16%, 06/21/04, Floating Rate 36,007 50,000 1.04%, 09/13/04, Floating Rate 49,994 50,000 1.04%, 09/30/04, Ser. 1, Floating Rate 49,994 92,000 1.16%, 09/30/04, Floating Rate 92,018 75,000 1.04%, 12/20/04, Floating Rate 74,991 310,000 BNP Paribas/New York (Yankee), 1.04%, 06/10/04 309,983 30,000 Canadian Imperial Bank of Commerce/New York (Yankee), 1.58%, 12/08/04 29,997 Credit Agricole Indosuez SA (France) (Yankee), 140,000 1.11%, 08/09/04 140,000 150,000 1.17%, 10/26/04 150,000 230,000 Credit Agricole Indosuez/New York (Yankee), 1.04%, 06/04/04, Floating Rate 229,988 Credit Lyonnais (France) (Yankee), 100,000 1.16%, 03/09/04 100,000 400,000 1.11%, 04/02/04 399,999 425,000 1.10%, 04/05/04 424,999 200,000 1.15%, 05/21/04 200,000 40,000 1.11%, 08/06/04 40,000 200,000 Credit Suisse First Boston/New York (Yankee), 1.11%, 03/08/04, Floating Rate 200,002 225,000 Credit Suisse Group (Switzerland) (Yankee), 1.04%, 05/03/04 225,000 120,000 Depfa Deutsche Pfandbrief (Germany) (Yankee), 1.22%, 06/04/04 120,002 Deutsche Bank AG (Germany) (Yankee), 75,000 1.38%, 09/07/04 75,000 185,000 1.05%, 10/08/04, Floating Rate 185,000
See notes to financial statements. 20
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED CERTIFICATES OF DEPOSIT-- CONTINUED Dexia Credit Local (France) (Yankee), $ 200,000 1.09%, 07/28/04 $ 200,000 100,000 1.10%, 07/28/04 100,000 200,000 Fortis Bank (Belgium) (Yankee), 1.12%, 08/04/04 200,000 150,000 Fortis Bank/New York (Yankee), 1.53%, 12/08/04 149,977 HBOS Treasury Services PLC (United Kingdom) (Yankee), 105,000 1.17%, 03/22/04 105,000 200,000 1.19%, 04/22/04 200,000 190,000 1.20%, 05/17/04 190,000 100,000 1.16%, 05/24/04 100,000 50,000 1.06%, 05/27/04 50,000 60,000 1.14%, 07/09/04 60,000 200,000 1.12%, 08/05/04 200,000 100,000 ING Bank N.V. (The Netherlands) (Yankee), 1.41%, 08/05/04 100,000 Landesbank Baden-Wuerttemberg/New York (Yankee), 50,000 1.09%, 03/15/04, Floating Rate 50,001 350,000 1.04%, 09/10/04, Floating Rate 349,972 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 250,000 1.14%, 07/09/04 250,000 75,000 1.51%, 11/19/04 75,005 Natexis Banques Populaires/New York (Yankee), 200,000 1.17%, 04/29/04 199,617 50,000 1.17%, 05/04/04 50,000 50,000 1.05%, 05/12/04 49,999 100,000 Nordea Bank AB (Sweden) (Yankee), 1.16%, 05/06/04 100,000 100,000 Nordea Bank Finland PLC (Finland) (Yankee), 1.09%, 07/13/04 100,002 175,000 Royal Bank of Canada/New York (Yankee), 1.50%, 12/07/04 174,980 200,000 San Paolo IMI SPA (Italy) (Yankee), 1.17%, 04/30/04 200,000 Santander Central Hispano SA (Spain) (Yankee), 200,000 1.16%, 08/03/04 200,017 102,000 1.12%, 08/11/04 102,009 Societe Generale (France) (Yankee), 200,000 1.04%, 04/02/04 200,000 235,000 1.09%, 07/28/04 235,000 250,000 1.40%, 08/05/04 250,000 375,000 1.10%, 09/01/04 375,000 200,000 Svenska Handelsbanken, Inc. (Sweden) (Yankee), 1.11%, 08/09/04 200,000 UniCredito Italiano SPA (Italy) (Yankee), 150,000 1.13%, 03/29/04 150,000 195,000 1.06%, 05/06/04 195,004 279,200 1.10%, 07/26/04 279,206
See notes to financial statements. 21
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED CERTIFICATES OF DEPOSIT-- CONTINUED Westdeutsche Landesbank Girozentrale (Germany) (Yankee), $ 200,000 1.15%, 04/30/04 $ 200,000 170,000 1.05%, 05/03/04 169,997 100,000 1.51%, 12/07/04 100,000 ---------------------------------------------------------------------------------------- Total Certificates of Deposit 11,891,570 (Cost $11,891,570) ---------------------------------------------------------------------------------------- Time Deposits-- 2.9% 300,000 American Express Centurion Bank, 1.04%, 03/10/04 300,000 400,000 Fifth Third Bank, 1.05%, 03/01/04 400,000 399,310 National Australia Bank LTD (Australia), 1.04%, 03/01/04 399,310 250,000 Wells Fargo & Co., 1.05%, 03/01/04 250,000 ---------------------------------------------------------------------------------------- Total Time Deposits 1,349,310 (Cost $1,349,310) ---------------------------------------------------------------------------------------- Repurchase Agreements-- 7.9% 500,000 ABN-AMRO, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $500,044, collateralized by U.S. Government Agency Securities 500,000 190,557 Credit Suisse First Boston, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $190,574, collateralized by U.S. Government Agency Securities 190,557 15,344 Deutsche Bank Securities, Inc., 1.00%, dated 02/27/04, due 03/01/04, repurchase price $15,345, collateralized by U.S. Treasury Securities 15,344 3,000,000 UBS Warburg LLC, 1.05%, dated 02/27/04, due 03/01/04, repurchase price $3,000,263, collateralized by U.S. Government Agency Securities 3,000,000 ---------------------------------------------------------------------------------------- Total Repurchase Agreements 3,705,901 (Cost $3,705,901) ---------------------------------------------------------------------------------------------------------- Total Investments-- 100.0% $ 46,955,782 (Cost $46,955,782) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 22 JPMORGAN LIQUID ASSETS MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- 100.0% U.S. Government agency security-- 1.8% $ 55,000 Federal Home Loan Mortgage Corp., 1.19%, 02/14/05, Ser. 1, MTN, FRN $ 55,000 (Cost $55,000) Supranational Bond-- 1.7% 50,000 Corp. Andina de Fomento, 1.27%, 05/17/04, MTN, FRN 50,000 (Cost $50,000) Corporate Notes & Bonds-- 22.9% BANKING-- 1.7% Bank of America Corp., 5,000 5.75%, 03/01/04, Ser. H, MTN 5,000 18,725 6.63%, 06/15/04 19,020 2,450 HSBC (USA), Inc., 1.32%, 09/24/04, FRN 2,452 25,000 Westpac Banking Corp./New York, 1.11%, 06/14/04, FRN 25,004 --------------- 51,476 DIVERSIFIED-- 0.3% General Electric Capital Corp., 1,000 8.09%, 04/01/04, Ser. A, MTN, SUB 1,006 2,000 5.38%, 04/23/04, Ser. A, MTN 2,012 6,000 1.18%, 04/08/05, FRN 6,000 --------------- 9,018 FINANCIAL SERVICES-- 20.4% Beta Finance, Inc., 30,000 1.06%, 05/19/04, MTN, FRN, # 30,000 50,000 1.06%, 06/02/04, MTN, FRN, # 49,999 CC USA, Inc., 25,000 1.07%, 03/18/04, MTN, FRN, # 25,000 25,000 1.07%, 03/31/04, Ser. 1, MTN, FRN, # 25,000 40,000 1.07%, 06/24/04, MTN, FRN, # 40,000 Dorada Finance, Inc., 30,000 1.07%, 03/31/04, MTN, FRN, # 30,000 10,000 1.06%, 05/24/04, Ser. 1, MTN, FRN, # 10,000 30,000 Goldman Sachs Group, Inc., 1.13%, 06/07/04, FRN, # 30,000 30,000 HBOS Treasury Services PLC (United Kingdom), 1.09%, 04/01/05, MTN, FRN, # 30,000 Household Finance Corp., 10,000 1.87%, 04/23/04, MTN, FRN 10,011 2,450 6.00%, 05/01/04 2,470 3,025 8.00%, 08/01/04 3,107 1,779 5.88%, 09/25/04 1,823 30,000 John Hancock Global Funding II, 1.32%, 09/27/04, MTN, FRN, # 30,030 40,000 Merrill Lynch & Co., Inc., 1.10%, 02/04/05, MTN, FRN 40,000
See notes to financial statements. 23
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED FINANCIAL SERVICES-- CONTINUED $ 67,000 Money Market Trust, 1.24%, 07/09/04, Ser. A-1, FRN, # $ 66,999 Morgan Stanley, 30,000 1.27%, 03/19/04, Ser. 1, MTN, FRN 30,003 55,000 1.48%, 04/05/04, Ser. 1, MTN, FRN 55,023 24,000 1.42%, 05/14/04, Ser. C, MTN, FRN 24,018 Premium Asset Trust/GEFA, 35,000 1.35%, 06/01/04, Ser. 2002-6, FRN, # 35,012 25,000 5.25%, 07/19/04, Ser. 2001-6, # 25,379 15,000 Restructured Asset Securities with Enhanced Returns (RACERS), 1.20%, 02/08/05, Ser. 2004-1-MM (i) 15,000 --------------- 608,874 INSURANCE-- 0.5% 15,000 SunAmerica Global Financing VIII, 1.22%, 11/15/04, FRN, # 15,014 ---------------------------------------------------------------------------------------- Total Corporate Notes & Bonds 684,382 (Cost $684,382) ---------------------------------------------------------------------------------------- Asset Backed Security -- 1.0% 29,787 Orchid Structured Finance CDO LTD, 1.22%, 05/18/04, Ser. 2003-1A, Class A1-MM, FRN, # (i) 29,787 (Cost $29,787) Commercial Paper-- 33.7% ASSET BACKED SECURITIES-- 14.5% 20,000 Cantabric Financing LLC (Ireland), 1.05%, 04/13/04 19,975 90,000 Concord Minutemen Capital Co., 1.10%, 03/09/05 89,999 15,000 Dorada Finance, Inc., 1.13%, 04/20/04 14,976 25,000 FCAR Owner Trust Series I, 1.09%, 07/13/04 24,899 Four Winds Funding Corp., 12,000 1.14%, 03/12/04 11,996 4,000 1.12%, 03/19/04 3,998 25,000 Grampian Funding LLC, 1.10%, 07/09/04 24,901 K2 (USA) LLC, 50,000 1.08%, 03/15/04 50,000 38,000 1.10%, 08/16/04 37,805 20,000 1.10%, 08/23/04 19,893 25,000 Park Granada LLC, 1.07%, 05/07/04 24,950 Silver Tower U.S. Funding LLC, 52,132 1.21%, 05/07/04 52,015 25,000 1.17%, 05/19/04 24,936 30,000 1.11%, 08/19/04 29,842 --------------- 430,185 AUTOMOTIVE-- 1.0% DaimlerChrysler N.A. Holdings Corp., 7,800 1.23%, 03/01/04 7,800 7,500 1.22%, 03/05/04 7,499
See notes to financial statements. 24
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED AUTOMOTIVE -- CONTINUED General Motors Acceptance Corp., $ 12,700 1.24%, 03/01/04 $ 12,700 3,300 1.24%, 03/23/04 3,297 --------------- 31,296 BANKING-- 13.4% 50,000 Banque ET Caisse D'Epargne De L'Etat (Luxembourg), 1.13%, 06/30/04 49,810 25,000 Banque Generale du Luxembourg SA (Luxembourg), 1.09%, 07/26/04 24,889 100,000 Bradford & Bingley PLC (United Kingdom), 1.13%, 01/07/05 99,999 50,000 CDC, Inc., 1.09%, 07/28/04 Den Norske Bank (Norway), 50,000 20,000 1.17%, 04/19/04 19,968 22,900 1.09%, 08/23/04 22,779 Links Finance LLC, 50,000 1.08%, 03/11/04, MTN, FRN, # 50,000 2,486 1.15%, 05/05/04 2,481 30,000 NBNZ International LTD (United Kingdom), 1.09%, 07/20/04 29,872 25,000 Swedbank, Inc. (Sweden), 1.09%, 07/23/04 24,891 25,000 Westdeutsche Landesbank Girozentrale (Germany), 1.11%, 08/04/04 24,880 --------------- 399,569 FINANCIAL SERVICES-- 2.2% 40,000 Goldman Sachs Group, Inc., 1.23%, 04/28/04 40,000 25,000 Govco, Inc., 1.12%, 04/15/04 24,965 --------------- 64,965 FOOD/BEVERAGE PRODUCTS-- 0.3% Kraft Foods, Inc., 8,000 1.14%, 03/17/04 7,996 2,072 1.12%, 03/22/04 2,071 --------------- 10,067 INDUSTRIAL COMPONENTS-- 0.2% 7,000 Assa Abloy AB (Sweden), 1.11%, 03/05/04 6,999 TRANSPORTATION-- 2.1% Network Rail LTD (United Kingdom), 10,000 1.05%, 04/14/04 9,987 30,000 1.13%, 07/12/04 29,875 24,000 1.10%, 08/03/04 23,886 --------------- 63,748 ---------------------------------------------------------------------------------------- Total Commercial Paper 1,006,829 (Cost $1,006,829) ----------------------------------------------------------------------------------------
See notes to financial statements. 25
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED Certificates of Deposit-- 36.9% $ 50,000 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 1.14%, 07/08/04 $ 50,000 Alliance & Leicester PLC (United Kingdom) (Yankee), 50,000 1.12%, 04/07/04 50,000 50,000 1.12%, 04/15/04 50,000 20,000 Banco Bilbao Vizcaya Argentaria SA (Spain) (Yankee), 1.10%, 07/16/04 20,000 25,000 Banco Santander Central Hispano SA (Spain) (Yankee), 1.11%, 07/26/04 25,001 25,000 Bank of Scotland/New York (Yankee), 1.11%, 04/08/04 25,000 50,000 Bank One Corp., 1.20%, 06/17/04, Floating Rate 50,012 25,000 Barclays Bank PLC/New York (Yankee), 1.05%, 12/01/04 24,996 30,000 BNP Paribas/New York (Yankee), 1.04%, 06/10/04 29,998 10,000 Canadian Imperial Bank of Commerce/New York (Yankee), 1.58%, 12/08/04 9,999 35,000 Credit Agricole Indosuez/New York (Yankee), 1.04%, 06/04/04, Floating Rate 34,998 30,000 Credit Lyonnais (France) (Yankee), 1.10%, 04/05/04 30,000 Credit Suisse First Boston/New York (Yankee), 75,000 1.28%, 10/14/04 75,000 25,000 1.60%, 12/13/04 25,000 25,000 Fortis Bank/New York (Yankee), 1.41%, 09/03/04 25,000 66,000 Goldman Sachs Group, Inc., 1.22%, 04/23/04 66,000 HBOS Treasury Services PLC (United Kingdom) (Yankee), 20,000 1.17%, 03/22/04 20,000 20,000 1.16%, 05/24/04 20,000 25,000 KBC Bank N.V. (Belgium) (Yankee), 1.07%, 04/15/04 25,001 25,000 Landesbank Baden-Wuerttemberg (Germany) (Yankee), 1.15%, 05/20/04 25,000 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 50,000 1.14%, 07/09/04 50,000 65,000 1.09%, 07/22/04 65,000 30,000 Santander Central Hispano SA (Spain) (Yankee), 30,003 1.12%, 08/11/04 25,000 Societe Generale/New York (Yankee), 1.27%, 10/20/04 25,001 UniCredito Italiano SPA (Italy) (Yankee), 100,000 1.18%, 04/30/04 100,000 40,000 1.10%, 07/15/04 40,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 80,000 1.15%, 04/30/04 80,000 30,000 1.05%, 05/03/04 29,999 ---------------------------------------------------------------------------------------- Total Certificates of Deposit 1,101,008 (Cost $1,101,008) ----------------------------------------------------------------------------------------
See notes to financial statements. 26
PRINCIPAL AMOUNT (USD) ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED Repurchase Agreement-- 2.0% $ 59,450 Greenwich Capital Markets, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $59,455, collateralized by U.S. Government Agency Securities and Commercial Paper Securities $ 59,450 (Cost $59,450) ---------------------------------------------------------------------------------------------------------- Total Investments-- 100.0% $ 2,986,456 (Cost $2,986,456) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 27 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- 100.0% U.S. Government Agency Securities-- 68.0% Federal Farm Credit Bank, $ 100,000 1.00%, 04/15/04, FRN $ 99,997 75,000 1.04%, 05/14/04, DN 74,840 50,000 0.99%, 06/10/04, FRN 49,997 16,455 1.03%, 07/19/04, DN 16,389 Federal Home Loan Bank, 82,163 0.98%, 03/03/04, DN 82,159 18,338 1.06%, 03/10/04, DN 18,333 27,300 1.00%, 04/12/04, DN 27,268 160,000 0.97%, 05/27/04, Ser. 369, FRN 159,979 5,191 1.01%, 06/07/04, DN 5,177 13,602 1.09%, 07/23/04, DN 13,543 200,000 1.04%, 09/20/04, Ser. 412, FRN 199,924 49,205 1.13%, 10/06/04, Ser. VJ04 49,128 452,400 0.30%, 09/08/05, FRN 452,024 Federal Home Loan Mortgage Corp., 100,000 1.14%, 03/05/04, DN 99,987 12,071 1.15%, 03/08/04, DN 12,068 162,000 1.06%, 03/11/04, DN 161,952 134,680 1.10%, 04/01/04, DN 134,552 60,000 1.11%, 04/14/04, DN 59,919 158,662 1.08%, 04/15/04, DN 158,448 40,498 1.08%, 04/22/04, DN 40,435 25,000 1.14%, 05/20/04, DN 24,937 110,200 1.09%, 07/06/04, DN 109,776 20,000 3.00%, 07/15/04 20,140 124,225 1.10%, 07/20/04, DN 123,690 8,949 1.10%, 07/21/04, DN 8,910 168,200 1.09%, 07/27/04, DN 167,446 134,200 1.09%, 08/10/04, DN 133,542 24,490 1.05%, 08/17/04, DN 24,369 20,580 1.07%, 08/18/04, DN 20,477 18,025 1.05%, 08/23/04, DN 17,933 80,000 3.25%, 11/15/04 81,157 100,000 1.46%, 11/17/04, MTN 100,000 50,000 1.51%, 12/07/04, Ser. 3, MTN 50,005 212,000 1.19%, 02/14/05, Ser. 1, MTN, FRN 212,000 Federal National Mortgage Association, 77,796 1.08%, 03/31/04, DN 77,726 275,000 1.08%, 04/07/04, DN 274,695 100,000 1.10%, 04/13/04, DN 99,869 165,000 1.11%, 04/14/04, DN 164,775 37,000 3.63%, 04/15/04 37,112 151,000 1.14%, 04/28/04, DN 150,723 127,500 1.14%, 05/05/04, DN 127,236 207,638 1.14%, 05/12/04, DN 207,165 225,000 0.96%, 05/27/04, FRN 224,969 272,000 0.98%, 06/17/04, MTN, FRN 271,984
See notes to financial statements. 28
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED U.S. Government Agency Securities-- Continued $ 115,000 1.20%, 06/21/04, DN $ 114,571 50,000 1.10%, 07/28/04, DN 49,772 50,000 1.10%, 07/30/04, DN 49,769 250,000 0.99%, 07/30/04, FRN 249,922 402,000 1.00%, 09/10/04, FRN 401,880 150,000 1.11%, 09/10/04, FRN 150,003 25,000 1.05%, 08/25/04, DN 24,871 10,000 1.09%, 09/01/04, DN 9,944 213,750 1.52%, 01/19/05 213,732 200,000 0.97%, 08/29/05, FRN 199,857 250,000 0.34%, 09/06/05, FRN 249,772 Student Loan Marketing Association, 27,865 0.91%, 03/01/04, DN 27,865 61,000 3.38%, 07/15/04, MTN 61,502 25,000 3.63%, 09/30/04 25,355 32,651 Tennessee Valley Authority, 0.95%, 03/04/04, DN 32,648 ---------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 6,508,218 (Cost $6,508,218) ---------------------------------------------------------------------------------------- Repurchase Agreements-- 32.0% 474,443 Credit Suisse First Boston, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $474,485, collateralized by U.S. Government Agency Securities 474,443 3,932 Deutsche Bank Securities, Inc., 1.00%, dated 02/27/04, due 03/01/04, repurchase price $3,932, collateralized by U.S. Treasury Securities 3,932 296,068 Deutsche Bank Securities, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $296,094, collateralized by U.S. Treasury Securities 296,068 525,992 Greenwich Capital Markets, Inc., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $526,038, collateralized by U.S. Government Agency Securities 525,992 365,000 Merrill Lynch & Co., 1.05%, dated 02/27/04, due 03/01/04, repurchase price $365,032, collateralized by U.S. Government Agency Securities 365,000 1,400,000 UBS Warburg LLC, 1.05%, dated 02/27/04, due 03/01/04, repurchase price $1,400,123, collateralized by U.S. Government Agency Securities 1,400,000 ---------------------------------------------------------------------------------------- Total Repurchase Agreements 3,065,435 (Cost $3,065,435) ---------------------------------------------------------------------------------------- Total Investments-- 100.0% $ 9,573,653 (Cost $9,573,653)* ----------------------------------------------------------------------------------------
See notes to financial statements. 29 JPMORGAN TREASURY PLUS MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- 100.0% U.S. Treasury Securities-- 53.0% U.S. Treasury Bills, $ 160,000 0.93%, 03/18/04 $ 159,930 500,000 0.93%, 03/25/04 499,690 145,000 0.93%, 04/01/04 144,884 150,000 0.98%, 08/19/04 149,305 100,000 0.99%, 08/26/04 99,513 U.S. Treasury Notes & Bonds, 50,000 3.63%, 03/31/04 50,111 255,000 3.38%, 04/30/04 255,984 105,000 3.25%, 05/31/04 105,571 300,000 2.88%, 06/30/04 301,754 225,000 2.13%, 08/31/04 226,117 25,000 1.88%, 09/30/04 25,118 30,000 2.13%, 10/31/04 30,208 84,000 2.00%, 11/30/04 84,494 65,000 1.50%, 02/28/05 65,154 ---------------------------------------------------------------------------------------- Total U.S. Treasury Securities 2,197,833 (Cost $2,197,833) ---------------------------------------------------------------------------------------- Repurchase Agreements-- 47.0% 460,000 ABN-AMRO, Inc., 1.00%, dated 02/27/04, due 03/01/04, repurchase price $460,038, collateralized by U.S. Government Agency Securities 460,000 231,567 Credit Suisse First Boston, Inc., 0.99%, dated 02/27/04, due 03/01/04, repurchase price $231,586, collateralized by U.S. Treasury Securities 231,567 346,064 Deutsche Bank Securities, Inc., 1.00%, dated 02/27/04, due 03/01/04, repurchase price $346,093, collateralized by U.S. Treasury Securities 346,064 460,000 Greenwich Capital Markets, Inc., 1.00%, dated 02/27/04, due 03/01/04, repurchase price $460,038, collateralized by U.S. Treasury Securities 460,000 6,567 Lehman Brothers, Inc., 0.99%, dated 02/27/04, due 03/01/04, repurchase price $6,568, collateralized by U.S. Treasury Securities 6,567 441,564 UBS Warburg LLC, 1.00%, dated 02/27/04, due 03/01/04, repurchase price $441,601, collateralized by U.S. Treasury Securities 441,564 ---------------------------------------------------------------------------------------- Total Repurchase Agreements 1,945,762 (Cost $1,945,762) ---------------------------------------------------------------------------------------------------------- Total Investments-- 100.0% $ 4,143,595 (Cost $4,143,595) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 30 JPMORGAN FEDERAL MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- 100.0% U.S. Treasury Security-- 2.6% $ 83,458 U.S. Treasury Bill, 0.97%, 06/24/04 $ 83,201 ---------------------------------------------------------------------------------------- Total U.S. Treasury Securities 83,201 (Cost $83,201) ---------------------------------------------------------------------------------------- U.S. Government Agency Securities-- 97.4% Federal Farm Credit Bank, 50,000 0.97%, 03/12/04, DN 49,985 100,000 1.00%, 04/15/04, FRN 99,997 125,000 1.00%, 05/05/04, FRN 124,999 50,000 0.99%, 06/10/04, FRN 49,997 100,000 1.13%, 06/25/04, DN 99,636 250,000 0.93%, 07/02/04, DN 250,000 50,000 1.04%, 07/09/04, DN 49,812 70,000 0.99%, 07/16/04, FRN 69,999 14,250 1.24%, 08/02/04, DN 14,174 32,000 1.14%, 09/02/04, DN 31,813 48,500 1.14%, 09/15/04, DN 48,196 25,000 1.15%, 09/20/04, DN 24,838 7,489 1.16%, 09/27/04, DN 7,438 15,000 2.38%, 10/01/04 15,109 500,000 0.93%, 11/19/04 500,000 25,000 1.15%, 12/13/04, DN 24,771 Federal Home Loan Bank, 130,000 0.99%, 03/05/04, DN 129,986 98,528 1.07%, 03/10/04, DN 98,502 69,683 1.08%, 03/12/04, DN 69,660 48,900 1.04%, 03/17/04, DN 48,877 50,000 1.08%, 03/31/04, DN 49,955 34,021 1.02%, 04/02/04, DN 33,990 48,262 1.00%, 04/14/04, DN 48,203 48,150 3.75%, 04/15/04 48,308 42,912 0.99%, 04/16/04, DN 42,858 41,456 4.88%, 04/16/04 41,653 45,350 1.14%, 05/12/04, DN 45,247 120,000 0.97%, 05/27/04, Ser. 369, FRN 119,984 63,645 3.38%, 06/15/04 64,040 45,935 4.75%, 06/28/04 46,459 30,259 1.09%, 07/09/04, DN 30,140 19,500 1.13%, 07/21/04 19,498 86,398 1.09%, 07/23/04, DN 86,022 125,000 1.00%, 08/26/05, FRN 124,916 Student Loan Marketing Association, 22,135 0.91%, 03/01/04, DN 22,135 300,000 0.95%, 03/04/04, DN 299,976 14,350 4.75%, 04/23/04 14,426 89,245 5.00%, 06/30/04, DN 90,341 22,300 3.38%, 07/15/04, MTN 22,472 15,000 3.63%, 09/30/04 15,213
See notes to financial statements. 31
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS-- CONTINUED U.S. Government Agency Securities-- Continued $ 79,250 Tennessee Valley Authority, 4.75%, 07/15/04 $ 80,295 ---------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 3,153,920 (Cost $3,153,920) ---------------------------------------------------------------------------------------------------------- Total Investments-- 100.0% $ 3,237,121 (Cost $3,237,121) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 32 JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. Treasury Securities -- 100.0% U.S. Treasury Bills, $ 360,359 0.88%, 03/04/04 $ 360,333 78,850 0.97%, 03/18/04 78,814 204,973 0.87%, 03/11/04 204,923 197,904 0.98%, 04/01/04 197,738 175,538 0.88%, 04/08/04 175,374 506,762 0.89%, 04/22/04 506,113 226,819 0.99%, 04/29/04 226,451 329,198 1.00%, 05/06/04 328,595 337,259 0.90%, 05/13/04 336,645 38,905 0.98%, 05/20/04 38,820 86,541 0.93%, 05/27/04 86,346 9,562 0.91%, 06/24/04 9,534 360,664 0.92%, 07/22/04 359,339 148,230 0.97%, 07/29/04 147,629 374,664 0.98%, 08/05/04 373,065 200,000 0.96%, 08/12/04 199,122 2,029 0.99%, 08/19/04 2,020 U.S. Treasury Notes & Bonds, 562,000 3.63%, 03/31/04 563,240 175,000 3.38%, 04/30/04 175,674 42,315 3.25%, 05/31/04 42,546 490,000 2.88%, 06/30/04 492,870 25,000 2.13%, 08/31/04 25,124 25,000 5.88%, 11/15/04 25,786 26,000 2.00%, 11/30/04 26,117 79,000 1.50%, 02/28/05 79,184 ---------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 5,061,402 (Cost $5,061,402)* ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 33 JPMORGAN TAX FREE MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% State and Municipal Obligations -- 100.0% ALABAMA -- 1.3% $ 10,900 ABN AMRO Munitops Certificate Trust, Ser. 2002-21, Rev., FRDO, MBIA, #, 1.07%, 07/01/04 $ 10,900 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 0.87%, 03/03/04 900 47,300 Alabama Special Care Facilities Financing Authority-Birmingham, Ascension Health Credit, Ser. B, Rev., FRDO, 0.93%, 03/03/04 47,300 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, #, 0.98%, 03/05/04 5,000 10,000 DCH Health Care Authority, Alabama Healthcare Facilities, Rev., FRDO, 0.94%, 03/04/04 10,000 10,000 Houston County Health Care Authority, FLOATS, Ser. PT-879, Rev., FRDO, MBIA, 0.99%, 04/01/04 10,000 3,000 Infirmary Health System Special Care Facilities Financing Authority, Ser. A, Rev., FRDO, 0.94%, 03/02/04 3,000 5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-6016, Class A, Rev., FRDO, FGIC, 1.00%, 03/06/04 5,735 6,250 Mobile County, IDA, PCR, ExxonMobil Project, Rev., FRDO, 0.88%, 03/01/04 6,250 9,000 Montgomery BMC Special Care Facilities Financing Authority, Hospital, VHA Alabama, Inc., Ser. F, Rev., FRDO, AMBAC, 0.96%, 03/03/04 9,000 4,000 Selma IDB, IDR, Specialty Minerals Project, Rev., FRDO, 1.05%, 03/04/04 4,000 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 1.80%, 03/05/04 4,800 6,035 Tuscaloosa County Board of Education, Special Tax, TAW, FRDO, 0.97%, 03/05/04 6,035 33,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 0.91%, 03/03/04 33,000 --------------- 155,920 ALASKA -- 0.8% 1,600 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 1.01%, 03/01/04 1,600 9,600 Alaska Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 0.96%, 03/06/04 9,600 25,635 Alaska Housing Finance Corp., Housing Development, Ser. D, Rev., FRDO, MBIA, 0.96%, 03/02/04 25,635 10,000 Alaska Housing Finance Corp., State Capital Project, Ser. C, Rev., FRDO, MBIA, 0.94%, 03/02/04 10,000
See notes to financial statements. 34
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ALASKA -- CONTINUED $ 18,300 Valdez, Alaska, Marine Terminal, BP Pipelines Project, Ser. B, Rev., FRDO, 0.99%, 03/01/04 $ 18,300 2,000 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Rev., FRDO, 0.95%, 03/01/04 2,000 17,050 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. B, Rev., FRDO, 0.88%, 03/01/04 17,050 11,600 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. C, Rev., FRDO, 0.88%, 03/01/04 11,600 --------------- 95,785 ARIZONA -- 1.1% 30,500 Apache County IDA, IDR, Tucson Electric Power Co., Ser. 83-B, Rev., FRDO, 0.96%, 03/07/04 30,500 7,700 Apache County IDA, IDR, Tucson Electric Power Co., Springerville, Rev., FRDO, 1.00%, 03/03/04 7,700 4,200 Apache County IDA, IDR, Tuscon Electric Power Co., Floating Rate Trust Receipts, Ser. 83-A, Rev., FRDO, 0.94%, 03/04/04 4,200 10,000 Arizona State University, Ser. A, Rev., FRDO, AMBAC, 0.90%, 03/01/04 10,000 5,000 Arizona State University, Ser. B, Rev., FRDO, AMBAC, 0.91%, 03/01/04 5,000 4,900 Coconino County Pollution Control Corp., Arizona Public Service Co. Project, Rev., FRDO, 1.00%, 03/01/04 4,900 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 1.00%, 03/01/04 7,000 3,840 Maricopa County Public Finance Corp., Floating Rate Certficates, Ser. 511, Rev., FRDO, AMBAC, 0.99%, 03/02/04 3,840 5,330 Phoenix IDA, Multi-Family Housing, CenterTree Apartments Project, Ser. A, Rev., FRDO, 0.99%, 03/05/04 5,330 12,500 Phoenix, Arizona, Civic Improvement, 0.98%, 05/11/04 12,500 25,000 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Receipts, Ser. SG-160, Rev., FRDO, 0.99%, 03/02/04 25,000 16,600 University of Arizona, Main Campus & Research, Ser. A, COP, Rev., FRDO, AMBAC, 0.95%, 03/05/04 16,600 --------------- 132,570 ARKANSAS -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.10%, 03/04/04 5,500 6,300 Little Rock Metrocentre Improvement District No. 1, Little Rock Newspapers, Inc., Rev., FRDO, 1.00%, 03/01/04 6,300
See notes to financial statements. 35
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ARKANSAS -- CONTINUED $ 5,780 University of Arkansas, FLOATS, Ser. PT-1948, Rev., 1.25%, 03/01/04 $ 5,780 --------------- 17,580 CALIFORNIA -- 8.9% 3,995 ABN AMRO Munitops Certificate Trust, Ser. 2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 3,995 2,100 Auburn Union School District, COP, FRDO, FSA, 0.94%, 03/01/04 2,100 2,900 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.00%, 03/03/04 2,900 200 California Economic Development Financing Authority, IDR, Volk Enterprises, Inc. Project, Rev., FRDO, 0.97%, 03/01/04 200 19,000 California Higher Education Loan Authority, Ser. A, Rev., FRDO, 1.05%, 12/01/04 19,000 22,500 California Higher Education Loan Authority, Ser. C, Rev., FRDO, 1.05%, 06/01/04 22,500 2,745 California Housing Finance Agency, FLOATS, Ser. PT-843, Rev., FRDO, 1.08%, 03/06/04 2,745 20,000 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 0.98%, 03/07/04 20,000 20,000 California PCFA, Resource Recovery, Atlantic-Richfield Co. Project, Ser. A, Rev., FRDO, 1.04%, 03/01/04 20,000 17,000 California Salvation Army, 1.02%, 11/17/04 17,000 1,000 California State Department of Water Resources, Power Supply, Ser. B-3, Rev., FRDO, 0.97%, 03/01/04 1,000 50,000 California State Department of Water Resources, Power Supply, Ser. C-13, Rev., FRDO, FSA, 0.93%, 03/04/04 50,000 14,495 California State Public Works Board, FLOATS, Ser. PA-814, Rev., FRDO, MBIA, 0.96%, 03/04/04 14,495 2,000 California State, Floating Rate, Ser. C-2, GO, FRDO, 0.95%, 03/04/04 2,000 12,950 California State, Municipal Securities Trust Receipts, Ser. SGA 54, GO, FRDO, AMBAC, 0.99%, 03/02/04 12,950 20,800 California State, Municipal Securities Trust Receipts, Ser. SGA-119, GO, FRDO, FGIC, 0.97%, 03/01/04 20,800 522,600 California State, Ser. A, RAN, 2.00%, 06/16/04 523,895 12,100 California State, Sub Ser. A-3, Rev., RAN, 2.00%, 06/23/04 12,135 28,000 California Statewide Communities Development Authority, COP, FLOATERS, Ser. 909, FRDO, MBIA, 0.99%, 08/15/04 28,000
See notes to financial statements. 36
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,900 California Statewide Communities Development Authority, Multi-Family Housing, Arbor Ridge Apartments, Ser. X, Rev., FRDO, 0.95%, 03/06/04 $ 1,900 71,965 California Statewide Communities Development Authority, Ser. A-1, Rev., TRAN, 2.00%, 06/30/04 72,200 18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.10%, 03/04/04 18,800 8,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.10%, 03/01/04 8,000 2,300 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 0.90%, 03/02/04 2,300 600 East Bay Municipal Utility District, Water System, Sub Ser. A, Rev., FRDO, FSA, 0.90%, 03/07/04 600 3,200 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 0.89%, 03/07/04 3,200 1,725 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 0.99%, 03/07/04 1,725 4,660 Huntington Beach Union High School District, School Bridge Funding Program, COP, FRDO, FSA, 1.05%, 11/01/04 4,660 3,290 Huntington Beach Union High School District, School Facilities Bridge Funding Program, COP, FRDO, FSA, 1.05%, 11/01/04 3,290 200 Irvine Ranch Water District, CONS, Rev., FRDO, 0.98%, 03/01/04 200 700 Irvine Ranch Water District, Consolidated Bonds, Rev., FRDO, 0.98%, 03/01/04 700 500 Irvine Ranch Water District, Improvement District No. 282, Ser. A, GO, FRDO, 0.97%, 03/01/04 500 300 Irvine Ranch Water District, No. 102, 103, 105 & 106, GO, FRDO, 0.92%, 03/01/04 300 300 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 87-8, Special Assessment, FRDO, 0.98%, 03/01/04 300 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 94-13, Special Assessment, FRDO, 0.98%, 03/01/04 100 300 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-16, Rev., FRDO, 0.98%, 03/01/04 300 600 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 97-17, Special Assessment, FRDO, 0.98%, 03/01/04 600 100 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 0.89%, 03/03/04 100 38,000 Los Angeles County, Ser. A, GO, TRAN, 2.00%, 06/30/04 38,128 185 Los Angeles Department of Water & Power, FLOATS, Ser. PT-1949, Rev., 0.96%, 03/04/04 185
See notes to financial statements. 37
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 900 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 0.89%, 03/04/04 $ 900 1,995 Los Angeles Unified School District, FLOATS, Ser. PA-1115, GO, FRDO, FSA, 0.96%, 03/04/04 1,995 195 Los Angeles Unified School District, FLOATS, Ser. PA-1118, GO, FRDO, MBIA, 0.96%, 03/04/04 195 3,540 Los Angeles, California, Multi-Family Housing, Rev., FRDO, 0.96%, 03/01/04 3,540 1,995 Los Angeles, California, Water & Power, Ser. RR-II-R-4510, Rev., FRDO, MBIA, 0.97%, 03/04/04 1,995 4,000 Manteca Financing Authority, Municipal Securities Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA, 0.94%, 03/01/04 4,000 1,400 Metropolitan Water District of Southern California, Ser. B-2, Rev., FRDO, 0.88%, 03/02/04 1,400 400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 400 25,740 Metropolitan Water District of Southern California, Waterworks, Ser. C-2, Rev., FRDO, 0.88%, 03/05/04 25,740 5,600 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 0.96%, 03/04/04 5,600 20,860 Municipal Securities Trust Certificates, Ser. 2001-118, Class A, GO, FRDO, FGIC, #, 0.97%, 03/01/04 20,860 7,700 Municipal Securities Trust Certificates, Ser. 2001-135, Class A, GO, FRDO, FGIC, #, 0.97%, 03/01/04 7,700 7,970 Municipal Securities Trust Certificates, Ser. 2001-136, Class A, Rev., FRDO, FGIC, #, 0.97%, 03/01/04 7,970 1,300 Orange County Sanitation District, COP, Ser. B, FRDO, 0.98%, 03/01/04 1,300 3,900 Orange County, Apartment Development Corp., Bear Brand Apartments Project, Ser. Z, Rev., FRDO, 0.89%, 03/03/04 3,900 1,700 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 0.92%, 03/06/04 1,700 7,500 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 0.90%, 03/03/04 7,500 600 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 0.90%, 03/04/04 600 13,300 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SGA-50, Rev., FRDO, MBIA, 0.97%, 03/06/04 13,300
See notes to financial statements. 38
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,800 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, Rev., FRDO, 0.95%, 03/01/04 $ 1,800 500 San Leandro, California, Multi-Family Housing, Parkside, Rev., FRDO, 0.92%, 03/04/04 500 4,765 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.00%, 08/01/04 4,765 18,235 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.00%, 08/01/04 18,235 2,600 Southern California Public Power Authority, Southern Transmission Project, Rev., FRDO, AMBAC, 0.89%, 03/01/04 2,600 3,980 West Contra Costa Unified School District, FLOATS, Ser. PT-1828, GO, FRDO, FGIC, 0.96%, 03/07/04 3,980 --------------- 1,076,278 COLORADO -- 1.1% 1,000 Arapahoe County, Capital Improvement Trust, Federal Highway, FLOATS, Ser. PT-437, Rev., FRDO, (p), 1.01%, 03/04/04 1,000 7,100 Arapahoe County, Multi-Family Housing, Highline Oaks Apartments, Rev., FRDO, 0.95%, 03/04/04 7,100 2,760 Arvada, Colorado, Rev., FRDO, FSA, 1.20%, 03/01/04 2,760 15,000 Boulder Valley School District No. Re-2, Ser. A, GO, TAN, 1.75%, 06/30/04 15,038 5,000 Boulder Valley School District No. Re-2, Ser. A, GO, TAN, 2.00%, 06/30/04 5,017 9,900 Broomfield, Colorado, COP, FLOATS, Ser. PT-1643, FRDO, AMBAC, 0.99%, 03/07/04 9,900 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 0.93%, 03/02/04 1,600 1,000 Colorado Housing & Finance Authority, Ser. AA3, Class I, Rev., FRDO, 0.96%, 03/03/04 1,000 3,150 Colorado Springs, Colorado, The Colorado College, Rev., FRDO, 0.95%, 03/02/04 3,150 2,500 Colorado Student Obligation Bond Authority, Student Loans, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 1.00%, 03/03/04 2,500 31,155 Denver City & County, Airport, Floating Rate Certificates, Ser. 153, Rev., FRDO, MBIA, 1.15%, 03/04/04 31,155 5,000 Denver City & County, Airport, Floating Rate Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 1.06%, 03/02/04 5,000
See notes to financial statements. 39
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED COLORADO -- CONTINUED $ 10,995 Denver City & County, Airport, Ser. II-R-147, Rev., FRDO, FGIC, 1.06%, 03/03/04 $ 10,995 4,985 Denver City & County, Airport, Ser. ROC-II-R-98, Rev., FRDO, FSA, 1.06%, 03/04/04 4,985 5,000 Denver City & County, Wellington E. Web Project, COP, Ser. C-3, FRDO, AMBAC, 0.95%, 03/05/04 5,000 10,000 Douglas County, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 0.95%, 03/01/04 10,000 3,620 Lower Colorado River Authority, FLOATS, Ser. PT-1523, Rev., FRDO, MBIA, 0.99%, 03/04/04 3,620 4,610 Smith Creek Metropolitan District, Rev., FRDO, 0.95%, 03/07/04 4,610 7,035 Thornton, Colorado, COP, Ser. RR-II-R-1052, FRDO, AMBAC, 1.00%, 03/07/04 7,035 --------------- 131,465 CONNECTICUT -- 0.3% 30,785 Connecticut State Health & Educational Facilities Authority, FLOATERS, Ser. 891, Rev., FRDO, FGIC, 1.00%, 07/01/04 30,785 2,765 Connecticut State Housing Finance Authority, Housing Mortgage Finance Program, Sub Ser. D-3, Rev., FRDO, AMBAC, 0.90%, 03/04/04 2,765 5,495 Connecticut State, FLOATS, Ser. PA-1056, GO, FRDO, FSA, 0.93%, 03/05/04 5,495 --------------- 39,045 DELAWARE -- 0.2% 7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO, AMBAC, 0.90%, 03/05/04 7,000 20,000 Delaware State Economic Development Authority, Hospital Billing & Collections, Ser. C, Rev., FRDO, AMBAC, 0.93%, 03/02/04 20,000 --------------- 27,000 DISTRICT OF COLUMBIA -- 2.5% 25,000 District of Columbia, 0.99%, 06/14/04 25,000 625 District of Columbia Housing Finance Agency, Floating Rate Receipts, Ser. L-1, Regulation D, Rev., FRDO, 1.01%, 03/05/04 625 11,140 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1380, Rev., FRDO, 0.99%, 03/04/04 11,140 8,150 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1381, Rev., FRDO, 0.99%, 03/07/04 8,150 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.15%, 03/03/04 3,165 5,970 District of Columbia Water & Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 0.99%, 03/07/04 5,970
See notes to financial statements. 40
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED DISTRICT OF COLUMBIA -- CONTINUED $ 2,800 District of Columbia, American Psychology Association, Rev., FRDO, 1.00%, 03/04/04 $ 2,800 29,605 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 0.96%, 03/05/04 29,605 12,000 District of Columbia, American University Issue, Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/01/04 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 1.05%, 03/05/04 7,500 6,100 District of Columbia, FLOATS, Ser. PT-806, GO, FRDO, FSA, 0.99%, 03/07/04 6,100 23,685 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 0.96%, 03/02/04 23,685 10,000 District of Columbia, Medstar University Hospital, Ser. B, Rev., FRDO, (p), 6.625%, 02/15/05 10,526 2,255 District of Columbia, National Children's Center, Inc., Rev., FRDO, 0.95%, 03/07/04 2,255 4,200 District of Columbia, National Geographic Society, Rev., FRDO, 0.95%, 03/05/04 4,200 13,000 District of Columbia, Pooled Loan Program, Ser. A, Rev., FRDO, 0.95%, 03/02/04 13,000 26,880 District of Columbia, Ser. A, GO, FRDO, FSA, 0.96%, 03/03/04 26,880 30,495 District of Columbia, Ser. B, GO, FRDO, FSA, 0.96%, 03/03/04 30,495 29,300 District of Columbia, Ser. C, GO, FRDO, FGIC, 0.94%, 03/06/04 29,300 10,000 District of Columbia, Ser. D, GO, FRDO, FGIC, 0.94%, 03/06/04 10,000 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 0.92%, 03/02/04 7,690 14,500 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 3, Class 7, Rev., FRDO, #, 1.01%, 03/02/04 14,500 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, FRDO, #, 1.01%, 03/04/04 6,155 15,000 Washington D.C., Water & Sewer, 1.01%, 06/11/04 15,000 --------------- 305,741 FLORIDA -- 2.9% 9,345 ABN AMRO Munitops Certificate Trust, Ser. 2003-6, Rev., FRDO, MBIA, 1.18%, 04/01/04 9,345 27,075 Alachua County Health Facilities Authority, FLOATS, Ser. PT-834, Rev., FRDO, MBIA, 0.99%, 03/01/04 27,075 10,520 Brevard County Health Facilities Authority, Wuesthoff Memorial Hospital Project, Rev., FRDO, 0.96%, 03/01/04 10,520 25,000 Broward County, 1.00%, 03/24/04 25,000
See notes to financial statements. 41
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FLORIDA -- CONTINUED $ 5,000 Broward County, Professional Sports Facility, Municipal Securities Trust Receipts, Ser. SGA-38, Rev., FRDO, MBIA, 0.98%, 03/02/04 $ 5,000 1,085 Collier County, Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 0.95%, 03/04/04 1,085 2,520 Dade County Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Ser. 4, Rev., FRDO, 1.01%, 03/06/04 2,520 4,620 Escambia County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 1.04%, 03/07/04 4,620 5,175 Florida Housing Finance Agency, Multi-Family Housing, Banyon Bay Partners, Ser. L, Rev., FRDO, 0.96%, 03/02/04 5,175 5,135 Florida Housing Finance Agency, Multi-Family Housing, Ser. AA, Rev., FRDO, 0.92%, 03/05/04 5,135 6,350 Florida Housing Finance Agency, Multi-Family Housing, Ser. FF, Rev., FRDO, 0.95%, 03/04/04 6,350 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 0.99%, 03/04/04 7,000 16,800 Florida State Board of Public Education, Public Education, Municipal Securities Trust Receipts, Ser. SGA-102, GO, FRDO, 1.00%, 03/01/04 16,800 11,000 Florida State Department of Environmental Protection, Preservation, FLOATS, Ser. 722, Rev., FRDO, FGIC, 0.99%, 03/03/04 11,000 5,370 Florida State Division of Bond Finance, General Services, FLOATS, Ser. PA-967, FRDO, 0.99%, 03/01/04 5,370 7,000 Florida State, EAGLE, Ser. 2003-0054, Class A, GO, FRDO, 1.01%, 03/04/04 7,000 5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO, 0.99%, 03/04/04 5,295 1,830 Greater Orlando Aviation Authority, Airport Facilities, FLOATS, Ser. PT-1904, Rev., FRDO, FSA, 1.01%, 03/03/04 1,830 8,750 Greater Orlando, Florida, Tax Exempt, 1.10%, 03/09/04 8,750 4,790 Gulf Breeze, Florida, Local Government Loan Program, Floating Rate Receipts, Ser. B, Rev., FRDO, FGIC, 0.95%, 03/07/04 4,790 11,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 0.98%, 03/02/04 11,705 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 0.96%, 03/07/04 1,000 19,000 Jacksonville, Florida, 0.99%, 08/02/04 19,000
See notes to financial statements. 42
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FLORIDA -- CONTINUED $ 6,000 Lakeland, Florida, Energy Systems, Rev., FRDO, 0.95%, 03/03/04 $ 6,000 6,920 Lee County, Water & Sewer, Ser. RR-II-R-4021, Rev., FRDO, MBIA, 1.00%, 03/03/04 6,920 2,790 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 0.95%, 03/04/04 2,790 6,000 Miami-Dade County, Miami Aviation, Floating Rate Receipts, Ser. SG-141, Rev., FRDO, FGIC, 0.99%, 03/07/04 6,000 18,110 Nassau County, PCR, Private Activity, Rayonier, Inc. Project, Rev., FRDO, 0.90%, 03/01/04 18,110 1,300 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 1.01%, 03/06/04 1,300 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 0.96%, 03/02/04 4,900 8,000 Orlando & Orange County Expressway Authority, Ser. C-1, Rev., FRDO, FSA, 0.90%, 03/04/04 8,000 1,800 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 0.90%, 03/04/04 1,800 10,000 Orlando & Orange County Expressway Authority, Ser. D, Rev., FRDO, FSA, 0.90%, 03/07/04 10,000 15,000 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., FRDO, 0.90%, 03/01/04 15,000 10,320 Polk County School Board, Master Lease Program, COP, Ser. A, FRDO, FSA, 0.92%, 03/04/04 10,320 3,000 St. Johns County IDA, Healthcare, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 0.95%, 03/02/04 3,000 20,565 Sunshine State, 1.00%, 06/09/04 20,565 16,310 Sunshine State, 1.03%, 06/07/04 16,310 7,000 Tampa, Florida, Occupational License Tax, Ser. B, Rev., FRDO, FGIC, 0.91%, 03/03/04 7,000 4,100 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 0.99%, 03/05/04 4,100 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 0.95%, 03/05/04 3,600 --------------- 347,080 GEORGIA -- 4.2% 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4, Rev., FRDO, FGIC, #, 1.10%, 07/05/04 16,610 5,935 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 1.05%, 03/01/04 5,935 4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737, Rev., FRDO, FGIC, 1.05%, 03/02/04 4,385 40,000 Atlanta, Georgia, Airport, Rev., BAN, 1.10%, 10/16/04 40,000 7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO, MBIA, 0.94%, 03/05/04 7,500
See notes to financial statements. 43
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED GEORGIA -- CONTINUED $ 20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO, MBIA, 0.94%, 03/05/04 $ 20,000 6,000 Atlanta, Georgia, Water & Wastewater, Municipal Securities Trust Receipts, Ser. SGA-145, Rev., FRDO, MBIA, 0.98%, 03/06/04 6,000 9,000 Augusta, Georgia, Water & Sewer, Municipal Securities Trust Receipts, Ser. SGS-140, Rev., FRDO, FSA, 0.98%, 03/02/04 9,000 5,995 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO, 0.99%, 03/05/04 5,995 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 0.97%, 03/03/04 7,160 8,000 Cobb County Development Authority, Whitefield Academy Project, Rev., FRDO, 0.95%, 03/02/04 8,000 3,000 Cobb County Housing Authority, Multi-Family Housing, Greenhouse Frey Apartment Project, Rev., FRDO, 0.95%, 03/05/04 3,000 11,200 Cobb County Housing Authority, Multi-Family Housing, Terrell Mill I Project, Rev., FRDO, #, 1.05%, 03/01/04 11,200 25,000 Cobb County Kennestone Hospital Authority, Equipment Pool Project, Anticipation Certificates, Rev., FRDO, 0.98%, 03/03/04 25,000 9,250 De Kalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., FRDO, 1.00%, 03/02/04 9,250 12,645 De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., FRDO, 1.00%, 03/03/04 12,645 800 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 0.95%, 03/03/04 800 1,720 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 0.96%, 03/02/04 1,720 9,865 Georgia Local Government, COP, FLOATS, Ser. PT-678, FRDO, 0.99%, 03/07/04 9,865 51,345 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 0.96%, 03/03/04 51,345 8,445 Georgia Municipal Electric Authority, FLOATS, Ser. PA-1187, Rev., FRDO, MBIA-IBC, 0.99%, 03/04/04 8,445 8,485 Georgia Municipal Electric Authority, FLOATS, Ser. PT-1518, Rev., 0.99%, 03/03/04 8,485 9,585 Georgia Municipal Electric Authority, Ser. RR-II-R-1016, Rev., FRDO, FSA, 1.00%, 03/02/04 9,585 21,920 Georgia State Road & Thruway Authority, FLOATS, Ser. PT-1501, Rev., FRDO, 0.96%, 03/06/04 21,920 5,035 Georgia State Road & Tollway Authority, FLOATS, Ser. PT-2019, Rev., FRDO, 0.99%, 04/01/04 5,035
See notes to financial statements. 44
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED GEORGIA -- CONTINUED $ 10,095 Georgia State, FLOATS, Ser. PT-374, 0.96%, 03/05/04 $ 10,095 1,700 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 0.91%, 03/03/04 1,700 3,950 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 1.02%, 03/04/04 3,950 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 0.91%, 03/03/04 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Anticipation Certificates, Rev., RAN, FRDO, 0.95%, 03/03/04 10,000 9,225 Marietta Housing Authority, Multi-Family Housing, Winterset Apartments Project, Rev., FRDO, 0.95%, 03/01/04 9,225 10,000 Metropolitan Atlanta Rapid Transit Authority, Sales Tax, Ser. B, Rev., FRDO, 0.92%, 03/05/04 10,000 46,473 Municipal Electric Authority, 0.93%, 03/01/04 46,473 35,000 Municipal Electric Authority, 0.95%, 03/01/04 35,000 3,700 Municipal Electric Authority of Georgia, Project One, Ser. C, Rev., FRDO, FSA, 0.90%, 03/03/04 3,700 34,610 Municipal Electric Authority of Georgia, Sub Ser. B, Rev., FRDO, 0.90%, 03/03/04 34,610 1,200 Private Colleges & Universities Authority, Emory University, Ser. B, Rev., FRDO, 0.85%, 03/05/04 1,200 16,040 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 0.85%, 03/05/04 16,040 5,200 Tift County Hospital Authority, Anticipation Certificates, Ser. A, Rev., FRDO, AMBAC, 0.87%, 03/03/04 5,200 --------------- 502,073 GUAM -- 0.1% 11,025 Guam Power Authority, FLOATS, Ser. PA-531, Rev., 0.94%, 03/05/04 11,025 HAWAII -- 0.7% 20,825 ABN AMRO Munitops Certificate Trust, Ser. 2004-1, Rev., FRDO, 1.07%, 07/01/04 20,825 17,593 Hawaii State, 0.97%, 03/11/04 17,593 880 Hawaii State Housing Finance & Development Corp., Single Family Mortgage, FLOATS, Ser. PA-73A, Rev., FRDO, 1.06%, 03/03/04 880
See notes to financial statements. 45
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED HAWAII -- CONTINUED $ 4,995 Hawaii State, Airport Systems, FLOATS, Ser. PA-1110, Rev., FRDO, FGIC, 1.07%, 07/01/04 $ 4,995 10,000 Hawaii State, Airport Systems, Rev., FRDO, 2.00%, 08/26/04 10,080 19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058, FRDO, 0.99%, 03/05/04 19,790 1,000 Honolulu City & County, Ser. A, GO, FRDO, 0.91%, 03/06/04 1,000 5,150 Honolulu City & County, Ser. A, GO, FRDO, 0.91%, 03/07/04 5,150 --------------- 80,313 IDAHO -- 0.3% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 1.01%, 03/02/04 10,500 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 1.01%, 03/01/04 3,750 26,000 Idaho State, GO, TAN, 2.00%, 06/30/04 26,082 --------------- 40,332 ILLINOIS -- 5.6% 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10, GO, FRDO, MBIA, 1.12%, 05/15/04 9,850 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 1.02%, 03/05/04 15,010 10,740 ABN AMRO Munitops Certificate Trust, Ser. 2001-27, Rev., FRDO, FSA, 1.12%, 03/05/04 10,740 6,175 ABN AMRO Munitops Certificate Trust, Ser. 2002-23, GO, FRDO, MBIA, 1.15%, 04/01/04 6,175 9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3, Rev., FRDO, 1.12%, 03/04/04 9,995 10,000 Chicago Board of Education, FLOATS, Ser. SG-103, FRDO, 0.99%, 03/01/04 10,000 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Receipts, Ser. L-40, Regulation D, Rev., FRDO, 1.01%, 03/03/04 34,950 3,100 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 0.91%, 03/03/04 3,100 10,570 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 0.91%, 03/02/04 10,570 6,200 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 0.97%, 03/02/04 6,200 4,500 Chicago, Illinois, IDR, Elston Block Co. Project, Rev., FRDO, 1.03%, 03/04/04 4,500 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 0.99%, 03/02/04 19,540
See notes to financial statements. 46
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 6,275 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 1.03%, 03/01/04 $ 6,275 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 0.98%, 03/03/04 20,000 5,385 Chicago, Illinois, Ser. 32, GO, FRDO, MBIA, 0.99%, 07/01/04 5,385 13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 0.96%, 03/01/04 13,000 14,165 Chicago, Illinois, Skyway Toll Bridge, Municipal Trust Certificates, Ser. ZTC-3, Class A, FRDO, 1.09%, 03/01/04 14,165 4,503 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 0.99%, 03/03/04 4,503 7,405 Cook County, FLOATS, Ser. PT-1497, GO, FRDO, FGIC, 0.99%, 03/05/04 7,405 2,725 Cook County, Municipal Trust Receipts, Ser. SG-7, 1.01%, 03/03/04 2,725 7,760 Cook County, Ser. 2003-11, GO, FRDO, MBIA, 0.99%, 03/06/04 7,760 5,435 Du Page County Community Unit School District No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO, FSA, 1.00%, 03/06/04 5,435 10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA, 1.00%, 03/07/04 10,000 7,055 Franklin Park, Illinois, Municipal Securities Trust Receipts, Ser. SGB-14, GO, FRDO, AMBAC, #, 1.00%, 03/03/04 7,055 13,445 Glendale Heights, Illinois, Glendale Heights Hospital, FLOATS, Ser. PT-1602, Rev., 0.96%, 03/07/04 13,445 3,400 Illinois Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 0.95%, 03/05/04 3,400 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Rev., FRDO, 0.95%, 03/01/04 17,900 2,605 Illinois Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 1.03%, 03/01/04 2,605 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 0.97%, 03/02/04 4,485 1,560 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 1.03%, 03/01/04 1,560 13,400 Illinois Development Finance Authority, Multi-Family Housing, FLOATS, Ser. PT-1795, Rev., FRDO, 1.00%, 03/02/04 13,400
See notes to financial statements. 47
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 12,625 Illinois Development Finance Authority, Provena Health, Ser. C, Rev., FRDO, MBIA, 0.91%, 03/01/04 $ 12,625 10,000 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 0.98%, 03/05/04 10,000 10,000 Illinois Development Finance Authority, Vincent De Paul Project, Ser. A, Rev., FRDO, 0.92%, 03/03/04 10,000 8,900 Illinois Educational Facilities Authority, Arts Club of Chicago, Rev., FRDO, 0.95%, 03/01/04 8,900 6,895 Illinois Educational Facilities Authority, FLOATS, Ser. PA-896, Rev., FRDO, 0.99%, 03/02/04 6,895 9,800 Illinois Educational Facilities Authority, John F. Kennedy Health Care, Rev., FRDO, 0.95%, 03/05/04 9,800 4,900 Illinois Educational Facilities Authority, St. Xavier University Project, Ser. A, Rev., FRDO, 0.96%, 03/01/04 4,900 9,050 Illinois Educational Facilities Authority, University Pooled Financing Program, Rev., FRDO, FGIC, 0.93%, 03/04/04 9,050 10,330 Illinois Health Facilities Authority, Floating Rate Trust Receipts, Ser. L-26, Regulation D, Rev., (p), FRDO, 1.40%, 03/02/04 10,330 2,600 Illinois Health Facilities Authority, Health Care Systems, Rev., FRDO, 0.97%, 03/01/04 2,600 10,150 Illinois Health Facilities Authority, Multi-Family Housing, Park Plaza Center, Rev., FRDO, 0.95%, 03/02/04 10,150 20,000 Illinois Health Facilities Authority, Revolving Pooled Funds, Ser. B, Rev., FRDO, 0.94%, 03/01/04 20,000 9,145 Illinois Health Facilities Authority, St. Lukes Medical Center Obligation, Ser. B, Rev., FRDO, MBIA, 0.97%, 03/01/04 9,145 13,600 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 0.96%, 03/04/04 13,600 11,000 Illinois Health Facilities Authority, Swedish Covenant Hospital, Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/01/04 11,000 1,900 Illinois Health Facilities Authority, The Carle Foundation, Ser. B, Rev., FRDO, AMBAC, 0.94%, 03/03/04 1,900 2,345 Illinois Housing Development Authority, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 1.06%, 03/04/04 2,345 10,360 Illinois Housing Development Authority, Homeowner Mortgage, Sub Ser. A-2, Rev., 1.18%, 04/29/04 10,360
See notes to financial statements. 48
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 7,600 Illinois Housing Development Authority, Multi-Family Housing, Camelot, Rev., FRDO, MBIA, 1.00%, 03/01/04 $ 7,600 15,140 Illinois Housing Development Authority, Multi-Family Housing, Lakeshore Plaza, Ser. A, Rev., FRDO, MBIA, 0.94%, 03/02/04 15,140 50,000 Illinois State, GO, 1.50%, 05/15/04 50,055 15,000 Illinois State, GO, 2.00%, 04/15/04 15,019 2,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 1.00%, 03/01/04 2,075 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, FRDO, 0.99%, 03/06/04 3,255 13,255 Illinois State, Ser. 2003-33, GO, FRDO, FGIC, 0.99%, 05/01/04 13,255 11,605 Illinois State, Ser. 42, GO, FRDO, MBIA, 0.99%, 07/01/04 11,605 10,000 Illinois State, Ser. B, GO, FRDO, 0.96%, 03/01/04 10,000 2,570 Lake County, IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 1.00%, 03/02/04 2,570 1,320 Libertyville, Illinois, IDR, Libertyville Manor Project, Rev., FRDO, 1.03%, 03/01/04 1,320 4,765 Mount Morris, Illinois, Bretheren Home Project, Rev., FRDO, 0.97%, 03/02/04 4,765 19,900 Regional Transportation Authority, FLOATS, Ser. 818-D, Rev., FRDO, FGIC, 0.99%, 03/04/04 19,900 6,280 Regional Transportation Authority, FLOATS, Ser. PT-1448, Rev., FRDO, FGIC, 0.99%, 03/07/04 6,280 15,190 Regional Transportation Authority, FLOATS, Ser. PT-1833, Rev., FRDO, FGIC, 0.99%, 03/04/04 15,190 10,000 Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 0.99%, 03/07/04 10,000 11,815 Regional Transportation Authority, Ser. A-69, Rev., FRDO, MBIA, 1.30%, 06/28/04 11,815 9,100 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 0.94%, 03/07/04 9,100 --------------- 673,677 INDIANA -- 1.3% 6,080 Carmel School Building Corp., Ser. RR-II-R-S014, Rev., FRDO, MBIA, 1.00%, 03/04/04 6,080 6,410 Danville Multi-School Building Corp., FLOATS, Ser. PT-1483, Rev., FRDO, FSA, 0.99%, 03/03/04 6,410 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.10%, 03/05/04 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, 0.93%, 03/03/04 16,900
See notes to financial statements. 49
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED INDIANA -- CONTINUED $ 4,600 Indiana Health Facility Financing Authority, Clarian Health Obligation Group, Ser. C, Rev., FRDO, 0.95%, 03/05/04 $ 4,600 2,485 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 0.95%, 03/05/04 2,485 5,055 Indiana Health Facility Financing Authority, FLOATS, Ser. PA-1069, 0.99%, 03/05/04 5,055 15,835 Indiana Toll Road Commission, FLOATS, Ser. PT-1595, 0.96%, 03/03/04 15,835 19,500 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 1.00%, 03/01/04 19,500 8,975 Indianapolis Airport Authority, Floating Trust Certificates, Ser. F-10J, Regulation D, Rev., FRDO, 1.11%, 03/04/04 8,975 8,665 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-1408, Rev., FRDO, MBIA, 0.99%, 03/01/04 8,665 8,500 Indianapolis Local Public Improvement Bond Bank, Ser. F-2, Rev., FRDO, MBIA, 0.91%, 03/05/04 8,500 9,200 Monroe County Hospital Authority, Rev., FRDO, MBIA, 0.95%, 03/02/04 9,200 110 Muncie, Indiana, Economic Development, Health Quest Realty Project, Rev., FRDO, 0.98%, 03/07/04 110 26,100 Vernon, Indiana, 0.95%, 03/01/04 26,100 --------------- 158,415 IOWA -- 0.4% 4,550 Des Moines, Iowa, 1.07%, 09/07/04 4,550 1,900 Des Moines, Iowa, 1.07%, 09/07/04 1,900 6,000 Iowa Finance Authority, Single Family Mortgage, Ser. F, Rev., FRDO, 1.00%, 03/04/04 6,000 30,000 Iowa State, Rev., TRAN, 2.00%, 06/29/04 30,093 --------------- 42,543 KANSAS -- 1.9% 54,950 Burlington, Kansas, PCR, Floating Rate Trust Receipts, Ser. 2002-L3, Rev., FRDO, MBIA, 1.01%, 03/01/04 54,950 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 1.00%, 03/03/04 2,000 5,400 Kansas City, Kansas, IDB, PQ Corp. Project, Rev., FRDO, 1.00%, 03/01/04 5,400 18,000 Kansas State Department of Transportation, Highway, Ser. C-1, Rev., FRDO, 0.95%, 03/02/04 18,000 27,500 Kansas State Department of Transportation, Highway, Ser. C-2, Rev., FRDO, 0.95%, 03/02/04 27,500 46,300 Kansas State Department of Transportation, Highway, Ser. D, Rev., FRDO, 0.87%, 03/04/04 46,300
See notes to financial statements. 50
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED KANSAS -- CONTINUED $ 18,500 Kansas State Department of Transportation, Ser. C-1, Rev., FRDO, 0.95%, 03/05/04 $ 18,500 10,225 Kansas State Department of Transportation, Ser. C-3, Rev., FRDO, 0.95%, 03/05/04 10,225 11,090 Lawrence, Kansas, Ser. 2003-I, GO, 1.50%, 06/01/04 11,099 7,465 Olathe, Kansas, Temporary Notes, Ser. B, GO, 1.65%, 06/01/04 7,476 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, 0.99%, 03/06/04 9,780 3,495 Sedgwick & Shawnee Counties, Single Family Housing, FLOATS, Ser. PT-523, Rev., FRDO, 1.04%, 03/05/04 3,495 1,500 Wichita, Kansas, Hospital Facilities Improvement, Riverside, Ser. IV, Rev., FRDO, 1.00%, 03/05/04 1,500 7,740 Wichita, Kansas, Multi-Family Housing, FLOATS, Ser. PT-1641, Rev., FRDO, 1.10%, 03/06/04 7,740 --------------- 223,965 KENTUCKY -- 0.7% 17,455 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 0.99%, 03/03/04 17,455 24,000 Kentucky Association of Counties, COP, TRAN, 2.00%, 06/30/04 24,086 2,240 Kentucky Development Finance Authority, Pooled Loan Program, Ser. A, Rev., FRDO, FGIC, 0.95%, 03/04/04 2,240 15,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Floating Rate Receipts, Ser. SG-132, Rev., FRDO, FGIC, 0.99%, 03/01/04 15,000 21,500 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Ser. A, Rev., FRDO, FSA, 0.91%, 03/01/04 21,500 10,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Ser. B, Rev., FRDO, FSA, 0.92%, 03/01/04 10,000 --------------- 90,281 LOUISIANA -- 0.9% 12,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-17, Rev., FRDO, AMBAC, #, 1.02%, 03/07/04 12,000 9,000 East Baton Rouge Parish, Solid Waste Disposal Authority, Exxon Corp. Project, Rev., FRDO, 0.93%, 03/01/04 9,000 5,210 Ernest N. Morial-New Orleans Exhibit Hall Authority, Special Tax, Ser. RR-II-R-5017, FRDO, AMBAC, 1.00%, 03/04/04 5,210
See notes to financial statements. 51
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED LOUISIANA -- CONTINUED $ 1,875 Iberia Parish IDB, IDR, Cuming Insulation Corp. Project, Rev., FRDO, 1.08%, 03/04/04 $ 1,875 2,280 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 1.06%, 03/05/04 2,280 3,000 Lake Charles Harbor & Terminal District, District Dock & Wharf, Conoco, Inc. Project, Rev., FRDO, 1.01%, 03/02/04 3,000 40,000 Louisiana Facilities Authority, 0.95%, 03/01/04 40,000 3,940 Louisiana Housing Finance Agency, FLOATS, Ser. PT-1340, Rev., FRDO, 1.04%, 03/06/04 3,940 8,300 Louisiana Offshore Terminal Authority, Deepwater Port, 1st Stage Loop LLC, Rev., FRDO, 0.98%, 03/01/04 8,300 100 Louisiana Public Facilities Authority, IDB, Kenner Hotel LTD, Rev., FRDO, 0.97%, 03/01/04 100 5,995 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 0.99%, 03/01/04 5,995 11,700 Louisiana Public Facilities Authority, Tiger Athletic Foundation Project, Rev., FRDO, 0.97%, 03/04/04 11,700 4,750 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 0.96%, 03/04/04 4,750 --------------- 108,150 MAINE -- 0.5% 9,800 Maine Finance Authority, Jackson Lab Issue, Ser. 2002, Rev., FRDO, 1.00%, 03/01/04 9,800 7,840 Maine Health & Higher Educational Facilities Authority, Ser. B, Rev., FRDO, AMBAC, 0.95%, 03/03/04 7,840 25,415 Maine State Housing Authority, Ser. E-2, Rev., FRDO, AMBAC, 1.00%, 05/15/04 25,415 12,800 Maine State Housing Authority, Ser. E-2, Rev., FRDO, AMBAC, 1.00%, 05/15/04 12,800 10,000 Maine State, GO, BAN, 1.75%, 06/24/04 10,024 --------------- 65,879 MARYLAND -- 1.6% 25,000 Baltimore City, Maryland, 0.98%, 03/08/04 25,000 5,510 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 0.96%, 03/04/04 5,510 8,200 Baltimore IDA, IDR, Baltimore Capital Acquisition, Rev., FRDO, 0.94%, 03/03/04 8,200 3,135 Community Development Administration, Multi-Family Development, Avalon Lea Apartment Project, Rev., FRDO, 0.92%, 03/01/04 3,135 3,320 Maryland Community Development Administration, Department of Housing & Community Development, FLOATS, Ser. PT-12, 1.04%, 03/01/04 3,320
See notes to financial statements. 52
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MARYLAND -- CONTINUED $ 3,000 Maryland Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 0.99%, 03/03/04 $ 3,000 11,000 Maryland State Economic Development Corp., Floating Rate Reciepts, Ser. L9-J, Rev., FRDO, FSA, 1.06%, 03/01/04 11,000 20,000 Maryland State Health & Higher Educational Facilities Authority, FLOATERS, Ser. 867, Rev., FRDO, FGIC, 1.00%, 03/04/04 20,000 2,350 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 0.96%, 03/07/04 2,350 9,000 Maryland State Health & Higher Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-143, Rev., FRDO, 0.98%, 03/03/04 9,000 22,475 Maryland State Health & Higher Educational Facilities Authority, Ser. D, Rev., FRDO, 0.95%, 03/05/04 22,475 23,470 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 0.99%, 03/03/04 23,470 6,400 Montgomery County Housing Opportunites Commission, Multi-Family Housing, Falklands, Ser. B, Rev., FRDO, 0.90%, 03/03/04 6,400 10,700 Montgomery County Housing Opportunites Commission, Multiple Purpose, Ser. C, Rev., FRDO, 0.92%, 03/03/04 10,700 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 0.90%, 03/02/04 16,800 5,100 Montgomery County Housing Opportunities Commission, The Grand-Issue I, Rev., FRDO, 0.97%, 03/01/04 5,100 1,210 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 0.85%, 03/03/04 1,210 17,600 Washington Suburban Sanitation District, Multi-Modal, Ser. A, GO, BAN, FRDO, 0.96%, 03/01/04 17,600 --------------- 194,270 MASSACHUSETTS -- 3.7% 8,000 Arlington, Massachusetts, GO, BAN, 1.50%, 04/08/04 8,003 6,030 Canton Housing Authority, Multi-Family Housing, Canton Arboretum Apartments, Rev., FRDO, 0.95%, 03/03/04 6,030 8,510 Clipper Tax-Exempt Trust, COP, Ser. 2001-4, FRDO, 1.15%, 07/01/04 8,510
See notes to financial statements. 53
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 20,000 Gateway Regional School District, GO, BAN, 1.625%, 05/05/04 $ 20,017 11,400 Gill-Montague Regional School District, GO, BAN, 2.00%, 09/24/04 11,456 7,520 Lowell, Massachusetts, State Qualified, GO, MBIA, 3.00%, 10/15/04 7,611 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 0.98%, 03/01/04 5,750 7,000 Massachusetts Development Finance Agency, Clark University, Rev., FRDO, MBIA, 0.95%, 03/05/04 7,000 13,500 Massachusetts Development Finance Agency, Clark University, Ser. A, Rev., FRDO, AMBAC, 0.95%, 03/01/04 13,500 4,760 Massachusetts Development Financing Agency, The Bridge Issue, Rev., FRDO, 0.94%, 03/01/04 4,760 30,715 Massachusetts Health & Educational Facilities Authority, Fairview Extended, Ser. B, Rev., FRDO, 0.94%, 03/04/04 30,715 31,415 Massachusetts Health & Educational Facilities Authority, Partners in Healthcare, Ser. D-6, Rev., FRDO, 0.97%, 03/01/04 31,415 2,200 Massachusetts Health & Educational Facilities Authority, University of Massachusetts, Ser. A, Rev., FRDO, 0.89%, 03/01/04 2,200 5,000 Massachusetts Housing Finance Agency, Ser. G, Rev., FRDO, 0.93%, 03/06/04 5,000 10,000 Massachusetts Housing Finance Agency, Single Family Notes, Ser. M, Rev., 1.15%, 05/01/04 10,000 11,995 Massachusetts Municipal Wholesale Electric Co., Power Supply Systems, FLOATS, Ser. PT-1951, 0.95%, 03/04/04 11,995 100 Massachusetts State Industrial Finance Agency, Milton Academy Issue, Rev., FRDO, MBIA, 0.94%, 03/05/04 100 2,506 Massachusetts State Turnpike Authority, FLOATS, Ser. 334, Rev., FRDO, MBIA, 0.94%, 03/01/04 2,506 41,800 Massachusetts State Water, 0.95%, 03/01/04 41,800 25,975 Massachusetts State Water Pollution Abatement Trust, Municipal Securities Trust Receipts, Ser. SGA-87, Rev., FRDO, 0.97%, 03/01/04 25,975 7,200 Massachusetts State Water Resources Authority, Multi-Modal, Ser. B, Rev., FRDO, FGIC, 0.91%, 03/04/04 7,200 4,320 Massachusetts State Water Resources Authority, Ser. A, Rev., FRDO, FGIC, 0.91%, 03/03/04 4,320 2,500 Massachusetts State Water Resources Authority, Sub Ser. B, Rev., FRDO, FGIC, 0.92%, 03/02/04 2,500 6,600 Massachusetts State Water Resources Authority, Sub Ser. C, Rev., FRDO, FGIC, 0.92%, 03/03/04 6,600
See notes to financial statements. 54
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 1,000 Massachusetts State Water Resources Authority, Sub Ser. D, Rev., FRDO, 0.98%, 03/01/04 $ 1,000 9,995 Massachusetts State, FLOATS, Ser. PA-800, 0.95%, 03/04/04 9,995 7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO, FRDO, MBIA, 0.95%, 03/04/04 7,830 10,650 Massachusetts State, FLOATS, Ser. PT-1696, GO, FRDO, MBIA-IBC, 0.95%, 03/04/04 10,650 10,225 Massachusetts State, FLOATS, Ser. PT-1702, GO, FRDO, FGIC, 0.95%, 03/04/04 10,225 115 Massachusetts State, FLOATS, Ser. PT-2008, GO, FRDO, AMBAC, 0.95%, 04/01/04 115 50,000 Massachusetts State, Ser. A, GO, BAN, 1.50%, 04/20/04 50,036 59,800 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 0.91%, 03/06/04 59,800 24,494 Westford, Massachusetts, GO, BAN, 1.50%, 05/11/04 24,513 --------------- 449,127 MICHIGAN -- 4.6% 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16, GO, FRDO, FGIC, 1.00%, 03/02/04 30,795 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-29, GO, FRDO, FGIC, 1.08%, 08/13/04 5,000 8,615 Detroit City School District, Ser. 2003-28, GO, FRDO, 0.99%, 05/01/04 8,615 10,000 Detroit City School District, Ser. B-1, GO, FRDO, FGIC, 1.02%, 05/01/04 10,000 21,000 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 1.05%, 10/23/04 21,000 600 Detroit, Michigan, Sewer Disposal, Senior Lien, Ser. B, Rev., FRDO, FSA, 0.98%, 03/01/04 600 7,450 East Lansing School District, Municipal Securities Trust Receipts, Ser. SGA-114, GO, FRDO, 0.98%, 03/03/04 7,450 9,255 Holt Public Schools, GO, FRDO, 0.94%, 03/05/04 9,255 8,865 Howell Public Schools, FLOATS, Ser. PT-1502, GO, FRDO, 0.99%, 03/05/04 8,865 5,500 Kent Hospital Financing Authority, Spectrum Health, Ser. B, Rev., FRDO, MBIA, 0.95%, 03/05/04 5,500 5,000 Lakeview School District, Calhoun, School Building & Site, Ser. B, GO, FRDO, 0.94%, 03/04/04 5,000 12,000 Michigan Higher Education Student Loan Authority, Ser. XII-D, Rev., FRDO, AMBAC, 0.96%, 03/03/04 12,000 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 0.96%, 03/03/04 9,000
See notes to financial statements. 55
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 8,505 Michigan Municipal Bond Authority, FLOATS, Ser. PT-1477, Rev., FRDO, 1.23%, 03/02/04 $ 8,505 6,205 Michigan Municipal Bond Authority, FLOATS, Ser. PT-397, Rev., FRDO, 0.99%, 03/07/04 6,205 20,000 Michigan Municipal Bond Authority, Ser. B-1, Rev., 2.00%, 08/20/04 20,091 15,000 Michigan State, 0.98%, 06/10/04 15,000 25,500 Michigan State, 1.07%, 05/04/04 25,500 10,525 Michigan State Building Authority, Ser. RR-II-R-1049, Rev., FRDO, 1.00%, 03/02/04 10,525 8,970 Michigan State Hospital Finance Authority, FLOATS, Ser. PA-919, Rev., 0.99%, 03/04/04 8,970 7,495 Michigan State Hospital Finance Authority, FLOATS, Ser. PT-668, Rev., FRDO, MBIA, 0.99%, 03/05/04 7,495 29,900 Michigan State Housing Authority, 1.00%, 03/01/04 29,900 6,350 Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Ser. A, Rev., FRDO, 0.97%, 03/05/04 6,350 7,130 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 1.00%, 03/04/04 7,130 6,000 Michigan State Housing Development Authority, Ser. 1999-B2, Rev., FRDO, MBIA, 1.01%, 03/05/04 6,000 825 Michigan State Housing Development Authority, Ser. 2000-A, Rev., FRDO, MBIA, 0.96%, 03/05/04 825 11,300 Michigan State Housing Development Authority, Shoal Creek Project, Limited Obligation, Rev., FRDO, 0.95%, 03/05/04 11,300 4,860 Michigan State University, Ser. A, Rev., FRDO, 0.91%, 03/01/04 4,860 6,900 Michigan State University, Ser. A, Rev., FRDO, 0.93%, 03/05/04 6,900 1,680 Michigan State University, Ser. A, Rev., FRDO, 0.98%, 03/01/04 1,680 23,180 Michigan State University, Ser. A-2, Rev., FRDO, 0.92%, 03/01/04 23,180 4,450 Michigan State, FLOATS, Ser. PT-2021, GO, FRDO, 0.99%, 05/01/04 4,450 53,000 Michigan State, Ser. A, GO, 2.00%, 09/30/04 53,313 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 0.94%, 03/03/04 10,500 16,900 Michigan State, Ser. B, Rev., GAN, FRDO, FSA, 0.94%, 03/03/04 16,900 15,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 0.90%, 03/03/04 15,000 20,000 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 0.90%, 03/03/04 20,000
See notes to financial statements. 56
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 1.05%, 03/01/04 $ 1,175 20,760 Milan Area Schools, GO, FRDO, 0.94%, 03/02/04 20,760 10,000 Oakland University, Rev., FRDO, FGIC, 0.96%, 03/04/04 10,000 37,160 Saline Area Schools, GO, FRDO, 0.94%, 03/05/04 37,160 1,100 University of Michigan, Hospital, Ser. A, Rev., FRDO, 0.98%, 03/01/04 1,100 700 University of Michigan, Medical Service Plan, Ser. A-1, Rev., FRDO, 0.98%, 03/01/04 700 300 University of Michigan, Medical Services Plan, Ser. A, Rev., FRDO, 0.94%, 03/05/04 300 18,355 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Junior Lien, Rev., FRDO, FSA, 0.97%, 03/04/04 18,355 13,700 Wayne Charter County, Wayne Charter Airport, Floating Rate Receipts, Ser. SG-122, Rev., FRDO, 0.99%, 03/02/04 13,700 --------------- 556,909 MINNESOTA -- 0.4% 8,410 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SG-136, Rev., FRDO, FGIC, 1.01%, 03/01/04 8,410 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 0.98%, 03/01/04 9,000 4,400 Minnesota Housing Finance Agency, Residential Housing, Ser. B, Rev., FRDO, 1.00%, 03/04/04 4,400 15,110 Minnesota Housing Finance Agency, Residential Housing, Ser. H, Rev., FRDO, 1.00%, 07/22/04 15,110 4,995 Minnesota Public Facilities Authority, PCR, Water, Ser. II-R-31, Rev., FRDO, 1.00%, 03/05/04 4,995 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 1.00%, 03/01/04 4,300 --------------- 46,215 MISSISSIPPI -- 0.2% 2,800 Jackson County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 0.98%, 03/01/04 2,800 1,220 Mississippi Business Finance Corp., IDR, Choctaw Maid Farms, Inc. Project, Rev., FRDO, 1.05%, 03/01/04 1,220 8,405 Mississippi Development Bank Special Obligation, FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 0.99%, 03/06/04 8,405 2,510 Mississippi Home Corp., Single Family Housing, FLOATS, Ser. PT-620, Rev., FRDO, 1.04%, 03/07/04 2,510 4,365 Mississippi State, Ser. RR-II-R-1043, GO, FRDO, FGIC, 1.00%, 03/04/04 4,365 --------------- 19,300
See notes to financial statements. 57
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MISSOURI -- 1.1% $ 11,285 Bi-State Development Agency, Metropolitan District, FLOATS, Ser. PT-1593, Rev., FRDO, FSA, 0.99%, 03/02/04 $ 11,285 30,400 Bi-State Development Agency, Metropolitan District, Metrolink Cross County Project, Ser. A, Rev., FRDO, FSA, 0.95%, 03/01/04 30,400 6,745 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, FRDO, 0.99%, 03/06/04 6,745 3,025 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., FRDO, 1.10%, 03/06/04 3,025 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.00%, 03/03/04 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, MBIA, 1.00%, 03/01/04 1,600 2,930 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 1.04%, 03/06/04 2,930 4,000 Missouri Housing Development Commission, Mortgage, FLOATS, Ser. PT-495, Rev., FRDO, 1.04%, 03/04/04 4,000 9,900 Missouri Housing Development Commission, Single Family Mortgage, FLOATS, Ser. L-5J, Regulation D, Rev., FRDO, 1.06%, 03/01/04 9,900 18,100 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 0.95%, 03/05/04 18,100 2,500 Missouri State Health & Educational Facilities Authority, EAGLE, Ser. 2002-6026, Class A, Rev., FRDO, 1.00%, 03/05/04 2,500 20,000 Missouri State Health & Educational Facilities Authority, School District Advanced Funding Program, St. Louis County Schools, Ser. O, Rev., 1.18%, 10/29/04 20,000 4,560 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 1.04%, 03/01/04 4,560 11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396, FRDO, MBIA, 0.99%, 03/03/04 11,125 --------------- 129,170 MONTANA -- 0.1% 2,095 Montana Board of Housing, FLOATS, Ser. PT-356, 1.06%, 03/05/04 2,095 15,000 Montana State, GO, TRAN, 2.00%, 06/30/04 15,046 --------------- 17,141 MULTIPLE STATES -- 2.4% 5,010 ABN AMRO Munitops Certificate Trust, Ser. 2002-37, Rev., FRDO, 1.29%, 03/20/04 5,010
See notes to financial statements. 58
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MULTIPLE STATES -- CONTINUED $ 44,505 ABN AMRO Munitops Certificate Trust, Ser. 2002-1, Rev., FRDO, 1.15%, 03/07/04 $ 44,505 14,000 Charter Mac Floater Certificate Trust I, FLOATER, Ser. NAT-4, Rev., FRDO, MBIA, 1.14%, 03/04/04 14,000 18,000 Charter Mac Floater Certificate Trust I, Ser. NAT-1, Rev., FRDO, MBIA, 1.14%, 03/02/04 18,000 24,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.14%, 03/04/04 24,000 15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3, Rev., FRDO, MBIA, 1.14%, 03/04/04 15,000 5,005 Clipper Tax-Exempt Trust, COP, Ser. 1999-2, FRDO, 1.24%, 03/04/04 5,005 24,800 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO, 1.24%, 03/05/04 24,800 20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5, FRDO, 1.14%, 03/04/04 20,000 6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev., FRDO, FGIC, 1.00%, 03/07/04 6,000 26,786 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.19%, 03/04/04 26,786 25,765 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev., FRDO, MBIA, 1.09%, 03/07/04 25,765 10,000 Municipal Securities Trust Certificates, Ser. 2000-96, Class A, GO, FRDO, AMBAC, #, 0.94%, 03/01/04 10,000 45,170 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A Certificates, 1.05%, 03/05/04 45,170 10,400 SunAmerica Trust, Ser. 2, Class A Certificates, Rev., FRDO, 1.15%, 03/03/04 10,400 --------------- 294,441 NEBRASKA -- 0.3% 15,700 Lancaster County Hospital Authority No. 1, Bryan Memorial Hospital Project, Rev., FRDO, MBIA, 0.91%, 03/03/04 15,700 3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO, MBIA, 1.00%, 03/01/04 3,285 4,330 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. 2002-L1, Rev., FRDO, 1.06%, 03/05/04 4,330 9,005 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. N-7, Regulation D, Rev., FRDO, 1.20%, 03/01/04 9,005 5,960 Nebraska Investment Finance Authority, Single Family Housing, Ser. E, Rev., FRDO, 1.01%, 03/06/04 5,960 --------------- 38,280
See notes to financial statements. 59
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEVADA -- 1.2% $ 6,710 Clark County School District, FLOATS, Ser. PA-1220, GO, FRDO, MBIA, 1.20%, 06/15/04 $ 6,710 15,000 Clark County School District, FRDO, 1.00%, 03/01/04 15,000 6,805 Clark County, Airport Improvement, Sub Lien, Ser. A-1, Rev., FRDO, 0.91%, 03/03/04 6,805 575 Clark County, Airport Improvement, Sub Lien, Ser. A-2, Rev., FRDO, 0.97%, 03/03/04 575 22,600 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev., FRDO, FGIC, 0.91%, 03/02/04 22,600 15,210 Clark County, Nevada, Airport Revenue, Sub-Lien, Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 15,210 14,615 Nevada Housing Division, Multi-Family Housing, Park Vista Apartments, Ser. A, Rev., FRDO, 0.94%, 03/05/04 14,615 9,500 Nevada Housing Division, Multi-Unit Housing, Flamingo Road, Ser. A, Rev., FRDO, #, 1.24%, 03/01/04 9,500 7,800 Nevada Housing Division, Multi-Unit Housing, Fort Apache, Ser. A, Rev., FRDO, 1.24%, 03/01/04 7,800 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 0.99%, 03/05/04 3,390 4,350 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 0.99%, 03/04/04 4,350 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 0.99%, 03/04/04 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 0.99%, 03/06/04 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 0.99%, 03/01/04 3,195 4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO, 0.99%, 03/03/04 4,800 9,000 Nevada State, FLOATS, Ser. SG-39, 0.99%, 03/03/04 9,000 8,960 Nevada State, Ser. RR-II-R-4054, GO, FRDO, FSA, 1.00%, 03/07/04 8,960 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 1.00%, 03/01/04 5,800 --------------- 150,515 NEW HAMPSHIRE -- 0.5% 23,220 Nassau, New Hampshire, GO, BAN, 1.50%, 04/15/04 23,232 6,000 New Hampshire Health & Education Facilities Authority, Riverbend, Rev., FRDO, 0.95%, 03/01/04 6,000
See notes to financial statements. 60
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW HAMPSHIRE -- CONTINUED $ 10,000 New Hampshire Higher Educational & Health Facilities Authority, FLOATERS, Ser. 866, Rev., FRDO, FGIC, 1.00%, 03/07/04 $ 10,000 5,475 New Hampshire Higher Educational & Health Facilities Authority, Ser. 772, Rev., FRDO, FGIC, 1.00%, 03/02/04 5,475 6,300 New Hampshire Higher Educational & Health Facilities Authority, VHA New England, Inc., Ser. C, Rev., FRDO, AMBAC, 0.96%, 03/01/04 6,300 2,560 New Hampshire Municipal Bond Bank, Educational Institutions, Pinkerton Academy Project, Ser. B, Rev., FRDO, 0.97%, 03/03/04 2,560 4,025 New Hampshire State Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-624, Rev., FRDO, 1.04%, 03/01/04 4,025 --------------- 57,592 NEW JERSEY -- 1.0% 5,830 Burlington County Bridge Commissioner, Community Pooled Loan, FLOATS, Ser. PT-1546, Rev., FRDO, 0.97%, 03/02/04 5,830 7,625 Hudson County Improvement Authority, Essential Purpose Pooled Loan, Rev., FRDO, 0.90%, 03/05/04 7,625 18,170 Jersey City, New Jersey, Promissory Notes, Ser. A, GO, 1.75%, 02/25/05 18,285 7,900 Mercer County Improvement Authority, Atlantic Foundation & Johnson, Rev., FRDO, MBIA, 0.89%, 03/01/04 7,900 12,925 Municipal Securities Trust Certificates, Ser. 2001-174, Class A, GO, FRDO, 0.97%, 03/01/04 12,925 6,000 New Jersey Economic Development Authority, Diocese of Metuchen, Rev., FRDO, 0.92%, 03/02/04 6,000 4,985 New Jersey Economic Development Authority, FLOATS, Ser. PA-828, Rev., FRDO, AMBAC, 0.94%, 03/06/04 4,985 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 0.97%, 03/06/04 4,995 1,440 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 0.90%, 03/01/04 1,440 5,300 New Jersey State Educational Facilities Authority, FLOATS, Ser. PT-1599, 0.94%, 03/06/04 5,300 10,000 New Jersey State Housing & Mortgage Finance Agency, Ser. EE, Rev., MBIA, 1.10%, 04/01/04 10,000 9,000 New Jersey State Housing & Mortgage Finance Agency, Single Family Housing, Ser. B, Rev., 1.10%, 10/01/04 9,000
See notes to financial statements. 61
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 12,000 New Jersey State, Ser. 2004-A, Rev., TRAN, 2.00%, 06/25/04 $ 12,039 5,895 New Jersey State, Ser. B, Rev., TRAN, 2.00%, 06/25/04 5,914 10,355 New Jersey Transportation Trust Fund Authority, FLOATS, Ser. PT-1926, Rev., FRDO, MBIA, 0.97%, 03/01/04 10,355 --------------- 122,593 NEW MEXICO -- 0.2% 4,000 Albuquerque, New Mexico, Airport, Sub Lien, Rev., FRDO, AMBAC, 0.91%, 03/03/04 4,000 3,200 Chaves County, IDR, Friona Industries LP, Ser. A, Rev., FRDO, 1.10%, 03/05/04 3,200 900 Farmington, New Mexico, PCR, Arizona Public Services Co., Ser. B, Rev., FRDO, 0.98%, 03/01/04 900 5,250 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1308, Rev., FRDO, 1.04%, 03/04/04 5,250 6,345 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1378, Rev., FRDO, 1.04%, 03/07/04 6,345 3,450 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-196, FRDO, 1.04%, 03/05/04 3,450 5,180 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-643, Rev., FRDO, 1.04%, 03/07/04 5,180 --------------- 28,325 NEW YORK -- 9.5% 24,795 ABN AMRO Munitops Certificate Trust, Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.08%, 09/05/04 24,795 2,300 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-522, Rev., FRDO, FSA, 0.97%, 03/02/04 2,300 9,700 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 0.91%, 03/01/04 9,700 10,000 Metropolitan Transportation Authority, 1.00%, 05/10/04 10,000 23,950 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 0.93%, 03/02/04 23,950 15,475 Metropolitan Transportation Authority, Ser. D-1, Rev., FRDO, FSA, 0.91%, 03/01/04 15,475 10,000 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 0.91%, 03/04/04 10,000 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, MBIA, 0.99%, 03/06/04 1,520 7,555 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, 0.95%, 03/05/04 7,555
See notes to financial statements. 62
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 11,300 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 0.97%, 03/05/04 $ 11,300 27,900 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 0.94%, 03/04/04 27,900 400 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 0.95%, 03/04/04 400 5,500 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 0.93%, 03/03/04 5,500 5,550 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., FRDO, FGIC, 0.96%, 03/02/04 5,550 9,415 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-995, Rev., FRDO, MBIA, 0.96%, 03/06/04 9,415 700 New York City Municipal Water Finance Authority, Water & Sewer Systems, Fiscal Year 2003, Sub Ser. C-3, Rev., FRDO, 0.98%, 03/01/04 700 4,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1045, Rev., FRDO, 0.98%, 03/07/04 4,995 5,885 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 0.99%, 03/07/04 5,885 9,895 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 0.97%, 03/07/04 9,895 6,385 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 0.95%, 03/05/04 6,385 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 0.97%, 03/03/04 2,000 35,800 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 0.95%, 03/01/04 35,800 16,575 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-11, Rev., FRDO, 0.99%, 03/03/04 16,575 8,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-1043-R, Rev., FRDO, 0.98%, 03/05/04 8,995 13,160 New York City Transitional Finance Authority, FLOATS, Ser. PT-406, Rev., FRDO, 0.98%, 03/05/04 13,160
See notes to financial statements. 63
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 17,300 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 0.95%, 03/01/04 $ 17,300 70,950 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 0.91%, 03/04/04 70,950 12,500 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 0.91%, 03/04/04 12,500 400 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO, 0.97%, 03/01/04 400 25,400 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 0.95%, 03/01/04 25,400 16,285 New York City Transitional Finance Authority, Sub Ser. 2-E, Rev., FRDO, 0.91%, 03/05/04 16,285 10,210 New York City Trust for Cultural Resources, Floating Certificates, Ser. 162, Rev., FRDO, AMBAC, 1.05%, 03/03/04 10,210 4,300 New York City, New York, Housing DevelopmentCorp., Multi-Family Housing, Monterey, Ser. A, Rev., FRDO, 0.93%, 03/01/04 4,300 9,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 0.95%, 03/02/04 9,000 5,410 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 0.97%, 03/01/04 5,410 600 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 0.96%, 03/01/04 600 1,300 New York City, New York, Ser. H, Sub Ser. -H2, GO, FRDO, MBIA, 0.96%, 03/01/04 1,300 2,100 New York City, New York, Ser. H, Sub Ser. -H2, GO, FRDO, MBIA, 0.96%, 03/01/04 2,100 900 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 0.98%, 03/01/04 900 1,400 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 0.98%, 03/01/04 1,400 3,500 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 0.98%, 03/01/04 3,500 20,000 New York City, New York, Sub Ser. A-3, GO, FRDO, 0.91%, 03/05/04 20,000 14,750 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.95%, 03/01/04 14,750 6,900 New York City, New York, Sub Ser. A-4, GO, FRDO, 0.95%, 03/01/04 6,900 300 New York City, New York, Sub Ser. A-5, GO, FRDO, 0.97%, 03/01/04 300 22,800 New York City, New York, Sub Ser. A-6, GO, FRDO, 0.89%, 03/05/04 22,800
See notes to financial statements. 64
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 15,300 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 0.95%, 03/01/04 $ 15,300 6,800 New York City, New York, Sub Ser. C-4, GO, FRDO, 0.94%, 03/01/04 6,800 12,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 0.92%, 03/03/04 12,000 3,050 New York City, New York, Sub Ser. G-2, GO, FRDO, 0.93%, 03/01/04 3,050 10,300 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 10,300 42,900 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 0.96%, 03/03/04 42,900 9,100 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 0.97%, 03/01/04 9,100 30,000 New York Local Government Assistance Corp., Senior Lien, Ser. A-BV, Rev., FRDO, FGIC, 0.88%, 03/01/04 30,000 2,100 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 0.90%, 03/02/04 2,100 5,000 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 0.96%, 03/01/04 5,000 11,100 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 0.96%, 03/01/04 11,100 9,960 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 0.96%, 03/02/04 9,960 6,975 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 0.96%, 03/02/04 6,975 8,960 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 0.96%, 03/02/04 8,960 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.10%, 03/03/04 8,140 4,985 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 0.93%, 03/02/04 4,985 15,470 New York State Dormitory Authority, FLOATS, Ser. PA-1088, Rev., FRDO, AMBAC, 0.96%, 03/06/04 15,470 7,120 New York State Dormitory Authority, FLOATS, Ser. PA-1089, Rev., FRDO, AMBAC, 0.96%, 03/06/04 7,120 5,600 New York State Dormitory Authority, FLOATS, Ser. PA-199, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 5,600 6,445 New York State Dormitory Authority, FLOATS. Ser. PA-773-R, Rev., FRDO, MBIA-IBC, 0.96%, 03/03/04 6,445 10,450 New York State Energy Research & Development Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO, AMBAC, 0.96%, 03/06/04 10,450 11,865 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, PA-1165, Rev., FRDO, 0.96%, 03/04/04 11,865
See notes to financial statements. 65
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 26,002 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 0.97%, 03/07/04 $ 26,002 4,695 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA, 0.96%, 03/01/04 4,695 11,180 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA, 0.96%, 03/01/04 11,180 6,600 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 0.93%, 03/02/04 6,600 17,200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 0.98%, 03/03/04 17,200 7,100 New York State Housing Finance Agency, Saville Housing, Ser. A, Rev., FRDO, 0.95%, 03/01/04 7,100 8,100 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 0.94%, 03/03/04 8,100 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 0.96%, 03/04/04 1,300 9,000 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., 0.99%, 03/01/04 9,000 2,800 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 1.02%, 03/01/04 2,800 6,570 New York State Thruway Authority, General Highway & Bridge Trust Fund, FLOATS, Ser. PT-1800, Rev., FRDO, MBIA, 0.96%, 03/03/04 6,570 7,295 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev., FRDO, FGIC, 0.96%, 03/02/04 7,295 10,990 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1578, Rev., FRDO, MBIA, 0.96%, 03/02/04 10,990 6,200 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, Rev., 0.96%, 03/01/04 6,200 5,245 New York State Urban Development Corp., FLOATS, Ser. PA-1108, Rev., FRDO, 0.96%, 03/06/04 5,245 7,270 New York State Urban Development Corp., FLOATS, Ser. PT-1644, Rev., FRDO, 0.96%, 03/06/04 7,270 5,700 New York State, Environmental Quality, Ser. G, GO, FRDO, 1.03%, 12/21/04 5,700 4,200 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 0.94%, 03/04/04 4,200 10,000 New York State, Ser. A, GO, FRDO, 1.05%, 02/07/05 10,000 30,000 New York Water, 0.98%, 06/10/04 30,000
See notes to financial statements. 66
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 15,430 Orange County IDA, Civic Facilities, Arden Hill Hospital Project, Rev., FRDO, FSA, 0.91%, 03/01/04 $ 15,430 13,090 Port Authority of New York & New Jersey, Rev., FRDO, 1.02%, 03/04/04 13,090 35,000 Rochester Community School District, 0.95%, 03/08/04 35,000 10,250 Rochester Community School District, 0.95%,05/12/04 10,250 15,000 Rochester Community School District, 0.95%, 05/12/04 15,000 9,000 Rochester Community School District, 0.95%, 05/12/04 9,000 12,080 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA-IBC, 0.96%, 03/03/04 12,080 595 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-2017, Rev., FRDO, MBIA, 0.96%, 03/06/04 595 40,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 0.91%, 03/02/04 40,400 10,000 Triborough Bridge & Tunnel Authority, Ser. 839, Rev., FRDO, MBIA, 0.97%, 03/06/04 10,000 15,000 Triborough Bridge & Tunnel Authority, Ser. C, Rev., FRDO, AMBAC, 0.93%, 03/02/04 15,000 4,010 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 0.91%, 03/01/04 4,010 6,705 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 0.91%, 03/07/04 6,705 5,000 Ulster County, BAN, 1.75%, 06/11/04 5,010 2,800 Westchester County IDA, IDR, Levister Redevelopment Co., LLC, Ser. A, Rev., FRDO, 0.95%, 03/02/04 2,800 --------------- 1,141,492 NORTH CAROLINA -- 2.8% 15,350 Charlotte, North Carolina, Airport, Ser. D, Rev., FRDO, MBIA, 0.91%, 03/03/04 15,350 11,400 Charlotte, North Carolina, Government Facilities, COP, Ser. F, FRDO, 1.03%, 06/01/04 11,400 1,700 Durham, North Carolina, Water & Sewer Utility Systems, Rev., FRDO, 0.99%, 03/03/04 1,700 8,900 Fayetteville Public Works Commission, Rev., FRDO, FSA, 0.94%, 03/06/04 8,900 2,500 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 0.90%, 03/03/04 2,500 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 0.90%, 03/03/04 20,190 500 Guilford County Industrial Facilities & PCFA, Industrial Development, Neal Manufacturing, Inc., Rev., FRDO, 1.05%, 03/01/04 500
See notes to financial statements. 67
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NORTH CAROLINA -- CONTINUED $ 4,900 Iredell County Public Facilities Corp., Iredell County Schools Project, Rev., FRDO, AMBAC, 0.95%, 03/01/04 $ 4,900 13,370 Mecklenburg County, Public Improvement, GO, (p), 5.40%, 04/01/04 13,686 5,000 Mecklenburg County, Ser. C, GO, FRDO, 0.95%, 03/07/04 5,000 22,445 Municipal Securities Trust Certificates, Ser. 2001-125, Class A, GO, FRDO, #, 0.97%, 03/01/04 22,445 9,705 North Carolina Capital Facilities Finance Agency, Goodwill Community Foundation Project, Rev., FRDO, 0.95%, 03/03/04 9,705 8,935 North Carolina Educational Facilities Finance Agency, Elon College, Rev., FRDO, 0.95%, 03/03/04 8,935 4,975 North Carolina Housing Finance Agency, FLOATERS, Ser. 2003-L44J, Regulation D, Rev., FRDO, 1.06%, 03/04/04 4,975 6,475 North Carolina Housing Finance Agency, FLOATS, Ser. PT-465, 1.04%, 03/01/04 6,475 14,000 North Carolina Housing Finance Agency, Home Ownership, Ser. 16-C, Rev., FRDO, 1.00%, 03/04/04 14,000 59,530 North Carolina Medical Care Commission, Baptist Hospitals Project, Rev., FRDO, 0.97%, 03/03/04 59,530 15,000 North Carolina Medical Care Commission, Health Care Facilties, Union Regional Medical Center Project, Ser. B, Rev., FRDO, 0.95%, 03/04/04 15,000 2,900 North Carolina Medical Care Commission, Hospital, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 0.95%, 03/01/04 2,900 11,160 North Carolina State University at Raleigh, Ser. B, Rev., FRDO, 0.89%, 03/02/04 11,160 48,500 North Carolina State, Public Improvement, Ser. D, GO, FRDO, 0.90%, 03/01/04 48,500 5,900 North Carolina State, Ser. D, GO, FRDO, 0.90%, 03/03/04 5,900 8,340 Raleigh Durham Airport Authority, Rev., FRDO, FGIC, 0.95%, 03/01/04 8,340 15,000 Raleigh, North Carolina, COP, Downtown Improvement Project, Ser. A, FRDO, 0.95%, 03/01/04 15,000 19,935 Union County, Enterprise Systems, Ser. B, Rev., FRDO, FSA, 0.91%, 03/01/04 19,935 5,000 Winston-Salem, North Carolina, Water & Sewer Systems, Ser. B, Rev., FRDO, 0.96%, 03/04/04 5,000 --------------- 341,926 NORTH DAKOTA -- 0.2% 3,900 Grand Forks, North Dakota, Health Care Facilities, United Hospital Obligation Group, Ser. A, Rev., FRDO, 0.99%, 03/01/04 3,900
See notes to financial statements. 68
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NORTH DAKOTA -- CONTINUED $ 9,205 North Dakota State Housing Finance Agency, Home Mortgage, Ser. B, Rev., FRDO, 0.98%, 03/04/04 $ 9,205 6,420 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 1.06%, 03/04/04 6,420 --------------- 19,525 OHIO -- 1.6% 6,390 Cincinnati City School District, Ser. RR-II-R-4049, GO, FRDO, FSA, 1.00%, 06/01/04 6,390 30,000 Cleveland, Ohio, Airport Systems, Ser. C, Rev., FRDO, FSA, 0.92%, 03/07/04 30,000 3,155 Columbus, Ohio, Ser. 1, GO, FRDO, 0.85%, 03/04/04 3,155 37,500 Cuyahoga County, 0.98%, 05/11/04 37,500 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 1.00%, 03/05/04 8,000 7,400 Franklin County, Hospital, OhioHealth Corp., Ser. D, Rev., FRDO, 0.94%, 03/01/04 7,400 3,920 Greene County, Fairview Extended, Ser. B, Rev., FRDO, 0.92%, 03/04/04 3,920 9,000 Hamilton County, Healthcare Facilties, Twin Towers & Twin Lakes, Ser. A, Rev., FRDO, 0.96%, 03/03/04 9,000 14,000 Hamilton County, Healthcare Facilties, Twin Towers & Twin Lakes, Ser. B, Rev., FRDO, 0.96%, 03/03/04 14,000 9,096 Hamilton County, Hospital Facilities, Health Alliance, Ser. A, Rev., FRDO, MBIA, 0.91%, 03/03/04 9,096 4,100 Hamilton County, Hospital Facilities, Health Alliance, Ser. E, Rev., FRDO, MBIA, 0.91%, 03/03/04 4,100 11,100 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.04%, 03/02/04 11,100 14,000 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.04%, 03/02/04 14,000 6,300 Ohio State Air Quality Development Authority, PCR, Ohio Edison Co., Ser. C, Rev., FRDO, 0.98%, 03/01/04 6,300 500 Ohio State Air Quality Development Authority, PCR, Ohio Edison Project, Ser. C, Rev., FRDO, 0.98%, 03/01/04 500 8,975 Ohio State Building Authority, Floating Rate Trust Receipts, Ser. L-41, Regulation D, Rev., FRDO, 1.06%, 03/02/04 8,975 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 1.00%, 03/03/04 4,995 2,800 Ohio State Water Development Authority, PCR, Ohio Edison Co. Project, Ser. B, Rev., FRDO, 1.03%, 03/01/04 2,800
See notes to financial statements. 69
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED OHIO -- CONTINUED $ 200 Ohio State, Higher Education Facilities, Case Western Reserve, Ser. A, Rev., FRDO, 0.98%, 03/01/04 $ 200 7,755 Ohio State, Ser. RR II-R-208, GO, FRDO, FSA, 1.00%, 03/01/04 7,755 --------------- 189,186 OKLAHOMA -- 0.3% 4,335 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-493, Rev., FRDO, 1.04%, 03/04/04 4,335 10,000 Payne County Economic Development Authority, Student Housing, OSUF Phase III Project, Rev., FRDO, AMBAC, 0.97%, 03/04/04 10,000 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 0.95%, 03/02/04 10,490 4,475 Tulsa County Home Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO, 1.04%, 03/04/04 4,475 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 0.95%, 03/04/04 6,500 --------------- 35,800 OREGON -- 0.3% 5,190 Oregon State Department of Administrative Services, State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA, 0.99%, 03/02/04 5,190 8,070 Oregon State Housing & Community Services Department, Department of Housing and Development, Covenant Retirement, Ser. A, Rev., FRDO, 1.04%, 03/02/04 8,070 12,320 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. D, Rev., 1.18%, 04/15/04 12,320 5,000 Oregon State Housing & Community Services Department, Single-Family Mortgage Program, Ser. L, Rev., FRDO, 0.99%, 07/01/04 5,000 2,055 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, 1.06%, 03/07/04 2,055 --------------- 32,635 PENNSYLVANIA -- 3.5% 6,745 Allegheny County Hospital Development Authority, FLOATS, Ser. PA-748, Rev., FRDO, MBIA, 1.00%, 03/03/04 6,745 8,705 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/05/04 8,705 15,000 Bucks County IDA, Law School Admission Council, Rev., FRDO, 0.93%, 03/01/04 15,000
See notes to financial statements. 70
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 4,645 Chester County Health & Educational Facilties Authority, Barclay Friends Project, Ser. B, Rev., FRDO, 0.95%, 03/03/04 $ 4,645 8,750 Chester County IDA, Archdiocese Philadelphia, Rev., FRDO, 1.00%, 03/01/04 8,750 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 0.96%, 03/01/04 8,300 7,385 Delaware Valley Regioinal Financial Authority, Local Government, FLOATS, Ser. PT-1878, Rev., FRDO, AMBAC, 0.96%, 03/02/04 7,385 12,495 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1028, Rev., FRDO, 0.99%, 03/04/04 12,495 26,995 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1041, Rev., FRDO, 0.99%, 03/03/04 26,995 13,815 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PT-749, Rev., FRDO, 0.99%, 03/02/04 13,815 5,000 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.95%, 03/03/04 5,000 2,700 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.95%, 03/03/04 2,700 6,400 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 0.95%, 03/04/04 6,400 700 Delaware Valley Regional Financial Authority, Local Government, Ser. B, Rev., FRDO, 0.95%, 03/06/04 700 14,400 Delaware Valley Regional Financial Authority, Local Government, Ser. D, Rev., FRDO, 0.95%, 03/06/04 14,400 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 1.00%, 03/03/04 5,900 11,600 Emmaus General Authority, Pennsylvania Loan Project, Ser. A, Rev., FRDO, FSA, 0.96%, 03/04/04 11,600 35,000 Emmaus General Authority, Rev., FRDO, FSA, (p), 0.96%, 03/06/04 35,000 5,000 Harrisburg Authority, Water, Ser. A, Rev., FRDO, FGIC, 1.00%, 03/04/04 5,000 3,020 Mercer County IDA, Economic Development, Solar Atmospheres Western Pennsylvania, Rev., FRDO, 0.94%, 03/01/04 3,020 10,000 Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Ser. A, Rev., FRDO, 0.90%, 03/01/04 10,000 13,330 North Penn Water Authority, Municipal Securities Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC, 0.98%, 03/06/04 13,330 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 0.96%, 03/03/04 7,600
See notes to financial statements. 71
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 4,410 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 0.96%, 03/04/04 $ 4,410 5,600 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.00%, 03/06/04 5,600 10,000 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. C, Rev., FRDO, AMBAC, 1.00%, 03/06/04 10,000 9,630 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 0.96%, 03/07/04 9,630 35,100 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.00%, 03/03/04 35,100 12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev., FRDO, 0.95%, 03/04/04 12,300 8,100 Pennsylvania Turnpike Commission, Ser. B, Rev., FRDO, 0.95%, 03/02/04 8,100 340 Philadelphia, Pennsylvania, Gas Works, FLOATS, Ser. PA-1144, Rev., FRDO, FSA, 0.96%, 03/05/04 340 20,000 Philadelphia, Pennsylvania, GO, TRAN, 2.00%, 06/30/04 20,065 2,995 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Receipts, Ser. SG-158, Rev., FRDO, FGIC, 0.96%, 03/04/04 2,995 6,170 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Trust Receipts, Ser. L-16, Regulation D, Rev., FRDO, FGIC, 1.01%, 03/07/04 6,170 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, 0.96%, 03/07/04 10,905 19,800 Sayre Health Care Facilities Authority, VHR Pennsylvania Capital Financing Project, Ser. K, Rev., FRDO, AMBAC, 0.95%, 03/07/04 19,800 10,000 Sayre Health Care Facilities Authority, VHR Pennsylvania Capital Financing Project, Ser. M, Rev., FRDO, AMBAC, 0.96%, 03/02/04 10,000 10,000 Southcentral General Authority, Rev., FRDO, AMBAC, 1.00%, 03/01/04 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, 0.93%, 03/02/04 7,500 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 0.93%, 03/02/04 7,500 --------------- 425,400
See notes to financial statements. 72
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PUERTO RICO -- 0.8% $ 20,000 Puerto Rico Commonwealth, 0.99%, 06/21/04 $ 20,000 11,808 Puerto Rico Commonwealth, 1.03%, 03/23/04 11,808 14,000 Puerto Rico Commonwealth, 1.05%, 04/12/04 14,000 7,995 Puerto Rico Commonwealth, FLOATER, Ser. 838, GO, FRDO, MBIA, 1.05%, 03/04/04 7,995 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 0.93%, 03/04/04 3,315 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 0.93%, 03/06/04 800 5,000 Puerto Rico Commonwealth, Rev., TRAN, 2.00%, 07/30/04 5,020 1,700 Puerto Rico Commonwealth, Ser. 2001-2, GO, FRDO, FSA, 0.94%, 03/02/04 1,700 650 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 0.94%, 03/04/04 650 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 0.89%, 03/03/04 4,900 4,229 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.97%, 03/02/04 4,229 105 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 816, Rev., FRDO, MBIA, 0.97%, 03/02/04 105 600 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 0.93%, 03/04/04 600 14,000 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PT-776, Rev., FRDO, FGIC, 1.13%, 03/02/04 14,000 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 0.94%, 03/04/04 1,330 9,501 Puerto Rico, Government Development Bond, 1.05%, 03/04/04 9,501 --------------- 99,953 RHODE ISLAND -- 1.4% 25,000 East Providence, Rhode Island, GO, TAN, 2.00%, 07/15/04 25,074 5,885 Rhode Island Clean Water Finance Agency, PCR, FLOATS, Ser. PT-1535, Rev., FRDO, 0.99%, 03/02/04 5,885 8,000 Rhode Island Health & Educational Building Corp., Higher Education Facilities, Brown University, Ser. B, Rev., FRDO, 0.90%, 03/01/04 8,000 34,200 Rhode Island Health & Educational Building Corp., Hospital Financing Care New England, Ser. A, Rev., FRDO, 1.00%, 03/01/04 34,200 4,700 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 1.00%, 03/01/04 4,700
See notes to financial statements. 73
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED RHODE ISLAND -- CONTINUED $ 15,000 Rhode Island Health & Educational Building Corp., St. George's School, Rev., FRDO, 0.95%, 03/01/04 $ 15,000 15,290 Rhode Island Housing & Mortgage Finance Corp., Home Ownership Opportunity Notes, Ser. 38-B, Rev., 5.00%, 09/01/04 15,592 6,200 Rhode Island Industrial Facilities Corp., Marine Terminal, Exxon-Mobil Project, Rev., FRDO, 0.88%, 03/01/04 6,200 20,220 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 0.95%, 03/02/04 20,220 30,000 Rhode Island State & Providence Plantations, GO, TAN, 2.00%, 06/30/04 30,093 8,450 Rhode Island State, COP, FLOATS, Ser. PT-1589, FRDO, MBIA, 0.99%, 03/02/04 8,450 --------------- 173,414 SOUTH CAROLINA -- 1.0% 11,000 Charleston, South Carolina, Waterworks & Sewer, Refinancing & Capital Improvement, Ser. A, Rev., FRDO, 0.97%, 03/01/04 11,000 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev., FRDO, 1.10%, 03/05/04 3,000 7,480 Darlington County, PCR, Floating Rate Receipts, Ser. L-36, Rev., FRDO, AMBAC, 1.01%, 03/04/04 7,480 2,150 Florence County, Solid Waste Disposal & Wastewater Treatment, Roche Carolina, Inc., Rev., FRDO, 1.03%, 03/01/04 2,150 7,475 North Charleston, South Carolina, Tax Increment, Noisette Community Redevelopment Project, Rev., FRDO, 1.00%, 03/03/04 7,475 1,700 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.10%, 03/05/04 1,700 28,900 South Carolina Jobs & Economic Development Authority, FLOATS, Ser. PT- 499, Rev., FRDO, 1.14%, 03/04/04 28,900 3,155 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 1.00%, 03/04/04 3,155 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 1.05%, 03/01/04 4,600 3,450 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, Rev., FRDO, 1.06%, 03/06/04 3,450 6,175 South Carolina Jobs-Economic Development Authority, Thompson Steel Co., Inc. Project, Rev., FRDO, 1.00%, 03/01/04 6,175
See notes to financial statements. 74
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED SOUTH CAROLINA -- CONTINUED $ 5,295 South Carolina State Public Service Authority, FLOATS, Ser. PT-1525, Rev., FRDO, FSA, 0.99%, 03/03/04 $ 5,295 6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO, 0.96%, 03/06/04 6,000 3,030 South Carolina State, FLOATS, Ser. PT-423, 0.99%, 03/02/04 3,030 17,135 South Carolina Transportation Infrastructure Bank, FLOATERS, Ser. 892, Rev., FRDO, AMBAC, 0.99%, 04/01/04 17,135 8,085 University of South Carolina, Athletic Facilities, Ser. B, Rev., BAN, 2.00%, 03/19/04 8,088 --------------- 118,633 SOUTH DAKOTA -- 0.2% 4,710 South Dakota Economic Development Finance Authority, Hastings Filters, Inc. Project, Rev., FRDO, 1.05%, 03/01/04 4,710 5,000 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. F, Rev., FRDO, 0.97%, 03/06/04 5,000 10,000 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. I, Rev., FRDO, 0.97%, 05/01/04 10,000 --------------- 19,710 TENNESSEE -- 2.8% 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-25, GO, FRDO, MBIA, 1.02%, 04/01/04 5,000 2,300 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-D, Rev., FRDO, AMBAC, 0.99%, 03/01/04 2,300 4,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-E, Rev., FRDO, AMBAC, 0.99%, 03/01/04 4,000 3,195 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-F, Rev., FRDO, AMBAC, 0.99%, 03/01/04 3,195 8,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-E, Rev., FRDO, AMBAC, 0.99%, 03/01/04 8,000 3,740 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-F, Rev., FRDO, AMBAC, 0.99%, 03/01/04 3,740 3,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-H, Rev., FRDO, AMBAC, 0.99%, 03/01/04 3,000 4,200 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2C, Rev., FRDO, AMBAC, 0.99%, 03/01/04 4,200
See notes to financial statements. 75
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TENNESSEE -- CONTINUED $ 18,600 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-3-A, Rev., FRDO, AMBAC, 0.99%, 03/01/04 $ 18,600 31,665 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-4-A, Rev., FRDO, 0.98%, 03/01/04 31,665 30,450 Bristol Health & Educational Facilities Board, Floating Trust, Ser. 2003-L42J, Regulation D, Rev., FRDO, FGIC, 1.01%, 03/01/04 30,450 4,775 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 0.95%, 03/01/04 4,775 33,350 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 0.95%, 03/04/04 33,350 12,700 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 1.00%, 03/01/04 12,700 3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp. Project, Rev., FRDO, 1.05%, 03/03/04 3,000 19,450 Knox County Health Educational & Housing Facilities Board, Volunteer Student Housing Project, Rev., FRDO, 0.96%, 03/02/04 19,450 100 Knoxville Utilities Board, Wastewater Systems, Rev., FRDO, FSA, 0.97%, 03/01/04 100 4,590 Knoxville, Tennessee, Utilities Board, Gas Systems, Rev., FRDO, 0.97%, 03/01/04 4,590 20,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 1.20%, 05/01/04 20,000 13,800 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 0.94%, 03/03/04 13,800 2,500 Metropolitan Government Nashville & Davidson County IDB, Country Music Hall of Fame, Rev., FRDO, 0.95%, 03/02/04 2,500 3,345 Metropolitan Government Nashville & Davidson County IDB, L&S LLC Project, Rev., FRDO, 1.05%, 03/02/04 3,345 2,475 Metropolitan Government Nashville & Davidson County, Energy, FLOATS, Ser. PT-1526, Rev., FRDO, AMBAC, 0.99%, 03/02/04 2,475 6,995 Metropolitan Government Nashville & Davidson County, FLOATS, Ser. PT-394, GO, FRDO, 1.00%, 03/02/04 6,995
See notes to financial statements. 76
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TENNESSEE -- CONTINUED $ 7,000 Metropolitan Government Nashville & Davidson County, Health & Educational Facility Board, Ascension Health Credit, Ser. B-1, Rev., FRDO, 1.00%, 06/30/04 $ 7,000 4,900 Montgomery County Public Building Authority, Pooled Financing, Montgomery County Loan Pool, Rev., FRDO, 0.95%, 03/05/04 4,900 1,255 Montgomery County Public Building Authority, Pooled Financing, Tennesse County Loan Pool, Rev., FRDO, 1.00%, 03/01/04 1,255 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 0.95%, 03/02/04 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 0.95%, 03/02/04 2,500 6,000 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-C-2, Rev., FRDO, AMBAC, 0.95%, 03/03/04 6,000 1,005 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 0.95%, 03/07/04 1,005 3,200 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 0.95%, 03/02/04 3,200 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 0.95%, 03/02/04 6,800 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 0.95%, 03/01/04 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 0.95%, 03/03/04 2,500 30,000 Shelby County, 0.97%, 03/15/04 30,000 7,000 Shelby County, 0.97%, 03/18/04 7,000 20,000 Shelby County, 0.97%, 03/25/04 20,000 5,155 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 0.95%, 03/01/04 5,155 500 South Pittsburg IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 1.05%, 03/03/04 500 --------------- 342,145 TEXAS -- 12.7% 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6, FRDO, #, 1.02%, 03/02/04 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9, FRDO, #, 1.02%, 03/03/04 10,000
See notes to financial statements. 77
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10, FRDO, MBIA, 1.02%, 03/03/04 $ 13,280 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11, FRDO, 1.08%, 03/03/04 14,990 16,685 ABN AMRO Munitops Certificate Trust, Ser. 2000-13, Class C, FRDO, 1.02%, 03/03/04 16,685 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26, GO, FRDO, 1.02%, 03/03/04 8,000 5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16, GO, FRDO, 1.02%, 03/06/04 5,500 35,800 Aldine Independent School District, School Buildings, GO, FRDO, 1.00%, 04/17/04 35,800 2,900 Angelina & Neches River Authority, IDB, Solid Waste, Ser. 1984-D, Rev., FRDO, 0.99%, 03/01/04 2,900 135 Austin Higher Education Authority, Concordia University at Austin, Rev., FRDO, 1.00%, 03/01/04 135 5,000 Austin, Texas, Electric Utilities System, Ser. 2003-0032, Class A, Rev., FRDO, MBIA, 1.00%, 03/06/04 5,000 9,230 Austin, Texas, Ser. A-26, Rev., FRDO, MBIA, 1.30%, 05/15/04 9,230 995 Bexar County Health Facilities Development Corp., FLOATS, Ser. PT-444, Rev., FRDO, 0.99%, 03/03/04 995 9,100 Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects, Rev., FRDO, 0.95%, 03/01/04 9,100 11,375 Bexar County Housing Finance Authority, Multi-Family Housing, Fountainhead Apartments, Rev., FRDO, 0.95%, 03/05/04 11,375 6,610 Brazos River Authority, FLOATS, Ser. PT-679, Rev., FRDO, MBIA, 0.99%, 03/02/04 6,610 4,600 Brazos River Authority, PCR, Ser. D-1, Rev., FRDO, 1.06%, 03/01/04 4,600 4,200 Brazos River Habor Navigation District, Brazoria County Environmental, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 1.03%, 03/01/04 4,200 20,200 Brownsville, Texas, Utilities Systems, Sub Lien, Ser. B, Rev., FRDO, MBIA, 0.95%, 03/01/04 20,200 8,719 Collin County Housing Finance Corp., Multi-Family Housing, Preston Bend Apartments Project, Rev., FRDO, 0.95%, 03/04/04 8,719 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 1.04%, 03/05/04 5,000 4,995 Dallas-Fort Worth International Airport Facilities Improvement Corp., FLOATS, Ser. PT-805, Rev., FRDO, FSA, 1.05%, 03/06/04 4,995 200 Dallas-Fort Worth Regional Airport, Municipal Securities Trust Receipts, Ser. SGA-49, FRDO, MBIA, 1.02%, 03/01/04 200
See notes to financial statements. 78
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 1.00%, 03/03/04 $ 5,000 10,475 Eagle Tax Exempt Trust, Weekly Option Mode, Round Rock, Texas, COP, Ser. 2001-4304, Class A, 1.00%, 03/05/04 10,475 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.01%, 03/02/04 2,420 3,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 99-4302, FRDO, #, 1.01%, 03/01/04 3,910 10,000 Garland, Texas, 1.00%, 10/12/04 10,000 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 1.00%, 03/02/04 5,000 25,000 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 1.00%, 03/04/04 25,000 26,500 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 1.00%, 03/06/04 26,500 4,000 Gulf Coast IDA, Tax Exempt Facilties, BP Global Power Corp. Project, Rev., FRDO, 1.03%, 03/01/04 4,000 4,500 Gulf Coast Waste Disposal Authority, Amoco Oil Co. Project, Rev., FRDO, 1.03%, 03/01/04 4,500 3,100 Gulf Coast Waste Disposal Authority, Environmental Facilities, BP Amoco Chemicals Project, Ser. B, Rev., FRDO, 1.03%, 03/01/04 3,100 7,050 Gulf Coast Waste Disposal Authority, Environmental Facilities, Exxon-Mobil Project, Ser. A, Rev., FRDO, 0.93%, 03/01/04 7,050 4,600 Gulf Coast Waste Disposal Authority, Environmental Facilities, ExxonMobil Project, Ser. B, Rev., FRDO, 0.93%, 03/01/04 4,600 5,200 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 0.90%, 03/01/04 5,200 5,700 Gulf Coast Waste Disposal Authority, PCR, Exxon Project, Rev., FRDO, 0.90%, 03/01/04 5,700 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 0.98%, 03/05/04 5,000 29,850 Harris County, 0.98%, 05/12/04 29,850 9,525 Harris County Health Facilities Development Authority, FLOATS, Ser. PT-1665, Rev., FRDO, (p), 0.99%, 03/02/04 9,525 7,205 Harris County, Ser. RR-II-R-1029, Rev., FRDO, FSA, 1.00%, 03/05/04 7,205 6,400 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., FRDO, 0.95%, 03/06/04 6,400 29,245 Houston Higher Education Finance Corp., Floating Rate Receipts, Ser. SG-139, Rev., FRDO, 0.99%, 03/03/04 29,245
See notes to financial statements. 79
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 1,515 Houston Housing Finance Corp., Single Family Mortgage, FLOATS, Ser. PT-1, Rev., FRDO, FSA, 0.99%, 03/04/04 $ 1,515 13,300 Houston Housing Finance Corp., Single Family Mortgage, Ser. B, Rev., 1.18%, 06/01/04 13,300 26,000 Houston Water, 0.98%, 05/17/04 26,000 30,000 Houston Water & Sewer, 1.00%, 06/08/04 30,000 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.01%, 03/07/04 17,500 18,325 Houston, Texas, Floating Rate Certificates, COP, Ser. 523, FRDO, MBIA, 0.99%, 03/04/04 18,325 4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO, FSA, 0.99%, 03/01/04 4,335 3,000 Houston, Texas, Rev., FRDO, 1.01%, 03/06/04 3,000 9,765 Houston, Texas, Ser. 29, GO, FRDO, MBIA, 0.99%, 03/01/04 9,765 11,270 Hurst-Euless-Bedford Independent School District, Floating Rate Receipts, Ser. SG-98, GO, FRDO, 0.99%, 03/05/04 11,270 6,500 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 1.00%, 03/01/04 6,500 14,285 Keller Independent School District, Municipal Trust Certificates, Ser. 30, Class A, FRDO, 1.09%, 03/03/04 14,285 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, 0.99%, 03/01/04 19,425 9,865 Lower Colorado River Authority, Transmission Contract, Ser. 51, Rev., FRDO, FSA, 0.99%, 05/15/04 9,865 5,800 Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities, ExxonMobil Project, Ser. A, Rev., FRDO, 0.88%, 03/01/04 5,800 3,400 Lower Neches Valley Authority Industrial Development Corp., Onyx Environmental Services, Rev., FRDO, 1.05%, 03/01/04 3,400 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 0.98%, 03/04/04 5,455 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 0.98%, 03/05/04 5,290 2,100 Montgomery County IDA, IDR, IDB, Medical Manufacturers Partners Project, Rev., FRDO, 1.15%, 03/07/04 2,100 17,050 New Caney Independent School District, Floating Rate Certificates, Ser. SG-142, GO, FRDO, 0.99%, 03/04/04 17,050 7,885 North Central Texas Health Facility Development Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC, 0.99%, 03/04/04 7,885
See notes to financial statements. 80
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 20,000 North East Independent School District, Floating Rate Certificates, Ser. SG-143, GO, FRDO, 0.99%, 03/04/04 $ 20,000 5,815 North Texas Higher Education Authority, Student Loan, Rev., FRDO, 1.00%, 03/01/04 5,815 7,600 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.00%, 03/04/04 7,600 1,400 North Texas Higher Education Authority, Student Loan, Ser. F, Rev., FRDO, AMBAC, 1.00%, 03/01/04 1,400 20,000 North Texas Tollway Authority, Floating Rate Receipts, Ser. SG-168, Rev., FRDO, AMBAC, 0.99%, 03/04/04 20,000 4,000 Pasadena Independent School District, Ser. A, GO, FRDO, 1.35%, 02/15/05 4,000 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 0.98%, 03/05/04 11,735 8,485 Richardson, Texas, Refinancing & Improvement, GO, FRDO, 1.00%, 06/16/04 8,485 8,170 San Angelo Independent School District, GO, FRDO, 0.95%, 03/04/04 8,170 10,725 San Antonio, Texas, Electric & Gas, FLOATS, Ser. PT-1498, Rev., FRDO, 1.00%, 03/06/04 10,725 11,190 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, (p), 0.99%, 03/02/04 11,190 9,540 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-105, (p), 0.99%, 03/07/04 9,540 11,000 San Antonio, Texas, Electric & Gas, Junior Lien, Rev., FRDO, 0.99%, 03/01/04 11,000 10,315 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, #, 0.98%, 03/06/04 10,315 3,935 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., Adj., FSA, 0.99%, 03/05/04 3,935 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 0.98%, 03/01/04 10,430 5,000 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 0.98%, 03/01/04 5,000 9,000 Schertz-Seguin Local Government Corp., Texas Contract, Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 1.04%, 03/01/04 9,000 3,680 Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., FRDO, 0.95%, 03/01/04 3,680 1,425 Tarrant Regional Water District, FLOATS, Ser. PT-1691, Rev., FRDO, FSA, 1.01%, 03/06/04 1,425
See notes to financial statements. 81
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 9,250 Texas Department of Housing & Community Affairs, Multi-Family Housing, Reading, Rev., FRDO, 0.99%, 03/01/04 $ 9,250 18,200 Texas State, 1.00%, 06/09/04 18,200 2,500 Texas State Affordable Housing Corp., Multi-Family Housing, Ser. 780, Rev., FRDO, MBIA, 0.99%, 03/06/04 2,500 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 0.99%, 03/01/04 1,100 7,685 Texas State Housing, 1.00%, 05/03/04 7,685 3,000 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, 0.99%, 03/03/04 3,000 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 1.04%, 03/01/04 9,970 556,100 Texas State, Rev., TRAN, 2.00%, 08/31/04 558,438 4,010 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 1.04%, 03/02/04 4,010 5,545 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 0.91%, 03/03/04 5,545 5,610 Trinity River Authority, Ser. RR-II-R-2006, Rev., FRDO, MBIA, 1.00%, 03/05/04 5,610 25,000 University of Texas, 0.98%, 10/06/04 25,000 9,055 University of Texas, FLOATS, Ser. PA-1194, Rev., FRDO, 0.96%, 03/07/04 9,055 5,295 University of Texas, Ser. 2003-19, Rev., FRDO, 0.96%, 03/07/04 5,295 6,000 West Harris County Regional Water Authority, Municipal Securities Trust Receipts, Ser. SGA-148, Rev., FRDO, #, MBIA, 0.98%, 03/03/04 6,000 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 1.03%, 03/01/04 3,600 --------------- 1,518,457 UTAH -- 2.2% 600 Carbon County, PCR, PacifiCorp Project, Rev., FRDO, AMBAC, 0.98%, 03/01/04 600 26,100 Intermountain Power Agency, 0.94%, 03/01/04 26,100 51,200 Intermountain Power Agency, 0.95%, 03/01/04 51,200 7,665 Intermountain Power Agency, Power Supply, Municipal Trust Receipts, Ser. SG-6, 0.99%, 03/06/04 7,665 14,000 Intermountain Power Agency, 1.00%, 06/08/04 14,000 23,900 Intermountain Power Agency, 1.00%, 06/09/04 23,900 8,000 Murray, Utah, Murray City Hospital, IHC Health Services, Inc., Ser. D, Rev., FRDO, 0.97%, 03/01/04 8,000 5,310 Salt Lake City Municipal Building Authority, FLOATS, Ser. PT-1744, Rev., FRDO, AMBAC, 0.99%, 03/02/04 5,310
See notes to financial statements. 82
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED UTAH -- CONTINUED $ 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 0.95%, 03/03/04 $ 4,000 7,645 Salt Lake County, FLOATS, Ser. PT-420, GO, FRDO, 0.99%, 03/05/04 7,645 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 1.06%, 03/04/04 28,560 10,000 Utah County, Utah Hospital, IHC Health Services, Inc., Ser. C, Rev., FRDO, 0.94%, 03/01/04 10,000 6,500 Utah Housing Corp., Single Family Mortgage, Ser. E-2, Class I, Rev., FRDO, 1.10%, 03/16/04 6,500 4,200 Utah Housing Corp., Single Family Mortgage, Ser. F, Class I, Rev., FRDO, 1.18%, 10/23/04 4,200 7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1, Class I, Rev., FRDO, 1.01%, 03/03/04 7,000 4,900 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.01%, 03/02/04 4,900 6,510 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 1.01%, 03/01/04 6,510 4,105 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 1.01%, 03/01/04 4,105 4,935 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.01%, 03/01/04 4,935 11,200 Utah State Board of Regents, Student Loan Weekly Amount, Ser. Q, Rev., FRDO, AMBAC, 1.00%, 03/03/04 11,200 25,000 Weber County, IHC Health Services, Ser. A, Rev., FRDO, 0.97%, 03/01/04 25,000 --------------- 261,330 VERMONT -- 0.2% 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 0.95%, 03/03/04 5,900 8,300 Vermont Educational & Health Buildings Financing Agency, Hospitals, VHA New England Project, Ser. G, Rev., FRDO, AMBAC, 0.96%, 03/01/04 8,300 10,300 Vermont State, IDA, 1.03%, 04/06/04 10,300 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.05%, 03/27/04 5,000 --------------- 29,500 VIRGINIA -- 0.7% 2,280 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Multi-Mode, First Mortgage,Goodwin House, Ser. B, Rev., FRDO, 0.93%, 03/01/04 2,280 7,000 Chesapeake Hospital Authority, Hospital Facilities, Chesapeake General Hospital, Ser. A, Rev. FRDO, 1.00%, 03/03/04 7,000
See notes to financial statements. 83
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED VIRGINIA -- CONTINUED $ 2,000 Harrisonburg Redevelopment & Housing Authority, Multi-Family Housing, Misty Ridge Project, Ser. A, Rev., FRDO, 0.98%, 03/01/04 $ 2,000 8,000 James City & County IDA, Multi-Family Housing, Chambrel Project, Rev., FRDO, 0.95%, 03/07/04 8,000 11,530 Roanoke IDA, Carilion Health Systems, Ser. C, Rev., FRDO, 0.93%, 03/01/04 11,530 7,000 Roanoke IDA, Carilion Health Systems, Ser. D, Rev., FRDO, 0.99%, 03/01/04 7,000 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 1.30%, 03/03/04 23,590 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 0.96%, 03/02/04 8,885 5,000 Virginia Public School Authority, Ser. RR-II-R-4050, Rev., FRDO, 1.00%, 08/01/04 5,000 5,415 Virginia Resources Authority, Infrastructure, Ser. RR-II-R-249, Rev., FRDO, 1.01%, 05/01/04 5,415 --------------- 80,700 WASHINGTON -- 2.7% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16, FRDO, MBIA, 1.02%, 03/02/04 17,676 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1, GO, FRDO, MBIA, 1.02%, 03/07/04 5,000 8,980 Broadway Office Properties, FLOATS, Ser. PT-1586, Rev., FRDO, MBIA, 1.20%, 03/07/04 8,980 1,500 Clark County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 1.00%, 03/01/04 1,500 6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734, Rev., FRDO, MBIA, 0.99%, 03/02/04 6,995 5,335 King County, Ser. RR-II-R-1028, GO, FRDO, FSA, 1.00%, 03/07/04 5,335 8,760 King County, Sewer, Ser. 2003-30, Rev., FRDO, FSA, 0.99%, 03/04/04 8,760 4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO, FGIC, 1.04%, 03/02/04 4,430 5,345 Port of Seattle, Ser. 47, GO, FRDO, 1.04%, 11/01/04 5,345 1,130 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., FRDO, 1.00%, 03/03/04 1,130 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 0.99%, 03/03/04 19,885 11,945 Seattle, Washington, Municipal Light & Power, FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 0.99%, 03/07/04 11,945 11,525 Seattle, Washington, Municipal Light & Power, Ser. 2003-36, Rev., FRDO, FSA, 0.99%, 05/01/04 11,525
See notes to financial statements. 84
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 4,000 Seattle, Washington, Municipal Securities Trust Receipts, Ser. SGA-142, GO, FRDO, 0.98%, 03/01/04 $ 4,000 9,200 Seattle, Washington, Water Systems, Rev., FRDO, 0.85%, 03/01/04 9,200 16,600 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 0.94%, 03/05/04 16,600 8,500 Snohomish County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 1.00%, 03/01/04 8,500 11,335 Tacoma, Washington, Electric Systems, FLOATS, Ser. PT-1404, Rev., FRDO, AMBAC, 0.99%, 03/01/04 11,335 23,960 Washington Public Power Supply System, Nuclear Project No. 1, Ser. 1A-2, Rev., FRDO, 0.92%, 03/06/04 23,960 18,220 Washington Public Power Supply System, Nuclear Project No. 2, Ser. 31, Rev., FRDO, 0.99%, 03/04/04 18,220 15,920 Washington State Higher Education Facilities Authority, Seattle Pacific University Project, Ser. A, Rev., FRDO, 0.95%, 03/01/04 15,920 2,545 Washington State Housing Finance Commission, Multi-Family Housing, Granite Falls Assisted Project, Ser. A, Rev., FRDO, 0.99%, 03/03/04 2,545 1,030 Washington State Housing Finance Commission, Non-Profit Housing, Golden Sands Project, Rev., FRDO, 0.98%, 03/01/04 1,030 4,560 Washington State Housing Finance Commission, Nonprofit Housing, Rockwood Retirement Communities, Rev., FRDO, 1.00%, 03/01/04 4,560 2,515 Washington State Housing Finance Commission, Nonprofit Housing, YMCA Snohomish County Project, Rev., FRDO, 0.98%, 03/01/04 2,515 2,880 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 0.95%, 03/05/04 2,880 6,480 Washington State Public Power Supply System Project No. 2, Electric, Ser. 2A-2, Rev., FRDO, MBIA, 0.91%, 03/04/04 6,480 14,790 Washington State Public Power Supply System, Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA, 0.91%, 03/03/04 14,790 15,230 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 0.97%, 03/03/04 15,230 2,490 Washington State, FLOATS, Ser. PA-1111, GO, FRDO, 1.02%, 03/06/04 2,490 13,710 Washington State, Rev., FRDO, 1.00%, 03/03/04 13,710 8,110 Washington State, Ser. 2003-27, GO, FRDO, 0.99%, 03/04/04 8,110 12,920 Washington State, Ser. 43, GO, FRDO, MBIA, 0.99%, 07/01/04 12,920
See notes to financial statements. 85
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 16,400 Washington State, Ser. VR-96A, GO, FRDO, 0.87%, 03/03/04 $ 16,400 --------------- 319,901 WEST VIRGINIA -- 0.6% 3,940 West Virginia Economic Development Authority, IDR, Gemark Services West VA/M & M, Rev., FRDO, 1.05%, 03/03/04 3,940 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, 1.00%, 03/04/04 5,765 5,700 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC, 0.95%, 03/02/04 5,700 5,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC, 0.95%, 03/02/04 5,000 7,100 West Virginia State Hospital Finance Authority, Mid-Atlantic/Capital, Ser. H, Rev., FRDO, AMBAC, 0.96%, 03/04/04 7,100 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC, 0.95%, 03/06/04 4,000 40,800 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 0.91%, 03/03/04 40,800 --------------- 72,305 WISCONSIN -- 2.2% 7,025 Dane County, Ser. RR-II-R-2003, GO, FRDO, 1.00%, 03/07/04 7,025 5,845 Dane County, Ser. RR-II-R-4504, GO, FRDO, 1.00%, 06/01/04 5,845 1,260 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 1.06%, 03/01/04 1,260 345 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 1.06%, 03/07/04 345 4,000 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. A, Rev., FRDO, 1.00%, 03/01/04 4,000 12,865 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. C, Rev., FRDO, 1.00%, 03/01/04 12,865 7,090 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. C, Rev., FRDO, 1.00%, 03/01/04 7,090 4,720 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. E, Rev., FRDO, 0.99%, 03/07/04 4,720
See notes to financial statements. 86
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WISCONSIN -- CONTINUED $ 3,945 Wisconsin Housing & Economic Development Authority, Ser. D, Rev., FRDO, MBIA, 1.03%, 03/01/04 $ 3,945 3,520 Wisconsin Housing & Economic Development Authority, Ser. E, Rev., FRDO, MBIA, 1.03%, 03/01/04 3,520 5,425 Wisconsin Housing & Economic Development Authority, Ser. F, Rev., FRDO, MBIA, 0.99%, 03/01/04 5,425 4,320 Wisconsin Housing & Economic Development Authority, Ser. G, Rev., FRDO, MBIA, 1.03%, 03/01/04 4,320 5,360 Wisconsin Housing & Economic Development Authority, Ser. I, Rev., FRDO, MBIA, 1.03%, 03/02/04 5,360 12,160 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., FRDO, 1.05%, 03/03/04 12,160 11,290 Wisconsin State, 0.94%, 03/01/04 11,290 7,000 Wisconsin State Health & Educational Facilities Authority, Felican Health Care, Inc., Rev., FRDO, 0.96%, 03/03/04 7,000 21,400 Wisconsin State Health & Educational Facilities Authority, Felician Services, Ser. A, Rev., FRDO, AMBAC, 0.96%, 03/04/04 21,400 8,580 Wisconsin State Health & Educational Facilities Authority, FLOATS, Ser. PT-858, Rev., FRDO, MBIA, 1.30%, 03/07/04 8,580 5,200 Wisconsin State Health & Educational Facilities Authority, Lakeland College, Rev., FRDO, 1.00%, 03/01/04 5,200 10,700 Wisconsin State Health & Educational Facilities Authority, University of Wisconsin Medical Foundation, Rev., FRDO, 0.96%, 03/03/04 10,700 25,000 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Rev., FRDO, 0.95%, 03/06/04 25,000 15,300 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Ser. B, Rev., FRDO, 0.95%, 03/03/04 15,300 80,000 Wisconsin State, Operating Notes, Ser. A, Rev., 2.25%, 06/15/04 80,279 --------------- 262,629 WYOMING -- 1.2% 30,000 Campbell County, IDR, Two Elk Power Generation Station Project, Rev., FRDO, 1.40%, 12/03/04 30,000 400 Kemmerer, Wyoming, PCR, Exxon Project, Rev., FRDO, 0.90%, 03/01/04 400 2,300 Sublette County, PCR, Exxon Project, Rev., FRDO, 0.95%, 03/01/04 2,300 3,550 Sublette County, PCR, Exxon Project, Ser. A, Rev., FRDO, 0.93%, 03/01/04 3,550
See notes to financial statements. 87
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WYOMING -- CONTINUED $ 12,860 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., 1.15%, 03/01/04 $ 12,860 7,900 Wyoming Community Development Authority, Housing, Ser. 7, Rev., FRDO, 1.00%, 03/05/04 7,900 5,000 Wyoming Community Development Authority, Housing, Ser. 8, Rev., FRDO, 1.00%, 03/04/04 5,000 5,215 Wyoming Community Development Authority, Housing, Ser. II-R-141, Rev., FRDO, 1.06%, 03/04/04 5,215 5,000 Wyoming Community Development Authority, Ser. 4, Rev., FRDO, 1.00%, 03/02/04 5,000 7,245 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 0.96%, 03/03/04 7,245 36,900 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 0.96%, 03/04/04 36,900 25,000 Wyoming State, Education Fund, Rev., TRAN, 1.50%, 06/29/04 25,042 8,000 Wyoming State, Education Fund, Rev., TRAN, 1.75%, 06/29/04 8,020 --------------- 149,432 ---------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 12,063,068 (Cost $12,063,068) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 88 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND Portfolio of Investments As of February 29, 2004 (unaudited) (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% State and Municipal Obligations -- 100.0% CALIFORNIA -- 87.1% $ 1,500 ABAG Finance Authority for Nonprofit Corporations, Point Loma Nazarene University, Rev., FRDO, 1.00%, 03/01/04 $ 1,500 1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1, GO, FRDO, AMBAC, 0.97%, 03/05/04 1,500 3,000 ABN AMRO Munitops Certificate Trust, Ser. 2003-11, GO, FRDO, FSA, 1.20%, 06/01/04 3,000 1,100 Alameda County IDA, Scientific Technology Project, Ser. A, Rev., FRDO, 1.05%, 03/02/04 1,100 2,000 Alvord Unified School District, Food Services Bridge Funding Program, COP, FRDO, FSA, 0.92%, 03/01/04 2,000 1,200 Alvord Unified School District, Food Services Bridge Funding Program, COP, FRDO, FSA, 0.92%, 03/01/04 1,200 1,000 Anaheim, California, 1993 Projects, COP, FRDO, AMBAC, 0.89%, 03/03/04 1,000 4,035 Auburn Union School District, COP, FRDO, FSA, 0.94%, 03/01/04 4,035 1,050 California Communities Housing Finance Agency, Subordinated, Ser. B, Rev., FRDO, 1.00%, 03/03/04 1,050 100 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.00%, 03/03/04 100 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 0.95%, 03/04/04 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 0.96%, 03/03/04 150 400 California Educational Facilities Authority, Stanford University, Ser. L-4, Rev., 0.90%, 03/05/04 400 500 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 0.95%, 03/04/04 500 100 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, MBIA, 1.01%,03/01/04 100 1,000 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 0.97%, 03/01/04 1,000 3,000 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, FSA, 1.01%, 03/01/04 3,000 1,000 California Housing Finance Agency, Ser. D, Rev., FRDO, FSA, 0.98%, 03/05/04 1,000 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 1.00%, 03/01/04 1,000
See notes to financial statements. 89
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 1.00%, 03/03/04 $ 1,610 1,885 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 1.00%, 03/01/04 1,885 1,500 California PCFA, PCR, ExxonMobil Project, Rev., FRDO, 0.83%, 03/01/04 1,500 1,000 California PCFA, PCR, Sierra Pacific Industries Project, Rev., FRDO, 0.94%, 03/03/04 1,000 2,000 California Salvation Army, 1.02%, 11/17/04 2,000 535 California School Facilities Financing Corp., Capital Improvement Financing Project, COP, Ser. B, FRDO, 0.92%, 03/03/04 535 1,000 California State Department of Water Resources, Power Supply, EAGLE, Ser. 2002-6017, Class A, Rev., FRDO, AMBAC, 0.97%, 03/04/04 1,000 2,400 California State Department of Water Resources, Power Supply, Ser. B-3, Rev., FRDO, 0.97%, 03/01/04 2,400 600 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 0.97%, 03/01/04 600 2,000 California State Department of Water Resources, Power Supply, Ser. B-6, Rev., FRDO, 0.98%, 03/01/04 2,000 1,100 California State Department of Water Resources, Power Supply, Ser. C-12, Rev., FRDO, 0.95%, 03/04/04 1,100 700 California State Department of Water Resources, Power Supply, Ser. C-13, Rev., FRDO, FSA, 0.93%, 03/04/04 700 660 California State Municipal Securities Trust Certificates, Ser. 1998-47, Class A, Rev., FRDO, AMBAC, #, 0.94%, 03/03/04 660 300 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 0.94%, 03/01/04 300 300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 0.94%, 03/02/04 300 14,000 California State, Ser. A, RAN, 2.00%, 06/16/04 14,033 2,000 California Statewide Communities Development Authority, Cathedral High School Project, Rev., FRDO, 0.95%, 03/01/04 2,000 2,000 California Statewide Communities Development Authority, COP, FLOATERS, Ser. 909, FRDO, MBIA, 0.99%, 08/15/04 2,000 700 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.05%, 03/03/04 700 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.25%, 06/04/04 3,000
See notes to financial statements. 90
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.05%, 03/01/04 $ 1,000 1,400 California Statewide Communities Development Authority, Multi-Family Housing, Arbor Ridge Apartments, Ser. X, Rev., FRDO, 0.95%, 03/04/04 1,400 1,000 California Statewide Communities Development Authority, Multi-Family Housing, Canyon Springs Apartments, Ser. KK, Rev., FRDO, 0.92%, 03/03/04 1,000 2,000 California Statewide Communities Development Authority, Ser. A-1, Rev., TRAN, 2.00%, 06/30/04 2,007 2,200 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.10%, 03/04/04 2,200 2,000 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.10%, 03/01/04 2,000 800 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 0.90%, 03/02/04 800 25 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 0.89%, 03/31/04 25 1,600 Elsinore Valley Municipal Water District, COP, Ser. A, FRDO, FGIC, 0.92%, 03/04/04 1,600 1,000 Fremont Unified High School District, Santa Clara County, GO, TRAN, 1.50%, 06/30/04 1,002 1,500 Garden Grove, California, Multi-Family Housing, Malabar Apartments, Ser. A, Rev., FRDO, 0.92%, 03/04/04 1,500 5,368 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 0.99%, 03/07/04 5,368 2,000 Hayward, California, Multi-Family Housing, Shorewoood, Ser. A, Rev., FRDO, 0.95%, 03/02/04 2,000 2,000 Huntington Beach Union High School District, School Facilities Bridge Funding Program, COP, FRDO, FSA, 1.05%, 11/01/04 2,000 100 Irvine Ranch Water District, Consolidated Bonds, Rev., FRDO, 0.98%, 03/01/04 100 1,150 Irvine Unified School District, Community Facilities District No. 01-1, Special Tax, FRDO, 0.98%, 03/01/04 1,150 984 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 00-18, Ser. A, Special Assessment, FRDO, 0.98%, 03/01/04 984 69 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 93-14, Special Assessment, FRDO, 0.97%, 03/01/04 69 1,100 Kern County, Kern Public Facilities Project, Ser. A, COP, FRDO, 0.92%, 03/03/04 1,100 3,000 La Quinta Redevelopment Agency, Tax Allocation, Multi-Family Housing, MiraFlores Apartments, Ser. A, Rev., FRDO, 0.93%, 03/01/04 3,000 200 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 0.89%, 03/03/04 200
See notes to financial statements. 91
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 3,900 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 0.97%, 03/01/04 $ 3,900 4,000 Los Angeles County Housing Authority, Multi-Family Housing, Malibu Meadows II, Ser. C, Rev., FRDO, 0.90%, 03/05/04 4,000 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Second Ser., Ser. A, Rev., FRDO, MBIA, 0.92%, 03/03/04 100 415 Los Angeles County Metropolitan Transportation Authority, Sales Tax, Floating Rate Receipts, Ser. SG-54, 0.96%, 03/03/04 415 2,000 Los Angeles County, Ser. A, GO, TRAN, 2.00%, 06/30/04 2,006 500 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-2, Rev., FRDO, 0.98%, 03/01/04 500 100 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 0.89%, 03/04/04 100 570 Los Angeles Housing Authority, Multi-Family Housing, Ser. A, Rev., FRDO, 0.90%, 03/02/04 570 3,000 Los Angeles Unified School District, FLOATS, Ser. PA-1115, GO, FRDO, FSA, 0.96%, 03/04/04 3,000 1,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 0.87%, 03/03/04 1,000 700 Metropolitan Water District of Southern California, Waterworks, Ser. B-3, Rev., FRDO, 0.97%, 03/01/04 700 1,000 Monrovia Unified School District, Municipal Securities Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA, 0.94%, 03/07/04 1,000 1,900 Newport Beach, California, Hoagan Memorial Hospital, Ser. C, Rev., FRDO, 1.00%, 03/01/04 1,900 500 Oakland, California, Rev., TRAN, 2.00%, 07/29/04 502 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 0.90%, 03/03/04 3,000 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 0.95%, 03/04/04 300 300 Orange County Sanitation District, COP, Ser. A, FRDO, 0.98%, 03/01/04 300 900 Orange County Sanitation District, COP, Ser. B, FRDO, 0.98%, 03/01/04 900 949 Orange County, Apartment Development Corp., Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 0.90%, 03/06/04 949 1,000 Orange County, Apartment Development Corp., Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 0.90%, 03/02/04 1,000
See notes to financial statements. 92
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 800 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 0.92%, 03/06/04 $ 800 800 Orange County, Improvement Bond Act of 1915, Assessment District No. 1, Ser. A, Special Assessment, FRDO, 0.98%, 03/01/04 800 1,920 Pasadena, California, Rose Bowl Improvements Project, COP, FRDO, 0.94%, 03/01/04 1,920 1,500 Petaluma City School District, GO, TRAN, 2.00%, 06/30/04 1,505 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 1.00%, 03/03/04 1,000 700 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 0.90%, 03/03/04 700 1,200 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 0.92%, 03/02/04 1,200 4,000 Sacramento County Housing Authority, Multi-Family Housing, Ashford, Ser. D, Rev., FRDO, 0.90%, 03/03/04 4,000 700 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 0.90%, 03/04/04 700 370 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.05%, 03/01/04 370 1,000 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SGA-50, Rev., FRDO, MBIA, 0.97%, 03/06/04 1,000 300 San Jacinto Unified School District, School Facilities Bridge Funding Program, COP, FRDO, FSA, 0.92%, 03/07/04 300 995 San Jose, California, Airport, Ser. II-R-2004, Rev., FRDO, FSA, 0.97%, 03/06/04 995 700 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, Rev., FRDO, 0.95%, 03/01/04 700 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 0.95%, 03/05/04 500 497 Santa Ana Unified School District, COP, FRDO, 0.91%, 03/06/04 497 2,000 Santa Cruz County, GO, TRAN, 2.00%, 07/01/04 2,006 2,000 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.00%, 08/01/04 2,000 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 0.94%, 03/03/04 600
See notes to financial statements. 93
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 0.91%, 03/03/04 $ 425 1,000 Visalia Unified School District, GO, TRAN, 2.00%, 09/04/04 1,005 --------------- 143,628 Puerto Rico -- 12.9% 2,000 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, (p), 0.91%, 03/03/04 2,000 2,860 Puerto Rico Commonwealth, 0.95%, 05/10/04 2,860 1,000 Puerto Rico Commonwealth, 0.99%, 06/02/04 1,000 2,100 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 0.96%, 03/04/04 2,100 1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 0.93%, 03/06/04 1,235 510 Puerto Rico Commonwealth, GO, (p), 6.45%, 07/01/04 527 170 Puerto Rico Commonwealth, GO, (p), 6.50%, 07/01/04 176 1,500 Puerto Rico Commonwealth, Rev., TRAN, 2.00%, 07/30/04 1,506 1,300 Puerto Rico Commonwealth, Ser. 2001-2, GO, FRDO, FSA, 0.94%, 03/02/04 1,300 2,000 Puerto Rico Electric Power Authority, Rev., FRDO, 0.97%, 03/05/04 2,000 580 Puerto Rico Electric Power Authority, Ser. T, Rev., (p), 6.375%, 07/01/04 602 793 Puerto Rico Government Development Bank for Municipal Commercial Paper, 1.08%, 03/09/04 793 2,000 Puerto Rico Government Development Bank for Municipal Commercial Paper, 0.96%, 05/10/04 2,000 448 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.97%, 03/02/04 448 800 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 816, Rev., FRDO, MBIA, 0.97%, 03/02/04 800 1,800 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 0.97%, 03/07/04 1,800 170 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 0.94%, 03/04/04 170 --------------- 21,317 ---------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 164,945 (Cost $164,945) * ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 94
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% State and Municipal Obligations -- 100.0% NEW YORK -- 96.1% $ 12,000 ABN AMRO Munitops Certificates Trust, Ser. 1999-13, FRDO, FGIC, 0.96%, 03/03/04 $ 12,000 385 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 0.98%, 03/07/04 385 2,300 Allegany County, IDA, Environmental Facilities, Atlantic Richfield Project, Rev., FRDO, 1.00%, 03/01/04 2,300 9,950 Auburn, New York, Ser. B, GO, BAN, 1.38%, 06/11/04 9,960 1,000 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 0.94%, 03/03/04 1,000 10,000 Beekmantown Central School District, GO, BAN,1.30%, 06/25/04 10,010 10,000 Beekmantown Central School District, GO, BAN, 1.35%, 06/25/04 10,006 12,000 Board of Cooperative Educational Services First Supervisory District, Suffolk County, RAN, 1.38%, 06/28/04 12,014 7,000 Board of Cooperative Educational Services of Second Supervisory District, Westchester, GO, RAN, 2.00%, 09/30/04 7,033 11,300 Board of Cooperative Educational Services of Second Supervisory District, Westchester, RAN,1.50%, 06/30/04 11,316 7,950 Board of Cooperative Educational Services Sole Supervisory District Oswego County, Rev., RAN, 2.00%, 12/30/04 8,002 4,990 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, GO, RAN, 1.50%, 06/25/04 4,998 900 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, GO, RAN, 2.00%, 06/29/04 902 9,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, GO, RAN, 2.00%, 06/29/04 9,024 3,700 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Rev., RAN, 1.25%, 06/30/04 3,702 10,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Rev., RAN, 1.38%, 06/29/04 10,012 2,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Rev., RAN, 1.75%, 06/29/04 2,004 2,500 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, Ser. B, RAN, 1.50%, 06/30/04 2,503
See notes to financial statements. 95
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 10,000 Buffalo, New York, Ser. A, GO, RAN, 2.75%, 07/29/04 $ 10,068 3,708 Chautauqua County, GO, BAN, 1.75%, 08/06/04 3,719 15,000 Chautauqua County, GO, TAN, 2.00%, 01/20/05 15,105 2,762 Clinton County, GO, BAN, 1.75%, 07/22/04 2,769 4,000 Copiague Union Free School District, GO, TAN, 1.50%, 06/29/04 4,006 10,000 Cornwall Central School District, GO, BAN, 1.75%, 10/15/04 10,044 3,390 Cortland County, GO, BAN, 3.00%, 03/05/04 3,391 1,080 Delhi Central School District, GO, BAN, 1.38%, 06/25/04 1,081 2,000 Delhi Central School District, GO, RAN, 1.50%, 06/25/04 2,002 2,625 Dutchess County IDA, Civic Facilities, Marist College, Ser. A, Rev., FRDO, 0.94%, 03/01/04 2,625 1,700 Dutchess County IDA, Civic Facilities, Marist College, Ser. A, Rev., FRDO, 0.94%, 03/03/04 1,700 4,260 Dutchess County IDA, Civic Facilities, St. Francis Hospital, Ser. B, Rev., FRDO, 1.50%, 03/07/04 4,260 4,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA, 0.97%, 03/04/04 4,000 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 0.97%, 03/03/04 5,990 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 0.97%, 03/04/04 3,300 12,085 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 0.97%, 03/03/04 12,085 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 0.97%, 03/05/04 8,805 9,910 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3208, Class A, FRDO, #, 0.97%, 03/04/04 9,910 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 0.97%, 03/03/04 12,155 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 0.97%, 03/02/04 14,850 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate, Class A, Rev., FRDO, AMBAC, #, 0.97%, 03/04/04 8,135 10,000 East Islip Union Free School District, GO, TAN, 1.50%, 06/29/04 10,015 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 0.88%, 03/02/04 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 0.88%, 03/02/04 1,400 4,000 Fayetteville-Manlius Central School District, GO, TAN, 1.75%, 06/18/04 4,009 5,355 Fonda-Fultonville Central School District, GO, BAN, 1.90%, 04/09/04 5,359
See notes to financial statements. 96
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,820 Franklin County IDA, Civic Facilities, Trudeau Institute, Inc. Project, Rev., FRDO, 0.92%, 03/05/04 $ 2,820 5,000 Fulton City School District, GO, RAN, 1.25%, 06/25/04 5,004 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 0.99%, 03/02/04 530 8,850 Gorham-Middlesex Central School District, GO, BAN, 1.25%, 04/23/04 8,853 13,340 Gorham-Middlesex Central School District, GO, BAN, 1.50%, 04/23/04 13,340 3,540 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 0.94%, 03/01/04 3,540 16,000 Greece Central School District, GO, BAN, 1.75%, 06/18/04 16,031 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 0.92%, 03/01/04 1,000 15,000 Haverstraw-Stony Point Central School District, GO, BAN, 2.00%, 01/21/05 15,099 4,980 Hempstead Town, New York, Ser. D, GO, BAN, 1.50%, 04/16/04 4,982 13,000 Huntington Union Free School District, GO, TAN, 1.75%, 06/29/04 13,029 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 0.96%, 03/03/04 2,000 1,900 Jefferson County IDA, IDR, Fisher Gauge LTD Facilities, Rev., FRDO, 0.96%, 03/04/04 1,900 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, 0.97%, 03/03/04 8,780 7,710 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 0.96%, 03/07/04 7,710 4,375 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-368, Rev., FRDO, 1.02%, 03/02/04 4,375 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 0.97%, 03/04/04 4,360 7,495 Long Island Power Authority, Electric Systems, FLOATS, Ser. PT-386, Rev., 0.96%, 03/05/04 7,495 462 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 0.88%, 03/01/04 462 2,000 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 0.93%, 03/01/04 2,000 5,000 Long Island Power Authority, Electric Systems, Ser. B, Rev., 3.00%, 06/01/04 5,025 300 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 0.91%, 03/01/04 300
See notes to financial statements. 97
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,700 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 0.95%, 03/01/04 $ 2,700 14,500 Metropolitan Transportation Authority, 0.96%, 06/01/04 14,500 10,800 Metropolitan Transportation Authority, 1.00%, 06/08/04 10,800 15,100 Metropolitan Transportation Authority, 1.00%, 10/12/04 15,100 15,000 Metropolitan Transportation Authority, 1.00%, 10/14/04 15,000 3,300 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6021, Class A, Rev., FRDO, MBIA, 0.97%, 03/04/04 3,300 5,000 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6028, Class A, Rev., FRDO, MBIA, 0.97%, 03/04/04 5,000 5,985 Metropolitan Transportation Authority, FLOATS, Ser. PT-1547, Rev., FRDO, FGIC, 0.98%, 03/05/04 5,985 10,000 Metropolitan Transportation Authority, Ser. 848-D, Rev., FRDO, FGIC, 0.99%, 03/06/04 10,000 5,700 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 0.91%, 03/04/04 5,700 4,200 Metropolitan Transportation Authority, Ser. G-1, Rev., FRDO, AMBAC, 0.90%, 03/01/04 4,200 1,700 Metropolitan Transportation Authority, Ser. G-2, Rev., FRDO, AMBAC, 0.90%, 03/01/04 1,700 5,860 Metropolitan Transportation Authority, Service Contract, FLOATERS, Ser. 864, Rev., FRDO, FSA, 0.97%, 03/04/04 5,860 9,995 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1042R, Rev., FRDO, MBIA, 0.98%, 03/03/04 9,995 5,405 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1105, Rev., FRDO, 0.98%, 03/03/04 5,405 10,000 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, 0.95%, 03/05/04 10,000 4,515 Municipal Securities Trust Certificates, Ser. 2001-180, Class A, Rev. FRDO, 1.02%, 03/02/04 4,515 1,820 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 0.97%, 03/05/04 1,820 15,950 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 0.95%, 03/02/04 15,950 6,190 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., FRDO, FSA, 0.91%, 03/04/04 6,190
See notes to financial statements. 98
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 7,000 Nassau County, Ser. A, GO, TAN, 2.00%, 04/15/04 $ 7,008 5,000 Nassau County, Ser. B, GO, TAN, 2.00%, 10/15/04 5,027 4,695 New Rochelle, New York, GO, BAN, 2.00%, 04/09/04 4,699 15,000 New York City Housing Development Corp., Multi-Family Housing, 2 Gold Street, Ser. A, Rev., FRDO, 0.93%, 03/03/04 15,000 5,400 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 0.91%, 03/02/04 5,400 6,270 New York City Housing Development Corp., Multi-Family Housing, Columbus Apartments, Ser. A, Rev., FRDO, 0.93%, 03/01/04 6,270 3,400 New York City Housing Development Corp., Multi-Family Rental Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 0.94%, 03/05/04 3,400 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, Columbus Green, Ser. A, Rev., FRDO, 0.93%, 03/05/04 3,300 200 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 0.94%, 03/04/04 200 10,900 New York City Housing Development Corp., Multi-Family Rental Housing, Ser. A, Rev., FRDO, 0.94%, 03/07/04 10,900 300 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 0.98%, 03/05/04 300 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 0.94%, 03/02/04 3,300 2,400 New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development, Ser. A, Rev., FRDO, 0.98%, 03/04/04 2,400 3,000 New York City IDA, Ahava Food Corp. Project, Rev., FRDO, 1.00%, 03/04/04 3,000 2,000 New York City IDA, Civic Facilities, Abraham Joshua Heschel Project, Rev., FRDO, 0.96%, 03/04/04 2,000 5,100 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.00%, 03/04/04 5,100 1,600 New York City IDA, Civic Facilities, Hewitt School Project, Rev., FRDO, 1.00%, 03/04/04 1,600
See notes to financial statements. 99
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 4,660 New York City IDA, Civic Facilities, Jamaica First Packaging LLC Project, Rev., FRDO, 0.94%, 03/02/04 $ 4,660 580 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 0.95%, 03/04/04 580 2,800 New York City IDA, IDR, DXB Videotape, Inc. Project, Rev., FRDO, 1.05%, 03/03/04 2,800 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 0.93%, 03/03/04 5,400 8,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-1, Rev., FRDO, 0.91%, 03/04/04 8,000 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 0.99%, 03/04/04 15,960 2,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 0.99%, 03/07/04 2,900 5,100 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 0.97%, 03/07/04 5,100 8,410 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-447, Rev., FRDO, FGIC, 0.96%, 03/02/04 8,410 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 0.99%, 03/06/04 6,495 3,300 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-12, Rev., FRDO, 0.95%, 03/05/04 3,300 7,255 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGA-13, Rev., FRDO, 0.95%, 03/05/04 7,255 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 0.97%, 03/02/04 2,390 2,200 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 0.95%, 03/01/04 2,200 500 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 0.97%, 03/01/04 500
See notes to financial statements. 100
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,100 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 0.97%, 03/01/04 $ 1,100 4,900 New York City Transit Authority, Metropolitan Transportation Authority, Floating Rate Trust Receipts, Triborough, COP, Ser. PMD-10, FRDO, AMBAC, 1.04%, 03/01/04 4,900 20,000 New York City Transitional Finance Authority, Floating Rate Receipts, Ser. L-21, Regulation D, Rev., FRDO, 0.99%, 03/06/04 20,000 9,610 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., FRDO, 0.94%, 03/04/04 9,610 600 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 0.91%, 03/06/04 600 1,210 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 0.97%, 03/01/04 1,210 2,710 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. B-3, Rev., FRDO, 0.94%, 03/01/04 2,710 4,800 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-5, Rev., FRDO, 0.97%, 03/01/04 4,800 5,200 New York City Transitional Finance Authority, New York City Recovery, Ser. 1, Sub Ser. 1-A, Rev., FRDO, 0.91%, 03/04/04 5,200 2,900 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 0.91%, 03/04/04 2,900 2,200 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 0.91%, 03/04/04 2,200 2,020 New York City Transitional Finance Authority, Ser. 2003-1, FRDO, FGIC, 0.98%, 03/05/04 2,020 2,490 New York City Transitional Finance Authority, Ser. 2003-7, Rev., FRDO, 0.98%, 08/01/04 2,490 10,000 New York City Transitional Finance Authority, Ser. 48, Rev., FRDO, 0.98%, 08/01/04 10,000 22,260 New York City Transitional Finance Authority, Ser. A-40, Rev., FRDO, MBIA-IBC, 0.98%, 03/05/04 22,260 4,990 New York City Transitional Finance Authority, Ser. RR-II-R-4052, Rev., FRDO, 0.97%, 03/07/04 4,990 1,900 New York City Trust for Cultural Resources, Alvin Ailey Dance Foundation, Rev., FRDO, 0.86%, 03/03/04 1,900
See notes to financial statements. 101
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,985 New York City Trust for Cultural Resources, American Museum of Natural History, Ser. B, Rev., FRDO, MBIA, 0.88%, 03/03/04 $ 3,985 3,500 New York City Trust for Cultural Resources, Municipal Securities Trust Receipts, Ser. SGA-91, Rev., FRDO, AMBAC, 0.97%, 03/01/04 3,500 10,920 New York City, New York, FLOATS, Ser. PA-878, GO, FRDO, MBIC-IBC, 1.00%, 03/03/04 10,920 8,420 New York City, New York, FLOATS, Ser. PT-1670, GO, FRDO, AMBAC, 0.96%, 03/04/04 8,420 9,245 New York City, New York, FLOATS, Ser. PT-405, 0.97%, 03/02/04 9,245 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, 0.97%, 03/01/04 1,300 1,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 0.95%, 03/02/04 1,000 115 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 0.97%, 03/01/04 115 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 0.95%, 03/02/04 12,865 11,500 New York City, New York, Ser. A, GO, RAN, 2.00%, 04/15/04 11,515 9,680 New York City, New York, Ser. A-36, GO, FRDO, AMBAC, 0.98%, 03/03/04 9,680 430 New York City, New York, Ser. B, Sub Ser. B-3, GO, FRDO, MBIA, 0.97%, 03/01/04 430 800 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 0.97%, 03/01/04 800 700 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 0.96%, 03/01/04 700 2,000 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 0.96%, 03/01/04 2,000 3,000 New York City, New York, Ser. F-2, GO, FRDO, 0.88%, 03/06/04 3,000 1,050 New York City, New York, Ser. F-4, GO, FRDO, 0.91%, 03/06/04 1,050 5,670 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 0.96%, 03/01/04 5,670 400 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.98%, 03/01/04 400 2,200 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.98%, 03/01/04 2,200 100 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 0.98%, 03/01/04 100 2,800 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 0.89%, 03/01/04 2,800 2,400 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 0.89%, 03/07/04 2,400
See notes to financial statements. 102
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,300 New York City, New York, Sub Ser. A-4, GO, $ 2,300 FRDO, 0.95%, 03/01/04 3,800 New York City, New York, Sub Ser. A-6, GO, FRDO, 0.93%, 03/03/04 3,800 15,550 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 0.95%, 03/01/04 15,550 5,000 New York City, New York, Sub Ser. C-2, GO, FRDO, 0.91%, 03/03/04 5,000 1,200 New York City, New York, Sub Ser. C-4, GO, FRDO, 0.94%, 03/01/04 1,200 3,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 0.92%, 03/03/04 3,000 610 New York City, New York, Sub Ser. G-2, GO, FRDO, 0.93%, 03/01/04 610 1,400 New York City, New York, Sub. Ser. E-3, GO, FRDO, 0.98%, 03/01/04 1,400 1,500 New York City, New York, Sub. Ser. E-4, GO, FRDO, 0.97%, 03/01/04 1,500 120 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 120 1,195 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 0.96%, 03/03/04 1,195 7,200 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 0.97%, 03/01/04 7,200 900 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 0.89%, 03/01/04 900 1,845 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 0.90%, 03/02/04 1,845 1,250 New York Local Government Assistance Corp., Ser. C, Rev., FRDO, 0.90%, 03/02/04 1,250 4,700 New York Local Government Assistance Corp., Ser. D, Rev., FRDO, 0.88%, 03/02/04 4,700 2,800 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 0.88%, 03/02/04 2,800 3,180 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 0.99%, 03/06/04 3,180 3,860 New York State Dorm Authority, Beverwyck, Inc., Rev., FRDO, 0.97%, 03/03/04 3,860 4,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 0.96%, 03/01/04 4,415 2,670 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 0.96%, 03/01/04 2,670 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, Rev., 0.96%, 03/05/04 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, Rev., 0.96%, 03/07/04 9,340
See notes to financial statements. 103
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 800 New York State Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 $ 800 880 New York State Dorm Authority, FLOATS, Ser. PT-130, Rev., 0.96%, 03/07/04 880 5,840 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 0.96%, 03/02/04 5,840 4,185 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 0.96%, 03/02/04 4,185 4,890 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 0.96%, 03/02/04 4,890 3,400 New York State Dorm Authority, Mental Health Services, Sub Ser. D-2E, Rev., FRDO, 0.91%, 03/05/04 3,400 4,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 0.95%, 03/04/04 4,000 440 New York State Dorm Authority, New York AAA Public Library, Ser. A, Rev., FRDO, MBIA, 0.93%, 03/02/04 440 2,400 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.00%, 03/01/04 2,400 6,645 New York State Dormitory Authority, FLOATS, Ser. PA-199, Rev., FRDO, MBIA-IBC, 0.96%, 03/04/04 6,645 25,000 New York State Eagle Trust, FRDO, 0.97%, 03/04/04 25,000 1,100 New York State Energy Research & Development Authority, PCR, New York Electric & Gas, Ser. B, Rev., FRDO, 0.97%, 03/01/04 1,100 6,400 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 0.88%, 03/01/04 6,400 18,130 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 0.97%, 03/07/04 18,130 3,900 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 0.93%, 03/02/04 3,900 9,150 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 0.93%, 03/05/04 9,700 New York State Housing Finance Agency, 9,150 101 West End, Rev., FRDO, 0.93%, 03/05/04 3,400 New York State Housing Finance Agency, 9,700 150 East 44th Street Housing, Ser. A, Rev., FRDO, 0.93%, 03/01/04 3,400 3,000 New York State Housing Finance Agency, 150 East 44th Street, Ser. A, Rev., FRDO, 0.93%, 03/01/04 3,000
See notes to financial statements. 104
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 6,800 New York State Housing Finance Agency, 350 West 43rd Street Housing, Ser. A, Rev., FRDO, 1.00%, 04/01/04 $ 6,800 10,000 New York State Housing Finance Agency, Avalon Chrystie Place I Housing, Ser. A, Rev., FRDO, 0.98%, 03/01/04 10,000 10,300 New York State Housing Finance Agency, Bennington Hills Housing, Ser. A, Rev., FRDO, 0.94%, 03/03/04 10,300 5,000 New York State Housing Finance Agency, East 84th Street, Ser. A, Rev., FRDO, 0.98%, 03/01/04 5,000 2,495 New York State Housing Finance Agency, FLOATS, Ser. PA-143, Rev., FRDO, 1.02%, 03/06/04 2,495 8,640 New York State Housing Finance Agency, FLOATS, Ser. PA-423, Rev., 0.96%, 03/07/04 8,640 5,395 New York State Housing Finance Agency, FLOATS, Ser. PA-805, Rev., FRDO, FSA, 0.96%, 03/04/04 5,395 3,600 New York State Housing Finance Agency, Lakeview Homes, Ser. II-A, Rev., FRDO, 0.96%, 03/04/04 3,600 4,600 New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage, Ser. A, Rev., FRDO, 0.94%, 03/02/04 4,600 200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 0.98%, 03/03/04 200 3,400 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 0.92%, 03/05/04 3,400 10,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 0.91%, 03/04/04 10,000 1,100 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 0.94%, 03/03/04 1,100 9,500 New York State Housing Finance Agency, Ser. I, Rev., FRDO, 0.93%, 03/04/04 9,500 11,000 New York State Housing Finance Agency, Service Contract, Ser. E, Rev., FRDO, 0.91%, 03/04/04 11,000 10,500 New York State Housing Finance Agency, Tallyrand Crescent, Rev., FRDO, 0.96%, 03/04/04 10,500 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 0.98%, 03/04/04 4,200 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 0.96%, 03/04/04 8,400
See notes to financial statements. 105
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 5,625 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-61, Rev., FRDO, 0.99%, 03/04/04 $ 5,625 3,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., 0.99%, 03/01/04 3,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, Rev., 0.99%, 03/04/04 8,140 2,540 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-17, Rev., 0.96%, 03/01/04 2,540 5,820 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PT-414, Rev., FRDO, 1.15%, 08/15/04 5,820 13,100 New York State Thruway Authority, Floating Rate Receipts, Ser. SG-121, Rev., FRDO, 0.99%, 03/04/04 13,100 52,025 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 1.02%, 03/01/04 52,025 8,245 New York State Thruway Authority, General Highway & Bridge Trust Fund, FLOATS, Ser. PT-1910, 0.96%, 03/03/04 8,245 1,385 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 0.95%, 03/05/04 1,385 9,100 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, Rev., 0.96%, 03/01/04 9,100 2,000 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 0.94%, 03/04/04 2,000 1,900 New York State, Local Government Assistance Corp., Ser. F, Rev., FRDO, 0.90%, 03/02/04 1,900 14,675 New York State, Power Authority, General Purpose, GO, FRDO, 0.90%, 03/01/04 14,675 10,000 New York State, Ser. A, GO, FRDO, 1.05%, 02/07/05 10,000 15,000 New York Water, 0.98%, 06/10/04 15,000 12,260 Newburgh City School District, GO, RAN, 1.38%, 05/27/04 12,260 6,000 Newburgh City School District, GO, RAN, 1.50%, 06/24/04 6,008 4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser. PA-530, 0.96%, 03/05/04 4,995 5,000 Niagara Falls City School District, Ser. B, GO, RAN, 2.50%, 10/08/04 5,027 2,000 North Hempstead, New York, Landfill Improvements, Ser. B, GO, BAN, 1.50%, 04/15/04 2,000
See notes to financial statements. 106
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 6,820 Oneida County IDA, Champion Home, Rev., FRDO, 1.00%, 03/04/04 $ 6,820 3,060 Oneida County IDA, Rev., FRDO, 1.10%, 03/05/04 3,060 19,500 Oneida Indian Nation, Rev., FRDO, 0.92%, 03/04/04 19,500 5,275 Onondaga County IDA, IDR, Albany Molecular Research Project, Rev., FRDO, 0.94%, 03/02/04 5,275 15,000 Onondaga County IDA, Solid Waste Disposal Facilities, Solvay Paperboard Project, Ser. A, Rev., FRDO, 1.05%, 03/03/04 15,000 10,000 Onondaga County IDA, Solid Waste Disposal Facility, Solvay Paperboard Project, Rev., FRDO, 1.05%, 03/01/04 10,000 19,000 Onondaga County IDA, Solid Waste Disposal Facility, Solvay Paperboard Project, Rev., FRDO, 1.05%, 03/03/04 19,000 19,405 Oxford Academy & Central School District, GO, BAN, 1.38%, 06/18/04 19,428 8,500 Oyster Bay, New York, Ser. A, GO, BAN, 2.00%, 01/21/05 8,564 4,000 Oyster Bay, New York, Ser. A, GO, TAN, 2.00%, 01/21/05 4,026 2,000 Oyster Bay, New York, Ser. B, BAN, 1.38%, 06/11/04 2,002 2,000 Oyster Bay, New York, Ser. C, BAN, 1.38%, 06/11/04 2,002 10,000 Phelps-Clifton Springs Central School District, GO, BAN, 1.63%, 04/30/04 10,007 7,250 Phelps-Clifton Springs Central School District, GO, BAN, 1.63%, 06/18/04 7,261 12,655 Port Authority of New York & New Jersey, Trust Receipts, Ser. 10, Class F, Rev., FRDO, FSA, 0.94%, 03/06/04 12,655 1,115 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.05%, 03/02/04 1,115 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.00%, 03/03/04 6,360 10,000 Ravena Coeymans Selkirk Central School District, GO, BAN, 1.50%, 06/18/04 10,015 14,000 Rochester, New York, Ser. I, GO, BAN, 2.00%, 03/04/04 14,001 8,000 Rochester, New York, Ser. II, GO, BAN, 2.00%, 10/22/04 8,046 525 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.00%, 03/02/04 525 1,555 Rockland County IDA, Shock Tech, Inc. Project, Rev., FRDO, 1.10%, 03/03/04 1,555 500 Rome City School District, GO, RAN, 1.75%, 06/25/04 501 13,620 Sidney Central School District, GO, BAN, 2.00%, 10/01/04 13,692 7,000 South Glens Falls Central School District, RAN, 1.38%, 06/17/04 7,006
See notes to financial statements. 107
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 2,000 Southeast IDA, IDR, Unilock New York, Inc. Project, Rev., FRDO, 1.02%, 03/01/04 $ 2,000 10,300 Steuben-Allegany Counties Board of Cooperative Educational Services Sole Supervisory District, GO, RAN, 1.25%, 06/30/04 10,309 4,700 Steuben-Allegany Counties Board of Cooperative Educational Services, Sole Supervisory District, GO, RAN, 2.13%, 06/30/04 4,714 3,430 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 0.94%, 03/04/04 3,430 300 Suffolk County Water Authority, Rev., BAN, FRDO, 0.92%, 03/03/04 300 5,000 Suffolk County Water Authority, Rev., BAN, FRDO, 0.92%, 03/06/04 5,000 2,335 Sullivan West Central School District, GO, BAN, 1.25%, 06/18/04 2,336 10,000 Sullivan West Central School District, GO, BAN, 1.63%, 04/16/04 10,006 19,630 The New York Power Authority, General Purpose, GO, FRDO, 0.90%, 03/01/04 19,630 34,985 Tobacco Settlement Financing Authority, FLOATS, Ser. PT-1911, 0.96%, 06/01/04 34,985 7,495 Tobacco Settlement Financing Authority, Ser. TOCS-2003, Rev., FRDO, 1. 14%, 06/01/04 7,495 7,400 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, GO, RAN, 1.75%, 06/30/04 7,416 6,200 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, Sole Supervisory District, Rev., RAN, 1.50%, 06/30/04 6,208 2,500 Triborough Bridge & Tunnel Authority, EAGLE Ser. 2003-2004, Class A, Rev., FRDO, FGIC, 0.97%, 03/06/04 2,500 7,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1080, Rev., FRDO, 0.99%, 03/04/04 7,675 360 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA-IBC, 0.96%, 03/03/04 360 3,930 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, (p), 0.99%, 03/04/04 3,930 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., 0.99%, 03/06/04 4,995 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 0.91%, 03/02/04 100
See notes to financial statements. 108
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,400 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 0.91%, 03/02/04 $ 3,400 6,490 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 0.91%, 03/01/04 6,490 95 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 0.91%, 03/07/04 95 4,300 Unadilla Valley Central School District, GO, BAN, 1.63%, 06/28/04 4,307 5,000 Utica City School District, GO, BAN, 2.00%, 09/24/04 5,022 19,350 Watkins Glen Central School District, Ser. B, GO, BAN, 1.38%, 06/17/04 19,350 4,685 Westchester County IDA, Civic Facilities, Community Housing Innovations, Inc., Rev., FRDO, 0.94%, 03/04/04 4,685 2,630 Westchester County IDA, Civic Facilities, The Masters School, Rev., FRDO, 1.00%, 03/04/04 2,630 6,500 Westchester County IDA, IDR, Levister Redevelopment Co., LLC, Ser. A, Rev., FRDO, 0.95%, 03/02/04 6,500 3,400 Williamson, New York, GO, BAN, 2.00%, 09/17/04 3,415 --------------- 1,800,287 PUERTO RICO -- 3.9% 6,388 Government Development Bank, 1.00%, 06/04/04 6,388 10,045 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, (p), 0.91%, 03/03/04 10,045 20,800 Puerto Rico Commonwealth, 0.99%, 06/29/04 20,800 2,000 Puerto Rico Commonwealth, 0.99%, 07/14/04 2,000 11,055 Puerto Rico Commonwealth, 0.99%, 07/21/04 11,055 6,000 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 0.96%, 03/04/04 6,000 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 0.93%, 03/04/04 360 150 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 0.94%, 03/04/04 150 15,224 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 0.97%, 03/02/04 15,224
See notes to financial statements. 109
PRINCIPAL AMOUNT ISSUER VALUE ---------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PUERTO RICO -- CONTINUED $ 895 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 0.97%, 03/07/04 $ 895 --------------- 72,917 ---------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 1,873,204 (Cost $1,873,204)* ----------------------------------------------------------------------------------------------------------
See notes to financial statements. 110 Abbreviations: * -- The cost of securities is substantially the same for federal income tax purposes. # -- 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 February 29, 2004. 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 February 29, 2004. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at February 29, 2004. FSA -- Financial Securities Assurance. 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. PUTTERS -- Puttable Tax Exempt Receipt. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. SUB -- Step-up bond. The rate shown is the rate in effect as of February 29, 2004. TAN -- Tax Anticipation Note. TAW -- Tax Anticipation Warrant. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. See notes to financial statements. 111 JPMORGAN FUNDS Statement of Assets & Liabilities As of February 29, 2004 (unaudited) (Amounts in thousands, except per share amounts)
PRIME MONEY MARKET FUND ----------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 46,955,782 Cash 400,024 Receivables: Fund shares sold 422 Interest 49,296 ----------------------------------------------------------------------------------------------- Total Assets 47,405,524 ----------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 15,726 Investment securities purchased 225,000 Accrued liabilities: Investment advisory fees 3,754 Administration fees 3,191 Shareholder servicing fees 2,989 Distribution fees 96 Custodian fees 928 Trustees' fees -- deferred compensation plan 2,340 Other 1,068 ----------------------------------------------------------------------------------------------- Total Liabilities 255,092 ----------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 47,150,411 Accumulated net realized gain (loss) on investments 21 ----------------------------------------------------------------------------------------------- Total Net Assets $ 47,150,432 ----------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 4,318,545 Premier 5,600,892 Agency 12,751,616 Class B 7,477 Class C 315 Institutional 23,430,170 Reserve 280,666 Select 689,682 Cash Management 71,696 Net asset value, offering and redemption price per share (all classes)* $ 1.00 ----------------------------------------------------------------------------------------------- Cost of investments $ 46,955,782 ===============================================================================================
*Redemption price for Class B and Class C may be reduced by contingent deferred sales charge. See notes to financial statements. 112
LIQUID ASSETS U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 2,986,456 $ 9,573,653 Cash --^ 1 Receivables: Investment securities sold -- 193,004 Fund shares sold 36 149 Interest 5,835 6,798 ----------------------------------------------------------------------------------------------------------------- Total Assets 2,992,327 9,773,605 ----------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 609 1,813 Investment securities purchased -- 701,797 Accrued liabilities: Investment advisory fees 262 729 Administration fees 53 394 Shareholder servicing fees 48 1,172 Distribution fees -- 122 Custodian fees 75 198 Trustees' fees -- deferred compensation plan 6 1,095 Other 152 93 ----------------------------------------------------------------------------------------------------------------- Total Liabilities 1,205 707,413 ----------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,991,075 9,066,164 Accumulated undistributed (overdistributed) net investment income 3 --^ Accumulated net realized gain (loss) on investments 44 28 ----------------------------------------------------------------------------------------------------------------- Total Net Assets $ 2,991,122 $ 9,066,192 ----------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 20,118 2,580,825 Premier Shares 40,060 547,378 Agency Shares 411,135 4,106,101 Institutional Shares 2,519,762 1,831,903 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 ----------------------------------------------------------------------------------------------------------------- Cost of investments $ 2,986,456 $ 9,573,653 =================================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 113
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 4,143,595 $ 3,237,121 Cash 2,879 --^ Receivables: Investment securities sold -- 384,895 Interest 6,955 4,855 Expense reimbursements 1 -- ----------------------------------------------------------------------------------------------------------------- Total Assets 4,153,430 3,626,871 ----------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 988 1,284 Accrued liabilities: Investment advisory fees 305 288 Administration fees 213 239 Shareholder servicing fees 501 352 Distribution fees 66 8 Custodian fees 104 102 Trustees' fees -- deferred compensation plan 413 181 Other 304 204 ----------------------------------------------------------------------------------------------------------------- Total Liabilities 2,894 2,658 ----------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 4,150,576 3,624,271 Accumulated undistributed (overdistributed) net investment income (46) (56) Accumulated net realized gain (loss) on investments 6 (2) ----------------------------------------------------------------------------------------------------------------- Total Net Assets $ 4,150,536 $ 3,624,213 ----------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 664,020 260,050 Premier 1,110,188 1,360,589 Agency 1,392,317 327,988 Institutional 747,486 1,676,119 Reserve 236,617 -- Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 ----------------------------------------------------------------------------------------------------------------- Cost of investments $ 4,143,595 $ 3,237,121 =================================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 114
100% U.S. TREASURY SECURITIES TAX FREE MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 5,061,402 $ 12,063,068 Cash 51,609 73 Receivables: Fund shares sold 5 30 Interest 13,769 36,693 ----------------------------------------------------------------------------------------------------------------- Total Assets 5,126,785 12,099,864 ----------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 1,018 3,723 Investment securities purchased -- 28,470 Accrued liabilities: Investment advisory fees 421 958 Administration fees 366 824 Shareholder servicing fees 783 900 Distribution fees 27 12 Custodian fees 88 238 Trustees' fees -- deferred compensation plan 602 263 Other 554 417 ----------------------------------------------------------------------------------------------------------------- Total Liabilities 3,859 35,805 ----------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,122,741 12,066,370 Accumulated undistributed (overdistributed) net investment income -- (3,878) Accumulated net realized gain (loss) on investments 185 1,567 ----------------------------------------------------------------------------------------------------------------- Total Net Assets $ 5,122,926 $ 12,064,059 ----------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 2,262,164 598,666 Premier 544,762 3,568,160 Agency 952,744 794,966 Institutional 1,363,144 7,104,383 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 ----------------------------------------------------------------------------------------------------------------- Cost of investments $ 5,061,402 $ 12,063,068 =================================================================================================================
See notes to financial statements. 115
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 164,945 $ 1,873,204 Receivables: Fund shares sold 10 2 Interest 518 6,467 ----------------------------------------------------------------------------------------------------------------- Total Assets 165,473 1,879,673 ----------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian 15 5 Dividends 45 184 Investment securities purchased -- 31,476 Accrued liabilities: Investment advisory fees 13 149 Administration fees 4 137 Shareholder servicing fees 36 522 Distribution fees -- 31 Custodian fees 8 48 Trustees' fees -- deferred compensation plan 11 240 Other 34 267 ----------------------------------------------------------------------------------------------------------------- Total Liabilities 166 33,059 ----------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 165,355 1,846,167 Accumulated undistributed (overdistributed) net investment income (49) (262) Accumulated net realized gain (loss) on investments 1 709 ----------------------------------------------------------------------------------------------------------------- Total Net Assets $ 165,307 $ 1,846,614 ----------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Morgan 165,371 1,663,382 Reserve -- 182,887 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 ----------------------------------------------------------------------------------------------------------------- Cost of investments $ 164,945 $ 1,873,204 =================================================================================================================
See notes to financial statements. 116 Statement of Operations For the six months ended February 29, 2004 (unaudited) (Amounts in thousands)
PRIME MONEY MARKET FUND ----------------------------------------------------------------------------------------------- INTEREST INCOME: $ 273,908 ----------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 24,184 Administration fees 24,184 Shareholder servicing fees 35,073 Distribution fees 758 Custodian and accounting fees 1,573 Printing and postage 52 Professional fees 514 Registration fees 24 Transfer agent fees 1,837 Trustees' fees 463 Other 736 ----------------------------------------------------------------------------------------------- Total expenses 89,398 ----------------------------------------------------------------------------------------------- Less amounts waived 19,240 Less earnings credits 1 ----------------------------------------------------------------------------------------------- Net expenses 70,157 ----------------------------------------------------------------------------------------------- Net investment income 203,751 ----------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions 20 ----------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 203,771 ===============================================================================================
See notes to financial statements. 117
LIQUID ASSETS U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 17,552 $ 50,597 ----------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 1,530 4,624 Administration fees 1,530 4,624 Shareholder servicing fees 1,592 8,577 Distribution fees 9 1,725 Custodian and accounting fees 130 308 Printing and postage 11 28 Professional fees 56 88 Registration fees 37 107 Transfer agent fees 78 271 Trustees' fees 23 89 Other 50 112 ----------------------------------------------------------------------------------------------------------------- Total expenses 5,046 20,553 ----------------------------------------------------------------------------------------------------------------- Less amounts waived 2,526 3,940 Less earnings credits 1 -- ----------------------------------------------------------------------------------------------------------------- Net expenses 2,519 16,613 ----------------------------------------------------------------------------------------------------------------- Net investment income 15,033 33,984 ----------------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 65 17 ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 15,098 $ 34,001 =================================================================================================================
See notes to financial statements. 118
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 20,120 $ 19,271 ----------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 1,985 1,833 Administration fees 1,985 1,833 Shareholder servicing fees 4,015 3,181 Distribution fees 698 141 Custodian and accounting fees 147 121 Printing and postage 10 6 Professional fees 56 52 Registration fees 302 -- Transfer agent fees 142 237 Trustees' fees 38 35 Other 77 58 ----------------------------------------------------------------------------------------------------------------- Total expenses 9,455 7,497 ----------------------------------------------------------------------------------------------------------------- Less amounts waived 1,590 1,361 Less expense reimbursements 1 -- Less earnings credits -- --^ ----------------------------------------------------------------------------------------------------------------- Net expenses 7,864 6,136 ----------------------------------------------------------------------------------------------------------------- Net investment income 12,256 13,135 ----------------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 261 (7) ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 12,517 $ 13,128 =================================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 119
100% U.S. TREASURY SECURITIES TAX FREE MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 24,749 $ 59,837 ----------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 2,519 5,734 Administration fees 2,519 5,734 Shareholder servicing fees 5,886 9,046 Distribution fees 1,180 302 Custodian and accounting fees 176 362 Printing and postage 10 27 Professional fees 50 123 Registration fees -- 9 Transfer agent fees 383 164 Trustees' fees 48 110 Other 49 149 ----------------------------------------------------------------------------------------------------------------- Total expenses 12,820 21,760 ----------------------------------------------------------------------------------------------------------------- Less amounts waived 2,240 4,626 Less expense reimbursements 10 -- Less earnings credits -- 3 ----------------------------------------------------------------------------------------------------------------- Net expenses 10,570 17,131 ----------------------------------------------------------------------------------------------------------------- Net investment income 14,179 42,706 ----------------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 350 1,486 ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 14,529 $ 44,192 =================================================================================================================
See notes to financial statements. 120
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND ----------------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 803 $ 9,583 ----------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 77 916 Administration fees 77 916 Shareholder servicing fees 271 3,206 Distribution fees 77 1,087 Custodian and accounting fees 14 69 Printing and postage -- 7 Professional fees 26 47 Registration fees 41 -- Transfer agent fees 22 245 Trustees' fees 1 18 Other 5 39 ----------------------------------------------------------------------------------------------------------------- Total expenses 611 6,550 ----------------------------------------------------------------------------------------------------------------- Less amounts waived 186 972 Less earnings credits --^ 2 ----------------------------------------------------------------------------------------------------------------- Net expenses 425 5,576 ----------------------------------------------------------------------------------------------------------------- Net investment income 378 4,007 ----------------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions 1 291 ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 379 $ 4,298 =================================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 121 Statement of Changes in Net Assets For the periods indicated (unaudited) (Amounts in thousands)
PRIME MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 203,751 $ 602,371 Net realized gain (loss) on investments 20 9 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 203,771 602,380 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (202,438) (603,707) Net realized gain on investment transactions -- (147) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (202,438) (603,854) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (2,299,130) 519,344 ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (2,297,797) 517,870 NET ASSETS: Beginning of period 49,448,229 48,930,359 ----------------------------------------------------------------------------------------------------------------- End of period $ 47,150,432 $ 49,448,229 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (1,313) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 122
LIQUID ASSETS MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 15,033 $ 28,307 Net realized gain (loss) on investments 65 73 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 15,098 28,380 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (15,021) (28,315) Net realized gain on investment transactions (88) (6) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (15,109) (28,321) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 419,676 1,356,372 ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 419,665 1,356,431 NET ASSETS: Beginning of period 2,571,457 1,215,026 ----------------------------------------------------------------------------------------------------------------- End of period $ 2,991,122 $ 2,571,457 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ 3 $ (9) ----------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 33,984 $ 95,487 Net realized gain (loss) on investments 17 281 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 34,001 95,768 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (33,824) (95,524) Net realized gain on investment transactions (267) (3) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (34,091) (95,527) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (415,883) 115,592 ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (415,973) 115,833 NET ASSETS: Beginning of period 9,482,165 9,366,332 ----------------------------------------------------------------------------------------------------------------- End of period $ 9,066,192 $ 9,482,165 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ --^ $ (160) -----------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. See notes to financial statements. 123
TREASURY PLUS MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 12,256 $ 37,997 Net realized gain (loss) on investments 261 15 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 12,517 38,012 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (12,256) (38,099) Net realized gain on investment transactions -- -- ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (12,256) (38,099) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 361,700 (215,318) ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 361,961 (215,405) NET ASSETS: Beginning of period 3,788,575 4,003,980 ----------------------------------------------------------------------------------------------------------------- End of period $ 4,150,536 $ 3,788,575 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (46) $ (46) ----------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 13,135 $ 44,931 Net realized gain (loss) on investments (7) 24 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 13,128 44,955 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (13,005) (44,861) Net realized gain on investment transactions -- (66) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (13,005) (44,927) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 53,533 (761,408) ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 53,656 (761,380) NET ASSETS: Beginning of period 3,570,557 4,331,937 ----------------------------------------------------------------------------------------------------------------- End of period $ 3,624,213 $ 3,570,557 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (56) $ (186) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 124
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 14,179 $ 48,374 Net realized gain (loss) on investments 350 231 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 14,529 48,605 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (14,143) (48,312) Net realized gain on investment transactions (347) (60) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (14,490) (48,372) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 155,224 (268,077) ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 155,263 (267,844) NET ASSETS: Beginning of period 4,967,663 5,235,507 ----------------------------------------------------------------------------------------------------------------- End of period $ 5,122,926 $ 4,967,663 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (36) ----------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 42,706 $ 93,998 Net realized gain (loss) on investments 1,486 858 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 44,192 94,856 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (42,766) (94,379) Net realized gain on investment transactions -- -- ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (42,766) (94,379) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 921,712 2,189,669 ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 923,138 2,190,146 NET ASSETS: Beginning of period 11,140,921 8,950,775 ----------------------------------------------------------------------------------------------------------------- End of period $ 12,064,059 $ 11,140,921 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (3,878) $ (3,818) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 125
CALIFORNIA TAX FREE MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 378 $ 1,118 Net realized gain (loss) on investments 1 5 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 379 1,123 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (378) (1,133) Net realized gain (loss) on investment transactions -- -- ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (378) (1,133) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 16,159 (13,914) ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 16,160 (13,924) NET ASSETS: Beginning of period 149,147 163,071 ----------------------------------------------------------------------------------------------------------------- End of period $ 165,307 $ 149,147 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (49) $ (49) ----------------------------------------------------------------------------------------------------------------- NEW YORK TAX FREE MONEY MARKET FUND --------------------------------- 9/1/03 YEAR THROUGH ENDED 2/29/04 8/31/03 ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 4,007 $ 14,980 Net realized gain (loss) on investments 291 417 ----------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 4,298 15,397 ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (4,009) (14,748) Net realized gain (loss) on investment transactions -- (386) ----------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (4,009) (15,134) ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 8,927 (465,972) ----------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 9,216 (465,709) NET ASSETS: Beginning of period 1,837,398 2,303,107 ----------------------------------------------------------------------------------------------------------------- End of period $ 1,846,614 $ 1,837,398 ----------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (262) $ (260) -----------------------------------------------------------------------------------------------------------------
See notes to financial statements. 126 JPMORGAN FUNDS Notes to Financial Statements (unaudited) 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, as amended, (the "1940 Act"), 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 Prime Money Market Fund ("PRM") Morgan, Premier, Agency, Class B, Class C, Institutional, Reserve, Select, Cash Management JPMorgan Liquid Assets Money Market Fund ("LA") 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 100% U.S. Treasury Securities Money Market Fund ("USTS") Morgan, Premier, Agency, Institutional JPMorgan Tax Free Money Market Fund ("TF") Morgan, Premier, Agency, Institutional JPMorgan California Tax Free Money Market Fund ("CTF") Morgan JPMorgan New York Tax Free Money Market Fund ("NYTF") Morgan, Reserve
Class B and C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Morgan shares after 8 years. No sales charges are assessed with respect to Agency Class, Institutional Class, Premier Class, Select Class, Reserve Class, and Cash Management Class. 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. 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. 127 A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized cost which approximates market value. The Trust's use of amortized cost is subject to the Trust's compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act. B. REPURCHASE AGREEMENTS -- 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. USG, TP, FED, USTS, TF, CTF, and NYTF may 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 Funds' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of 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. 128 G.DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature, (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. H. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to insurance, pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreement, J.P. Morgan Investment Management Inc. ("JPMIM") acts as the investment advisor to the Funds. Prior to September 1, 2003, pursuant to an Advisory agreement, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM") served as the Advisor to the Funds. On September 1, 2003, JPMFAM merged into JPMIM. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment advisory services and personnel providing investment advice have not changed as a result of the merger and ownership change. Neither the merger nor the ownership change constituted an assignment under the 1940 Act or the Investment Advisers Act of 1940. 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 3.F. 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. 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 129 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 --------------------------------------------------------------------- PRM n/a n/a 0.75 0.75 0.25 0.50 LA 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 USTS 0.10 n/a n/a n/a n/a n/a TF 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
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 3.F. C. SHAREHOLDER SERVICING FEES -- The Trust has entered into a Shareholder Servicing Agreement on behalf of the Funds with JP Morgan Chase Bank ("JPMCB"), under which JPMCB provides account administration and personal account maintenance services to the shareholders. For performing these services JPMCB receives 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 ---------------------------------------------------------------------------------------------------- PRM 0.35 0.25 0.10 0.25 0.25 0.10 0.25 0.25 0.25 LA 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 USTS 0.35 0.25 0.10 n/a n/a 0.10 n/a n/a n/a TF 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
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 3.F. 130 D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and 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. 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. 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 ----------------------------------------------------------------------------------------------------- PRM 0.59 0.45 0.26^^ 1.24 1.24 0.20 0.70 0.44 0.97 LA 0.59 0.45 0.26 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 USTS 0.59 0.46 0.25 n/a n/a 0.20 n/a n/a n/a TF 0.59 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
^^ The limitation percentage prior to January 1, 2004, was 0.30%. 131 The contractual expense limitation agreements were in effect for the six months ended February 29, 2004 for the Funds. The expense limitation percentages in the table above are due to expire on December 31, 2004. The Administrator waived fees and/or reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the six months ended February 29, 2004, 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 ------------------------------------------------------- PRM $ 878 $ 1,519 $ 2,397 LA 761 -- 761 USTS 14 -- 14 ------------------------------------------------------- Total $ 1,653 $ 1,519 $ 3,172 =======================================================
CONTRACTUAL WAIVERS ---------------------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS ---------------------------------------------------------------------------------------------------------------- PRM $ -- $ 2,668 $ 14,175 $ -- $ 16,843 $ -- LA -- 463 1,293 9 1,765 -- USG -- 2,119 922 899 3,940 -- TP -- 709 590 291 1,590 1 FED -- 309 960 92 1,361 -- USTS -- 313 869 1,044 2,226 10 TF -- 840 3,549 237 4,626 -- CTF -- 54 54 78 186 -- NYTF -- 73 -- 899 972 -- ---------------------------------------------------------------------------------------------------------------- Total $ -- $ 7,548 $ 22,412 $ 3,549 $ 33,509 $ 11 ================================================================================================================
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 Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affliated with the Advisor. 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. 132 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the six months ended February 29, 2004 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT -------------------------------------------------------------------------------- PRM Morgan $ 7,777 $ -- $ 1,567 Premier 7,405 -- 70 Agency 5,958 -- 50 Class B 11 33 3 Class C 1 1 --^ Institutional 12,448 -- 62 Reserve 382 382 12 Select 921 -- 63 Cash Management 170 342 10 -------------------------------------------------------------------------------- Total $ 35,073 $ 758 $ 1,837 -------------------------------------------------------------------------------- LA Morgan $ 33 $ 9 $ 26 Premier 63 -- 14 Agency 208 -- 15 Institutional 1,288 -- 23 -------------------------------------------------------------------------------- Total $ 1,592 $ 9 $ 78 -------------------------------------------------------------------------------- USG Morgan $ 4,776 $ 1,364 $ 214 Premier 902 361 23 Agency 1,902 -- 22 Institutional 997 -- 12 -------------------------------------------------------------------------------- Total $ 8,577 $ 1,725 $ 271 -------------------------------------------------------------------------------- TP Morgan $ 1,390 $ 397 $ 69 Premier 1,427 -- 23 Agency 630 -- 21 Institutional 267 -- 12 Reserve 301 301 17 -------------------------------------------------------------------------------- Total $ 4,015 $ 698 $ 142 -------------------------------------------------------------------------------- FED Morgan $ 494 $ 141 $ 166 Premier 1,658 -- 34 Agency 177 -- 20 Institutional 852 -- 17 -------------------------------------------------------------------------------- Total $ 3,181 $ 141 $ 237 ================================================================================
^ Amount rounds to less than one thousand. 133
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT -------------------------------------------------------------------------------- USTS Morgan $ 4,130 $ 1,180 $ 333 Premier 695 -- 13 Agency 441 -- 28 Institutional 620 -- 9 -------------------------------------------------------------------------------- Total $ 5,886 $ 1,180 $ 383 -------------------------------------------------------------------------------- TF Morgan $ 1,057 $ 302 $ 59 Premier 4,262 -- 53 Agency 375 -- 16 Institutional 3,352 -- 36 -------------------------------------------------------------------------------- Total $ 9,046 $ 302 $ 164 -------------------------------------------------------------------------------- CTF Morgan $ 271 $ 77 $ 22 -------------------------------------------------------------------------------- NYTF Morgan $ 2,906 $ 830 $ 238 Reserve 300 257 7 -------------------------------------------------------------------------------- Total $ 3,206 $ 1,087 $ 245 ================================================================================
134 5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the six months ended February 29, 2004 and for the year ended August 31, 2003, respectively, are as follows (amounts in thousands):
SIX MONTHS ENDED 2/29/04 YEAR ENDED 8/31/03 --------------------------- --------------------------- NET NET INVESTMENT REALIZED INVESTMENT REALIZED INCOME GAIN INCOME GAIN ------------------------------------------------------------------------------- PRM Morgan $ 11,947 $ -- $ 52,751 $ 13 Premier 20,046 -- 57,405 15 Agency 51,680 -- 156,314 34 Class B 4 -- 33 -- Class C -- -- 2 -- Institutional 115,466 -- 322,886 80 Reserve 653 -- 3,076 1 Select 2,531 -- 9,496 2 Cash Management 111 -- 1,744 2 ------------------------------------------------------------------------------- Total $ 202,438 $ -- $ 603,707 $ 147 ------------------------------------------------------------------------------- LA Morgan $ 57 $ 1 $ 167 $ --^ Premier 187 1 551 --^ Agency 1,944 13 2,856 1 Institutional 12,833 73 24,741 5 ------------------------------------------------------------------------------- Total $ 15,021 $ 88 $ 28,315 $ 6 ------------------------------------------------------------------------------- USG Morgan $ 6,833 $ 80 $ 26,848 $ 1 Premier 2,308 19 9,729 1 Agency 15,809 105 44,401 1 Institutional 8,874 63 14,546 -- ------------------------------------------------------------------------------- Total $ 33,824 $ 267 $ 95,524 $ 3 ------------------------------------------------------------------------------- TP Morgan $ 1,682 $ -- $ 6,988 $ -- Premier 3,215 -- 9,186 -- Agency 4,810 -- 13,515 -- Institutional 2,171 -- 6,795 -- Reserve 378 1,615 -- ------------------------------------------------------------------------------- Total $ 12,256 $ -- $ 38,099 $ -- ===============================================================================
^ Amount rounds to less than one thousand. 135
SIX MONTHS ENDED 2/29/04 YEAR ENDED 8/31/03 --------------------------- --------------------------- NET NET INVESTMENT REALIZED INVESTMENT REALIZED INCOME GAIN INCOME GAIN ------------------------------------------------------------------------------- FED Morgan $ 487 $ -- $ 2,728 $ 6 Premier 3,943 -- 13,807 23 Agency 1,389 -- 4,738 6 Institutional 7,186 -- 23,588 31 ------------------------------------------------------------------------------- Total $ 13,005 $ -- $ 44,861 $ 66 ------------------------------------------------------------------------------- USTS Morgan $ 4,615 $ 158 $ 24,263 $ 34 Premier 1,463 39 4,451 7 Agency 3,221 63 10,629 9 Institutional 4,844 87 8,969 10 ------------------------------------------------------------------------------- Total $ 14,143 $ 347 $ 48,312 $ 60 ------------------------------------------------------------------------------- TF Morgan $ 1,375 $ -- $ 4,971 $ -- Premier 10,138 -- 28,176 -- Agency 2,941 -- 9,026 -- Institutional 28,312 -- 52,206 -- ------------------------------------------------------------------------------- Total $ 42,766 $ -- $ 94,379 $ -- ------------------------------------------------------------------------------- CTF Morgan $ 378 $ -- $ 1,133 $ -- ------------------------------------------------------------------------------- NYTF Morgan $ 3,791 $ -- $ 13,831 $ 355 Reserve 218 -- 917 31 ------------------------------------------------------------------------------- Total $ 4,009 $ -- $ 14,748 $ 386 ===============================================================================
136 6. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. As of February 29, 2004, LA and PRM invested 38.2% and 35.8%, 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. TF, CTF, and NYTF 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. 7. CORPORATE EVENT On January 14, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced they have entered into an agreement and plan of merger. The merger is subject to the approval of the shareholders of both institutions as well as U.S. federal and state and foreign regulatory authorities. Completion of the transaction is expected to occur in mid-2004. 137 8. CAPITAL SHARE TRANSACTIONS Capital share tranactions were as follows for the periods presented (amounts in thousands): PRIME MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 14,148,411 14,148,374 $ 19,134,598 19,134,376 Shares issued in reinvestment of distributions 9,095 9,095 3,264 3,265 Shares redeemed (14,465,510) (14,465,475) (18,949,576) (18,949,357) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (308,004) (308,006) $ 188,286 188,284 ============================================================================================================================= 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 ============================================================================================================================= AGENCY CLASS B -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 36,809,648 36,809,644 $ 3,146 3,146 Shares issued in reinvestment of distributions 34,323 34,323 4 4 Shares redeemed (36,741,014) (36,741,014) (5,777) (5,777) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 102,957 102,953 $ (2,627) (2,627) ============================================================================================================================= 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) ============================================================================================================================= CLASS C INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,022 1,022 $ 124,045,607 124,045,598 Shares issued in reinvestment of distributions --^ --^ 47,465 47,465 Shares redeemed (1,270) (1,270) (125,739,555) (125,739,553) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (248) (248) $ (1,646,483) (1,646,490) ============================================================================================================================= 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 ============================================================================================================================= RESERVE SELECT -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 7,326,480 7,326,480 $ 1,404,881 1,404,881 Shares issued in reinvestment of distributions 337 337 2,459 2,459 Shares redeemed (7,401,590) (7,401,590) (1,493,228) (1,493,228) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (74,773) (74,773) $ (85,888) (85,888) ============================================================================================================================= YEAR ENDED AUGUST 31, 2003 ----------------------------------------------------------------------------------------------------------------------------- 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) =============================================================================================================================
^ Amount rounds to less than one thousand. 138
CASH MANAGEMENT ---------------------------------- AMOUNT SHARES ------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 29, 2004 ------------------------------------------------------------------------------------------ Shares sold $ 377,354 377,354 Shares issued in reinvestment of distributions 73 73 Shares redeemed (849,777) (849,777) ------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ (472,350) (472,350) ========================================================================================== 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 ==========================================================================================
139 LIQUID ASSETS MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 29,582 29,582 $ 111,913 111,913 Shares issued in reinvestment of distributions 51 51 153 153 Shares redeemed (27,919) (27,919) (108,021) (108,021) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,714 1,714 $ 4,045 4,045 ============================================================================================================================= 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 ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,854,230 2,854,230 $ 9,266,136 9,266,135 Shares issued in reinvestment of distributions 1,718 1,718 8,442 8,442 Shares redeemed (2,728,885) (2,728,885) (8,987,724) (8,987,724) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 127,063 127,063 $ 286,854 286,853 ============================================================================================================================= 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 =============================================================================================================================
140 U.S. GOVERNMENT MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 91,338,255 91,338,255 $ 1,822,634 1,822,634 Shares issued in reinvestment of distributions 2,487 2,487 1,656 1,656 Shares redeemed (91,835,966) (91,835,966) (2,390,645) (2,390,645) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (495,224) (495,224) $ (566,355) (566,355) ============================================================================================================================= 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 ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 13,874,878 13,874,877 $ 6,761,228 6,761,228 Shares issued in reinvestment of distributions 11,124 11,124 5,660 5,660 Shares redeemed (13,544,993) (13,544,993) (6,462,201) (6,462,201) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 341,009 341,008 $ 304,687 304,687 ============================================================================================================================= 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 =============================================================================================================================
141 TREASURY PLUS MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 2,968,341 2,968,341 $ 3,171,573 3,171,573 Shares issued in reinvestment of distributions 804 804 472 472 Shares redeemed (3,087,432) (3,087,432) (3,290,003) (3,290,003) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (118,287) (118,287) $ (117,958) (117,958) ============================================================================================================================= 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 ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 4,148,265 4,148,264 $ 3,079,899 3,079,898 Shares issued in reinvestment of distributions 3,641 3,641 746 747 Shares redeemed (4,006,376) (4,006,375) (2,630,630) (2,630,630) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 145,530 145,530 $ 450,015 450,015 ============================================================================================================================= 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) ============================================================================================================================= RESERVE ---------------------------------- AMOUNT SHARES ------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 29, 2004 ------------------------------------------------------------------------------------------ Shares sold $ 2,552,430 2,552,430 Shares issued in reinvestment of distributions 323 322 Shares redeemed (2,550,353) (2,550,353) ------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 2,400 2,399 ========================================================================================== 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) ==========================================================================================
142 FEDERAL MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,136,297 3,136,297 $ 3,384,273 3,384,272 Shares issued in reinvestment of distributions 355 355 566 566 Shares redeemed (3,187,610) (3,187,610) (3,239,196) (3,239,196) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (50,958) (50,958) $ 145,643 145,642 ============================================================================================================================= 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) ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 803,388 803,388 $ 3,273,160 3,229,324 Shares issued in reinvestment of distributions 277 278 3,547 3,547 Shares redeemed (809,166) (809,166) (3,312,358) (3,268,523) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (5,501) (5,500) $ (35,651) (35,652) ============================================================================================================================= 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) =============================================================================================================================
143 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,971,851 3,971,850 $ 909,417 909,417 Shares issued in reinvestment of distributions 2,865 2,865 471 471 Shares redeemed (4,247,750) (4,247,749) (854,008) (854,008) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (273,034) (273,034) $ 55,880 55,880 ============================================================================================================================= 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 ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 4,452,439 4,452,439 $ 4,127,040 4,127,040 Shares issued in reinvestment of distributions 2,497 2,496 1,714 1,713 Shares redeemed (4,319,407) (4,319,406) (3,891,905) (3,891,903) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 135,529 135,529 $ 236,849 236,850 ============================================================================================================================= 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 =============================================================================================================================
144 TAX FREE MONEY MARKET FUND
MORGAN PREMIER -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 665,180 665,179 $ 6,879,307 6,879,307 Shares issued in reinvestment of distributions 648 648 920 920 Shares redeemed (723,077) (723,076) (6,742,608) (6,742,608) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (57,249) (57,249) $ 137,619 137,619 ============================================================================================================================= 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 ============================================================================================================================= AGENCY INSTITUTIONAL -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 1,691,243 1,691,243 $ 20,122,768 20,122,776 Shares issued in reinvestment of distributions 1,268 1,268 13,653 13,653 Shares redeemed (1,622,884) (1,622,884) (19,364,706) (19,364,705) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 69,627 69,627 $ 771,715 771,724 ============================================================================================================================= 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 =============================================================================================================================
145 CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN ---------------------------------- AMOUNT SHARES ------------------------------------------------------------------------------------------ SIX MONTHS ENDED FEBRUARY 29, 2004 ------------------------------------------------------------------------------------------ Shares sold $ 256,949 256,949 Shares issued in reinvestment of distributions 79 79 Shares redeemed (240,869) (240,869) ------------------------------------------------------------------------------------------ Net increase (decrease) in Fund shares outstanding $ 16,159 16,159 ========================================================================================== 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) ==========================================================================================
146 NEW YORK TAX FREE MONEY MARKET FUND
MORGAN RESERVE -------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES ----------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED FEBRUARY 29, 2004 ----------------------------------------------------------------------------------------------------------------------------- Shares sold $ 3,969,144 3,969,144 $ 186,979 186,980 Shares issued in reinvestment of distributions 2,647 2,647 217 217 Shares redeemed (3,970,929) (3,970,930) (179,131) (179,131) ----------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 862 861 $ 8,065 8,066 ============================================================================================================================= 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) =============================================================================================================================
147 JPMORGAN FUNDS Financial Highlights (unaudited)
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/01/03 YEAR ENDED 10/01/98** THROUGH ------------------------------------------------- THROUGH 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.27% 0.87% 1.71% 5.10% 5.65% 4.26% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 4,319 $ 4,627 $ 7,552 $ 10,367 $ 1,475 $ 515 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.59% 0.59% 0.58% 0.59% 0.59% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.54% 0.90% 1.72% 4.82% 5.53% 4.61% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.63% 0.62% 0.61% 0.61% 0.61% 0.72% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.50% 0.87% 1.69% 4.80% 5.51% 4.48% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 148
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.34% 1.01% 1.85% 5.25% 5.81% 4.90% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 5,601 $ 5,412 $ 5,182 $ 2,153 $ 1,841 $ 1,094 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.45% 0.45% 0.44% 0.45% 0.45% 0.45% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.68% 1.00% 1.80% 4.96% 5.67% 4.77% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.47% 0.46% 0.47% 0.49% 0.49% 0.49% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.66% 0.99% 1.77% 4.92% 5.63% 4.73% -------------------------------------------------------------------------------------------------------------------------------
+ Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 149
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.43% 1.20% 2.05% 5.45% 6.01% 5.10% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 12,752 $ 12,648 $ 12,562 $ 16,676 $ 9,430 $ 8,161 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.25% 0.26% 0.26% 0.26% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.87% 1.20% 2.08% 5.15% 5.86% 4.96% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.31% 0.31% 0.32% 0.33% 0.33% 0.33% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.82% 1.15% 2.01% 5.08% 5.79% 4.89% -------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 150
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- CLASS B --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) (b) 0.04% 0.25% 1.05% 4.43% 4.97% 4.07% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 7 $ 10 $ 13 $ 18 $ 11 $ 36 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 1.04% 1.21% 1.23% 1.24% 1.25% 1.25% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.09% 0.27% 1.10% 4.17% 4.87% 4.00% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.27% 1.47% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits (0.15%) 0.21% 1.07% 4.15% 4.85% 3.78% -------------------------------------------------------------------------------------------------------------------------------
+ Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any deferred sales load. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 151
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- CLASS C --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: 2/29/04 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 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) (b) 0.04% 0.25% 1.05% 4.43% 4.95% 3.85% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ --* $ 1 $ 1 $ --* $ --* $ 1 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 1.04% 1.21% 1.23% 1.24% 1.26% 1.45% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.09% 0.25% 1.16% 4.17% 4.86% 3.75% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.26% 1.45% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits (0.15%) 0.19% 1.13% 4.15% 4.86% 3.75% -------------------------------------------------------------------------------------------------------------------------------
+ Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any deferred sales load. (b) Not annualized for periods less than one year. * Amount rounds to less than one million. # Short periods have been annualized. See notes to financial statements. 152
PRIME MONEY MARKET FUND ------------------------------------ INSTITUTIONAL ------------------------------------ 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 ---------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 Less dividends from net investment income --+ 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.46% 1.27% 2.02% ======================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 23,428 $ 25,075 $ 21,881 ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.19% ---------------------------------------------------------------------------------------- Net investment income 0.93% 1.24% 2.06% ---------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.31% 0.31% 0.32% ---------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.82% 1.13% 1.93% ---------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND -------------------------------------------------------------- RESERVE -------------------------------------------------------------- 9/1/03 YEAR ENDED 7/31/00** THROUGH ------------------------------------ THROUGH 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 ------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------ TOTAL RETURN (b) 0.21% 0.76% 1.60% 4.88% 0.50% ================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 281 $ 355 $ 393 $ 10 $ --* ------------------------------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.70% 0.70% 0.68% 0.79% 0.79% ------------------------------------------------------------------------------------------------------------------ Net investment income 0.43% 0.76% 1.41% 4.62% 5.33% ------------------------------------------------------------------------------------------------------------------ Expenses without waivers and earnings credits 0.72% 0.71% 0.72% 2.17% 1.45% ------------------------------------------------------------------------------------------------------------------ Net investment income without waivers and earnings credits 0.41% 0.75% 1.37% 3.24% 4.67% ------------------------------------------------------------------------------------------------------------------
** Commencement of offering of class of shares. + Amount rounds to less than $.005. (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. 153
PRIME MONEY MARKET FUND --------------------------------------------------------------------------- SELECT CASH MANAGEMENT ------------------------------------ ------------------------------------ 9/1/03 YEAR 9/10/01** 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 --+ 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 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.34% 1.02% 1.78% 0.08% 0.50% 1.25% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 690 $ 776 $ 1,064 $ 72 $ 544 $ 282 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.44% 0.44% 0.42% 0.96% 0.95% 0.96% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.69% 1.03% 1.83% 0.17% 0.48% 1.17% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.48% 0.47% 0.46% 0.98% 0.96% 0.99% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.65% 1.00% 1.79% 0.15% 0.47% 1.14% -------------------------------------------------------------------------------------------------------------------------------
** Commencement of offering of class of shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 154
LIQUID ASSETS MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN PREMIER ------------------------------------ ------------------------------------ 9/1/03 YEAR 4/1/02** 9/1/03 YEAR 4/1/02** THROUGH ENDED THROUGH THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.01 --+ 0.01 0.01 Less dividends from net investment income --+ 0.01 0.01 --+ 0.01 0.01 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.30% 0.95% 0.64% 0.37% 1.09% 0.70% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 20 $ 18 $ 17 $ 40 $ 36 $ 26 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.54% 0.54% 0.45% 0.40% 0.40% 0.31% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.60% 0.95% 1.51% 0.75% 1.08% 1.65% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.94% 0.87% 0.83% 0.53% 0.51% 0.63% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.20% 0.62% 1.13% 0.62% 0.97% 1.33% -------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 155
LIQUID ASSETS MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY INSTITUTIONAL ------------------------------------ ------------------------------------ 9/1/03 YEAR 4/1/02** 9/1/03 YEAR 4/1/02** THROUGH ENDED THROUGH THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.01 --+ 0.01 0.01 Less dividends from net investment income --+ 0.01 0.01 --+ 0.01 0.01 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.47% 1.29% 0.78% 0.50% 1.35% 0.81% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 411 $ 284 $ 53 $ 2,520 $ 2,233 $ 1,119 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.21% 0.21% 0.13% 0.15% 0.15% 0.08% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.94% 1.16% 1.82% 1.00% 1.27% 1.87% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.33% 0.33% 0.44% 0.32% 0.33% 0.40% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.82% 1.04% 1.51% 0.83% 1.09% 1.55% -------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 156
U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.25% 0.84% 1.65% 4.93% 5.48% 4.55% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: # Net assets, end of period (millions) $ 2,581 $ 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% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.51% 0.84% 1.67% 4.80% 5.35% 4.46% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.68% 0.69% 0.69% 0.69% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.41% 0.74% 1.58% 4.70% 5.25% 4.36% ------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.32% 0.98% 1.79% 5.08% 5.62% 4.70% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: # Net assets, end of period (millions) $ 547 $ 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% 0.45% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.64% 0.96% 1.79% 4.95% 5.50% 4.60% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.57% 0.57% 0.57% 0.59% 0.58% 0.58% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.52% 0.84% 1.67% 4.81% 5.37% 4.47% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 157
U.S. GOVERNMENT MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.42% 1.17% 1.98% 5.28% 5.83% 4.92% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 4,106 $ 3,766 $ 4,497 $ 3,769 $ 2,639 $ 2,913 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.25% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.84% 1.17% 1.98% 5.09% 5.66% 4.80% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.33% 0.33% 0.31% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.78% 1.11% 1.92% 5.02% 5.59% 4.74% ------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------ INSTITUTIONAL ------------------------------------ 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 ---------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 Less dividends from net investment income --+ 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.45% 1.23% 1.96% ======================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,832 $ 1,526 $ 447 ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% ---------------------------------------------------------------------------------------- Net investment income 0.90% 1.13% 1.89% ---------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.32% 0.32% 0.32% ---------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.78% 1.01% 1.77% ----------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 158
TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.21% 0.79% 1.59% 4.77% 5.29% 4.39% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 664 $ 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% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.42% 0.82% 1.57% 4.70% 5.14% 4.27% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.70% 0.70% 0.72% 0.71% 0.69% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.31% 0.71% 1.46% 4.57% 5.02% 4.17% ------------------------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.28% 0.94% 1.73% 4.91% 5.44% 4.54% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,110 $ 1,228 $ 818 $ 326 $ 228 $ 476 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% 0.45% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.57% 0.91% 1.68% 4.84% 5.28% 4.42% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.49% 0.49% 0.49% 0.52% 0.51% 0.50% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.53% 0.87% 1.64% 4.77% 5.22% 4.37% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 159
TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.38% 1.14% 1.93% 5.12% 5.65% 4.75% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,392 $ 1,247 $ 1,416 $ 944 $ 904 $ 980 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% 0.24% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.77% 1.14% 1.88% 5.04% 5.48% 4.61% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.34% 0.34% 0.34% 0.36% 0.36% 0.31% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.68% 1.05% 1.79% 4.93% 5.37% 4.54% ------------------------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND --------------------------------------------------------------------------- INSTITUTIONAL RESERVE ------------------------------------ ------------------------------------ 9/1/03 YEAR 9/10/01** 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 2/29/04 8/31/03 8/31/02 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 --+ 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 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.41% 1.19% 1.90% 0.16% 0.68% 1.40% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 748 $ 298 $ 432 $ 237 $ 234 $ 235 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% 0.70% 0.70% 0.70% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.82% 1.18% 1.87% 0.32% 0.68% 1.35% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.34% 0.34% 0.34% 0.75% 0.75% 0.74% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.68% 1.04% 1.73% 0.27% 0.63% 1.31% -------------------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 160
FEDERAL MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.17% 0.70% 1.51% 4.84% 5.29% 4.46% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 260 $ 311 $ 452 $ 658 $ 576 $ 550 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% 0.70% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.35% 0.72% 1.53% 4.57% 5.17% 4.35% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.78% 0.79% 0.72% 0.74% 0.75% 0.78% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.27% 0.63% 1.51% 4.53% 5.12% 4.27% ------------------------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.30% 0.95% 1.77% 5.07% 5.50% 4.67% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,360 $ 1,214 $ 1,404 $ 276 $ 279 $ 298 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.45% 0.45% 0.45% 0.49% 0.50% 0.50% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.60% 0.96% 1.73% 4.78% 5.35% 4.56% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.47% 0.49% 0.50% 0.50% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.58% 0.94% 1.71% 4.78% 5.35% 4.56% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 161
FEDERAL MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.39% 1.14% 1.96% 5.30% 5.75% 4.92% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 328 $ 334 $ 523 $ 1,169 $ 287 $ 248 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.79% 1.20% 2.02% 5.01% 5.61% 4.79% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.33% 0.32% 0.34% 0.34% 0.34% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.72% 1.13% 1.96% 4.93% 5.53% 4.71% ------------------------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND ------------------------------------ INSTITUTIONAL ------------------------------------ 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 ---------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 Less dividends from net investment income --+ 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.42% 1.20% 1.93% ======================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,676 $ 1,712 $ 1,953 ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% ---------------------------------------------------------------------------------------- Net investment income 0.85% 1.20% 1.97% ---------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.32% 0.32% ---------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.73% 1.08% 1.85% ----------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 162
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.20% 0.75% 1.55% 4.75% 5.02% 4.31% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 2,262 $ 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% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.39% 0.77% 1.53% 4.59% 4.92% 4.15% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.69% 0.71% 0.71% 0.71% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.29% 0.67% 1.43% 4.47% 4.80% 4.03% ------------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.27% 0.88% 1.68% 4.84% 5.12% 4.40% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 545 $ 489 $ 353 $ 133 $ 116 $ 24 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.46% 0.46% 0.46% 0.48% 0.49% 0.50% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.53% 0.85% 1.52% 4.70% 5.02% 4.22% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.48% 0.52% 0.53% 0.56% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.52% 0.84% 1.50% 4.66% 4.98% 4.16% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 163
100% U.S. TREASURY SECURITIES MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.37% 1.09% 1.89% 5.11% 5.38% 4.67% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 953 $ 818 $ 1,090 $ 1,170 $ 872 $ 895 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% 0.24% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.73% 1.11% 1.86% 4.93% 5.26% 4.51% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.35% 0.34% 0.32% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.66% 1.04% 1.79% 4.83% 5.17% 4.43% ------------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------ INSTITUTIONAL ------------------------------------ 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 ---------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 Less dividends from net investment income --+ 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.40% 1.14% 1.85% ======================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,363 $ 1,126 $ 267 ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% ---------------------------------------------------------------------------------------- Net investment income 0.78% 1.08% 1.67% ---------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.32% 0.32% 0.33% ---------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.66% 0.96% 1.54% ----------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $0.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 164
TAX FREE MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.23% 0.69% 1.21% 3.13% 3.37% 2.73% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 598 $ 655 $ 903 $ 907 $ 895 $ 754 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.45% 0.72% 1.14% 3.09% 3.33% 2.68% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.68% 0.69% 0.69% 0.72% 0.75% 0.73% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.36% 0.62% 1.04% 2.96% 3.17% 2.54% ------------------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND --------------------------------------------------------------------------- PREMIER --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.30% 0.83% 1.35% 3.21% 3.41% 2.78% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 3,567 $ 3,429 $ 3,066 $ 116 $ 120 $ 130 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.45% 0.45% 0.45% 0.51% 0.55% 0.54% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.59% 0.82% 1.25% 3.17% 3.40% 2.74% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.48% 0.53% 0.59% 0.56% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.57% 0.80% 1.22% 3.15% 3.26% 2.72% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 165
TAX FREE MONEY MARKET FUND --------------------------------------------------------------------------- AGENCY@ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 0.03 0.04 0.03 Less dividends from net investment income --+ 0.01 0.02 0.03 0.04 0.03 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.39% 1.02% 1.54% 3.47% 3.71% 3.07% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 795 $ 725 $ 1,091 $ 921 $ 640 $ 476 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% 0.26% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.78% 1.05% 1.45% 3.42% 3.67% 3.01% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.36% 0.39% 0.35% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.72% 0.98% 1.38% 3.32% 3.54% 2.92% ------------------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND ------------------------------------ INSTITUTIONAL ------------------------------------ 9/1/03 YEAR 9/10/01** THROUGH ENDED THROUGH 2/29/04 8/31/03 8/31/02 ---------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 Less dividends from net investment income --+ 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 ---------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.42% 1.09% 1.54% ======================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 7,104 $ 6,332 $ 3,891 ---------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% ---------------------------------------------------------------------------------------- Net investment income 0.84% 1.05% 1.46% ---------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.31% 0.32% 0.33% ---------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.73% 0.93% 1.33% ----------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 166
CALIFORNIA TAX FREE MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.24% 0.72% 1.13% 2.70% 3.00% 2.66% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 165 $ 149 $ 163 $ 83 $ 78 $ 68 ------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.49% 0.72% 1.05% 2.68% 3.03% 2.55% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.79% 0.73% 0.76% 0.83% 0.90% 0.94% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.25% 0.54% 0.84% 2.40% 2.68% 2.16% -------------------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $.005. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 167
NEW YORK TAX FREE MONEY MARKET FUND --------------------------------------------------------------------------- MORGAN^ --------------------------------------------------------------------------- 9/1/03 YEAR ENDED THROUGH -------------------------------------------------------------- 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 8/31/99 ------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 ------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.23% 0.72% 1.20% 2.98% 3.27% 2.66% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,664 $ 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% 0.59% ------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.46% 0.72% 1.17% 2.88% 3.24% 2.61% ------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.69% 0.69% 0.71% 0.70% 0.71% ------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.35% 0.62% 1.07% 2.76% 3.13% 2.49% ------------------------------------------------------------------------------------------------------------------------------- NEW YORK TAX FREE MONEY MARKET FUND ----------------------------------------------------------------- RESERVE ----------------------------------------------------------------- 9/1/03 YEAR ENDED 7/31/00** THROUGH ------------------------------------ THROUGH 2/29/04 8/31/03 8/31/02 8/31/01 8/31/00 --------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 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 $ 1.00 --------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.13% 0.52% 1.00% 2.77% 0.28% ===================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 183 $ 175 $ 180 $ --* $ --* --------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.79% 0.79% 0.79% 0.90% 0.79% --------------------------------------------------------------------------------------------------------------------- Net investment income 0.26% 0.50% 0.85% 2.57% 3.04% --------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.88% 0.87% 0.90% 1560.21%!! 1.49% --------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.17% 0.42% 0.74% (1556.74%)!! 2.34% ---------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. ** Commencement of offering of class of shares. + Amount rounds to 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. 168 THIS PAGE IS INTENTIONALLY LEFT BLANK JP Morgan Family of Funds U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity 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 UNDISCOVERED MANAGERS FUNDS Behavioral Growth Fund Behavioral Value Fund REIT Fund Small Cap Growth Fund Funds may be registered under separate registrants. SEMI-ANNUAL REPORT (UNAUDITED) JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. The financial information in this report has been taken from the books and records of the Funds without examination by independent auditors, who express no opinion thereon. Investors should carefully read the Fund prospectus which includes information on the fund's investment objectives, risk, as well as charges and expenses along with other information. Investors should review the information in the prospectus carefully before investing. For up to date month-end performance information, or to receive a fund prospectus please call 800 348-4782. Please read carefully before investing or sending money. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-348-4782 and on the Commission's website at http://www.sec.gov. JPMorgan Funds Fulfillment Center 393 Manley Street West Bridgewater, MA 02379-1039 (C)J.P. Morgan Chase & Co., 2004 All Rights Reserved. April 2004 SAN-MMKT-204 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. NOT APPLICABLE. 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. (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)). (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE - ONLY FOR ANNUAL REPORTS. 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. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. 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. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). 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 any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. 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 11. 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. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (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 RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date April 29, 2004 ---------------------------------------------------------------------------- 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/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date April 29, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date April 29, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.