-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MmVtVfxcpjNfvs6k0QXCL/HGiiFpg7jQLDe4m/MY5oMlyJHz9qF8730ilANMR8oF ehFrgoNrR1z4uRE3g6Wf4A== 0001047469-04-033792.txt : 20041110 0001047469-04-033792.hdr.sgml : 20041110 20041110135434 ACCESSION NUMBER: 0001047469-04-033792 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040831 FILED AS OF DATE: 20041110 DATE AS OF CHANGE: 20041110 EFFECTIVENESS DATE: 20041110 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND TRUST CENTRAL INDEX KEY: 0000919034 IRS NUMBER: 161408763 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-08358 FILM NUMBER: 041132411 BUSINESS ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-837-1968 MAIL ADDRESS: STREET 1: C/O J.P. MORGAN FUND DISTRIBUTORS, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: MUTUAL FUND TRUST DATE OF NAME CHANGE: 19940215 N-CSR 1 a2145855zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-08358 --------------------------------------------- J.P. Morgan Mutual Fund Trust - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: August 31, 2004 -------------------------- Date of reporting period: September 1, 2003 through August 31, 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). ANNUAL REPORT AUGUST 31, 2004 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 116 Notes to Financial Statements 131 Financial Highlights 154
HIGHLIGHTS - - The economic recovery accelerated during the period and made the transition from being policy-dependent to becoming self-sustaining. - - Consumer spending slowed in July, blamed primarily on higher energy prices. 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 PRESIDENT'S LETTER AUGUST 31, 2004 DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Money Market Funds for the one-year period ending August 31, 2004. Inside you'll find in-depth information on our money market funds. U.S. ECONOMY CONTINUES TO EXPAND The economic recovery accelerated during the period and made the transition from being policy-dependent to becoming self-sustaining. Strong corporate profits buoyed the equity market and supported an increase in capital spending and hiring. Consumer price inflation, however, continued to slow despite ongoing excess capacity and comparatively high unemployment. The Federal Reserve Board indicated that it would keep its monetary policy on hold until economic conditions warrant a change. Because of the Fed's friendly stance, short-term money market rates remained relatively stable; longer maturity yields fell in response to mixed economic data, low inflation, and a persistently weak labor market. In the early part of 2004, economic data was mixed. Although the corporate profit picture was brighter, improved earnings did not translate into new job creation. Consumer sentiment weakened, but consumer spending increased. FEDERAL RESERVE BOARD RAISES SHORT-TERM INTEREST RATES The uptick in inflation and sharply improved economic conditions during the second quarter altered expectations about the Fed's position on short-term interest rates. Furthermore, stronger labor conditions and an increase in pretax income suggested that consumer spending growth could continue without support from tax cuts and without monetary stimulus. In June, the Fed raised short-term interest rates by a quarter-percent to 1.25%. Money market investors, who had endured an extended period of historically low yields, found the rate increase a welcome change. Consumer spending slowed in July, blamed primarily on higher energy prices. The economic outlook weakened during August with disappointing reports about new job creation. The Fed continued its measured tightening of monetary policy in August by raising short-term interest rates by another quarter-percent. At the end of the period, the Federal funds rate (the rate charged by banks for overnight loans) stood at 1.50%. 1 In the months ahead, short-term rates should continue to rise, resulting in higher yields in your money market funds. As always, your portfolio managers will look for opportunities to obtain the highest possible yields for you while focusing on the preservation of your principal. IMPORTANT MERGER NEWS As you may know, J.P. Morgan Chase & Co. and Bank One Corp. merged in July 2004, as approved by both firms' shareholders. The combined company is called JPMorgan Chase & Co. The merger is compelling both strategically and financially. The new combined organization has top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. And we have an extraordinarily talented team that shares common values and a strong client orientation. In the coming months, you will receive proxy information regarding proposed changes to the JPMorgan Funds. Please refer to Note 1 of the Financial Statements in this report for more details on these proposals. On behalf of all of us here at JPMorgan Investment Management, thank you for the trust you have placed in us. 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 August 31, 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 $49.0 BILLION Average maturity 42 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 26.5% 2-7 days 5.7% 8-30 days 28.7% 31-60 days 16.0% 61-90 days 10.3% 91-180 days 10.0% 181+ days 2.8%
7-DAY SEC YIELD(1) Morgan Shares 0.98% Premier Shares 1.12% Agency Shares 1.32% Select Shares 1.13% Cash Management Shares 0.60% Institutional Shares 1.38% Reserve Shares 0.87% B Shares 0.33% C Shares 0.33%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.94%, 1.10%, 1.25%, 1.08%, 0.53%, 1.25%, 0.84%, 0.29%, and 0.29% 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 August 31, 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 $2.6 BILLION Average maturity 50 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 14.6% 2-7 days 8.5% 8-30 days 39.3% 31-60 days 18.5% 61-90 days 4.6% 91-180 days 6.5% 181+ days 8.0%
7-DAY SEC YIELD(1) Morgan Shares 0.96% Premier Shares 1.10% Agency Shares 1.30% Institutional Shares 1.36%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.64%, 0.97%, 1.18% and 1.18% 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 August 31, 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 35 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 39.7% 2-7 days 4.1% 8-30 days 22.0% 31-60 days 16.3% 61-90 days 8.9% 91-180 days 6.6% 181+days 2.4%
7-DAY SEC YIELD(1) Morgan Shares 0.89% Premier Shares 1.03% Agency Shares 1.22% Institutional Shares 1.28%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.76%, 0.85%, 1.12%, and 1.12% 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 August 31, 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 $4.0 BILLION Average Maturity 35 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* EXEMPT
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. The National Association of Insurance Commissioners' (NAIC's) exempt status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1 day 75.5% 2-7 days 0.0% 8-30 days 1.2% 31-60 days 2.5% 61-90 days 2.6% 91-180 days 10.4% 181+days 7.8%
7-DAY SEC YIELD(1) Morgan Shares 0.88% Premier Shares 1.02% Agency Shares 1.23% Institutional Shares 1.28% Reserve Shares 0.77%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.79%, 0.99%, 1.14%, 0.73% and 1.14% 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 August 31, 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 $2.9 BILLION Average Maturity 39 DAYS S&P rating* AAAm Moody's rating* Aaa NAIC rating* APPROVED
* This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. The National Association of Insurance Commissioners' (NAIC's) "approved" status indicates that the Fund meets certain pricing and quality guidelines. MATURITY SCHEDULE 1 day 21.5% 2-7 days 7.9% 8-30 days 44.7% 31-60 days 8.1% 61-90 days 4.2% 91-180 days 11.2% 181+days 2.4%
7-DAY SEC YIELD(1) Morgan Shares 0.79% Premier Shares 1.05% Agency Shares 1.24% Institutional Shares 1.30%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.67%, 0.98%, 1.13%, and 1.13% 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 August 31, 2004 FUND FACTS Objective HIGH CURRENT INCOME CONSISTENT WITH CAPITAL PRESERVATION Primary Investments DIRECT OBLIGATIONS OF THE U.S. TREASURY INCLUDING TREASURY BILLS, BONDS AND NOTES Suggested investment time frame SHORT-TERM Share classes offered MORGAN, PREMIER, AGENCY, AND INSTITUTIONAL SHARES Net Assets $5.2 BILLION Average Maturity 60 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 0.0% 2-7 days 12.1% 8-30 days 34.4% 31-60 days 9.9% 61-90 days 23.9% 91-180 days 14.2% 181+days 5.5%
7-DAY SEC YIELD(1) Morgan Shares 0.77% Premier Shares 0.90% Agency Shares 1.11% Institutional Shares 1.16%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.67%, 0.89%, 1.04%, and 1.05% 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 August 31, 2004 FUND FACTS Objective HIGH CURRENT INCOME WHICH IS 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 $14.5 BILLION Average Maturity 34 DAYS S&P rating** AAAm Moody's rating NOT RATED NAIC rating NOT RATED
** This rating is historical and is based upon the Fund's credit quality, market price exposure and management. S&P has assigned the fund a rating of AAAm, which means safety is excellent and there is a superior capacity to maintain principal value and limit exposure to loss. MATURITY SCHEDULE 1 day 8.3% 2-7 days 71.4% 8-30 days 3.2% 31-60 days 5.5% 61-90 days 1.5% 91-180 days 3.2% 181+days 6.9%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------------ Morgan Shares 0.73% 1.12% Premier Shares 0.87% 1.34% Agency Shares 1.06% 1.63% Institutional Shares 1.13% 1.72%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.64%, 0.86%, 1.00%, and 1.01% 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 call1-800-766-7722 to obtain further information. (UNAUDITED) 9 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND As of August 31, 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 $154.3 MILLION Average Maturity 34 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 6.8% 2-7 days 78.1% 8-30 days 0.7% 31-60 days 0.0% 61-90 days 3.9% 91-180 days 3.2% 181+days 7.3%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------------ Morgan Shares 0.78% 1.31%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.47%. (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 August 31, 2004 FUND FACTS Objective HIGH CURRENT INCOME WHICH IS 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 $1.7 BILLION Average Maturity 39 DAYS S&P rating NOT RATED Moody's rating NOT RATED NAIC rating NOT RATED
MATURITY SCHEDULE 1 day 6.6% 2-7 days 67.6% 8-30 days 2.4% 31-60 days 7.8% 61-90 days 2.9% 91-180 days 5.1% 181+days 7.6%
YIELDS
TAXABLE 7-DAY EQUIVALENT SEC YIELD(1) YIELD(2) - ------------------------------------------------------------ Morgan Shares 0.74% 1.30% Reserve Shares 0.54% 0.95%
THE QUOTED PERFORMANCE IS PAST PERFORMANCE AND NOT A GUARANTEE OF FUTURE RESULTS. 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'S 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'S 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 0.63% for Morgan Shares and 0.45% 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 August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. GOVERNMENT AGENCY SECURITIES -- 5.2% Federal Home Loan Bank, $ 102,250 1.42%, 09/20/04, Ser. 412, FRN $ 102,246 400,000 1.48%, 10/05/05, FRN 399,769 300,000 Federal Home Loan Mortgage Corp., 1.46%, 11/17/04, MTN 300,000 Federal National Mortgage Association, 56,780 1.87%, 02/23/05, DN 56,264 675,000 1.47%, 10/03/05, FRN 674,522 500,000 1.51%, 10/21/05, FRN 499,628 500,000 1.53%, 12/29/05, FRN 499,609 ------------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 2,532,038 (Cost $2,532,038) ------------------------------------------------------------------------------------------- CORPORATE NOTES & BONDS -- 16.8% BANKING -- 4.8% 300,000 Bayerische Landesbank/New York, 1.60%, 300,000 09/24/04, FRN Links Finance LLC, 120,000 1.55%, 03/15/05 119,994 75,000 1.55%, 03/15/05 74,996 100,000 1.55%, 03/22/05 99,994 200,000 1.55%, 04/15/05, Ser. 1, MTN, FRN, # 199,981 100,000 1.57%, 05/13/05, Ser. 1, MTN, FRN, # 99,997 Wells Fargo Bank N.A., 543,670 1.54%, 02/14/05, FRN 543,670 769,980 1.67%, 09/14/05, MTN, FRN 769,980 160,000 Westpac Banking Corp./New York, 1.41%, 09/11/04, MTN, FRN 160,000 ------------------ 2,368,612 CONSUMER PRODUCTS -- 0.6% 300,000 Procter & Gamble Co., 1.53%, 10/08/10, FRN, # 300,000 DIVERSIFIED -- 1.8% General Electric Capital Corp., 468,000 1.66%, 09/09/04, FRN 468,000 400,000 1.68%, 09/17/04, MTN, FRN 400,000 ------------------ 868,000 FINANCIAL SERVICES -- 9.6% 75,000 Associates Corp. of North America, 1.67%, 06/27/05, FRN Beta Finance, Inc., 75,000 200,000 1.42%, 09/13/04, MTN, # 200,000 100,000 1.32%, 02/09/05, MTN, # 100,000 40,000 1.54%, 04/29/05, MTN, # 39,949 80,000 1.56%, 05/06/05, MTN, # 79,989 90,000 1.56%, 05/17/05, MTN, # 89,987 110,000 1.40%, 06/13/05, Ser. 1, MTN, FRN, # 109,983
See notes to financial statements. 12
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FINANCIAL SERVICES -- CONTINUED CC USA, Inc., $ 154,000 1.54%, 03/22/05 $ 153,983 119,000 1.56%, 04/25/05, Ser. 1, MTN, FRN, # 118,984 200,000 1.67%, 05/09/05, MTN, FRN, # 200,131 70,000 1.56%, 05/10/05 69,990 167,250 1.70%, 08/09/05, MTN, FRN, # 167,262 75,000 Citigroup Global Markets Holdings, Inc., 1.42%, 06/06/05 75,064 28,000 Dorada Finance, Inc., 1.55%, 05/17/05, MTN, FRN, # 27,996 HBOS Treasury Services PLC (United Kingdom), 310,000 1.48%, 09/02/04, MTN, FRN, # 310,000 300,000 1.58%, 09/24/04, MTN, FRN, # 300,000 455,000 1.75%, 11/20/04, MTN, FRN, # 455,000 80,250 1.52%, 03/14/05, MTN, FRN, # 80,295 250,000 Lehman Brothers Holdings, Inc., 1.61%, 09/22/04, Ser. G, MTN, FRN 250,000 345,000 Merrill Lynch & Co., Inc., 1.51%, 09/04/04, MTN, FRN 345,000 Money Market Trust, 60,000 1.55%, 06/03/04, Ser. 2004, FRN 60,000 263,000 1.68%, 09/16/05, Ser. A-2, FRN, # 263,000 310,000 Morgan Stanley, 1.72%, 08/15/05, Ser. 1, MTN, FRN 310,069 Restructured Asset Securities with Enhanced Returns (RACERS), 160,000 1.80%, 09/15/04, Ser. 2000-7-ZCM, Class A-3, FRN, # (i) 160,000 475,000 1.80%, 10/15/04, Ser. 2001-8-MM, Class A-1, FRN, # (i) 475,000 185,000 1.66%, 05/13/05, Ser. 2004-1-MM, # (i) 185,000 ------------------ 4,701,682 ------------------------------------------------------------------------------------------- Total Corporate Notes & Bonds 8,238,294 (Cost $8,238,294) ------------------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 3.2% Blue Heron Funding LTD, 260,000 1.64%, 03/18/05, Ser. 2-A, Class A, FRN, # 260,000 175,000 1.67%, 03/27/05, Ser. 7-A, Class A1, FRN, # 175,000 14,351 Cancara Asset Securitization LTD (Channel Islands), 1.53%, 10/15/04 14,324 120,000 Davis Square Funding LTD (Cayman Islands), 1.57%, 09/07/04, Ser. 2004-2A, Class AMMB, FRN (i) 120,000 100,000 Newcastle CDO LTD (Cayman Islands), 1.64%, 09/24/38, Ser. 3-A, Class 1-MM, FRN (i) 100,000 760,000 Special Purpose Accounts Receivable Cooperative Corp. (SPARCS), 1.69%, 01/26/05, Ser. 2004-3 760,000 48,187 TIAA Retail Commercial Trust, 1.67%, 09/29/04, Ser. 2003-1A, Class A1-MM, FRN 48,187
See notes to financial statements. 13
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED $ 85,000 Whitehawk Funding, LTD. (Cayman Islands), 1.81%, 06/15/05, Ser. 2004-1A, Class AMMB, FRN, # $ 85,000 ------------------------------------------------------------------------------------------- Total Asset Backed Securities 1,562,511 (Cost $1,562,511) ------------------------------------------------------------------------------------------- COMMERCIAL PAPER -- 29.0% ASSET BACKED SECURITIES -- 12.1% Aquinas Funding LLC, 50,000 1.14%, 10/04/04 + 49,948 50,000 1.56%, 10/14/04 49,907 75,000 1.88%, 02/14/05 74,350 ASAP Funding LTD, 30,000 1.57%, 09/21/04 29,974 16,000 1.53%, 09/30/04 15,980 Atlantis One Funding Corp., 55,637 1.07%, 09/16/04 55,612 107,673 1.79%, 01/10/05 106,972 120,239 1.87%, 02/01/05 119,283 50,890 1.88%, 02/02/05 50,481 20,473 Blue Ridge Asset Funding Corp., 1.51%, 09/16/04 20,460 50,000 Cantabric Finance LLC (United Kingdom), 1.68%, 10/25/04 49,874 Charta Corp., 40,000 1.52%, 09/22/04 39,965 90,000 1.66%, 11/16/04 89,685 35,500 Compass Securitization LLC, 1.72%, 11/26/04 35,354 51,689 Crown Point Capital Co., 1.52%, 09/10/04 51,669 Dorada Finance, Inc., 66,850 1.66%, 11/10/04 66,634 62,500 1.66%, 11/15/04 62,284 Edison Asset Securitization LLC, 121,990 1.57%, 09/01/04 121,990 144,000 1.36%, 09/07/04 143,967 129,529 1.14%, 10/01/04 129,406 491,757 1.88%, 02/01/05 487,827 127,000 Gemini Funding Corp., 1.54%, 09/16/04 126,919 Giro Balanced Funding Corp., 105,000 1.58%, 09/27/04 104,880 24,820 1.55%, 10/18/04 24,770 121,686 1.70%, 11/22/04 121,215 Giro Funding U.S. Corp., 111,958 1.55%, 09/22/04 111,857 64,948 1.54%, 10/15/04 64,826 259,049 Giro Multi-Funding Corp., 1.54%, 09/20/04 258,838 Grampian Funding LLC, 75,476 1.07%, 09/14/04 75,447 130,000 1.07%, 09/21/04 129,923 125,000 1.08%, 09/23/04 124,918 110,000 1.16%, 10/06/04 109,876
See notes to financial statements. 14
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ASSET BACKED SECURITIES -- CONTINUED $ 83,000 1.66%, 11/19/04 $ 82,698 416,000 1.66%, 11/22/04 414,427 125,100 K2 (USA) LLC, 1.88%, 02/08/05 124,055 Liberty Street Funding Corp., 127,466 1.51%, 09/03/04 127,455 37,119 1.52%, 09/07/04 37,110 25,000 1.56%, 09/23/04 24,976 20,000 1.56%, 09/24/04 19,980 Newport Funding Corp., 58,000 1.58%, 09/01/04 58,000 200,000 1.51%, 09/13/04 199,899 Park Granada LLC, 75,208 1.59%, 09/01/04 75,208 35,000 1.12%, 09/07/04 34,993 143,246 1.51%, 09/09/04 143,198 228,981 1.55%, 09/10/04 228,892 77,000 1.52%, 09/13/04 76,961 Scaldis Capital LLC, 100,000 1.51%, 09/07/04 99,975 75,000 1.54%, 09/15/04 74,955 55,077 1.66%, 11/17/04 54,881 Sheffield Receivables Corp., 72,000 1.51%, 09/03/04 71,994 100,000 1.54%, 09/09/04 99,966 Silver Tower U.S. Funding LLC, 110,000 1.29%, 10/27/04 109,780 72,000 1.67%, 11/03/04 71,790 Thames Asset Global Securitization (TAGS), 225,000 1.54%, 09/20/04 224,817 106,065 1.66%, 11/18/04 105,684 Tulip Funding Corp., 70,000 1.73%, 11/23/04 69,721 181,725 1.73%, 11/24/04 180,991 ------------------ 5,917,497 BANKING -- 8.7% 100,000 American Express Centurion Bank, 1.52%, 09/09/04 100,000 70,000 Bank of Ireland (Ireland), 1.14%, 10/04/04 69,927 Citibank Credit Card Issuance Trust, 100,000 1.55%, 09/09/04 99,966 70,000 1.52%, 09/09/04 69,976 150,000 1.53%, 09/15/04 149,911 278,000 1.54%, 09/20/04 277,774 100,000 1.51%, 09/24/04 99,901 50,000 1.53%, 09/28/04 49,943 70,000 1.57%, 10/07/04 69,890 Credit Suisse First Boston, Inc., 399,500 1.36%, 09/09/04 399,379 326,500 1.52%, 10/13/04 325,921
See notes to financial statements. 15
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED BANKING -- CONTINUED $ 118,000 Danske Bank AS (Denmark), 1.14%, 10/07/04 $ 117,865 Den Danske Bank (Norway), 175,000 1.18%, 10/18/04 174,732 100,000 1.18%, 10/19/04 99,843 14,000 ING America Insurance Holdings, Inc. (The Netherlands), 1.08%, 09/28/04 13,989 Norddeutsche Landesbank Girozentrale (Germany), 75,000 1.24%, 10/22/04 74,868 117,000 1.66%, 11/17/04 116,585 50,000 1.66%, 11/18/04 49,820 152,000 Rabobank USA Finance Corp., 1.57%, 09/01/04 152,000 Santander Central Hispano SA (Spain), 150,000 1.11%, 09/07/04 149,972 175,000 1.11%, 10/01/04 174,839 150,000 1.14%, 10/07/04 149,829 35,800 1.25%, 10/22/04 35,737 24,250 1.50%, 12/01/04 24,158 100,000 Santander Finance Delaware, Inc., 1.07%, 09/23/04 99,935 161,658 Societe Generale N.A., Inc., 1.09%, 09/02/04 Spintab AB (Germany), 161,653 250,000 1.53%, 10/13/04 249,554 200,000 1.55%, 10/19/04 199,587 70,000 Swiss Re Financial Products Corp. (Switzerland), 1.17%, 10/13/04 69,904 234,561 UBS Finance (Delaware), 1.57%, 09/01/04 234,561 200,000 Westpac Banking Corp. (Australia), 1.18%, 10/19/04 199,687 ------------------ 4,261,706 COMPUTER SOFTWARE -- 0.5% 250,000 Descartes Funding Trust Corp., 1.60%, 11/15/04 250,000 DIVERSIFIED -- 2.0% General Electric Capital Corp., 216,279 1.40%, 09/01/04 216,279 139,000 1.32%, 09/10/04 138,954 291,000 1.66%, 11/15/04 289,994 250,000 1.69%, 12/17/04 248,744 97,000 1.88%, 02/01/05 96,225 ------------------ 990,196 FINANCIAL SERVICES -- 5.2% 64,500 Beta Finance, Inc., 1.66%, 11/15/04 64,277 150,000 Cafco LLC, 1.65%, 11/15/04 149,484 CC USA, Inc., 40,000 1.54%, 10/01/04 39,949 71,500 1.67%, 11/23/04 71,225 254,000 Citigroup Global Markets Holdings, Inc., 1.54%, 09/22/04 253,772 150,000 CRC Funding LLC, 1.65%, 11/15/04 149,484
See notes to financial statements. 16
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FINANCIAL SERVICES -- CONTINUED $ 40,000 Discover Card Master Trust, 1.55%, 10/13/04 Goldman Sachs Group, Inc., $ 39,928 200,000 1.27%, 09/24/04 200,000 175,000 1.61%, 10/13/04 175,000 642,500 1.69%, 11/15/04 642,499 370,000 1.99%, 02/24/05 370,000 Govco, Inc., 62,750 1.35%, 09/07/04 62,736 160,000 1.66%, 11/18/04 159,425 100,000 1.72%, 11/26/04 99,589 67,766 KBC Financial Products (Belgium), 1.59%, 09/01/04 67,766 ------------------ 2,545,134 INSURANCE -- 0.3% Irish Life & Permanent PLC (Ireland), 65,000 1.66%, 11/15/04 64,775 99,086 1.67%, 11/19/04 98,724 ------------------ 163,499 TRANSPORTATION -- 0.2% Network Rail LTD (United Kingdom), 60,000 1.15%, 10/14/04 59,917 32,700 1.20%, 10/22/04 32,645 ------------------ 92,562 ------------------------------------------------------------------------------------------- Total Commercial Paper 14,220,594 (Cost $14,220,594) ------------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 28.8% 289,000 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 1.11%, 09/07/04 289,000 150,000 Allied Irish Banks PLC (Ireland) (Yankee), 1.20%, 10/22/04 150,000 Banco Bilbao Vizcaya Argentaria SA (Spain) (Yankee), 325,000 1.55%, 10/19/04 325,000 625,000 1.70%, 12/21/04 624,999 100,000 Banco Bilbao Vizcaya Argentina/New York (Yankee), 1.66%, 11/16/04, Floating Rate 99,998 300,000 Banque Nationale de Paris/New York (Yankee), 1.52%, 12/08/04 299,984 Barclays Bank PLC/New York (Yankee), 100,000 1.48%, 09/07/04, Floating Rate 99,999 250,000 1.55%, 09/13/04, Floating Rate 249,999 500,000 1.55%, 11/03/04, Floating Rate 499,987 405,000 1.55%, 12/01/04 404,980 Bayerische Landesbank/New York (Yankee), 50,000 1.55%, 09/13/04, Floating Rate 50,000 92,000 1.58%, 09/30/04, Floating Rate 92,002 50,000 1.59%, 09/30/04, Ser. 1, Floating Rate 49,999 75,000 1.55%, 12/20/04, Floating Rate 74,996 128,000 1.70%, 05/09/05, Floating Rate 128,037
See notes to financial statements. 17
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED BNP Paribas (France) (Yankee), $ 175,000 1.36%, 09/10/04 $ 175,000 725,000 1.15%, 10/15/04 724,999 250,000 1.70%, 12/21/04 250,000 300,000 1.55%, 04/29/05 299,961 25,000 Calyon Securities (USA), Inc., 1.38%, 09/14/04 25,000 150,000 Canadian Imperial Bank of Commerce (Canada) (Yankee), 1.11%, 09/03/04 150,000 Canadian Imperial Bank of Commerce/New York (Yankee), 30,000 1.58%, 12/08/04 29,999 100,000 1.58%, 05/31/05 99,980 Citibank N.A., 185,000 1.43%, 09/13/04 185,000 150,000 1.66%, 11/22/04 150,000 150,000 Credit Agricole Indosuez SA (France) (Yankee), 1.17%, 10/26/04 150,000 75,000 Credit Lyonnais (France) (Yankee), 1.26%, 10/24/04 75,001 188,900 Credit Suisse First Boston/New York (Yankee), 1.68%, 11/22/04 188,881 Deutsche Bank AG (Germany) (Yankee), 75,000 1.38%, 09/07/04 75,000 185,000 1.51%, 10/08/04, Floating Rate 185,000 300,000 1.70%, 12/22/04 300,000 150,000 Dexia Credit Local (France) (Yankee), 1.15%, 10/13/04 150,000 100,000 Discover Bank, 1.58%, 09/28/04 100,000 150,000 Fortis Bank/New York (Yankee), 1.53%, 12/08/04 149,992 HBOS Treasury Services PLC (United Kingdom) (Yankee), 150,000 1.08%, 09/29/04 150,000 225,000 1.09%, 10/01/04 225,000 264,000 1.54%, 10/15/04 264,000 385,000 1.90%, 02/09/05 385,000 350,000 Landesbank Baden-Wuerttemberg/New York (Yankee), 1.51%, 09/10/04, Floating Rate 349,999 Landesbank Hessen-Thuringen Girozentrale (Germany) (Yankee), 75,000 1.51%, 11/19/04 75,001 300,000 1.71%, 12/22/04 300,000 Natexis Banques Populaires (France) (Yankee), 200,000 1.10%, 09/03/04 200,000 100,000 1.44%, 07/01/05 99,975 200,000 Norddeutsche Landesbank Girozentrale (Germany), 1.37%, 09/07/04 200,000 250,000 Nordea Bank AB (Finland), 1.20%, 10/22/04 250,000 260,000 Nordea Bank AB (Sweden) (Yankee), 1.90%, 02/09/05 260,006
See notes to financial statements. 18
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED $ 175,000 Royal Bank of Canada/New York (Yankee), 1.50%, 12/07/04 $ 174,993 Royal Bank of Scotland (United Kingdom) (Yankee), 100,000 1.51%, 12/08/04 99,997 375,000 1.70%, 05/04/05 374,962 478,700 2.47%, 07/15/05 478,628 Societe Generale (France) (Yankee), 375,000 1.10%, 09/01/04 375,000 460,000 2.49%, 07/15/05 459,882 500,000 Societe Generale/New York (Yankee), 1.54%, 05/10/05 499,923 Toronto Dominion Bank/New York (Yankee), 100,000 1.11%, 09/08/04 100,000 250,000 1.36%, 09/10/04 250,000 UniCredito Italiano SPA (Italy) (Yankee), 160,000 1.16%, 10/06/04 160,003 370,000 1.36%, 09/10/04 370,000 160,000 1.68%, 11/22/04 160,000 50,000 US Bank N.A., 1.14%, 10/08/04 50,000 350,000 Wells Fargo & Co., 1.53%, 09/13/04 350,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 450,000 1.37%, 09/09/04 450,000 100,000 1.51%, 12/07/04 100,000 ------------------------------------------------------------------------------------------- Total Certificates of Deposit 14,115,162 (Cost $14,115,162) ------------------------------------------------------------------------------------------- TIME DEPOSITS -- 6.7% 155,837 BNP Paribas (France) (Yankee), 1.57%, 09/01/04 155,837 134,304 Branch Banking & Trust Co., 1.44%, 09/01/04 134,304 550,000 Citibank N.A., 1.44%, 09/01/04 550,000 300,000 Fifth Third Bank, 1.44%, 09/01/04 300,000 550,000 National Australia Bank LTD (Australia), 1.59%, 09/01/04 550,000 250,000 Regions Bank, 1.44%, 09/01/04 250,000 141,712 Societe Generale (France), 1.58%, 09/01/04 141,712 243,118 SouthTrust Bank, 1.44%, 09/01/04 243,118 11,249 State Street Bank & Trust Co., 1.58%, 09/01/04 11,249 SunTrust Bank, Inc. 484,262 1.41%, 09/01/04 484,262 450,000 1.44%, 09/01/04 450,000 ------------------------------------------------------------------------------------------- Total Time Deposits 3,270,482 (Cost $3,270,482) -------------------------------------------------------------------------------------------
See notes to financial statements. 19
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED REPURCHASE AGREEMENTS -- 10.3% $ 1,000,000 Citigroup, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $1,000,044, collateralized by U.S. Government Agency Securities $ 1,000,000 900,000 Citigroup, Inc., 1.61%, dated 08/31/04, due 09/01/04, repurchase price $900,040, collateralized by U.S. Government Agency Securities 900,000 24,472 Credit Suisse First Boston, Inc., 1.55%, dated 08/31/04, due 09/01/04, repurchase price $24,473, collateralized by U.S. Government Agency Securities 24,472 1,700,000 Credit Suisse First Boston, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $1,700,074, collateralized by U.S. Government Agency Securities 1,700,000 14,235 Deutsche Bank Securities, Inc., 1.55%, dated 08/31/04, due 09/01/04, repurchase price $14,236, collateralized by U.S. Government Agency Securities 14,235 500,000 Deutsche Bank Securities, Inc., 1.59%, dated 08/31/04, due 09/01/04, repurchase price $500,022, collateralized by U.S. Government Agency Securities 500,000 500,000 Deutsche Bank Securities, Inc., 1.62%, dated 08/31/04, due 09/01/04, repurchase price $500,023, collateralized by U.S. Government Agency Securities 500,000 400,000 Merrill Lynch & Co. 1.61%, dated 08/31/04, due 09/01/04, repurchase price $400,017, collateralized by U.S. Government Agency Securities 400,000 ------------------------------------------------------------------------------------------- Total Repurchase Agreements 5,038,707 (Cost $5,038,707) ------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 48,977,788 (Cost $48,977,788) * -------------------------------------------------------------------------------------------
See notes to financial statements. 20 JPMORGAN LIQUID ASSETS MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. GOVERNMENT AGENCY SECURITIES -- 8.2% $ 60,000 Federal Home Loan Bank, 1.60%, 04/26/05, FRN $ 60,000 55,000 Federal Home Loan Mortgage Corp., 1.50%, 02/14/05, Ser. 1, MTN, FRN 55,000 Federal National Mortgage Association, 25,000 1.47%, 10/03/05, FRN 24,982 75,000 1.53%, 12/29/05, FRN 74,942 ------------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 214,924 (Cost $214,924) ------------------------------------------------------------------------------------------- SUPRANATIONAL NOTES & BONDS -- 1.9% 50,000 Corp. Andina de Fomento, 1.87%, 11/17/04, MTN, FRN 50,000 (Cost $50,000) CORPORATE NOTES & BONDS -- 18.7% BANKING -- 1.0% 2,450 HSBC (USA), Inc., 1.71%, 09/24/04, FRN 2,450 25,000 LaSalle Bank N.A., 1.15%, 10/06/04 25,001 ------------------ 27,451 DIVERSIFIED -- 0.2% 6,000 General Electric Capital Corp., 1.66%, 09/09/04, FRN 6,000 FINANCIAL SERVICES -- 16.9% 30,000 Beta Finance, Inc., 1.40%, 06/13/05, Ser. 1, MTN, FRN, # 29,995 30,000 CC USA, Inc., 1.56%, 05/10/05, # 29,996 25,000 Citigroup Global Markets Holdings, Inc., 1.42%, 06/06/05 25,021 75,000 Dorada Finance, Inc., 1.55%, 05/17/05, MTN, FRN, # 74,990 30,000 HBOS Treasury Services PLC (United Kingdom), 1.48%, 09/02/04, MTN, FRN, # 30,000 1,779 Household Finance Corp., 5.88%, 09/25/04 1,784 30,000 John Hancock Global Funding II, 1.74%, 09/27/04, MTN, FRN, # 30,004 75,000 Links Finance LLC, 1.56%, 06/10/05, Ser. 1, MTN, FRN, # 74,988 Merrill Lynch & Co., Inc., 24,000 1.71%, 03/23/05, MTN, FRN 24,023 40,000 1.51%, 09/04/04, MTN, FRN 40,000 67,000 Money Market Trust, 1.68%, 08/09/05, Ser. A-2, FRN, # 67,000 15,000 Restructured Asset Securities with Enhanced Returns (RACERS), 1.66%, 05/13/05, Ser. 2004-1-MM, # (i) 15,000 ------------------ 442,801
See notes to financial statements. 21
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED INSURANCE -- 0.6% $ 15,000 SunAmerica Global Financing VIII, 1.73%, 11/15/04, FRN, # $ 15,004 ------------------------------------------------------------------------------------------- Total Corporate Notes & Bonds 491,256 (Cost $491,256) ------------------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 1.7% 30,000 Davis Square Funding LTD (Cayman Islands), 1.57%, 09/07/04, Ser. 2004-2A, Class AMMB, FRN, # (i) 30,000 15,000 Whitehawk Funding, LTD. (Cayman Islands), 1.81%, 06/15/05, Ser. 2004-1A, Class AMMB, FRN, # 15,000 ------------------------------------------------------------------------------------------- Total Asset Backed Securities 45,000 (Cost $45,000) ------------------------------------------------------------------------------------------- COMMERCIAL PAPER -- 28.0% ASSET BACKED SECURITIES -- 12.6% 25,000 ASAP Funding LTD, 1.57%, 09/21/04 + 24,978 Atlantis One Funding Corp., 97,130 1.07%, 09/08/04 97,109 50,000 1.08%, 09/21/04 49,970 52,000 Grampian Funding LLC, 1.07%, 09/07/04 K2 (USA) LLC, 51,991 26,400 1.07%, 09/13/04 26,391 25,000 1.15%, 10/04/04 24,974 21,900 1.15%, 10/08/04 21,874 25,000 Park Granada LLC, 1.55%, 09/10/04 24,990 11,000 Silver Tower U.S. Funding LLC, 1.25%, 10/22/04 10,981 ------------------ 333,258 BANKING -- 6.0% 100,000 Bradford & Bingley PLC (United Kingdom), 1.56%, 01/07/05, # 100,000 27,890 Eurohypo AG (Germany), 0.00%, 09/01/04 27,890 30,000 Santander Central Hispano SA (Spain), 1.48%, 09/22/04 29,974 ------------------ 157,864 FINANCIAL SERVICES -- 6.1% Goldman Sachs Group, Inc., 40,000 1.29%, 09/27/04 40,000 50,000 1.69%, 11/15/04 50,001 30,000 1.99%, 02/24/05 30,000 25,000 Govco, Inc., 1.35%, 09/08/04 24,993 15,000 Silver Tower U.S. Funding LLC, 1.12%, 09/15/04 14,993 ------------------ 159,987 TRANSPORTATION -- 2.5% Network Rail LTD (United Kingdom), 30,000 1.15%, 10/14/04 29,959 35,000 1.90%, 02/07/05 34,706 ------------------ 64,665
See notes to financial statements. 22
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED UTILITIES -- 0.8% $ 20,000 RWE AG (Germany), 1.26%, 10/20/04 $ 19,966 ------------------------------------------------------------------------------------------- Total Commercial Paper 735,740 (Cost $735,740) ------------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 32.9% 20,500 ABN-AMRO Bank N.V. (The Netherlands) (Yankee), 1.11%, 09/07/04 20,500 100,000 Alliance & Leicester PLC (United Kingdom) (Yankee), 1.36%, 09/09/04 99,999 25,000 Allied Irish Banks PLC (Ireland) (Yankee), 1.27%, 10/29/04 25,000 25,000 Banco Bilbao Vizcaya Argentaria SA (Spain) (Yankee), 1.09%, 09/20/04 25,000 25,000 Barclays Bank PLC/New York (Yankee), 1.55%, 12/01/04 24,999 50,000 Bayerische Landesbank Girozentrale (Germany) (Yankee), 1.08%, 09/09/04 50,000 50,000 Calyon Securities (USA), Inc., 1.38%, 09/14/04 50,000 10,000 Canadian Imperial Bank of Commerce/New York (Yankee), 1.58%, 12/08/04 10,000 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 60,000 Dexia Credit Local (France) (Yankee), 1.07%, 09/13/04 60,000 25,000 Fortis Bank/New York (Yankee), 1.41%, 09/03/04 25,000 25,000 Natexis Banques Populaires (France) (Yankee), 1.15%, 10/14/04 25,000 30,000 Norddeutsche Landesbank Girozentrale (Germany) (Yankee), 1.74%, 05/04/05 30,000 100,000 Nordea Bank Finland PLC (Finland) (Yankee), 2.30%, 06/14/05 99,981 50,000 Royal Bank Scotland (United Kingdom), 1.80%, 06/01/05 49,994 30,000 Societe Generale (France) (Yankee), 2.49%, 07/15/05 29,992 25,000 Societe Generale/New York (Yankee), 1.27%, 10/20/04 25,000 UniCredito Italiano SPA (Italy) (Yankee), 75,000 1.36%, 09/09/04 75,000 20,000 1.68%, 11/22/04 20,000 20,000 Westdeutsche Landesbank Girozentrale (Germany) (Yankee), 1.27%, 10/14/04 20,003 ------------------------------------------------------------------------------------------- Total Certificates of Deposit 865,468 (Cost $865,468) -------------------------------------------------------------------------------------------
See notes to financial statements. 23
PRINCIPAL AMOUNT (USD) ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED REPURCHASE AGREEMENT -- 8.6% $ 227,424 Greenwich Capital Markets, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $227,434, collateralized by U.S. Government Agency Securities $ 227,424 (Cost $227,424) - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,629,812 (Cost $2,629,812) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 24 JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. GOVERNMENT AGENCY SECURITIES -- 73.0% Federal Farm Credit Bank, $ 300,000 1.49%, 10/14/05, FRN $ 299,866 100,000 1.48%, 12/14/05, FRN 99,935 50,000 1.43%, 12/21/05, FRN 49,967 75,000 1.46%, 04/06/06, FRN 74,982 65,000 1.53%, 04/20/06, FRN 65,000 Federal Home Loan Bank, 65,120 1.30%, 09/01/04, DN 65,120 24,000 1.03%, 09/03/04, DN 23,999 200,000 1.42%, 09/20/04, Ser. 412, FRN 199,993 49,205 1.13%, 10/06/04, Ser. VJ04 49,193 225,000 1.55%, 04/07/05, Ser. 435, FRN 225,027 75,000 1.54%, 04/25/05, Ser. 438, FRN 74,992 164,000 1.60%, 04/26/05, FRN 164,000 200,000 1.65%, 05/03/05, FRN 200,000 41,500 2.28%, 06/15/05 41,470 452,400 1.25%, 09/08/05, FRN 452,147 237,675 1.34%, 09/12/05, FRN 237,552 50,000 1.50%, 09/16/05, Ser. 456, FRN 49,984 100,000 1.49%, 10/03/05, FRN 99,945 Federal Home Loan Mortgage Corp., 25,000 1.03%, 09/07/04, DN 24,996 95,700 1.04%, 09/21/04, DN 95,645 57,685 1.15%, 10/12/04, DN 57,609 180,906 1.08%, 10/18/04, DN 180,652 99,575 1.19%, 10/19/04, DN 99,417 100,000 1.08%, 11/01/04, DN 99,817 100,000 1.15%, 11/04/04, DN 99,796 23,679 1.18%, 11/15/04, DN 23,621 80,000 3.25%, 11/15/04 80,335 30,000 1.62%, 11/16/04, DN 29,897 100,000 1.46%, 11/17/04, MTN 100,000 40,531 1.19%, 11/22/04, DN 40,421 50,000 1.51%, 12/07/04, Ser. 3, MTN 50,002 48,000 1.64%, 12/21/04, DN 47,757 83,786 1.86%, 02/08/05, DN 83,095 212,000 1.50%, 02/14/05, Ser. 1, MTN, FRN 212,000 50,000 2.38%, 07/15/05, MTN 49,967 65,000 2.40%, 07/15/05, MTN 64,981 50,000 7.00%, 07/15/05 51,937 15,520 1.37%, 09/09/05, MTN, FRN 15,521 Federal National Mortgage Association, 10,000 1.09%, 09/01/04, DN 10,000 400,000 1.35%, 09/10/04, FRN 400,003 402,000 1.50%, 09/10/04, FRN 401,995 72,490 1.50%, 09/20/04, DN 72,433 100,000 1.21%, 10/13/04, DN 99,859 115,110 1.20%, 10/20/04, DN 114,922
See notes to financial statements. 25
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED $ 50,000 1.23%, 10/27/04, DN $ 49,905 200,000 1.14%, 11/08/04, DN 199,569 92,000 1.17%, 11/09/04, DN 91,794 48,500 1.30%, 11/12/04, DN 48,374 5,000 1.75%, 01/19/05, DN 4,966 75,000 1.56%, 01/28/05, FRN 74,994 150,000 1.85%, 02/02/05, DN 148,813 60,956 1.87%, 02/16/05, DN 60,424 10,000 7.00%, 07/15/05 10,387 200,000 1.52%, 08/29/05, FRN 199,905 250,000 1.23%, 09/06/05, FRN 249,847 300,000 1.47%, 10/03/05, FRN 299,787 140,000 1.53%, 12/29/05, FRN 139,891 25,000 Student Loan Marketing Association, 3.63%, 09/30/04 25,048 ------------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 6,683,554 (Cost $6,683,554) ------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 27.0% 175,000 Bear Stearns Securities, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $175,008, collateralized by U.S. Government Agency Securities 175,000 925,000 Credit Suisse First Boston, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $925,041, collateralized by U.S. Government Agency Securities 925,000 646,168 Goldman, Sachs & Co. 1.59%, dated 08/31/04, due 09/01/04, repurchase price $646,197, collateralized by U.S. Government Agency Securities 646,168 727,511 Greenwich Capital Markets, Inc., 1.60%, dated 08/31/04, due 09/01/04, repurchase price $727,543, collateralized by U.S. Government Agency Securities 727,511 ------------------------------------------------------------------------------------------- Total Repurchase Agreements 2,473,679 (Cost $2,473,679) - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 9,157,233 (Cost $9,157,233) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 26 JPMORGAN TREASURY PLUS MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. TREASURY SECURITIES -- 24.5% U.S. Treasury Bills, $ 275 1.30%, 09/23/04 $ 275 100,000 1.13%, 10/21/04 99,844 180,000 1.70%, 02/03/05 178,683 U.S. Treasury Notes & Bonds, 50,000 1.88%, 09/30/04 50,034 30,000 2.13%, 10/31/04 30,051 75,000 5.88%, 11/15/04 75,736 239,000 2.00%, 11/30/04 239,503 65,000 1.50%, 02/28/05 65,076 100,000 1.63%, 03/31/05 100,291 75,000 1.63%, 04/30/05 75,000 73,700 1.13%, 06/30/05 73,058 ------------------------------------------------------------------------------------------- Total U.S. Treasury Securities 987,551 (Cost $987,551) ------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 75.5% 522,528 Credit Suisse First Boston, Inc., 1.55%, dated 08/31/04, due 09/01/04, repurchase price $522,550, collateralized by U.S. Government Agency Securities+ 522,528 548,943 Deutsche Bank Securities, Inc., 1.55%, dated 08/31/04, due 09/01/04, repurchase price $548,967, collateralized by U.S. Government Agency Securities 548,943 100,927 Greenwich Capital Markets, Inc., 1.56%, dated 08/31/04, due 09/01/04, repurchase price $100,931, collateralized by U.S. Government Agency Securities 100,927 326,000 Merrill Lynch & Co. 1.54%, dated 08/31/04, due 09/01/04, repurchase price $326,014, collateralized by U.S. Government Agency Securities 326,000 810,000 Morgan Stanley & Co. 1.56%, dated 08/31/04, due 09/01/04, repurchase price $810,035, collateralized by U.S. Government Agency Securities 810,000 732,158 UBS Warburg LLC, 1.55%, dated 08/31/04, due 09/01/04, repurchase price $732,190, collateralized by U.S. Government Agency Securities 732,158 ------------------------------------------------------------------------------------------- Total Repurchase Agreements 3,040,556 (Cost $3,040,556) - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 4,028,107 (Cost $4,028,107) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 27 JPMORGAN FEDERAL MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% U.S. TREASURY SECURITY -- 0.7% $ 20,000 U.S. Treasury Notes & Bonds, 1.63%, 04/30/05 $ 20,000 (Cost $20,000) U.S. GOVERNMENT AGENCY SECURITIES -- 99.3% Federal Farm Credit Bank, 32,000 1.14%, 09/02/04, DN + 31,999 48,500 1.14%, 09/15/04, DN 48,478 25,000 1.15%, 09/20/04, DN 24,985 7,489 1.16%, 09/27/04, DN 7,483 15,000 2.38%, 10/01/04 15,015 500,000 1.45%, 11/19/04, FRN 500,000 25,000 1.15%, 12/13/04, DN 24,918 150,000 1.35%, 07/01/05, FRN 150,000 150,000 1.50%, 09/30/05, FRN 149,968 150,000 1.49%, 10/14/05, FRN 149,933 70,000 1.58%, 06/28/06, FRN 69,986 Federal Home Loan Bank, 60,338 1.47%, 09/01/04, DN 60,338 34,744 1.04%, 09/08/04, DN 34,737 100,000 1.21%, 10/20/04, DN 99,835 33,365 1.84%, 02/02/05, DN 33,102 150,000 1.84%, 02/04/05, DN 148,805 125,000 1.87%, 02/25/05, DN 123,851 20,000 1.90%, 03/18/05, DN 19,791 125,000 1.55%, 04/07/05, Ser. 435, FRN 125,015 125,000 1.60%, 04/26/05, FRN 125,000 32,000 2.28%, 06/15/05 31,977 125,000 1.64%, 08/26/05, FRN 124,944 270,000 1.25%, 09/08/05, FRN 269,848 200,000 1.34%, 09/12/05, FRN 199,897 Student Loan Marketing Association, 200,000 1.65%, 09/16/04, FRN 200,000 15,000 3.63%, 09/30/04 15,029 150,000 Tennessee Valley Authority, 1.39%, 09/16/04, DN 149,914 ------------------------------------------------------------------------------------------- Total U.S. Government Agency Securities 2,934,848 (Cost $2,934,848) - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 2,954,848 (Cost $2,954,848) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 28 JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100% U.S. TREASURY SECURITIES -- 100.0% U.S. Treasury Bills, $ 629,984 1.33%, 09/02/04 + $ 629,960 1,221,375 1.29%, 09/09/04 1,221,025 124,186 1.07%, 09/16/04 124,131 19,304 1.31%, 09/23/04 19,289 297,132 1.15%, 09/30/04 296,856 287,040 1.14%, 10/07/04 286,712 128,010 1.32%, 10/14/04 127,809 99,457 1.34%, 10/21/04 99,273 200,000 1.44%, 11/04/04 199,488 361,251 1.45%, 11/18/04 360,116 197,447 1.51%, 11/26/04 196,735 50,581 1.56%, 12/23/04 50,334 200,000 1.71%, 02/03/05 198,528 316,617 1.75%, 02/24/05 313,914 U.S. Treasury Notes & Bonds, 124,437 1.88%, 09/30/04 124,521 454,937 2.13%, 10/31/04 455,528 25,000 5.88%, 11/15/04 25,228 175,696 2.00%, 11/30/04 176,078 79,000 1.50%, 02/28/05 79,091 100,000 1.63%, 03/31/05 100,291 108,000 1.13%, 06/30/05 107,057 - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 5,191,964 (Cost $5,191,964)* - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 29 JPMORGAN TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (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%, 09/01/04 $ 10,900 900 Alabama Special Care Facilities Financing Authority, Montgomery Hospital, Rev., FRDO, FGIC, 1.23%, 09/01/04 900 30,600 Alabama Special Care Facilities Financing Authority-Birmingham, Ascension Health Credit, Ser. B, Rev., FRDO, 1.33%, 09/01/04 30,600 5,000 Birmingham Airport Authority, Municipal Securities Trust Receipts, Ser. SGA-47, Rev., FRDO, MBIA, #, 1.40%, 09/01/04 5,000 15,000 DCH Health Care Authority, Alabama Healthcare Facilities, Rev., FRDO, 1.31%, 09/02/04 15,000 10,000 Houston County Health Care Authority, FLOATS, Ser. PT-879, Rev., FRDO, MBIA, 1.36%, 09/02/04 10,000 2,385 Infirmary Health System Special Care Facilities Financing Authority, Ser. A, Rev., FRDO, 1.32%, 09/02/04 2,385 5,735 Jefferson County, Sewer, EAGLE, Ser. 2002-6016, Class A, Rev., FRDO, FGIC, 1.21%, 02/01/04 5,735 20,800 Mcintosh IDB, Environmental Improvement, CIBA Specialty Chemicals, Rev., FRDO, 1.30%, 09/01/04 20,800 1,300 Mobile County, IDA, PCR, ExxonMobil Project, Rev., FRDO, 1.22%, 09/01/04 1,300 5,800 Montgomery BMC Special Care Facilities Financing Authority, Hospital, VHA Alabama, Inc., Ser. C, Rev., FRDO, AMBAC, 1.34%, 09/01/04 5,800 9,000 Montgomery BMC Special Care Facilities Financing Authority, Hospital, VHA Alabama, Inc., Ser. F, Rev., FRDO, AMBAC, 1.34%, 09/01/04 9,000 22,700 Phenix City, Alabama, Industrial Development Board, Environmental Improvement, Mead Coated Board Project, Ser. A, Rev., FRDO, 1.31%, 09/01/04 22,700 4,000 Selma IDB, IDR, Specialty Minerals Project, Rev., FRDO, 1.43%, 09/02/04 4,000 4,800 St. Clair County IDB, IDR, National Cement Co., Inc. Project II, Rev., FRDO, 2.02%, 09/02/04 4,800 6,035 Tuscaloosa County Board of Education, Special Tax, TAW, FRDO, 1.35%, 09/02/04 6,035 33,000 University of Alabama, Hospital, Ser. B, Rev., FRDO, AMBAC, 1.27%, 09/01/04 33,000 ------------------ 187,955
See notes to financial statements. 30
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ALASKA -- 0.4% $ 1,600 Alaska Housing Finance Corp., Floating Rate Trust Receipts, Ser. L-25, Regulation D, Rev., FRDO, MBIA, 1.34%, 09/01/04 $ 1,600 9,535 Alaska Housing Finance Corp., Government Purpose, Ser. B, Rev., FRDO, MBIA, 1.30%, 09/02/04 9,535 25,460 Alaska Housing Finance Corp., Housing Development, Ser. D, Rev., FRDO, MBIA, 1.30%, 09/07/04 25,460 10,000 Alaska Housing Finance Corp., State Capital Project, Ser. C, Rev., FRDO, MBIA, 1.35%, 09/02/04 10,000 3,900 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. A, Rev., FRDO, 1.22%, 09/01/04 3,900 300 Valdez, Alaska, Marine Terminal, Exxon Pipeline Co. Project, Ser. B, Rev., FRDO, 1.22%, 09/01/04 300 ------------------ 50,795 ARIZONA -- 1.3% 42,500 Apache County IDA, IDR, Tucson Electric Power Co., Ser. 83-B, Rev., FRDO, 1.33%, 09/01/04 42,500 7,700 Apache County IDA, IDR, Tucson Electric Power Co., Springerville, Rev., FRDO, 1.40%, 09/01/04 7,700 4,200 Apache County IDA, IDR, Tuscon Electric Power Co., Floating Rate Trust Receipts, Ser. 83-A, Rev., FRDO, 1.40%, 09/01/04 4,200 10,000 Arizona State University, Ser. A, Rev., FRDO, AMBAC, 1.28%, 09/01/04 10,000 5,000 Arizona State University, Ser. B, Rev., FRDO, AMBAC, 1.28%, 09/01/04 5,000 12,870 Coconino County Pollution Control Corp., Arizona Public Service Co. Project, Rev., FRDO, 1.36%, 09/02/04 12,870 7,000 Eagle Tax Exempt Trust, Weekly Option Mode, Salt River Project, FRDO, 1.36%, 09/02/04 7,000 3,840 Maricopa County Public Finance Corp., Floating Rate Certficates, Ser. 511, Rev., FRDO, AMBAC, 1.35%, 09/02/04 3,840 5,330 Phoenix IDA, Multi-Family Housing, CenterTree Apartments Project, Ser. A, Rev., FRDO, 1.39%, 09/02/04 5,330 12,500 Phoenix, Arizona, 1.15%, 01/12/05 12,500 7,500 Phoenix, Arizona, 1.22%, 11/09/04 7,500 12,000 Phoenix, Arizona, Civic Improvement, 1.08%, 10/08/04 12,000 6,500 Phoenix, Arizona, Civic Improvement, 1.17%, 09/14/04 6,500
See notes to financial statements. 31
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ARIZONA -- CONTINUED $ 8,000 Phoenix, Arizona, Water, 1.09%, 11/10/04 $ 8,000 25,000 Salt River Project Agricultural Improvement & Power District, Electric Systems, Floating Rate Receipts, Ser. SG-160, Rev., FRDO, 1.36%, 09/02/04 25,000 16,200 University of Arizona, Main Campus & Research, Ser. A, COP, Rev., FRDO, AMBAC, 1.32%, 09/01/04 16,200 ------------------ 186,140 ARKANSAS -- 0.1% 5,500 Columbia County, Solid Waste Disposal, Albemarle Corp. Project, Rev., FRDO, 1.40%, 09/02/04 5,500 6,300 Little Rock Metrocentre Improvement District No. 1, Little Rock Newspapers, Inc., Rev., FRDO, 1.36%, 09/02/04 6,300 5,765 University of Arkansas, FLOATS, Ser. PT-1948, Rev., 1.25%, 09/02/04 5,765 ------------------ 17,565 CALIFORNIA -- 8.2% 15,930 Abag Finance Authority for Nonprofit Corps, Lucile Salter Packard Project, COP, FRDO, 1.30%, 09/01/04 15,930 6,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-9, GO, FRDO, MBIA, 1.35%, 11/17/04 6,000 6,995 ABN AMRO Munitops Certificate Trust, Ser. 2003-11, GO, FRDO, FSA, 1.43%, 09/15/04 6,995 13,300 Access to Loans for Learning Student Loan Corp., Ser. II-A-7, Rev., FRDO, 1.80%, 06/01/05 13,300 2,000 Alvord Unified School District, Food Services Bridge Funding Program, COP, FRDO, FSA, 1.30%, 09/02/04 2,000 7,100 Auburn Union School District, COP, FRDO, FSA, 1.32%, 09/02/04 7,100 2,805 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.40%, 09/01/04 2,805 13,500 California Housing Finance Agency, FLOATS, Ser. MT-007, Rev., FRDO, 1.38%, 09/02/04 13,500 45,000 California Housing Finance Agency, FLOATS, Ser. PT-998, Rev., 1.38%, 09/02/04 45,000 11,460 California Housing Finance Agency, Home Mortgage, Ser. F, Rev., FRDO, AMBAC, 1.28%, 09/01/04 11,460 6,275 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.29%, 09/01/04 6,275
See notes to financial statements. 32
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 20,000 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.38%, 09/01/04 $ 20,000 2,990 California Housing Finance Agency, Home Mortgage, Ser. U, Rev., FRDO, FSA, 1.32%, 09/01/04 2,990 5,400 California Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.23%, 09/01/04 5,400 1,610 California Infrastructure & Economic Development Bank, IDR, Pleasant Mattress, Inc. Project, Ser. A, Rev., FRDO, 1.38%, 09/01/04 1,610 1,800 California Infrastructure & Economic Development Bank, IDR, Standard Abrasive Manufacturing Project, Ser. A, Rev., FRDO, 1.38%, 09/01/04 1,800 12,800 California PCFA, Authorized Exempt Facilities, ExxonMobil Project, Rev., FRDO, 1.19%, 09/01/04 12,800 17,000 California Salvation Army, 1.02%, 11/17/04 17,000 45,860 California State Department of Veterans Affairs, Home Purchase, Ser. A, Sub Ser. A-1, Rev., FRDO, 1.30%, 09/07/04 45,860 2,400 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 1.28%, 09/01/04 2,400 1,020 California State Department of Water Resources, Power Supply, Ser. B-6, Rev., FRDO, 1.25%, 09/01/04 1,020 1,850 California State Department of Water Resources, Power Supply, Ser. C-12, Rev., FRDO, 1.30%, 09/02/04 1,850 3,600 California State Economic Recovery, Ser. C-6, Rev., FRDO, 1.28%, 09/01/04 3,600 7,920 California State, Economic Recovery, FLOATS, Ser. 927, GO, FRDO, MBIA, 1.32%, 09/02/04 7,920 12,000 California State, Economic Recovery, FLOATS, Ser. 932, Rev., FRDO, MBIA, 1.32%, 09/02/04 12,000 18,745 California State, Economic Recovery, FLOATS, Ser. 933, GO, FRDO, 1.73%, 06/30/05 18,745 5,450 California State, Economic Recovery, FLOATS, Ser. L20J, Regulation D, Rev., FRDO, 1.33%, 09/01/04 5,450 20,000 California State, Economic Recovery, Ser. C-10, Rev., FRDO, 1.32%, 09/01/04 20,000 45,800 California State, Economic Recovery, Ser. C-11, Rev., FRDO, 1.27%, 09/01/04 45,800 25,000 California State, Economic Recovery, Ser. C-16, Rev., FRDO, 1.32%, 09/01/04 25,000 37,995 California State, Economic Recovery, Ser. C-19, Rev., FRDO, 1.29%, 09/01/04 37,995
See notes to financial statements. 33
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 5,000 California State, Economic Recovery, Ser. C-2, Rev., FRDO, 1.27%, 09/01/04 $ 5,000 61,000 California State, Economic Recovery, Ser. C-3, Rev., FRDO, 1.27%, 09/01/04 61,000 20,000 California State, Economic Recovery, Ser. C-8, Rev., FRDO, 1.25%, 09/01/04 20,000 42,500 California State, Economic Recovery, Ser. C-9, Rev., FRDO, 1.25%, 09/01/04 42,500 2,000 California State, Floating Rate, Ser. C-2, GO, FRDO, 1.30%, 09/02/04 2,000 5,000 California State, FLOATS, Ser. PA-594, GO, FRDO, 1.33%, 09/02/04 5,000 21,445 California State, FLOATS, Ser. PT-990, GO, FRDO, MBIA-IBC, 1.33%, 09/02/04 21,445 1,800 California State, Municipal Securities Trust Receipts, Ser. SGA-135, GO, FRDO, AMBAC, 1.29%, 09/01/04 1,800 4,200 California State, Municipal Securities Trust Receipts, Ser. SGA-58, Rev., FRDO, FGIC, 1.33%, 09/01/04 4,200 1,700 California Statewide Communities Development Authority, COP, FLOATS, Ser. 909, FRDO, MBIA, 1.31%, 09/02/04 1,700 20,905 California Statewide Communities Development Authority, Multi-Family Housing, Arbor Ridge Apartments, Ser. X, Rev., FRDO, 1.32%, 09/02/04 20,905 7,300 Camarillo, California, Multi-Family Housing, Heritage Park, Ser. A, Rev., FDRO, 1.33%, 09/01/04 7,300 18,800 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.43%, 09/02/04 18,800 7,300 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.43%, 09/02/04 7,300 3,200 Chino Basin Regional Financing Authority, Inland Empire Utilities, Ser. A, Rev., FRDO, AMBAC, 1.26%, 09/01/04 3,200 2,300 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 1.32%, 09/07/04 2,300 600 East Bay Municipal Utility District, Water Systems, Sub Ser. A, Rev., FRDO, FSA, 1.26%, 09/01/04 600 3,155 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 1.27%, 09/01/04 3,155 2,600 Eastern Municipal Water District, Water & Sewer, COP, Ser. B, FRDO, MBIA, 1.30%, 09/02/04 2,600 4,004 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 1.35%, 09/02/04 4,004
See notes to financial statements. 34
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 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 1,200 Irvine Ranch Water District, Consolidated Bonds, Rev., FRDO, 1.33%, 09/02/04 1,200 500 Irvine Ranch Water District, Improvement District No. 282, Ser. A, GO, FRDO, 1.27%, 09/01/04 500 300 Irvine Ranch Water District, No. 102, 103, 105 & 106, GO, FRDO, 1.22%, 09/01/04 300 750 Irvine Unified School District, Community Facilities District No. 01-1, Special Tax, FRDO, 1.33%, 09/01/04 750 541 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 00-18, Ser. A, Special Assessment, FRDO, 1.25%, 09/01/04 541 660 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 87-8, Special Assessment, FRDO, 1.25%, 09/01/04 660 500 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 94-15, Special Assessment, Rev., FRDO, 1.25%, 09/01/04 500 100 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 1.26%, 09/01/04 100 15,000 Long Beach, California, Ser. A, Rev., MBIA, 1.32%, 09/01/04 15,000 6,660 Los Angeles Community College District, Ser. II-R-71, GO, FRDO, MBIA, 1.70%, 06/24/05 6,660 5,300 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Second & Central Apartments Project, Ser. A, Rev., FRDO, 1.33%, 09/01/04 5,300 3,200 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.35%, 09/02/04 3,200 15,000 Los Angeles Convention & Exhibit Center Authority, Ser. D, Rev., FRDO, AMBAC, 1.32%, 09/01/04 15,000 4,000 Los Angeles County Housing Authority, Multi-Family Housing, Malibu Meadows II, Ser. C, Rev., FRDO, 1.34%, 09/02/04 4,000 1,300 Los Angeles County, Pension Obligation, Ser. C, Rev., FRDO, AMBAC, 1.26%, 09/01/04 1,300 2,500 Los Angeles County, Ser. A, TRAN, 3.00%, 06/30/05 2,528 185 Los Angeles Department of Water & Power, FLOATS, Ser. PT-1949, Rev., 1.33%, 09/02/04 185
See notes to financial statements. 35
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 500 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-2, Rev., FRDO, 1.33%, 09/02/04 $ 500 900 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.27%, 09/02/04 900 1,995 Los Angeles Unified School District, FLOATS, Ser. PA-1115, GO, FRDO, FSA, 1.33%, 09/02/04 1,995 195 Los Angeles Unified School District, FLOATS, Ser. PA-1118, GO, FRDO, MBIA, 1.33%, 09/02/04 195 8,800 Los Angeles, California, Multi-Family Housing, Fountain Park Project, Ser. A, Rev, FRDO, 1.30%, 09/02/04 8,800 1,990 Los Angeles, California, Water & Power, Ser. RR-II-R-4510, Rev., FRDO, MBIA, 1.34%, 09/02/04 1,990 4,000 Manteca Financing Authority, Municipal Securities Trust Receipts, Ser. SGA-147, Rev., FRDO, MBIA, 1.33%, 09/01/04 4,000 14,500 Metropolitan Water District of Southern California, Ser. B-2, Rev., FRDO, 1.27%, 09/02/04 14,500 9,100 Metropolitan Water District of Southern California, Ser. B1, Rev., FRDO, 1.27%, 09/02/04 9,100 1,500 Metropolitan Water District of Southern California, Waterworks, Ser. B-1, Rev., FRDO, 1.25%, 09/01/04 1,500 400 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 1.30%, 09/01/04 400 1,900 Metropolitan Water District of Southern California, Waterworks, Ser. B-3, Rev., FRDO, 1.27%, 09/01/04 1,900 2,900 Metropolitan Water District of Southern California, Waterworks, Ser. C-1, Rev., FRDO, 1.30%, 09/02/04 2,900 25,710 Metropolitan Water District of Southern California, Waterworks, Ser. C-2, Rev., FRDO, 1.32%, 09/02/04 25,710 80,000 Metropolitan Water District of Southern California, Waterworks, Ser. C-3, Rev., FRDO, 1.27%, 09/02/04 80,000 5,600 Morgan Hill Unified School District, Floating Rate Receipts, Ser. SG-145, GO, FRDO, FGIC, 1.33%, 09/02/04 5,600 20,860 Municipal Securities Trust Certificates, Ser. 2001-118, Class A, GO, FRDO, FGIC, #, 1.29%, 09/01/04 20,860 7,700 Municipal Securities Trust Certificates, Ser. 2001-135, Class A, GO, FRDO, FGIC, #, 1.34%, 09/02/04 7,700 7,970 Municipal Securities Trust Certificates, Ser. 2001-136, Class A, Rev., FRDO, FGIC, #, 1.34%, 09/02/04 7,970
See notes to financial statements. 36
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 19,800 Oakland Joint Powers Financing Authority, Fruitvale Transit Village, Ser. A, Rev., FRDO, 1.29%, 09/01/04 $ 19,800 600 Orange County Sanitation District, COP, Ser. A, FRDO, 1.25%, 09/03/04 600 1,000 Orange County Sanitation District, COP, Ser. B, FRDO, 1.33%, 09/02/04 1,000 3,900 Orange County, Apartment Development Corp., Bear Brand Apartments Project, Ser. Z, Rev., FRDO, 1.26%, 09/02/04 3,900 6,700 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 1.30%, 09/02/04 6,700 14,000 Orange County, Apartment Development, Seaside Meadow, Ser. C, Rev., FRDO, 1.26%, 09/02/04 14,000 1,900 Orange County, Improvement Bond Act of 1915, Assessment District No. 1, Ser. A, Special Assessment, FRDO, 1.25%, 09/01/04 1,900 4,700 Pittsburg, California, Multi-Family Mortgage, Fountain, Ser. A, Rev., FRDO, 1.33%, 09/01/04 4,700 14,290 Port of Oakland, Trust Receipts, Ser. 5, Class F, Rev., FRDO, FGIC, 1.31%, 09/02/04 14,290 10,600 Poway Unified School District, School Facilities Funding Program, COP, FRDO, FSA, 1.28%, 09/02/04 10,600 27,300 Poway Unified School District, School Facilities Funding Program, COP, FRDO, FSA, 1.28%, 09/02/04 27,300 32,700 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 1.27%, 09/01/04 32,700 3,000 Riverside County, California, Riverside County Public Facilities, Ser. B, COP, FRDO, 1.30%, 09/07/04 3,000 1,900 Sacramento County Housing Authority, Multi-Family Housing, Ashford, Ser. D, Rev., FRDO, 1.32%, 09/02/04 1,900 14,000 San Diego County & School District, Ser. A, GO, TRAN, 3.25%, 07/25/05 14,205 600 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 1.28%, 09/02/04 600 7,000 San Diego, California, 1.30%, 12/09/04 7,000 13,300 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SGA-50, Rev., FRDO, MBIA, 1.36%, 09/01/04 13,300
See notes to financial statements. 37
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 20,600 San Jose, California, Multi-Family Housing, Evans Lane Apartments, Ser. H, Rev., FRDO, 1.35%, 09/01/04 $ 20,600 1,800 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, Rev., FRDO, 1.34%, 09/02/04 1,800 500 San Leandro, California, Multi-Family Housing, Parkside, Rev., FRDO, 1.30%, 09/01/04 500 22,350 Santa Cruz County Board of Education, GO, TRAN, 2.50%, 06/30/05 22,514 8,500 Santa Cruz County, Ser. A, GO, TRAN, 3.00%, 07/06/05 8,597 4,735 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.34%, 09/01/04 4,735 18,235 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.34%, 09/01/04 18,235 9,000 Southern California Home Financing Authority, Single Family Mortgage, Ser. B, Rev., FRDO, 1.45%, 02/01/05 9,000 2,500 Southern California Public Power Authority, Southern Transmission Project, Rev., FRDO, AMBAC, 1.28%, 09/01/04 2,500 3,960 West Contra Costa Unified School District, FLOATS, Ser. PT-1828, GO, FRDO, FGIC, 1.33%, 09/02/04 3,960 500 Western Riverside County, California, Regional Wastewater Authority, Regional Wastewater Treatment, Rev., FRDO, 1.25%, 09/01/04 500 ------------------ 1,187,044 COLORADO -- 1.5% 6,750 Adams County Housing Authority, Multi-Family Housing, Semper Village Apartments Project, Ser. A, Rev., FRDO, 1.38%, 09/02/04 6,750 7,100 Arapahoe County, Multi-Family Housing, Highline Oaks Apartments, Rev., FRDO, 1.32%, 09/01/04 7,100 11,310 Arapahoe County, Multi-Family Housing, Rental Housing, Hunters Run, Rev., FRDO, 1.33%, 09/02/04 11,310 2,760 Arvada, Colorado, Rev., FRDO, FSA, 1.30%, 09/01/04 2,760 9,850 Broomfield, Colorado, COP, FLOATS, Ser. PT-1643, FRDO, AMBAC, 1.40%, 09/02/04 9,850 1,600 Colorado Housing & Finance Authority, Multi-Family Housing, Diamond Project, Rev., FRDO, 1.27%, 09/01/04 1,600 1,000 Colorado Housing & Finance Authority, Ser. AA-3, Class I, Rev., FRDO, 1.29%, 09/01/04 1,000
See notes to financial statements. 38
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED COLORADO -- CONTINUED $ 3,150 Colorado Springs, Colorado, The Colorado College, Rev., FRDO, 1.32%, 09/02/04 $ 3,150 690 Colorado Springs, Colorado, Utilities, FLOATS, Ser. PT-367, FRDO, 1.37%, 09/02/04 690 16,000 Colorado State Education Loan Program, FLOATER, Ser. L48J, Regulation D, Rev., FRDO, 1.20%, 10/13/04 16,000 45,000 Colorado State General Fund, Rev., TRAN, 3.00%, 06/27/05 45,512 2,500 Colorado Student Obligation Bond Authority, Student Loans, Senior Lien, Ser. A-3, Rev., FRDO, AMBAC, 1.35%, 09/01/04 2,500 31,155 Denver City & County, Airport, Floating Rate Certificates, Ser. 153, Rev., FRDO, MBIA, 1.15%, 09/02/04 31,155 5,000 Denver City & County, Airport, Floating Rate Certificates, Ser. N-12, Regulation D, Rev., FRDO, FGIC, 1.42%, 09/01/04 5,000 4,985 Denver City & County, Airport, Ser. ROC-II-R-98, Rev., FRDO, FSA, 1.41%, 09/02/04 4,985 5,000 Denver City & County, Wellington E. Web Project, COP, Ser. C-3, FRDO, AMBAC, 1.33%, 09/01/04 5,000 12,500 Denver Urban Renewal Authority, Tax Increment, FLOATS, Ser. PT-999, Tax Allocation, FRDO, 1.42%, 09/02/04 12,500 10,000 Douglas County, Multi-Family Housing, Autumn Chase Project, Rev., FRDO, 1.34%, 09/02/04 10,000 3,620 Lower Colorado River Authority, FLOATS, Ser. PT-1523, Rev., FRDO, MBIA, 1.36%, 09/02/04 3,620 8,670 Park Creek Metropolitan District, FLOATS, Ser. PT-2321, GO, FRDO, 1.42%, 09/02/04 8,670 8,500 Regional Transportation District, 1.20%, 12/08/04 8,500 15,500 Regional Transportation District, 1.20%, 12/08/04 15,500 7,015 Thornton, Colorado, COP, Ser. RR-II-R-1052, FRDO, AMBAC, 1.70%, 09/02/04 7,015 ------------------ 220,167 CONNECTICUT -- 0.4% 1,190 Connecticut State Health & Educational Facilities Authority, Community Renewal Team, Ser. A, Rev., FRDO, 1.35%, 09/08/04 1,190 30,785 Connecticut State Health & Educational Facilities Authority, FLOATS, Ser. 891, Rev., FRDO, FGIC, 1.37%, 09/02/04 30,785 7,500 Connecticut State Health & Educational Facilities Authority, Health Care Capital Asset, Ser. A-1, Rev., FRDO, 1.31%, 09/01/04 7,500
See notes to financial statements. 39
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CONNECTICUT -- CONTINUED $ 2,625 Connecticut State Housing Finance Authority, Housing Mortgage Finance Program, Sub Ser. D-3, Rev., FRDO, AMBAC, 1.28%, 09/02/04 $ 2,625 5,495 Connecticut State, FLOATS, Ser. PA-1056, GO, FRDO, FSA, 1.33%, 09/02/04 5,495 4,945 Connecticut State, FLOATS, Ser. PA-879-R, GO, FRDO, 1.33%, 09/02/04 4,945 ------------------ 52,540 DELAWARE -- 0.6% 7,000 Delaware River & Bay Authority, Ser. B, Rev., FRDO, AMBAC, 1.27%, 09/02/04 7,000 60,000 Delaware State Economic Development Authority, Hospital Billing & Collections, Ser. C, Rev., FRDO, AMBAC, 1.30%, 09/01/04 60,000 12,300 Delaware State, Ser. A, GO, 3.00%, 01/01/05 12,367 500 University Of Delaware, Ser. B, Rev., FRDO, 1.28%, 09/01/04 500 ------------------ 79,867 DISTRICT OF COLUMBIA -- 3.0% 15,500 District of Columbia, 1.22%, 11/15/04 15,500 9,000 District of Columbia, 1.30%, 11/04/04 9,000 525 District of Columbia Housing Finance Agency, Floating Rate Receipts, Ser. L-1, Regulation D, Rev., FRDO, 1.37%, 09/01/04 525 7,240 District of Columbia Housing Finance Agency, FLOATS, Ser. PT-1381, Rev., FRDO, 1.36%, 09/02/04 7,240 3,165 District of Columbia Housing Finance Agency, Multi-Family Housing, Trenton Park Apartments Project, Rev., FRDO, 1.47%, 09/02/04 3,165 5,970 District of Columbia Water & Sewer Authority, Public Utilities, FLOATS, Ser. PT-373, Rev., FRDO, FSA, 1.36%, 09/02/04 5,970 2,700 District of Columbia, American Psychology Association, Rev., FRDO, 1.38%, 09/02/04 2,700 29,605 District of Columbia, American University Issue, Rev., FRDO, AMBAC, 1.29%, 09/01/04 29,605 12,000 District of Columbia, American University Issue, Ser. A, Rev., FRDO, AMBAC, 1.29%, 09/01/04 12,000 7,500 District of Columbia, Enterprise Zone, House on F Street Project, Rev., FRDO, 1.43%, 09/02/04 7,500 4,875 District of Columbia, FLOATS, Ser. PT-806, GO, FRDO, FSA, 1.36%, 09/02/04 4,875 23,685 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.29%, 09/01/04 23,685 10,000 District of Columbia, Medstar University Hospital, Ser. B, Rev., FRDO, (p), 6.63%, 02/15/05 10,251
See notes to financial statements. 40
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED DISTRICT OF COLUMBIA -- CONTINUED $ 2,255 District of Columbia, National Children's Center, Inc., Rev., FRDO, 1.32%, 09/02/04 $ 2,255 4,200 District of Columbia, National Geographic Society, Rev., FRDO, 1.30%, 09/01/04 4,200 12,700 District of Columbia, Pooled Loan Program, Ser. A, Rev., FRDO, 1.33%, 09/02/04 12,700 5,000 District of Columbia, Rev., FRDO, 1.30%, 11/04/04 5,000 26,880 District of Columbia, Ser. A, GO, FRDO, FSA, 1.32%, 09/01/04 26,880 52,900 District of Columbia, Ser. B, GO, FRDO, FSA, 1.29%, 09/01/04 52,900 28,500 District of Columbia, Ser. C, GO, FRDO, FGIC, 1.30%, 09/01/04 28,500 9,935 District of Columbia, Ser. D, GO, FRDO, FGIC, 1.30%, 09/01/04 9,935 39,600 District of Columbia, Ser. D-1, GO, FRDO, 1.27%, 09/01/04 39,600 7,690 District of Columbia, Smithsonian Museum, Ser. B, Rev., FRDO, 1.32%, 09/02/04 7,690 6,155 Eagle Tax Exempt Trust, Weekly Option Mode, District of Columbia, Water & Sewer, Ser. 98-5202, FRDO, #, 1.35%, 09/02/04 6,155 10,600 Metropolitan Washington Airports Authority, 1.12%, 09/07/04 10,600 45,000 Metropolitan Washington Airports Authority, 1.18%, 10/05/04 45,000 46,500 Metropolitan Washington Airports Authority, 1.30%, 11/04/04 46,500 ------------------ 429,931 FLORIDA -- 2.9% 9,345 ABN AMRO Munitops Certificate Trust, Ser. 2003-6, Rev., FRDO, MBIA, 1.02%, 12/08/04 9,345 25,530 Alachua County Health Facilities Authority, FLOATS, Ser. PT-834, Rev., FRDO, MBIA, 1.36%, 09/02/04 25,530 10,520 Brevard County Health Facilities Authority, Wuesthoff Memorial Hospital Project, Rev., FRDO, 1.32%, 09/02/04 10,520 5,000 Broward County, Professional Sports Facility, Municipal Securities Trust Receipts, Ser. SGA-38, Rev., FRDO, MBIA, 1.36%, 09/01/04 5,000 10,000 Collier County, 1.23%, 10/08/04 10,000 6,885 Collier County, Health Facilities Authority, The Moorings, Inc. Project, Rev., FRDO, 1.30%, 09/01/04 6,885 2,495 Dade County Housing Finance Authority, Multi-Family Housing, Kendall Court Apartments, Ser. 4, Rev., FRDO, 1.38%, 09/02/04 2,495
See notes to financial statements. 41
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FLORIDA -- CONTINUED $ 4,670 Escambia County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-1228, Rev., FRDO, MBIA, 1.41%, 09/02/04 $ 4,670 6,370 Florida Housing Finance Agency, Multi-Family Housing, Banyon Bay Partners, Ser. L, Rev., FRDO, 1.32%, 09/07/04 6,370 5,135 Florida Housing Finance Agency, Multi-Family Housing, Ser. AA, Rev., FRDO, 1.27%, 09/01/04 5,135 6,350 Florida Housing Finance Agency, Multi-Family Housing, Ser. FF, Rev., FRDO, 1.33%, 09/01/04 6,350 18,812 Florida Municipal Power Authority, 1.15%, 10/04/04 18,812 7,000 Florida State Board of Education, Capital Outlay, FLOATS, Ser. PT-1223, GO, FRDO, 1.36%, 09/02/04 7,000 16,800 Florida State Board of Public Education, Public Education, Municipal Securities Trust Receipts, Ser. SGA-102, GO, FRDO, 1.30%, 09/01/04 16,800 11,000 Florida State Department of Environmental Protection, Preservation, FLOATS, Ser. 722, Rev., FRDO, FGIC, 1.35%, 09/02/04 11,000 5,370 Florida State Division of Bond Finance, General Services, FLOATS, Ser. PA-967, FRDO, 1.36%, 09/02/04 5,370 5,295 Florida State, FLOATS, Ser. PA-511, GO, FRDO, 1.36%, 09/02/04 5,295 2,765 Gulf Breeze, Florida, Local Government Loan Program, Floating Rate Receipts, Ser. B, Rev., FRDO, FGIC, 1.32%, 09/02/04 2,765 11,705 Jacksonville Electric Authority, Municipal Securities Trust Receipts, Ser. SGA-17, Rev., FRDO, 1.40%, 09/01/04 11,705 1,000 Jacksonville Health Facilities Authority, River Garden Project, Rev., FRDO, 1.33%, 09/02/04 1,000 6,000 Lakeland, Florida, Energy Systems, Rev., FRDO, 1.30%, 09/01/04 6,000 1,045 Lee County, Airport, FLOATS, Ser. PT-2269, Rev., FRDO, FSA, 1.42%, 09/02/04 1,045 3,525 Lee County, Water & Sewer, Ser. RR-II-R-4021, Rev., FRDO, MBIA, 1.38%, 09/02/04 3,525 2,590 Miami Health Facilities Authority, Mercy Hospital Project, Rev., FRDO, 1.30%, 09/01/04 2,590 7,000 Miami-Dade County, Miami Aviation, Floating Rate Receipts, Ser. SG-141, Rev., FRDO, FGIC, 1.36%, 09/02/04 7,000 18,110 Nassau County, PCR, Private Activity, Rayonier, Inc. Project, Rev., FRDO, 1.30%, 09/01/04 18,110 1,210 Orange County Housing Finance Authority, FLOATS, Ser. PT-558, Rev., FRDO, 1.38%, 09/02/04 1,210
See notes to financial statements. 42
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED FLORIDA -- CONTINUED $ 7,000 Orange County Housing Finance Authority, Homeowner, FLOATS, Ser. PT-918, Rev., FRDO, 1.42%, 09/02/04 $ 7,000 4,900 Orange County Housing Finance Authority, Multi-Family Housing, Regal Pointe Apartments, Ser. A, Rev., FRDO, 1.32%, 09/02/04 4,900 18,700 Orlando & Orange County Expressway Authority, Ser. C-1, Rev., FRDO, FSA, 1.30%, 09/02/04 18,700 1,800 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 1.30%, 09/02/04 1,800 10,000 Orlando & Orange County Expressway Authority, Ser. D, Rev., FRDO, FSA, 1.30%, 09/02/04 10,000 15,000 Orlando Utilities Commission, Water & Electric, Ser. A, Rev., FRDO, 1.31%, 09/01/04 15,000 4,645 Orlando Utilities Commission, Water & Electric, Ser. RR-II-R-1040, Rev., FRDO, 1.70%, 08/04/05 4,645 26,100 Palm Beach County School Board, COP, Ser. B, FRDO, FSA, 1.29%, 09/02/04 26,100 6,250 Pinellas County Housing Finance Authority, Single Family Mortgage, FLOATS, Ser. MT-009, Rev., FRDO, 1.42%, 09/02/04 6,250 10,320 Polk County School Board, Master Lease Program, COP, Ser. A, FRDO, FSA, 1.29%, 09/02/04 10,320 800 St. Johns County IDA, Healthcare, Glenmoor St. Johns Project, Ser. C, Rev., FRDO, 1.31%, 09/01/04 800 20,565 Sunshine State, 1.11%, 10/12/04 20,565 16,080 Sunshine State, 1.13%, 10/13/04 16,080 38,543 Sunshine State, 1.13%, 10/13/04 38,543 21,260 Sunshine State, 1.25%, 09/21/04 21,260 7,000 Tampa, Florida, Occupational License Tax, Ser. B, Rev., FRDO, FGIC, 1.27%, 09/01/04 7,000 4,000 University of North Florida Foundation, Inc., Parking System, Rev., FRDO, 1.32%, 09/02/04 4,000 3,600 West Orange Healthcare District, Ser. B, Rev., FRDO, 1.30%, 09/02/04 3,600 ------------------ 428,090 GEORGIA -- 3.8% 16,610 ABN AMRO Munitops Certificate Trust, Ser. 2000-4, Rev., FRDO, FGIC, #, 1.07%, 11/17/04 16,610 71,145 Albany-Dougherty County Hospital Authority, Phoebe Hospital, Revenue Anticipation Certificates, Rev., FRDO, AMBAC, 1.26%, 09/01/04 71,145 5,835 Atlanta Urban Residential Finance Authority, Multi-Family Housing, The Park at Lakewood, Rev., FRDO, 1.38%, 09/02/04 5,835 4,385 Atlanta, Georgia, Airport, FLOATS, Ser. PT-737, Rev., FRDO, FGIC, 1.42%, 09/07/04 4,385
See notes to financial statements. 43
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED GEORGIA -- CONTINUED $ 7,500 Atlanta, Georgia, Airport, Ser. B-3, Rev., FRDO, MBIA, 1.30%, 09/02/04 $ 7,500 20,000 Atlanta, Georgia, Airport, Ser. C-1, Rev., FRDO, MBIA, 1.33%, 09/02/04 20,000 6,000 Atlanta, Georgia, Water & Wastewater, Municipal Securities Trust Receipts, Ser. SGA-145, Rev., FRDO, MBIA, 1.36%, 09/01/04 6,000 9,000 Augusta, Georgia, Water & Sewer, Municipal Securities Trust Receipts, Ser. SGS-140, Rev., FRDO, FSA, 1.40%, 09/01/04 9,000 4,635 Bibb County, FLOATS, Ser. PT-1842, GO, FRDO, 1.36%, 09/02/04 4,635 7,160 Clayton County Housing Authority, Multi-Family Housing, Chateau Forest Apartments, Ser. E, Rev., FRDO, FSA, 1.30%, 09/01/04 7,160 8,000 Cobb County Development Authority, Whitefield Academy Project, Rev., FRDO, 1.30%, 09/01/04 8,000 3,400 Cobb County Housing Authority, Multi-Family Housing, Greenhouse Frey Apartment Project, Rev., FRDO, 1.32%, 09/01/04 3,400 11,200 Cobb County Housing Authority, Multi-Family Housing, Terrell Mill I Project, Rev., FRDO, #, 1.35%, 09/01/04 11,200 25,000 Cobb County Kennestone Hospital Authority, Equipment Pool Project, Anticipation Certificates, Rev., FRDO, 1.34%, 09/02/04 25,000 17,700 De Kalb County Housing Authority, Multi-Family Housing, Camden Brook Project, Rev., FRDO, 1.30%, 09/01/04 17,700 9,250 De Kalb County Housing Authority, Multi-Family Housing, Chapel Run Apartments Project, Rev., FRDO, 1.35%, 09/02/04 9,250 12,545 De Kalb County Housing Authority, Multi-Family Housing, Robins Landing Project, Rev., FRDO, 1.35%, 09/02/04 12,545 800 Fulton County Development Authority, Arthritis Foundation, Inc. Project, Rev., FRDO, 1.32%, 09/01/04 800 1,610 Fulton County Development Authority, Morehouse College Project, Rev., FRDO, 1.33%, 09/01/04 1,610 6,910 Georgia Local Government, COP, FLOATS, Ser. PT-678, FRDO, 1.36%, 09/02/04 6,910 50,641 Georgia Municipal Association, Inc., Pooled Bond, COP, FRDO, MBIA, 1.39%, 09/02/04 50,641 8,445 Georgia Municipal Electric Authority, FLOATS, Ser. PA-1187, Rev., FRDO, MBIA-IBC, 1.36%, 09/02/04 8,445
See notes to financial statements. 44
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED GEORGIA -- CONTINUED $ 9,555 Georgia Municipal Electric Authority, Ser. RR-II-R-1016, Rev., FRDO, FSA, 1.37%, 09/02/04 $ 9,555 21,860 Georgia State Road & Thruway Authority, FLOATS, Ser. PT-1501, Rev., FRDO, 1.34%, 09/02/04 21,860 5,035 Georgia State Road & Tollway Authority, FLOATS, Ser. PT-2019, Rev., FRDO, 1.36%, 09/02/04 5,035 6,000 Georgia State, EAGLE, Ser. 2004-1004, Class A, GO, FRDO, 1.37%, 09/02/04 6,000 10,095 Georgia State, FLOATS, Ser. PT-374, 1.34%,09/02/04 10,095 1,600 Glynn-Brunswick Memorial Hospital Authority, Anticipation Certificates, Southeast Georgia Project, Rev., FRDO, MBIA, 1.27%, 09/01/04 1,600 6,450 Griffin-Spalding County Development Authority, Industrial Development, Norcom, Inc. Project, Rev., FRDO, 1.39%, 09/02/04 6,450 6,000 Gwinnett County Development Authority, Civic & Cultural Center Project, Rev., FRDO, 1.27%, 09/01/04 6,000 10,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Anticipation Certificates, Rev., RAN, FRDO, 1.33%, 09/01/04 10,000 9,225 Marietta Housing Authority, Multi-Family Housing, Winterset Apartments Project, Rev., FRDO, 1.30%, 09/01/04 9,225 84,473 Municipal Electric Authority of Georgia, 1.09%, 09/08/04 84,473 25,000 Municipal Electric Authority of Georgia, Sub Ser. B, Rev., FRDO, 1.25%, 09/01/04 25,000 3,700 Municipal Electric Authority of Georgia, Project One, Ser. C, Rev., FRDO, FSA, 1.25%, 09/01/04 3,700 1,200 Private Colleges & Universities Authority, Emory University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 1,200 26,400 Private Colleges & Universities Authority, Emory University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 26,400 16,040 Private Colleges & Universities Facilities Authority, Emory University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 16,040 5,200 Tift County Hospital Authority, Anticipation Certificates, Ser. A, Rev., FRDO, AMBAC, 1.24%, 09/01/04 5,200 ------------------ 555,604 GUAM -- 0.1% 11,025 Guam Power Authority, FLOATS, Ser. PA-531, Rev., 1.32%, 09/02/04 11,025 HAWAII -- 0.5% 20,825 ABN-AMRO Munitops Certificate Trust, Ser. 2004-1, Rev., FRDO, 1.25%, 10/27/04 20,825
See notes to financial statements. 45
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED HAWAII -- CONTINUED $ 17,593 Hawaii State, 1.35%, 09/23/04 $ 17,593 13,000 Hawaii State, Airport Systems, Rev., FRDO, 1.32%, 09/01/04 13,000 19,790 Hawaii State, Highway, FLOATS, Ser. PT-1058, FRDO, 1.36%, 09/03/04 19,790 6,100 Honolulu, Hawaii, 1.13%, 10/08/04 6,100 ------------------ 77,308 IDAHO -- 0.6% 10,500 Idaho Housing & Finance Association, Single Family Mortgage, Ser. C, Class 1, Rev., FRDO, 1.34%, 09/01/04 10,500 3,750 Idaho Housing & Finance Association, Single Family Mortgage, Ser. F-1, Class 1, Rev., FRDO, 1.37%, 09/01/04 3,750 69,675 Idaho State, GO, TAN, 3.00%, 06/30/05 70,472 ------------------ 84,722 ILLINOIS -- 4.5% 9,850 ABN AMRO Munitops Certificate Trust, Ser. 2001-10, GO, FRDO, MBIA, 1.31%, 10/20/04 9,850 15,010 ABN AMRO Munitops Certificate Trust, Ser. 2001-21, GO, FRDO, MBIA, 1.39%, 09/01/04 15,010 10,655 ABN AMRO Munitops Certificate Trust, Ser. 2001-27, Rev., FRDO, FSA, 1.45%, 09/01/04 10,655 6,175 ABN AMRO Munitops Certificate Trust, Ser. 2002-23, GO, FRDO, MBIA, 1.38%, 11/17/04 6,175 9,995 ABN AMRO Munitops Certificate Trust, Ser. 2002-3, Rev., FRDO, 1.47%, 09/01/04 9,995 34,950 Chicago Housing Authority, Capital Improvement Program, Floating Rate Receipts, Ser. L-40, Regulation D, Rev., FRDO, 1.34%, 09/01/04 34,950 28,900 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.28%, 09/01/04 28,900 10,570 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.27%, 09/01/04 10,570 6,200 Chicago O'Hare International Airport, ACES, General Airport Second Lien, Ser. B, Rev., FRDO, 1.32%, 09/07/04 6,200 2,500 Chicago O'Hare International Airport, Special Facilities, Compagnie Natle Air France, Rev., FRDO, 1.35%, 09/01/04 2,500 19,540 Chicago, Illinois, Midway Airport, Floating Rate Receipts, Ser. SG-97, Rev., FRDO, MBIA, 1.36%, 09/07/04 19,540 6,175 Chicago, Illinois, Multi-Family Housing, Barbara Jean Wright Apartments, Ser. A, Rev., FRDO, 1.40%, 09/02/04 6,175
See notes to financial statements. 46
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 20,000 Chicago, Illinois, Municipal Securities Trust Receipts, Ser. SGA-99, GO, FRDO, FGIC, 1.40%, 09/01/04 $ 20,000 13,000 Chicago, Illinois, Ser. B, GO, FRDO, FGIC, 1.32%, 09/02/04 13,000 35,000 Chicago, Illinois, Water, Second Lien, Rev., FRDO, MBIA, 1.33%, 09/02/04 35,000 4,503 Cook County, Floating Rate Certificates, Ser. 403, GO, FRDO, FGIC, 1.35%, 09/02/04 4,503 7,375 Cook County, FLOATS, Ser. PT-1497, GO, FRDO, FGIC, 1.36%, 09/02/04 7,375 15,455 Cook County, Ser. 2003-11, GO, FRDO, MBIA, 1.36%, 09/02/04 15,455 5,420 Du Page County Community Unit School District No. 200 Wheaton, Ser. RR-II-R-4013, GO, FRDO, FSA, 1.37%, 09/02/04 5,420 10,000 Eagle Tax Exempt Trust, Class A, Rev., FRDO, MBIA, 1.30%, 09/02/04 10,000 3,400 Illinois Development Finance Authority, American Youth Hostels Project, Rev., FRDO, 1.32%, 09/02/04 3,400 17,900 Illinois Development Finance Authority, Chicago Symphony Orchestra, Rev., FRDO, 1.34%, 09/01/04 17,900 2,405 Illinois Development Finance Authority, IDR, CFC International, Inc. Project, Rev., FRDO, 1.43%, 09/02/04 2,405 4,485 Illinois Development Finance Authority, IDR, CHS Acquisition Corp. Project, Rev., FRDO, 1.34%, 09/02/04 4,485 1,500 Illinois Development Finance Authority, IDR, Toughy LTD Partnership Project, Rev., FRDO, 1.40%, 09/01/04 1,500 13,400 Illinois Development Finance Authority, Multi-Family Housing, FLOATS, Ser. PT-1795, Rev., FRDO, 1.37%, 09/02/04 13,400 10,000 Illinois Development Finance Authority, Residential Rental, Rev., FRDO, 1.35%, 09/02/04 10,000 24,800 Illinois Development Finance Authority, Vincent De Paul Project, Ser. A, Rev., FRDO, 1.28%, 09/01/04 24,800 6,895 Illinois Educational Facilities Authority, FLOATS, Ser. PA-896, Rev., FRDO, 1.36%, 09/02/04 6,895 4,900 Illinois Educational Facilities Authority, St. Xavier University Project, Ser. A, Rev., FRDO, 1.32%, 09/02/04 4,900 26,580 Illinois Health Facilities Authority, FLOATS, Ser. PT-977, Rev., FRDO, MBIA, 1.36%, 09/02/04 26,580
See notes to financial statements. 47
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 2,700 Illinois Health Facilities Authority, Health Care Systems, Rev., FRDO, 1.28%, 09/01/04 $ 2,700 2,105 Illinois Health Facilities Authority, Loyola University Health System, Ser. B, Rev., FRDO, MBIA, 1.28%, 09/01/04 2,105 20,000 Illinois Health Facilities Authority, Revolving Pooled Funds, Ser. B, Rev., FRDO, 1.30%, 09/01/04 20,000 13,300 Illinois Health Facilities Authority, Swedish Covenant Hospital Project, Rev., FRDO, AMBAC, 1.30%, 09/02/04 13,300 1,800 Illinois Health Facilities Authority, The Carle Foundation, Ser. B, Rev., FRDO, AMBAC, 1.30%, 09/01/04 1,800 2,075 Illinois Housing Development Authority, Floating Rate Trust Receipts, Ser. L-19, Regulation D, Rev., FRDO, 1.42%, 09/01/04 2,075 10,175 Illinois Housing Development Authority, Homeowner Mortgage, Ser. A-3, Rev., FRDO, 1.36%, 09/01/04 10,175 7,500 Illinois Housing Development Authority, Homeowner Mortgage, Ser. C-3, Rev., FRDO, 1.40%, 09/01/04 7,500 14,405 Illinois Housing Development Authority, Homeowner Mortgage, Ser.D, Rev., FRDO, 1.68%, 07/27/05 14,405 14,000 Illinois State Toll Highway Authority, Ser. B, Rev., FRDO, MBIA, 1.28%, 09/01/04 14,000 2,075 Illinois State, Municipal Securities Trust Receipts, Ser. SGA-103, GO, FRDO, 1.30%, 09/01/04 2,075 15,000 Illinois State, Rev., 2.00%, 10/22/04 15,018 3,255 Illinois State, Sales Tax, Municipal Securities Trust Certificates, Ser. SG-9, FRDO, 1.36%, 09/02/04 3,255 13,220 Illinois State, Ser. 2003-33, GO, FRDO, FGIC, 1.36%, 09/02/04 13,220 11,555 Illinois State, Ser. 42, GO, FRDO, MBIA, 1.36%, 09/02/04 11,555 5,590 Illinois State, Ser. 62, GO, FRDO, 1.36%, 09/01/04 5,590 10,000 Illinois State, Ser. B, GO, FRDO, 1.29%, 09/01/04 10,000 2,570 Lake County, IDR, A.L. Hansen Manufacturing Co. Project, Rev., FRDO, 1.40%, 09/02/04 2,570 1,320 Libertyville, Illinois, IDR, Libertyville Manor Project, Rev., FRDO, 1.35%, 09/02/04 1,320 7,000 Metropolitan Pier & Exposition Authority, Dedicated State Tax, EAGLE, Ser. 20040030, Class A, Rev., FRDO, MBIA, 1.37%, 09/02/04 7,000 4,640 Mount Morris, Illinois, Bretheren Home Project, Rev., FRDO, 1.33%, 09/02/04 4,640
See notes to financial statements. 48
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED ILLINOIS -- CONTINUED $ 5,500 Municipal Securities Trust Certificates, Ser. 2001-9021, Class A, GO, FRDO, FSA, #, 1.41%, 09/01/04 $ 5,500 19,800 Regional Transportation Authority, FLOATS, Ser. 818-D, Rev., FRDO, FGIC, 1.35%, 09/02/04 19,800 6,565 Regional Transportation Authority, FLOATS, Ser. PT-1448, Rev., FRDO, FGIC, 1.36%, 09/02/04 6,565 15,170 Regional Transportation Authority, FLOATS, Ser. PT-1833, Rev., FRDO, FGIC, 1.36%, 09/02/04 15,170 10,000 Regional Transportation Authority, FLOATS, Ser. SG-82, FRDO, 1.36%, 09/02/04 10,000 11,790 Regional Transportation Authority, Ser. A-69, Rev., FRDO, MBIA, 1.30%, 11/10/04 11,790 9,100 University of Illinois, Health Services Facilities System, Ser. B, Rev., FRDO, 1.30%, 09/01/04 9,100 15,000 University of Illinois, Utility Infrastructure Projects, COP, FRDO, 1.32%, 09/02/04 15,000 7,435 Will County, Exempt Facilties, ExxonMobil Project, Rev., FRDO, 1.27%, 09/01/04 7,435 ------------------ 652,201 INDIANA -- 1.4% 6,065 Carmel School Building Corp., Ser. RR-II-R-S014, Rev., FRDO, MBIA, 1.37%, 09/02/04 6,065 6,400 Danville Multi-School Building Corp., FLOATS, Ser. PT-1483, Rev., FRDO, FSA, 1.36%, 09/02/04 6,400 5,000 DeKalb County Economic Development, New Process Steel Project, Rev., FRDO, 1.42%, 09/02/04 5,000 95,000 Indiana Bond Bank, Advance Program Notes, Ser. A, Rev., 2.00%, 01/25/05 95,263 5,315 Indiana Bond Bank, Ser. RR-II-R-2094, Rev., FRDO, 1.38%, 09/02/04 5,315 10,000 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. A-1, Rev., FRDO, 1.73%, 09/02/04 10,000 16,900 Indiana Health Facility Financing Authority, Ascension Health Credit Group, Ser. B, Rev., FRDO, 1.30%, 09/01/04 16,900 4,500 Indiana Health Facility Financing Authority, Clarian Health Obligation Group, Ser. C, Rev., FRDO, 1.30%, 09/01/04 4,500 2,485 Indiana Health Facility Financing Authority, Community Hospitals Project, Ser. A, Rev., FRDO, 1.33%, 09/03/04 2,485 5,055 Indiana Health Facility Financing Authority, FLOATS, Ser. PA-1069, 1.36%, 09/02/04 5,055
See notes to financial statements. 49
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED INDIANA -- CONTINUED $ 5,330 Indiana Transportation Finance Authority, FLOATS, Ser. PT-2296, Rev., FRDO, FGIC, 1.36%, 09/02/04 $ 5,330 19,500 Indiana Transportation Finance Authority, Municipal Securities Trust Receipts, Ser. SGA-113, Rev., FRDO, 1.30%, 09/01/04 19,500 8,650 Indianapolis Local Public Improvement Bond Bank, FLOATS, Ser. PT-1408, Rev., FRDO, MBIA, 1.36%, 09/02/04 8,650 8,200 Monroe County Hospital Authority, Rev., FRDO, MBIA, 1.30%, 09/01/04 8,200 7,900 St. Joseph County, Educational Facilities, University of Notre Dame, Rev., FRDO, 1.28%, 09/02/04 7,900 ------------------ 206,563 IOWA -- 0.2% 4,550 Des Moines, Iowa, 1.07%, 09/07/04 4,550 1,900 Des Moines, Iowa, 1.07%, 09/07/04 1,900 1,000 Des Moines, Iowa, 1.22%, 09/07/04 1,000 750 Des Moines, Iowa, 1.25%, 09/07/04 750 3,365 Des Moines, Iowa, FLOATS, Ser. PT-2268, GO, FRDO, AMBAC, 1.36%, 09/02/04 3,365 8,500 Iowa Finance Authority, Single Family Mortgage, Ser. D, Rev., FRDO, 1.37%, 02/03/05 8,500 6,000 Iowa Finance Authority, Single Family Mortgage, Ser. F, Rev., FRDO, 1.32%, 09/02/04 6,000 ------------------ 26,065 ------------------ KANSAS -- 0.6% 2,000 Eagle Tax-Exempt Trust, Weekly Option Mode, Ser. 2000-1601, FRDO, 1.38%, 09/02/04 2,000 9,600 Kansas City, Kansas, IDB, PQ Corp. Project, Rev., FRDO, 1.36%, 09/03/04 9,600 18,000 Kansas State Department of Transportation, Highway, Ser. C-1, Rev., FRDO, 1.33%, 09/01/04 18,000 27,500 Kansas State Department of Transportation, Highway, Ser. C-2, Rev., FRDO, 1.33%, 09/01/04 27,500 10,225 Kansas State Department of Transportation, Ser. C-3, Rev., FRDO, 1.30%, 09/02/04 10,225 9,780 Overland Park, Kansas, Floating Rate Receipts, Ser. SG-155, 1.36%, 09/02/04 9,780 2,670 Sedgwick & Shawnee Counties, Single Family Housing, FLOATS, Ser. PT-523, Rev., FRDO, 1.41%, 09/03/04 2,670 ------------------ 79,775 KENTUCKY -- 1.0% 17,455 Jeffersontown, Kentucky, Lease Program, Kentucky League of Cities Funding Trust, Rev., FRDO, 1.40%, 09/01/04 17,455
See notes to financial statements. 50
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED KENTUCKY -- CONTINUED $ 50,000 Kenton County Airport Board, Special Facilities, Airis Cincinnatti LLC, Ser. A, Rev., FRDO, 1.37%, 09/02/04 $ 50,000 24,000 Kentucky Asset Liability Commission, General Fund, Ser. A, Rev., TRAN, 3.00%, 06/29/05 24,283 2,240 Kentucky Development Finance Authority, Pooled Loan Program, Ser. A, Rev., FRDO, FGIC, 1.30%, 09/02/04 2,240 15,000 Louisville & Jefferson County Metropolitan Sewer District, Sewer & Drain Systems, Floating Rate Receipts, Ser. SG-132, Rev., FRDO, FGIC, 1.36%, 09/02/04 15,000 31,200 Ohio County, PCR, Big Rivers Electric Corp. Project, Rev., FRDO, AMBAC, 1.35%, 09/01/04 31,200 ------------------ 140,178 LOUISIANA -- 0.6% 12,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-17, Rev., FRDO, AMBAC, #, 1.37%, 09/01/04 12,000 9,000 East Baton Rouge Parish, Solid Waste Disposal Authority, Exxon Corp. Project, Rev., FRDO, 1.27%, 09/01/04 9,000 1,585 Iberia Parish IDB, IDR, Cuming Insulation Corp. Project, Rev., FRDO, 1.46%, 09/02/04 1,585 1,925 Jefferson Parish Home Mortgage Authority, Single Family Mortgage, FLOATS, Ser. PT-492, Rev., FRDO, 1.43%, 09/02/04 1,925 10,785 Lafayette, Louisiana, Utilities, Ser. R-6024, Rev., FRDO, MBIA, 1.37%, 09/02/04 10,785 3,605 Louisiana Housing Finance Agency, FLOATS, Ser. PT-1340, Rev., FRDO, 1.41%, 09/02/04 3,605 8,365 Louisiana Local Government, Environmental Facilities & Community Development, Ser. A, Rev., FRDO, 1.34%, 09/02/04 8,365 3,100 Louisiana Public Facilities Authority, IDB, Kenner Hotel LTD, Rev., FRDO, 1.32%, 09/02/04 3,100 5,535 Louisiana Public Facilities Authority, LSU Alumni Association Project, Rev., FRDO, 1.34%, 09/02/04 5,535 29,450 Louisiana State, Public Facilities, 1.15%, 10/04/04 29,450 4,950 South Louisiana Port Commission, Marine Terminal Facilities, Occidental Petroleum, Rev., FRDO, 1.33%, 09/01/04 4,950 ------------------ 90,300 MAINE -- 0.6% 9,700 Maine Finance Authority, Jackson Lab Issue, Ser. 2002, Rev., FRDO, 1.38%, 09/02/04 9,700
See notes to financial statements. 51
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MAINE -- CONTINUED $ 7,320 Maine Health & Higher Educational Facilities Authority, Ser. B, Rev., FRDO, AMBAC, 1.35%, 09/01/04 $ 7,320 6,250 Maine State Housing Authority, General Housing, FLOATS, Ser. MT-006, Rev., FRDO, 1.42%, 09/02/04 6,250 17,400 Maine State Housing Authority, Ser. E-2, Rev., FRDO, AMBAC, 1.32%, 09/02/04 17,400 16,515 Maine State Housing Authority, Ser. E-2, Rev., FRDO, AMBAC, 1.32%, 09/02/04 16,515 12,295 Maine State, BAN, GO, 3.00%, 06/23/05 12,432 20,700 Maine State, TAN, GO, 3.00%, 06/30/05 20,938 ------------------ 90,555 MARYLAND -- 1.9% 10,000 Anne Arundel County, 1.10%, 10/05/04 10,000 18,065 Baltimore County, Oak Crest Village, Inc. Project, Ser. A, Rev., FRDO, 1.32%, 09/02/04 18,065 17,375 Baltimore IDA, IDR, Baltimore Capital Acquisition, Rev., FRDO, 1.35%, 09/01/04 17,375 25,000 Baltimore, Maryland, #, 0.95%, 10/12/04 25,000 3,135 Community Development Administration, Multi-Family Development, Avalon Lea Apartment Project, Rev., FRDO, 1.29%, 09/01/04 3,135 50,000 Johns Hopkins University, 1.13%, 10/07/04 50,000 15,375 Johns Hopkins University, 1.15%, 10/04/04 15,375 2,550 Maryland Community Development Administration, Department of Housing & Community Development, FLOATS, Ser. PT-12, 1.34%, 09/01/04 2,550 3,000 Maryland Community Development Administration, Department of Housing & Community Development, Multi-Family Housing, Parklane Apartments, Rev., FRDO, 1.33%, 09/01/04 3,000 10,000 Maryland Community Development Administration, Department of Housing & Community Development, Residential, Ser. C, Rev., FRDO, 1.29%, 09/02/04 10,000 3,310 Maryland State Economic Development Corp., Floating Rate Reciepts, Ser. L9-J, Rev., FRDO, FSA, 1.42%, 09/01/04 3,310 5,215 Maryland State Health & Higher Educational Facilities Authority, Floater, Ser. 825, FRDO, AMBAC, 1.35%, 09/02/04 5,215 2,350 Maryland State Health & Higher Educational Facilities Authority, Loyola College Issue, Ser. B, Rev., FRDO, MBIA, 1.34%, 09/02/04 2,350
See notes to financial statements. 52
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MARYLAND -- CONTINUED $ 9,000 Maryland State Health & Higher Educational Facilities Authority, Municipal Securities Trust Receipts, Ser. SGA-143, Rev., FRDO, 1.36%, 09/01/04 $ 9,000 17,710 Maryland State Health & Higher Educational Facilities Authority, Ser. D, Rev., FRDO, 1.32%, 09/02/04 17,710 24,720 Maryland State Stadium Authority, Sports Facilities Lease, Rev., FRDO, 1.38%, 09/01/04 24,720 6,400 Montgomery County Housing Opportunites Commission, Multi-Family Housing, Falklands, Ser. B, Rev., FRDO, 1.24%, 09/01/04 6,400 10,700 Montgomery County Housing Opportunites Commission, Multiple Purpose, Ser. C, Rev., FRDO, 1.27%, 09/01/04 10,700 16,800 Montgomery County Housing Opportunities Commission, Multi-Family Housing, Grosvenor, Ser. A, Rev., FRDO, 1.24%, 09/01/04 16,800 5,100 Montgomery County Housing Opportunities Commission, The Grand-Issue I, Rev., FRDO, 1.32%, 09/01/04 5,100 1,210 Northeast Waste Disposal Authority, Resource Recovery, Harford County Resources, Rev., FRDO, AMBAC, 1.21%, 09/01/04 1,210 15,500 Washington Suburban Sanitation District, Multi-Modal, Ser. A, GO, BAN, FRDO, 1.26%, 09/01/04 15,500 ------------------ 272,515 MASSACHUSETTS -- 2.9% 21,400 Blackstone-Millville Regional School District, GO, BAN, 2.75%, 07/14/05 21,586 6,030 Canton Housing Authority, Multi-Family Housing, Canton Arboretum Apartments, Rev., FRDO, 1.33%, 09/01/04 6,030 8,510 Clipper Tax-Exempt Trust, COP, Ser. 2001-4, FRDO, 1.60%, 09/08/04 8,510 11,400 Gill-Montague Regional School District, GO, BAN, 2.00%, 09/24/04 11,406 13,070 Lee, Massachusetts, GO, BAN, 2.50%, 05/13/05 13,171 7,520 Lowell, Massachusetts, State Qualified, GO, MBIA, 3.00%, 10/15/04 7,538 5,030 Massachusetts Bay Transportation Authority, EAGLE, Ser. 20040031, Class A, Rev., FRDO, 1.35%, 09/02/04 5,030
See notes to financial statements. 53
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 5,750 Massachusetts Bay Transportation Authority, Municipal Securities Trust Receipts, Special Assessment, Ser. SGA-123, FRDO, 1.40%, 09/01/04 $ 5,750 7,000 Massachusetts Development Finance Agency, Clark University, Rev., FRDO, MBIA, 1.33%, 09/01/04 7,000 13,500 Massachusetts Development Finance Agency, Clark University, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/01/04 13,500 11,000 Massachusetts Development Finance Agency, Dana Hall School, Rev., FRDO, 1.30%, 09/02/04 11,000 4,760 Massachusetts Development Financing Agency, The Bridge Issue, Rev., FRDO, 1.31%, 09/01/04 4,760 5,240 Massachusetts Health & Educational Facilities Authority, Partners in Healthcare, Ser. D-6, Rev., FRDO, 1.28%, 09/01/04 5,240 2,200 Massachusetts Health & Educational Facilities Authority, University of Massachusetts, Ser. A, Rev., FRDO, 1.32%, 09/01/04 2,200 25,950 Massachusetts Housing Finance Agency, Ser. F, Rev., FRDO, FSA, 1.32%, 09/01/04 25,950 4,975 Massachusetts Housing Finance Agency, Ser. G, Rev., FRDO, 1.32%, 09/01/04 4,975 5,500 Massachusetts Housing Finance Agency, Single Family Housing, Ser. R-1, Rev., 1.15%, 05/02/05 5,500 11,995 Massachusetts Municipal Wholesale Electric Co., Power Supply Systems, FLOATS, Ser. PT-1951, 1.33%, 09/02/04 11,995 32,000 Massachusetts State, 1.25%, 09/15/04 32,000 9,525 Massachusetts State Industrial Finance Agency, Whitehead Institute for Biomedical Research, Rev., FRDO, 1.28%, 09/01/04 9,525 7,000 Massachusetts State Port Authority, 1.25%, 10/08/04 7,000 2,506 Massachusetts State Turnpike Authority, FLOATS, Ser. 334, Rev., FRDO, MBIA, 1.31%, 09/02/04 2,506 41,800 Massachusetts State Water Resources Authority, 1.12%, 09/01/04 41,800 4,800 Massachusetts State Water Resources Authority, Multi-Modal, Ser. B, Rev., FRDO, AMBAC, 1.34%, 09/01/04 4,800 7,200 Massachusetts State Water Resources Authority, Multi-Modal, Ser. B, Rev., FRDO, FGIC, 1.24%, 09/01/04 7,200 4,220 Massachusetts State Water Resources Authority, Ser. A, Rev., FRDO, FGIC, 1.27%, 09/01/04 4,220
See notes to financial statements. 54
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MASSACHUSETTS -- CONTINUED $ 2,500 Massachusetts State Water Resources Authority, Sub Ser. B, Rev., FRDO, FGIC, 1.30%, 09/01/04 $ 2,500 6,600 Massachusetts State Water Resources Authority, Sub Ser. C, Rev., FRDO, FGIC, 1.34%, 09/01/04 6,600 1,000 Massachusetts State Water Resources Authority, Sub Ser. D, Rev., FRDO, 1.35%, 09/02/04 1,000 10,000 Massachusetts State, EAGLE, Ser. 20040004, Class A, GO, FRDO, 1.34%, 09/02/04 10,000 9,995 Massachusetts State, FLOATS, Ser. PA-800, 1.33%, 09/02/04 9,995 7,830 Massachusetts State, FLOATS, Ser. PT-1576, GO, FRDO, MBIA, 1.33%, 09/02/04 7,830 115 Massachusetts State, FLOATS, Ser. PT-2008, GO, FRDO, AMBAC, 1.33%, 09/02/04 115 9,795 Massachusetts State, FLOATS, Ser. PT-2238, GO, FRDO, 1.33%, 09/02/04 9,795 16,240 Massachusetts State, FLOATS, Ser. PT-2265, GO, FRDO, AMBAC, 1.33%, 09/02/04 16,240 11,820 Massachusetts State, FLOATS, Ser. PT-392, 1.35%, 09/07/04 11,820 22,900 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 1.29%, 09/01/04 22,900 33,650 Scituate, Massachusetts, GO, BAN, 1.75%, 03/03/05 33,731 6,100 Shirley, Massachusetts, GO, BAN, 2.00%, 04/08/05 6,133 ------------------ 418,851 MICHIGAN -- 4.5% 30,795 ABN AMRO Munitops Certificate Trust, Ser. 2000-16, GO, FRDO, FGIC, 1.37%, 09/01/04 30,795 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-29, GO, FRDO, FGIC, 1.08%, 10/06/04 5,000 8,580 Detroit City School District, Ser. 2003-28, GO, FRDO, 1.36%, 09/02/04 8,580 9,990 Detroit City School District, Ser. B-1, GO, FRDO, FGIC, 1.38%, 09/01/04 9,990 1,950 Detroit, Michigan, Sewer Disposal, Senior Lien, Ser. C-1, Rev., FRDO, FSA, 1.30%, 09/02/04 1,950 37,500 Detroit, Michigan, Sewer Disposal, Second Lien, Ser. E, Rev., FRDO, FGIC, 1.55%, 09/02/04 37,500 600 Detroit, Michigan, Sewer Disposal, Senior Lien, Ser. B, Rev., FRDO, FSA, 1.27%, 09/01/04 600 38,525 Detroit, Michigan, Water Supply System, Second Lien, Ser. C, Rev., FRDO, FGIC, Series 2001-C, 1.25%, 09/01/04 38,525 7,450 East Lansing School District, Municipal Securities Trust Receipts, Ser. SGA-114, GO, FRDO, 1.36%, 09/01/04 7,450
See notes to financial statements. 55
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 8,840 Howell Public Schools, FLOATS, Ser. PT-1502, GO, FRDO, 1.36%, 09/02/04 $ 8,840 12,300 Lakeview School District, Calhoun, School Building & Site, Ser. B, GO, FRDO, 1.28%, 09/02/04 12,300 9,000 Michigan Higher Education Student Loan Authority, Ser. XII-F, Rev., FRDO, AMBAC, 1.32%, 09/01/04 9,000 8,480 Michigan Municipal Bond Authority, FLOATS, Ser. PT-1477, Rev., FRDO, 1.25%, 09/02/04 8,480 30,000 Michigan State, 1.10%, 12/01/04 30,000 15,000 Michigan State Building Authority, 1.15%, 09/09/04 15,000 10,495 Michigan State Building Authority, Ser. RR-II-R-1049, Rev., FRDO, 1.38%, 09/02/04 10,495 8,970 Michigan State Hospital Finance Authority, FLOATS, Ser. PA-919, Rev., 1.36%, 09/02/04 8,970 7,495 Michigan State Hospital Finance Authority, FLOATS, Ser. PT-668, Rev., FRDO, MBIA, 1.36%, 09/02/04 7,495 15,000 Michigan State Housing Development Authority, 1.25%, 10/19/04 15,000 6,350 Michigan State Housing Development Authority, Multi-Family Housing, Canton Club, Ser. A, Rev., FRDO, 1.32%, 09/02/04 6,350 7,030 Michigan State Housing Development Authority, Multi-Family Housing, River Place Apartments, Rev., FRDO, 1.34%, 09/02/04 7,030 14,700 Michigan State Housing Development Authority, Rental Housing, Ser. B, Rev., FRDO, 1.35%, 09/01/04 14,700 4,690 Michigan State University, Ser. A, Rev., FRDO, 1.24%, 09/01/04 4,690 14,300 Michigan State University, Ser. A, Rev., FRDO, 1.30%, 09/01/04 14,300 480 Michigan State University, Ser. A, Rev., FRDO, 1.35%, 09/02/04 480 23,180 Michigan State University, Ser. A-2, Rev., FRDO, 1.30%, 09/01/04 23,180 2,800 Michigan State University, Ser. B, Rev., FRDO, 1.30%, 09/01/04 2,800 4,435 Michigan State, FLOATS, Ser. PT-2021, GO, FRDO, 1.36%, 09/02/04 4,435 10,000 Michigan State, Ser. 2002, Class A, FRDO, 1.15%, 11/02/04 9,996 53,000 Michigan State, Ser. A, GO, 2.00%, 09/30/04 53,043 10,500 Michigan State, Ser. A, Rev., GAN, FRDO, FSA, 1.29%, 09/01/04 10,500 44,900 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 1.28%, 09/01/04 44,900 50,885 Michigan State, Ser. C, Rev., GAN, FRDO, FSA, 1.35%, 09/01/04 50,885
See notes to financial statements. 56
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MICHIGAN -- CONTINUED $ 3,400 Michigan State, Ser. D, Rev., GAN, FRDO, FSA, 1.35%, 09/01/04 $ 3,400 1,175 Michigan Strategic Fund, Wayne Disposal, Oakland Project, Rev., FRDO, 1.37%, 09/01/04 1,175 23,980 Milan Area Schools, GO, FRDO, 1.30%, 09/02/04 23,980 10,000 Oakland University, Rev., FRDO, FGIC, 1.29%, 09/01/04 10,000 48,550 Saline Area Schools, GO, FRDO, 1.28%, 09/02/04 48,550 1,100 University of Michigan, Hospital, Ser. A, Rev., FRDO, 1.30%, 09/01/04 1,100 11,500 University of Michigan, Medical Service Plan, Ser. A-1, Rev., FRDO, 1.30%, 09/01/04 11,500 300 University of Michigan, Medical Services Plan, Ser. A, Rev., FRDO, 1.34%, 09/01/04 300 18,355 Wayne Charter County, Detroit Metropolitan, Wayne Charter Airport, Junior Lien, Rev., FRDO, FSA, 1.32%, 09/02/04 18,355 13,700 Wayne Charter County, Wayne Charter Airport, Floating Rate Receipts, Ser. SG-122, Rev., FRDO, 1.34%, 09/02/04 13,700 ------------------ 645,319 MINNESOTA -- 1.1% 8,510 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SG-136, Rev., FRDO, FGIC, 1.38%, 09/02/04 8,510 9,000 Minneapolis & St. Paul Metropolitan Airports Commission, Municipal Securities Trust Receipts, Ser. SGA-127, Rev., FRDO, FGIC, 1.40%, 09/01/04 9,000 19,130 Minnesota Housing Finance Agency, Residential Housing Finance, Ser. H, Rev., FRDO, 1.62%, 07/21/05 19,130 4,400 Minnesota Housing Finance Agency, Residential Housing Finance, Ser. B, Rev., FRDO, 1.32%, 09/02/04 4,400 18,055 Minnesota Housing Finance Agency, Residential Housing Finance, Ser. H, Rev., FRDO, 1.62%, 07/21/05 18,055 4,995 Minnesota Public Facilities Authority, PCR, Water, Ser. II-R-31, Rev., FRDO, 1.37%, 09/02/04 4,995 10,250 Rochester, Minnesota, 1.09%, 09/01/04 10,250 9,000 Rochester, Minnesota, 1.09%, 09/01/04 9,000 15,000 Rochester, Minnesota, 1.09%, 09/01/04 15,000 15,300 Rochester, Minnesota, 1.20%, 11/01/04 15,300 10,000 Rochester, Minnesota, 1.20%, 11/01/04 10,000 35,000 Rochester, Minnesota, Health Authority, 1.12%, 09/13/04 35,000 4,300 St. Louis Park, Minnesota, Catholic Finance Corp., Rev., FRDO, 1.35%, 09/02/04 4,300
See notes to financial statements. 57
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MINNESOTA -- CONTINUED $ 2,100 Washington County Housing & Redevelopment Authority, Multi-Family Housing, FLOATS, Ser. PT-702, Rev., 1.40%, 09/02/04 $ 2,100 ------------------ 165,040 MISSISSIPPI -- 0.1% 8,380 Mississippi Development Bank Special Obligation, FLOATS, Ser. PT-1494, Rev., FRDO, FSA, 1.40%, 09/02/04 8,380 645 Mississippi Home Corp., Single Family Housing, FLOATS, Ser. PT-620, Rev., FRDO, 1.41%, 09/02/04 645 4,350 Mississippi State, Ser. RR-II-R-1043, GO, FRDO, FGIC, 1.37%, 09/02/04 4,350 ------------------ 13,375 MISSOURI -- 1.1% 14,310 Bi-State Development Agency, Metropolitan District, Floating Rate Receipts, Ser. SG-175, Rev., FRDO, FSA, 1.36%, 10/01/04 14,310 11,255 Bi-State Development Agency, Metropolitan District, FLOATS, Ser. PT-1593, Rev., FRDO, FSA, 1.36%, 09/07/04 11,255 5,300 Bi-State Development Agency, Metropolitan District, Metrolink Cross County Project, Ser. A, Rev., FRDO, FSA, 1.32%, 09/01/04 5,300 6,645 Independence IDA, Multi-Family Housing, FLOATS, Ser. PT-314, FRDO, 1.36%, 09/02/04 6,645 2,900 Kansas City IDA, IDR, Livers Bronze Co. Project, Rev., FRDO, 1.40%, 09/02/04 2,900 3,000 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, 1.35%, 09/01/04 3,000 1,600 Missouri Higher Education Loan Authority, Student Loan, Ser. B, Rev., FRDO, MBIA, 1.35%, 09/01/04 1,600 2,275 Missouri Housing Development Commission, FLOATS, Ser. PT-1286, Rev., FRDO, 1.41%, 09/02/04 2,275 3,105 Missouri Housing Development Commission, Mortgage, FLOATS, Ser. PT-495, Rev., FRDO, 1.41%, 09/02/04 3,105 9,700 Missouri Housing Development Commission, Single Family Mortgage, FLOATS, Ser. L-5J, Regulation D, Rev., FRDO, 1.42%, 09/01/04 9,700 17,600 Missouri State Health & Educational Facilities Authority, Assemblies of God College, Rev., FRDO, 1.32%, 09/02/04 17,600 2,500 Missouri State Health & Educational Facilities Authority, EAGLE, Ser. 2002-6026, Class A, Rev., FRDO, 1.38%, 09/03/04 2,500
See notes to financial statements. 58
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MISSOURI -- CONTINUED $ 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 $ 20,000 945 Missouri State Housing Development Commission, FLOATS, Ser. PT-223, Rev., FRDO, 1.33%, 09/02/04 945 11,125 O'Fallon, Missouri, COP, FLOATS, Ser. PT-1396, FRDO, MBIA, 1.36%, 09/02/04 11,125 40,000 University of Missouri, Curators, Floating Rate Trust Receipts, Ser. L43, Regulation D, Rev., FRDO, 1.27%, 10/20/04 40,000 ------------------ 152,260 MONTANA -- 0.0%^ 1,780 Montana Board of Housing, FLOATS, Ser. PT-356, 1.43%, 09/02/04 1,780 MULTIPLE STATES -- 4.3% 5,010 ABN AMRO Munitops Certificate Trust, Ser. 2002-37, Rev., FRDO, 1.40%, 12/08/04 5,010 10,750 ABN AMRO Munitops Certificate Trust, Ser. 2004-8, GO, FRDO, 1.39%, 09/01/04 10,750 48,325 ABN-AMRO Munitops Certificate Trust, Ser. 2002-1, Rev., FRDO, 1.50%, 09/01/04 48,325 14,000 Charter Mac Floater Certificate Trust I, FLOATER, Ser. NAT-4, Rev., FRDO, MBIA, 1.49%, 09/02/04 14,000 12,800 Charter Mac Floater Certificate Trust I, Ser. NAT-1, Rev., FRDO, MBIA, 1.50%, 09/02/04 12,800 24,000 Charter Mac Floater Certificate Trust I, Ser. NAT-2, Rev., FRDO, MBIA, 1.50%, 09/02/04 24,000 15,000 Charter Mac Floater Certificate Trust I, Ser. NAT-3, Rev., FRDO, MBIA, 1.50%, 09/02/04 15,000 3,947 Clipper Tax-Exempt Trust, COP, Ser. 1999-2, FRDO, 1.51%, 09/02/04 3,947 34,918 Clipper Tax-Exempt Trust, COP, Ser. 2002-9, FRDO, 1.51%, 09/02/04 34,918 20,000 Clipper Tax-Exempt Trust, COP, Ser. 2003-5, FRDO, 1.43%, 09/02/04 20,000 20,675 Clipper Tax-Exempt Trust, Ser. 2004-2, Rev., FRDO, 1.52%, 09/02/04 20,675 6,000 Eagle Tax Exempt Trust, Ser. 2000-1003, Rev., FRDO, FGIC, 1.37%, 09/02/04 6,000 41,583 Koch Floating Rate Trust, Weekly Certificates, Ser. 1, Rev., FRDO, 1.56%, 09/02/04 41,583 21,725 MBIA Capital Corp., FLOATS, Ser. PL-10, Rev., Adj., MBIA, 1.42%, 09/02/04 21,725 67,775 Municipal Securities Pool Trust, Floating Rate Receipt, Ser. SG-P-18, Rev., FRDO, 1.47%, 09/02/04 67,775
See notes to financial statements. 59
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED MULTIPLE STATES -- CONTINUED $ 67,470 Municipal Securities Pool Trust, Floating Rate Trust Receipts, Ser. P-16, 1.47%, 09/02/04 $ 67,470 137,515 Municipal Securities Pool Trust, Trust Receipts, Ser. SG-PG-17, 1.47%, 09/02/04 137,515 10,000 Municipal Securities Trust Certificates, Ser. 2000-96, Class A, GO, FRDO, AMBAC, #, 1.37%, 09/01/04 10,000 44,635 Puttable Floating Option Tax-Exempt Receipts, SunAmerica Trust, PUTTERS, Ser. 2001-2, Class A Certificates, 1.42%, 09/02/04 44,635 10,225 SunAmerica Trust, Ser. 2, Class A Certificates, Rev., FRDO, 1.51%, 09/02/04 10,225 ------------------ 616,353 NEBRASKA -- 0.2% 14,405 Lancaster County Hospital Authority No. 1, Bryan Memorial Hospital Project, Rev., FRDO, MBIA, 1.27%, 09/01/04 14,405 3,285 NEBHELP, Inc., Multi-Modal, Ser. A-11, Rev., FRDO, MBIA, 1.38%, 09/01/04 3,285 7,540 Nebraska Investment Finance Authority, Single Family Housing, Floating Rate Trust Receipts, Ser. N-7, Regulation D, Rev., FRDO, 1.75%, 09/15/04 7,540 5,875 Nebraska Investment Finance Authority, Single Family Housing, Ser. E, Rev., FRDO, 1.37%, 09/01/04 5,875 ------------------ 31,105 NEVADA -- 1.0% 15,000 Clark County School District, FRDO, 1.41%, 09/02/04 15,000 6,710 Clark County, Airport Improvement, Sub Lien, Ser. A-1, Rev., FRDO, 1.27%, 09/01/04 6,710 480 Clark County, Airport Improvement, Sub Lien, Ser. A-2, Rev., FRDO, 1.35%, 09/01/04 480 24,400 Clark County, Airport Revenue, Sub Lien, Ser. C, Rev., FRDO, FGIC, 1.27%, 09/01/04 24,400 600 Clark County, Airport, Sub Lien, Ser. A, Rev., FRDO, FGIC, 1.28%, 09/01/04 600 15,210 Clark County, Nevada, Airport Revenue, Sub-Lien, Ser. B-2, Rev., FRDO, 1.28%, 09/01/04 15,210 10,000 Las Vegas, Nevada, Water Authority, 1.14%, 10/04/04 10,000 9,500 Nevada Housing Division, Multi-Unit Housing, Flamingo Road, Ser. A, Rev., FRDO, #, 1.50%, 09/02/04 9,500 7,800 Nevada Housing Division, Multi-Unit Housing, Fort Apache, Ser. A, Rev., FRDO, 1.50%, 09/02/04 7,800 3,390 Nevada Housing Division, Multi-Unit Housing, Horizon, Ser. A, Rev., FRDO, 1.33%, 09/02/04 3,390 4,350 Nevada Housing Division, Multi-Unit Housing, Joshua Villas, Ser. E, Rev., FRDO, 1.33%, 09/02/04 4,350
See notes to financial statements. 60
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEVADA -- CONTINUED $ 5,455 Nevada Housing Division, Multi-Unit Housing, Judith Villas, Ser. C, Rev., FRDO, 1.38%, 09/02/04 $ 5,455 6,750 Nevada Housing Division, Multi-Unit Housing, Ser. A, Rev., FRDO, 1.33%, 09/02/04 6,750 3,195 Nevada Housing Division, Multi-Unit Housing, Ser. M, Rev., FRDO, 1.33%, 09/02/04 3,195 4,800 Nevada State, FLOATS, Ser. PT-403, GO, FRDO, 1.36%, 09/02/04 4,800 9,000 Nevada State, FLOATS, Ser. SG-39, 1.36%, 09/02/04 9,000 8,940 Nevada State, Ser. RR-II-R-4054, GO, FRDO, FSA, 1.37%, 09/02/04 8,940 1,300 Reno, Nevada, St. Mary's Regional Medical Center, Ser. B, Rev., FRDO, MBIA, 1.30%, 09/01/04 1,300 5,800 Truckee Meadows Water Authority, Municipal Securities Trust Receipts, Ser. SGA-137, Rev., FRDO, FSA, 1.30%, 09/01/04 5,800 ------------------ 142,680 NEW HAMPSHIRE -- 0.3% 5,945 New Hampshire Health & Education Facilities Authority, Riverbend, Rev., FRDO, 1.33%, 09/02/04 5,945 10,000 New Hampshire Higher Educational & Health Facilities Authority, FLOATS, Ser. 866, Rev., FRDO, FGIC, 1.38%, 09/02/04 10,000 4,290 New Hampshire Higher Educational & Health Facilities Authority, Ser. 772, Rev., FRDO, FGIC, 1.37%, 09/02/04 4,290 6,300 New Hampshire Higher Educational & Health Facilities Authority, VHA New England, Inc., Ser. C, Rev., FRDO, AMBAC, 1.31%, 09/01/04 6,300 7,200 New Hampshire Higher Educational & Health Facilities Authority, VHA New England, Inc., Ser. F, Rev., FRDO, AMBAC, 1.34%, 09/01/04 7,200 2,280 New Hampshire Municipal Bond Bank, Educational Institutions, Pinkerton Academy Project, Ser. B, Rev., FRDO, 1.35%, 09/02/04 2,280 2,920 New Hampshire State Housing Finance Authority, Single Family Housing, FLOATS, Ser. PT-624, Rev., FRDO, 1.41%, 09/02/04 2,920 ------------------ 38,935 NEW JERSEY -- 0.8% 5,815 Burlington County Bridge Commissioner, Community Pooled Loan, FLOATS, Ser. PT-1546, Rev., FRDO, 1.36%, 09/02/04 5,815 7,625 Hudson County Improvement Authority, Essential Purpose Pooled Loan, Rev., FRDO, 1.30%, 09/02/04 7,625 18,170 Jersey City, New Jersey, Promissory Notes, Ser. A, GO, 1.75%, 02/25/05 18,226
See notes to financial statements. 61
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW JERSEY -- CONTINUED $ 7,900 Mercer County Improvement Authority, Atlantic Foundation & Johnson, Rev., FRDO, MBIA, 1.26%, 9/2/04 $ 7,900 12,925 Municipal Securities Trust Certificates, Ser. 2001-174, Class A, GO, FRDO, #, 1.29%, 09/01/04 12,925 6,000 New Jersey Economic Development Authority, Diocese of Metuchen, Rev., FRDO, 1.34%, 9/1/04 6,000 4,985 New Jersey Economic Development Authority, FLOATS, Ser. PA-828, Rev., FRDO, AMBAC, 1.34%, 09/02/04 4,985 4,995 New Jersey Economic Development Authority, Ser. A, GO, FRDO, AMBAC, 1.35%, 09/02/04 4,995 2,440 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.30%, 9/2/04 2,440 5,500 New Jersey State Educational Facilities Authority, FLOATS, Ser. PT-1597, 1.34%, 09/02/04 5,500 5,285 New Jersey State Educational Facilities Authority, FLOATS, Ser. PT-1599, 1.34%, 09/02/04 5,285 9,000 New Jersey State Housing & Mortgage Finance Agency, Single Family Housing, Ser. B, Rev., 1.10%, 10/01/04 9,000 8,100 New Jersey State Turnpike Authority, Ser. C-1, Rev., FRDO, FSA, 1.34%, 09/01/04 8,100 8,615 New Jersey Transportation Trust Fund Authority, FLOATS, Ser. 941-D, Rev., FRDO, FSA, 1.31%, 9/2/04 8,615 10,335 New Jersey Transportation Trust Fund Authority, FLOATS, Ser. PT-1926, Rev., FRDO, MBIA, 1.36%, 9/2/04 10,335 ------------------ 117,746 NEW MEXICO -- 0.2% 3,800 Albuquerque, New Mexico, Airport, Sub Lien, Rev., FRDO, AMBAC, 1.27%, 10/07/04 3,800 3,200 Chaves County, IDR, Friona Industries LP, Ser. A, Rev., FRDO, 1.42%, 09/02/04 3,200 6,450 New Mexico Finance Authority, Ser. RR-II-R-2118, Rev., FRDO, AMBAC, 1.37%, 09/02/04 6,450 4,305 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1308, Rev., FRDO, 1.41%, 09/02/04 4,305 5,405 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-1378, Rev., FRDO, 1.41%, 09/02/04 5,405 3,070 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-196, FRDO, 1.41%, 09/03/04 3,070 4,705 New Mexico Mortgage Finance Authority, FLOATS, Ser. PT-643, Rev., FRDO, 1.41%, 09/02/04 4,705 ------------------ 30,935
See notes to financial statements. 62
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- 10.9% $ 24,795 ABN AMRO Munitops Certificate Trust, Ser. 2002-19, Rev., FRDO, MBIA-IBC, 1.33%, 09/01/04 + $ 24,795 900 Jay Street Development Corp., New York City Jay Street Project, CTS Facilities Lease, Ser. A-4, Rev., FRDO, 1.33%, 09/02/04 900 9,995 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-513-R, Rev., FRDO, FSA, 1.35%, 9/2/04 9,995 2,300 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-522, Rev., FRDO, FSA, 1.35%, 9/2/04 2,300 4,800 Long Island Power Authority, Electric Systems, FLOATS, Ser. PT-386, Rev., 1.34%, 09/03/04 4,800 900 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 1.33%, 09/01/04 900 2,900 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 1.30%, 09/01/04 2,900 9,710 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 1.30%, 09/02/04 9,710 12,000 Metropolitan Transportation Authority, Ser. B-16, Rev., FRDO, FGIC-MBIA, 1.35%, 09/01/04 12,000 15,500 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 1.29%, 09/02/04 15,500 22,440 Metropolitan Transportation Authority, Ser. G-2, Rev., FRDO, AMBAC, 1.29%, 09/02/04 22,440 20,000 Metropolitan Transportation Authority, Sub Ser. A-1, GO, FRDO, 1.29%, 09/02/04 20,000 1,520 Monroe County Airport Authority, FLOATS, Ser. PA-585, Rev., FRDO, MBIA, 1.37%, 09/02/04 1,520 7,555 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, #, 1.33%, 09/01/04 7,555 11,300 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 1.35%, 09/02/04 11,300 14,700 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 1.33%, 09/01/04 14,700 8,000 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. B, Rev., FRDO, FSA, 1.29%, 09/01/04 8,000 16,000 New York City, New York, Housing Development Corp., Multi-Family Housing, Carnegie Park, Ser. A, Rev., FRDO, 1.32%, 09/01/04 16,000 35,650 New York City, New York, Sub Ser. -h2, GO, FRDO, 1.29%, 09/01/04 35,650 6,270 New York City Housing Development Corp., Multi-Family Housing, Columbus Apartments, Ser. A, Rev., FRDO, 1.32%, 09/01/04 6,270
See notes to financial statements. 63
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 400 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.37%, 09/01/04 $ 400 5,500 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.30%, 09/01/04 5,500 4,400 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. G, Rev., FRDO, FGIC, 1.25%, 09/03/04 4,400 5,550 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., FRDO, FGIC, 1.34%, 09/02/04 5,550 9,415 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-995, Rev., FRDO, MBIA, 1.34%, 09/02/04 9,415 15,960 New York City Municipal Water Finance Authority, Water & Sewer Systems, Floating Trust Receipts, Ser. 11, Rev., FRDO, FSA, 1.37%, 09/01/04 15,960 4,995 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1045, Rev., FRDO, 1.36%, 09/02/04 4,995 5,885 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 1.37%, 09/02/04 5,885 9,895 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 1.35%, 09/02/04 9,895 2,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-27, Rev., FRDO, FSA, 1.34%, 09/02/04 2,000 400 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.32%, 09/02/04 400 16,575 New York City Transitional Finance Authority, Floating Rate Trust Receipts, Ser. L-11, Rev., FRDO, 1.33%, 09/01/04 16,575 8,995 New York City Transitional Finance Authority, FLOATS, Ser. PA-1043-R, Rev., FRDO, 1.35%, 09/03/04 8,995 13,160 New York City Transitional Finance Authority, FLOATS, Ser. PT-406, Rev., FRDO, 1.65%, 9/2/04 13,160 15,635 New York City Transitional Finance Authority, Future Tax Secured, Ser. C, Rev., FRDO, 1.30%, 09/01/04 15,635 35,800 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 1.30%, 09/02/04 35,800
See notes to financial statements. 64
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 400 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-H, Rev., FRDO, 1.30%, 09/01/04 $ 400 36,900 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 1.25%, 09/01/04 36,900 16,285 New York City Transitional Finance Authority, Sub Ser. 2-E, Rev., FRDO, 1.30%, 09/01/04 16,285 2,000 New York City Trust for Cultural Resources, Municipal Securities Trust Receipts, Ser. SGA-91, Rev., FRDO, AMBAC, 1.29%, 09/01/04 2,000 4,995 New York City, New York, FLOATS, Ser. PA-878, GO, FRDO, MBIC-IBC, 1.35%, 09/01/04 4,995 4,300 New York City, New York, Housing Development Corp., Multi-Family Housing, Monterey, Ser. A, Rev., FRDO, 1.32%, 09/01/04 4,300 9,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 1.33%, 09/01/04 9,000 2,805 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.34%, 09/02/04 2,805 12,865 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-36, GO, FRDO, AMBAC, 1.37%, 09/02/04 12,865 2,100 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.28%, 09/01/04 2,100 100 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 1.32%, 09/01/04 100 6,350 New York City, New York, Ser. B-2, Sub. Ser. B-5, GO, FRDO, MBIA, 1.28%, 09/01/04 6,350 1,400 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 1.28%, 09/01/04 1,400 2,100 New York City, New York, Ser. H, Sub Ser. H-2, GO, FRDO, MBIA, 1.35%, 09/01/04 2,100 1,900 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 09/01/04 1,900 1,300 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 09/01/04 1,300 2,600 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 09/01/04 2,600 2,400 New York City, New York, Ser. H, Sub Ser. H-3, GO, FRDO, FSA, 1.25%, 09/01/04 2,400 1,700 New York City, New York, Ser. H, Sub Ser. H-6, GO, FRDO, MBIA, 1.27%, 09/01/04 1,700 31,300 New York City, New York, Sub Ser. A-2, Rev., FRDO, 1.32%, 09/01/04 31,300 7,000 New York City, New York, Sub Ser. A-3, GO, FRDO, 1.33%, 09/01/04 7,000
See notes to financial statements. 65
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 6,000 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.25%, 09/01/04 $ 6,000 5,700 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.30%, 09/02/04 5,700 400 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.27%, 09/01/04 400 300 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.32%, 09/02/04 300 8,750 New York City, New York, Sub Ser. A-6, GO, FRDO, 1.28%, 09/01/04 8,750 6,800 New York City, New York, Sub Ser. C-4, GO, FRDO, 1.30%, 09/01/04 6,800 12,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 1.29%, 09/01/04 12,000 26,815 New York City, New York, Sub Ser. G-2, GO, FRDO, 1.30%, 09/01/04 26,815 12,600 New York City, New York, Sub Ser. H-1, GO, FRDO, 1.30%, 09/02/04 12,600 69,300 New York City, New York, Sub Ser. H-3, GO, FRDO, 1.34%, 09/01/04 69,300 47,500 New York City, New York, Sub Ser. H-5, GO, FRDO, 1.29%, 09/01/04 47,500 15,000 New York City, New York, Sub Ser. H-6, GO, FRDO, 1.28%, 09/01/04 15,000 1,000 New York City, New York, Sub. Ser. E-3, GO, FRDO, 1.25%, 09/01/04 1,000 10,300 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 10,300 5,500 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 1.34%, 09/02/04 5,500 15,700 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 1.34%, 09/02/04 15,700 22,995 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 1.32%, 09/01/04 22,995 20,000 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.30%, 09/01/04 20,000 6,000 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.26%, 09/01/04 6,000 5,000 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 1.32%, 09/02/04 5,000 11,100 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.34%, 09/02/04 11,100 9,920 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 1.34%, 09/07/04 9,920 6,950 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 1.34%, 09/02/04 6,950
See notes to financial statements. 66
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 8,920 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 1.34%, 09/02/04 $ 8,920 4,865 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 1.32%, 09/01/04 4,865 7,114 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.36%, 09/02/04 7,114 15,470 New York State Dormitory Authority, FLOATS, Ser. PA-1088, Rev., FRDO, AMBAC, 1.34%, 09/02/04 15,470 7,120 New York State Dormitory Authority, FLOATS, Ser. PA-1089, Rev., FRDO, AMBAC, 1.34%, 09/02/04 7,120 5,600 New York State Dormitory Authority, FLOATS, Ser. PA-199, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 5,600 8,020 New York State Dormitory Authority, FLOATS, Ser. PT-2240, Rev., FRDO, FSA, 1.34%, 09/02/04 8,020 6,445 New York State Dormitory Authority, FLOATS. Ser. PA-773-R, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 6,445 10,450 New York State Energy Research & Development Authority, PCR, FLOATS, Ser. PA-450, Rev., FRDO, AMBAC, 1.34%, 09/02/04 10,450 6,000 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 1.27%, 09/01/04 6,000 11,650 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, PA-1165, Rev., FRDO, 1.34%, 09/02/04 11,650 45,015 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.33%, 09/02/04 45,015 4,995 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-174, Rev., FRDO, MBIA, 1.34%, 09/02/04 4,995 11,180 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-198, Rev., FRDO, MBIA, 1.34%, 09/02/04 11,180 6,600 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 1.32%, 09/01/04 6,600 16,100 New York State Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.30%, 09/01/04 16,100 16,700 New York State Housing Finance Agency, 360 West 43rd Street, Rev., FRDO, 1.31%, 09/01/04 16,700 10,300 New York State Housing Finance Agency, East 84th Street, Ser. A, Rev., FRDO, 1.35%, 09/01/04 10,300 5,500 New York State Housing Finance Agency, Kew Gardens Hills, Ser. A, Rev., FRDO, 1.34%, 09/01/04 5,500
See notes to financial statements. 67
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 17,200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.35%, 09/1/04 $ 17,200 7,100 New York State Housing Finance Agency, Saville Housing, Ser. A, Rev., FRDO, 1.36%, 09/01/04 7,100 8,100 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.31%, 09/01/04 8,100 67,500 New York State Housing Finance Agency, Tribeca Green Housing, Ser. A, Rev., FRDO, 1.30%, 9/1/04 67,500 14,900 New York State Housing Finance Agency, West 23rd Street, Ser. A, Rev., FRDO, 1.30%, 09/01/04 14,900 17,400 New York State Housing Finance Agency, West 38th Street, Ser. A, Rev., FRDO, 1.30%, 09/01/04 17,400 25,900 New York State Housing Finance Agency, West 38th Street, Ser. A, Rev., FRDO, 1.30%, 09/01/04 25,900 1,300 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.34%, 09/02/04 1,300 9,000 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., 1.37%, 09/02/04 9,000 11,415 New York State Thruway Authority, FLOATS, Ser. PA-532, Rev., GO, FRDO, 1.34%, 09/02/04 11,415 7,270 New York State Thruway Authority, Highway & Bridge Trust Fund, FLOATS, Ser. PT-1425, Rev., FRDO, FGIC, 1.34%, 09/02/04 7,270 6,200 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, Rev., 1.34%, 09/02/04 6,200 5,245 New York State Urban Development Corp., FLOATS, Ser. PA-1108, Rev., FRDO, 1.34%, 09/02/04 5,245 7,240 New York State Urban Development Corp., FLOATS, Ser. PT-1644, Rev., FRDO, 1.34%, 09/02/04 7,240 5,700 New York State, Environmental Quality, Ser. G, GO, FRDO, 1.03%, 10/01/04 5,700 4,200 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 1.36%, 09/01/04 4,200 30,000 New York State, Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.32%, 09/01/04 30,000 4,400 New York State, Local Government Assistance Corp., Ser. F, Rev., FRDO, 1.30%, 09/01/04 4,400 9,500 New York State, Ser. A, GO, FRDO, 1.05%, 10/7/04 9,500 13,100 Oneida Indian Nation, Rev., FRDO, 1.28%, 09/01/04 13,100
See notes to financial statements. 68
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 15,355 Orange County IDA, Civic Facilities, Arden Hill Hospital Project, Rev., FRDO, FSA, 1.30%, 09/09/04 $ 15,355 13,090 Port Authority of New York & New Jersey, Rev., FRDO, #, 1.32%, 09/08/04 13,090 22,000 Roosevelt Union Free School District, BAN, 2.63%, 06/23/05 22,173 12,080 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 12,080 595 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PT-2017, Rev., FRDO, MBIA, 1.34%, 09/02/04 595 10,000 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, 1.30%, 09/01/04 10,000 101,800 Triborough Bridge & Tunnel Authority, General Purpose, Ser. C, Rev., FRDO, AMBAC, 1.28%, 09/01/04 101,800 9,935 Triborough Bridge & Tunnel Authority, Ser. 839, Rev., FRDO, MBIA, 1.33%, 09/02/04 9,935 8,810 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 1.29%, 09/01/04 8,810 38,920 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. D, Rev., FRDO, FSA, 1.29%, 09/01/04 38,920 9,300 Westchester County IDA, IDR, Levister Redevelopment Co., LLC, Ser. A, Rev., FRDO, 1.30%, 09/02/04 9,300 ------------------ 1,580,002 NORTH CAROLINA -- 3.4% 5,365 Brunswick County, Enterprise System, FLOATS, Ser. PT-2235, Rev., FRDO, FSA, 1.36%, 10/01/04 5,365 15,350 Charlotte, North Carolina, Airport, Ser. D, Rev., FRDO, MBIA, 1.27%, 09/01/04 15,350 40,000 Charlotte-Mecklenberg Hospital Authority, Health Care Systems, Ser. D, Rev., FRDO, 1.28%, 09/02/04 40,000 1,700 Durham, North Carolina, Water & Sewer Utility Systems, Rev., FRDO, 1.35%, 09/01/04 1,700 8,800 Fayetteville Public Works Commission, Rev., FRDO, FSA, 1.30%, 09/01/04 8,800 18,750 Fayetteville Public Works Commission, Ser. A, Rev., FRDO, FSA, 1.30%, 09/01/04 18,750 20,190 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.33%, 09/01/04 20,190 2,500 Greensboro, North Carolina, Enterprise Systems, Ser. B, Rev., FRDO, 1.33%, 09/01/04 2,500
See notes to financial statements. 69
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NORTH CAROLINA -- CONTINUED $ 500 Guilford County Industrial Facilities & PCFA, Industrial Development, Neal Manufacturing, Inc., Rev., FRDO, 1.38%, 09/02/04 $ 500 7,245 Halifax County Industrial Facilities & PCFA, Exempt Facilities, LG&E, Roanoke, Rev., FRDO, 1.30%, 09/01/04 7,245 4,900 Iredell County Public Facilities Corp., Iredell County Schools Project, Rev., FRDO, AMBAC, 1.32%, 09/02/04 4,900 5,000 Mecklenburg County, Ser. C, GO, FRDO, 1.30%, 09/01/04 5,000 22,445 Municipal Securities Trust Certificates, Ser. 2001-125, Class A, GO, FRDO, #, 1.34%, 09/02/04 22,445 9,420 North Carolina Capital Facilities Finance Agency, Goodwill Community Foundation Project, Rev., FRDO, 1.33%, 09/02/04 9,420 8,935 North Carolina Educational Facilities Finance Agency, Elon College, Rev., FRDO, 1.28%, 09/01/04 8,935 4,975 North Carolina Housing Finance Agency, FLOATERS, Ser. 2003-L44J, Regulation D, Rev., FRDO, 1.39%, 09/01/04 4,975 5,090 North Carolina Housing Finance Agency, FLOATS, Ser. PT-465, 1.41%, 09/02/04 5,090 14,000 North Carolina Housing Finance Agency, Home Ownership, Ser. 16-C, Rev., FRDO, 1.35%, 09/01/04 14,000 19,000 North Carolina Housing Finance Agency, Home Ownership, Ser. 1998-TR-18C, Rev., FRDO, 1.35%, 09/01/04 19,000 56,730 North Carolina Medical Care Commission, Baptist Hospitals Project, Rev., FRDO, 1.31%, 09/01/04 56,730 15,000 North Carolina Medical Care Commission, Health Care Facilties, Union Regional Medical Center Project, Ser. B, Rev., FRDO, 1.33%, 09/02/04 15,000 2,800 North Carolina Medical Care Commission, Hospital, Lincoln Health Systems Project, Ser. A, Rev., FRDO, 1.33%, 09/02/04 2,800 2,700 North Carolina Medical Care Commission, Hospital, Northeast Medical Center Project, Ser. B, Rev., FRDO, 1.27%, 09/01/04 2,700 6,400 North Carolina Medical Care Commission, Hospital, Pooled Equipment Financing Project, Rev., FRDO, MBIA, 1.24%, 09/07/04 6,400 4,200 North Carolina Medical Care Commission, Moses Cone Health System, Rev., FRDO, 1.30%, 09/02/04 4,200
See notes to financial statements. 70
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NORTH CAROLINA -- CONTINUED $ 34,360 North Carolina State University at Raleigh, Ser. B, Rev., FRDO, 1.29%, 09/01/04 $ 34,360 8,575 North Carolina State, FLOATS, Ser. PT-2207, GO, FRDO, 1.36%, 09/02/04 8,575 48,500 North Carolina State, Public Improvement, Ser. D, GO, FRDO, 1.33%, 09/01/04 48,500 28,845 North Carolina State, Public Improvement, Ser. E, GO, FRDO, 1.28%, 09/01/04 28,845 14,130 North Carolina State, Public Improvement, Ser. F, GO, FRDO, 1.32%, 09/01/04 14,130 5,900 North Carolina State, Ser. D, GO, FRDO, 1.30%, 09/01/04 5,900 8,340 Raleigh Durham Airport Authority, Rev., FRDO, FGIC, 1.32%, 09/01/04 8,340 15,000 Raleigh, North Carolina, COP, Downtown Improvement Project, Ser. A, FRDO, 1.29%, 09/01/04 15,000 18,565 Union County, Enterprise Systems, Ser. B, Rev., FRDO, FSA, 1.27%, 09/01/04 18,565 2,400 University of North Carolina, Ser. C, Rev., FRDO, 1.29%, 09/01/04 2,400 5,000 Winston-Salem, North Carolina, Water & Sewer Systems, Ser. B, Rev., FRDO, 1.31%, 09/01/04 5,000 ------------------ 491,610 NORTH DAKOTA -- 0.2% 8,300 Grand Forks, North Dakota, Health Care Facilities, United Hospital Obligation Group, Ser. A, Rev., FRDO, 1.30%, 09/01/04 8,300 9,205 North Dakota State Housing Finance Agency, Home Mortgage, Ser. B, Rev., FRDO, 1.34%, 09/01/04 9,205 10,500 North Dakota State Housing Finance Agency, Housing Finance Program, Home Mortgage, Ser. B, Rev., FRDO, 1.33%, 09/01/04 10,500 5,775 North Dakota State Housing Finance Agency, Ser. II-R-140, Rev., FRDO, 1.42%, 09/02/04 5,775 ------------------ 33,780 OHIO -- 1.6% 6,370 Cincinnati City School District, Ser. RR-II-R-4049, GO, FRDO, FSA, 1.38%, 09/02/04 6,370 37,500 Cleveland, Ohio, Waterworks, Ser. M, Rev., FRDO, FSA, 1.28%, 09/02/04 37,500 3,155 Columbus, Ohio, Ser. 1, GO, FRDO, 1.28%, 09/02/04 3,155 37,500 Cuyahoga County, 1.35%, 01/11/05 37,500 8,000 Franklin County, Franklin County Hospital, Ser. II-R-55, Rev., FRDO, 1.38%, 09/02/04 8,000 7,300 Franklin County, Hospital, OhioHealth Corp., Ser. D, Rev., FRDO, 1.31%, 09/01/04 7,300
See notes to financial statements. 71
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED OHIO -- CONTINUED $ 3,920 Greene County, Fairview Extended, Ser. B, Rev., FRDO, 1.34%, 09/02/04 $ 3,920 9,000 Hamilton County, Healthcare Facilties, Twin Towers & Twin Lakes, Ser. A, Rev., FRDO, 1.34%, 09/03/04 9,000 14,000 Hamilton County, Healthcare Facilties, Twin Towers & Twin Lakes, Ser. B, Rev., FRDO, 1.35%, 09/03/04 14,000 14,696 Hamilton County, Hospital Facilities, Health Alliance, Ser. A, Rev., FRDO, MBIA, 1.27%, 09/01/04 14,696 4,100 Hamilton County, Hospital Facilities, Health Alliance, Ser. E, Rev., FRDO, MBIA, 1.27%, 09/01/04 4,100 600 Lorain County, Hospital, FLOATS, Ser. PA-892, Rev., FRDO, 1.37%, 09/02/04 600 5,890 Municipal Securities Trust Certificates, Ser. 9047, Class A, Rev., FRDO, AMBAC, #, 1.41%, 09/01/04 5,890 11,100 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.43%, 09/01/04 11,100 14,000 Ohio State Air Quality Development Authority, JMG Funding LTD Partnership, Ser. B, Rev., FRDO, 1.43%, 09/01/04 14,000 8,975 Ohio State Building Authority, Floating Rate Trust Receipts, Ser. L-41, Regulation D, Rev., FRDO, 1.39%, 09/01/04 8,975 4,995 Ohio State Turnpike Commission, Ser. II-R-51, Rev., FRDO, FGIC, 1.37%, 09/02/04 4,995 10,200 Ohio State Water Development Authority, Multi-Modal, Rev., FRDO, 1.32%, 09/01/04 10,200 6,000 Ohio State Water Development Authority, Pollution Control Facilities, Cleveland, Ser. A, Rev., FRDO, 1.30%, 09/01/04 6,000 3,750 Ohio State Water Development Authority, Pollution Control Facilities, Toledo Ser. A, Rev., FRDO, 1.30%, 09/01/04 3,750 15,790 Ohio State, FLOATS, Ser. PT-2200, 1.65%, 02/01/05 15,790 200 Ohio State, Higher Education Facilities, Case Western Reserve, Ser. A, Rev., FRDO, 1.30%, 09/01/04 200 7,755 Ohio State, Ser. RR II-R-208, GO, FRDO, FSA, 1.37%, 09/02/04 7,755 ------------------ 234,796 OKLAHOMA -- 0.2% 3,875 Oklahoma Housing Finance Agency, Single Family Mortgage, FLOATS, Ser. PT-493, Rev., FRDO, 1.41%, 09/02/04 3,875
See notes to financial statements. 72
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED OKLAHOMA -- CONTINUED $ 9,900 Payne County Economic Development Authority, Student Housing, OSUF Phase III Project, Rev., FRDO, AMBAC, 1.34%, 09/02/04 $ 9,900 10,490 Tulsa County Home Finance Authority, Multi-Family Housing, Waterford Apartments Project, Rev., FRDO, 1.33%, 09/02/04 10,490 2,710 Tulsa County Home Finance Authority, Single Family Mortgage, FLOATS, Ser. PT-644, Rev., FRDO, 1.41%, 09/02/04 2,710 6,500 Tulsa Industrial Authority, Justin Industries Project, Rev., FRDO, 1.33%, 09/02/04 6,500 ------------------ 33,475 OREGON -- 0.4% 25,000 Oregon Health & Science University, OHSU Medical Group Project, Ser. A, Rev., FRDO, 1.36%, 09/01/04 25,000 5,185 Oregon State Department of Administrative Services, State Lottery, FLOATS, Ser. PT-1394, Rev., FRDO, FSA, 1.36%, 09/02/04 5,185 8,070 Oregon State Housing & Community Services Department, Department of Housing and Development, Covenant Retirement, Ser. A, Rev., FRDO, 1.41%, 09/02/04 8,070 7,500 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. F, Rev., FRDO, 1.21%, 05/05/05 7,500 4,625 Oregon State Housing & Community Services Department, Single Family Mortgage Program, Ser. N, Rev., FRDO, 1.25%, 07/01/05 4,625 5,000 Oregon State Housing & Community Services Department, Single-Family Mortgage Program, Ser. L, Rev., FRDO, 1.38%, 09/01/04 5,000 1,655 Oregon State, Floating Rate Trust Receipts, Ser. A-18, Regulation D, 1.42%, 09/01/04 1,655 ------------------ 57,035 PENNSYLVANIA -- 4.4% 6,745 Allegheny County Hospital Development Authority, FLOATS, Ser. PA-748, Rev., FRDO, MBIA, 1.37%, 09/02/04 6,745 8,705 Berks County IDA, Health Care-Lutheran Services, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/01/04 8,705 14,475 Bucks County IDA, Law School Admission Council, Rev., FRDO, 1.34%, 09/08/04 14,475 4,530 Chester County Health & Educational Facilties Authority, Barclay Friends Project, Ser. B, Rev., FRDO, 1.31%, 09/01/04 4,530 8,300 Clarion County IDA, Energy Development, Piney Creek Project, Rev., FRDO, 1.32%, 09/01/04 8,300
See notes to financial statements. 73
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 7,355 Delaware Valley Regioinal Financial Authority, Local Government, FLOATS, Ser. PT-1878, Rev., FRDO, AMBAC, 1.34%, 09/07/04 $ 7,355 35,580 Delaware Valley Regioinal Financial Authority, Local Government, FLOATS, Ser. PT-992, Rev., FRDO, AMBAC, 1.34%, 09/02/04 35,580 12,495 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1028, Rev., FRDO, 1.37%, 09/02/04 12,495 26,995 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PA-1041, Rev., FRDO, 1.37%, 09/02/04 26,995 13,815 Delaware Valley Regional Financial Authority, Local Government, FLOATS, Ser. PT-749, Rev., FRDO, 1.65%, 09/02/04 13,815 5,000 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.30%, 09/01/04 5,000 2,700 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.31%, 09/01/04 2,700 6,400 Delaware Valley Regional Financial Authority, Local Government, Ser. A, Rev., FRDO, 1.31%, 09/01/04 6,400 700 Delaware Valley Regional Financial Authority, Local Government, Ser. B, Rev., FRDO, 1.31%, 09/01/04 700 14,400 Delaware Valley Regional Financial Authority, Local Government, Ser. D, Rev., FRDO, 1.30%, 09/01/04 14,400 5,900 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, FRDO, #, 1.38%, 09/02/04 5,900 11,600 Emmaus General Authority, Pennsylvania Loan Project, Ser. A, Rev., FRDO, FSA, 1.35%, 09/02/04 11,600 35,000 Emmaus General Authority, Rev., FRDO, FSA, (p), 1.32%, 09/01/04 35,000 5,000 Harrisburg Authority, Water, Ser. A, Rev., FRDO, FGIC, 1.36%, 09/02/04 5,000 9,810 Montgomery County Redevelopment Authority, Multi-Family Housing, Brookside Manor Apartments Project, Ser. A, Rev., FRDO, 1.30%, 09/02/04 9,810 10,000 Montgomery County Redevelopment Authority, Multi-Family Housing, Kingswood Apartments Project, Ser. A, Rev., FRDO, 1.27%, 09/02/04 10,000 13,330 North Penn Water Authority, Municipal Securities Trust Receipts, Ser. SGA-30, Rev., FRDO, FGIC, 1.36%, 09/01/04 13,330
See notes to financial statements. 74
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 7,600 Pennsylvania Convention Center Authority, FLOATS, Ser. PT-1224, Rev., FRDO, FGIC, 1.34%, 09/02/04 $ 7,600 4,410 Pennsylvania Energy Development Authority, B&W Ebensburg Project, Rev., FRDO, 1.32%, 09/01/04 4,410 5,600 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/01/04 5,600 19,800 Pennsylvania Higher Education Assistance Agency, Student Loan, Ser. C, Rev., FRDO, AMBAC, 1.33%, 09/01/04 19,800 9,630 Pennsylvania Intergovernmental Cooperative Authority, Floating Rate Receipts, Ser. SG-67, Rev., FRDO, FGIC, 1.34%, 09/02/04 9,630 35,100 Pennsylvania State Higher Education Assistance Agency, Student Loan, Ser. A, Rev., FRDO, AMBAC, 1.33%, 09/01/04 35,100 12,300 Pennsylvania Turnpike Commission, Ser. A-3, Rev., FRDO, 1.33%, 09/01/04 12,300 8,100 Pennsylvania Turnpike Commission, Ser. B, Rev., FRDO, 1.31%, 09/02/04 8,100 25,000 Philadelphia School District, GO, TRAN, 3.00%, 06/30/05 25,283 340 Philadelphia, Pennsylvania, Gas Works, FLOATS, Ser. PA-1144, Rev., FRDO, FSA, 1.34%, 09/02/04 340 187,170 Philadelphia, Pennsylvania, GO, TRAN, 3.00%, 06/30/05 189,296 2,995 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Receipts, Ser. SG-158, Rev., FRDO, FGIC, 1.34%, 09/02/04 2,995 6,170 Philadelphia, Pennsylvania, Water & Wastewater Systems, Floating Rate Trust Receipts, Ser. L-16, Regulation D, Rev., FRDO, FGIC, 1.34%, 09/01/04 6,170 10,905 Pittsburgh, Pennsylvania, Floating Rate Receipts, Ser. SG-71, 1.34%, 09/02/04 10,905 945 Sayre Health Care Facilities Authority, Capital Financing Project, Ser. F, Rev., FRDO, AMBAC, 1.32%, 09/08/04 945 10,000 Sayre Health Care Facilities Authority, Pennsylvania Capital Financing Project, Ser. M, Rev., FRDO, AMBAC, 1.34%, 09/01/04 10,000 10,000 Southcentral General Authority, Rev., FRDO, AMBAC, 1.37%, 09/02/04 10,000 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.30%, 09/01/04 7,500
See notes to financial statements. 75
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PENNSYLVANIA -- CONTINUED $ 7,500 University of Pittsburgh, Commonwealth System of Higher Education, University Capital Project, Ser B., Rev., FRDO, 1.30%, 09/01/04 $ 7,500 3,700 York General Authority, Pooled Financing, Harrisburg Parking Facilities Improvements, Sub Ser. 96-C, Rev., FRDO, FSA, 1.32%, 09/02/04 3,700 ------------------ 636,009 PUERTO RICO -- 1.9% 19,956 Puerto Rico Commonwealth, 1.10%, 09/01/04 19,956 13,812 Puerto Rico Commonwealth, 1.10%, 09/08/04 13,812 21,800 Puerto Rico Commonwealth, 1.17%, 10/08/04 21,800 30,700 Puerto Rico Commonwealth, 1.20%, 10/13/04 30,700 26,407 Puerto Rico Commonwealth, 1.25%, 10/18/04 26,407 20,775 Puerto Rico Commonwealth, 1.30%, 12/01/04 20,775 7,995 Puerto Rico Commonwealth, FLOATER, Ser. 838, GO, FRDO, MBIA, 1.31%, 09/02/04 7,995 11,440 Puerto Rico Commonwealth, FLOATS, Ser. PA-1229, Class R, GO, FRDO, MBIA-IBC, 1.31%, 09/02/04 11,440 3,315 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.31%, 09/02/04 3,315 800 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.31%, 09/02/04 800 20,000 Puerto Rico Commonwealth, GO, FRDO, FSA, #, 1.35%, 12/02/04 20,000 650 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.32%, 09/02/04 650 16,767 Puerto Rico Government Development Bank, 0.98%, 09/10/04 16,767 19,527 Puerto Rico Government Development Bank, 0.99%, 09/01/04 19,527 14,000 Puerto Rico Government Development Bank, 1.05%, 09/16/04 14,000 4,900 Puerto Rico Government Development Bank, Rev., FRDO, MBIA, 1.25%, 09/01/04 4,900 18,059 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 1.32%, 09/02/04 18,059 600 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PA-472, Rev., FRDO, FSA, 1.31%, 09/02/04 600 14,000 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. PT-776, Rev., FRDO, FGIC, 1.13%, 01/01/05 14,000 1,330 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.31%, 09/02/04 1,330 1,700 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 1.31%, 09/02/04 1,700 ------------------ 268,533
See notes to financial statements. 76
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED RHODE ISLAND -- 0.9% $ 38,300 Narragansett Bay Commission, Wastewater System, Ser. A, Rev., FRDO, MBIA, 1.30%, 09/01/04 $ 38,300 5,870 Rhode Island Clean Water Finance Agency, PCR, FLOATS, Ser. PT-1535, Rev., FRDO, 1.36%, 09/07/04 5,870 3,725 Rhode Island Health & Educational Building Corp., FLOATS, Ser. PT-2253, Rev., 1.36%, 09/02/04 3,725 8,000 Rhode Island Health & Educational Building Corp., Higher Education Facilities, Brown University, Ser. B, Rev., FRDO, 1.33%, 09/02/04 8,000 300 Rhode Island Health & Educational Building Corp., Hospital Financing Care New England, Ser. A, Rev., FRDO, 1.26%, 09/03/04 300 10,000 Rhode Island Health & Educational Building Corp., Hospital Financing, Newport Hospital, Rev., FRDO, 1.32%, 09/01/04 10,000 4,565 Rhode Island Health & Educational Building Corp., Moses Brown School Issue, Rev., FRDO, MBIA, 1.37%, 09/03/04 4,565 15,000 Rhode Island Health & Educational Building Corp., St. George's School, Rev., FRDO, 1.32%, 09/01/04 15,000 15,290 Rhode Island Housing & Mortgage Finance Corp., Home Ownership Opportunity Notes, Ser. 38-B, Rev., 5.00%, 09/01/04 15,290 5,900 Rhode Island Industrial Facilities Corp., Marine Terminal, Exxon-Mobil Project, Rev., FRDO, 1.27%, 9/2/04 5,900 13,635 Rhode Island State & Providence Plantations, Consolidated Capital Development Loan, Ser. B, GO, FRDO, 1.32%, 09/01/04 13,635 8,435 Rhode Island State, COP, FLOATS, Ser. PT-1589, FRDO, MBIA, 1.36%, 09/02/04 8,435 ------------------ 129,020 SOUTH CAROLINA -- 1.2% 11,335 ABN AMRO Munitops Certificate Trust, Ser. 2004-27, Rev., FRDO, FGIC, 1.33%, 10/20/04 11,335 11,000 Charleston, South Carolina, Waterworks & Sewer, Refinancing & Capital Improvement, Ser. A, Rev., FRDO, 1.34%, 09/02/04 11,000 3,000 Cherokee County, IDB, Oshkosh Truck Project, Rev., FRDO, 1.43%, 09/01/04 3,000 7,475 North Charleston, South Carolina, Tax Increment, Noisette Community Redevelopment Project, Rev., FRDO, 1.35%, 09/01/04 7,475 10,100 Piedmont Municipal Power Agency, Electric, Ser. C, Rev., FRDO, MBIA, 1.28%, 09/01/04 10,100 15,400 Piedmont Municipal Power Agency, Electric, Sub Ser. B-4, Rev, FRDO, FGIC, 1.30%, 09/01/04 15,400
See notes to financial statements. 77
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED SOUTH CAROLINA -- CONTINUED $ 10,000 Piedmont Municipal Power Agency, Electric, Sub Ser. B-5, Rev., FRDO, MBIA, 1.28%, 09/01/04 $ 10,000 19,600 Piedmont Municipal Power Agency, Electric, Sub Ser. B-6, Rev., FRDO, MBIA, 1.32%, 09/01/04 19,600 12,075 South Carolina Association of Governmental Organizations, 2.75%, 04/15/05 12,165 1,700 South Carolina Jobs & Economic Development Authority, Concept Packaging Group Project, Rev., FRDO, 1.43%, 09/02/04 1,700 3,155 South Carolina Jobs & Economic Development Authority, South Carolina Catholic Diocese Project, Rev., FRDO, 1.37%, 09/02/04 3,155 4,600 South Carolina Jobs & Economic Development Authority, Specialty Minerals Project, Rev., FRDO, 1.43%, 09/01/04 4,600 2,950 South Carolina Jobs & Economic Development Authority, Valley Proteins, Inc. Project, Rev., FRDO, 1.39%, 09/02/04 2,950 5,870 South Carolina Jobs-Economic Development Authority, Thompson Steel Co., Inc. Project, Rev., FRDO, 1.37%, 09/01/04 5,870 5,280 South Carolina State Public Service Authority, FLOATS, Ser. PT-1525, Rev., FRDO, FSA, 1.36%, 09/01/04 5,280 6,000 South Carolina State, FLOATS, Ser. PT-1225, FRDO, 1.34%, 09/02/04 6,000 3,030 South Carolina State, FLOATS, Ser. PT-423, 1.36%, 09/07/04 3,030 17,125 South Carolina Transportation Infrastructure Bank, FLOATS, Ser. 892, Rev., FRDO, AMBAC, 1.35%, 09/02/04 17,125 22,000 Spartanburg County School District No. 1, GO, BAN, 2.25%, 05/12/05 22,117 ------------------ 171,902 SOUTH DAKOTA -- 0.3% 4,710 South Dakota Economic Development Finance Authority, Hastings Filters, Inc. Project, Rev., FRDO, 1.40%, 09/02/04 4,710 10,500 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. C-1, Rev., FRDO, 1.28%, 09/02/04 10,500 9,890 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. D, Rev., FRDO, 1.27%, 09/01/04 9,890 5,000 South Dakota Housing Development Authority, Home Ownership Mortgage, Ser. F, Rev., FRDO, 1.33%, 09/02/04 5,000
See notes to financial statements. 78
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED SOUTH DAKOTA -- CONTINUED $ 6,505 South Dakota Housing Development Authority, Single Family Housing, FLOATS, Ser. PT-957, 1.42%, 09/02/04 $ 6,505 ------------------ 36,605 TENNESSEE -- 2.9% 5,000 ABN-AMRO Munitops Certificate Trust, Ser. 2002-25, GO, FRDO, MBIA, 1.35%, 11/10/04 5,000 2,200 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-B, Rev., FRDO, AMBAC, 1.36%, 09/03/04 2,200 2,100 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-D, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,100 2,600 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-E, Rev., FRDO, AMBAC, 1.36%, 09/03/04 2,600 2,980 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-1-F, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,980 8,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-E, Rev., FRDO, AMBAC, 1.27%, 09/01/04 8,000 3,560 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-F, Rev., FRDO, AMBAC, 1.36%, 09/01/04 3,560 3,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2-H, Rev., FRDO, AMBAC, 1.27%, 09/01/04 3,000 4,200 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-2C, Rev., FRDO, AMBAC, 1.27%, 09/01/04 4,200 5,400 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-8A, Rev., FRDO, AMBAC, 1.33%, 09/02/04 5,400 2,700 Blount County Public Building Authority, Local Government Public Improvement, Ser. A-8B, Rev., FRDO, AMBAC, 1.33%, 09/02/04 2,700 30,450 Bristol Health & Educational Facilities Board, Floating Trust, Ser. 2003-L42J, Regulation D, Rev., FRDO, FGIC, 1.37%, 09/01/04 30,450 17,090 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Fund, Rev., FRDO, 1.33%, 09/02/04 17,090 68,600 Clarksville Public Building Authority, Pooled Financing, Tennessee Municipal Bond Trust, Rev., FRDO, 1.26%, 09/01/04 68,600 3,000 Jackson IDB, Solid Waste Disposal, Florida Steel Corp. Project, Rev., FRDO, 1.38%, 09/02/04 3,000
See notes to financial statements. 79
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TENNESSEE -- CONTINUED $ 12,995 Johnson City Health & Educational Facilities Board, FLOATS, Ser. PT-922, Rev., FRDO, 1.40%, 09/02/04 $ 12,995 19,450 Knox County Health Educational & Housing Facilities Board, Volunteer Student Housing Project, Rev., FRDO, 1.32%, 09/02/04 19,450 31,475 Knoxville Utilities Board, Electric Systems, Rev., FRDO, FSA, 1.26%, 09/01/04 31,475 100 Knoxville Utilities Board, Wastewater Systems, Rev., FRDO, FSA, 1.26%, 09/01/04 100 13,000 Knoxville Utilities Board, Water Systems, Rev., FRDO, FSA, 1.26%, 09/01/04 13,000 4,590 Knoxville, Tennessee, Utilities Board, Gas Systems, Rev., FRDO, 1.35%, 09/02/04 4,590 20,000 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Ascension Health Credit, Ser. B-2, Rev., FRDO, 1.20%, 01/04/05 20,000 13,800 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Belmont University Project, Rev., FRDO, 1.33%, 09/01/04 13,800 475 Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, Vanderbilt University, Ser. B, Rev., FRDO, 1.25%, 09/01/04 475 2,500 Metropolitan Government Nashville & Davidson County IDB, Country Music Hall of Fame, Rev., FRDO, 1.33%, 09/02/04 2,500 3,240 Metropolitan Government Nashville & Davidson County IDB, L&S LLC Project, Rev., FRDO, 1.43%, 09/02/04 3,240 2,455 Metropolitan Government Nashville & Davidson County, Energy, FLOATS, Ser. PT-1526, Rev., FRDO, AMBAC, 1.38%, 09/02/04 2,455 6,995 Metropolitan Government Nashville & Davidson County, FLOATS, Ser. PT-394, GO, FRDO, 1.37%, 09/02/04 6,995 15,000 Metropolitan Government Nashville & Davidson County, Health & Educational Facility Board, Vanderbilt University, Ser. B, Rev., FRDO, 1.28%, 09/02/04 15,000 18,500 Montgomery County Public Building Authority, Pooled Financing, County Loan Pool, Rev., FRDO, 1.37%, 09/02/04 18,500 4,900 Montgomery County Public Building Authority, Pooled Financing, Montgomery County Loan Pool, Rev., FRDO, 1.32%, 09/02/04 4,900
See notes to financial statements. 80
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TENNESSEE -- CONTINUED $ 39,760 Montgomery County Public Building Authority, Pooled Financing, Tennesse County Loan Pool, Rev., FRDO, 1.37%, 09/01/04 $ 39,760 1,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-1, Rev., FRDO, AMBAC, 1.33%, 09/02/04 1,500 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-A-2, Rev., FRDO, AMBAC, 1.34%, 09/02/04 2,500 6,000 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-C-2, Rev., FRDO, AMBAC, 1.33%, 09/02/04 6,000 950 Sevier County Public Building Authority, Local Government Public Improvement, Ser. II-D-3, Rev., FRDO, AMBAC, 1.34%, 09/02/04 950 3,100 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-B-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 3,100 6,800 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-C-5, Rev., FRDO, AMBAC, 1.33%, 09/02/04 6,800 1,600 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-D-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 1,600 2,500 Sevier County Public Building Authority, Local Government Public Improvement, Ser. III-E-3, Rev., FRDO, AMBAC, 1.33%, 09/02/04 2,500 19,800 Shelby County, 1.14%, 09/29/04 19,800 5,155 Shelby County Health, Educational & Housing Facilities Board, Rhodes College, Rev., FRDO, 1.32%, 09/02/04 5,155 400 South Pittsburg IDB, Lodge Manufacturing Co. Project, Rev., FRDO, 1.40%, 09/01/04 400 ------------------ 420,420 TEXAS -- 11.1% 31,495 ABN AMRO Munitops Certificate Trust, Ser. 1999-6, FRDO, #, 1.37%, 09/01/04 31,495 10,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-9, FRDO, #, 1.39%, 09/01/04 10,000 13,280 ABN AMRO Munitops Certificate Trust, Ser. 2000-10, FRDO, MBIA, 1.37%, 09/01/04 13,280 14,990 ABN AMRO Munitops Certificate Trust, Ser. 2000-11, FRDO, 1.43%, 09/01/04 14,990 16,685 ABN AMRO Munitops Certificate Trust, Ser. 2000-13, Class C, FRDO, 1.37%, 09/01/04 16,685 8,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-26, GO, FRDO, 1.37%, 09/01/04 8,000
See notes to financial statements. 81
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 5,500 ABN AMRO Munitops Certificate Trust, Ser. 2002-16, GO, FRDO, 1.37%, 09/01/04 $ 5,500 35,800 Aldine Independent School District, School Buildings, GO, FRDO, 1.73%, 06/15/05 35,800 2,900 Angelina & Neches River Authority, IDB, Solid Waste, Ser. 1984-D, Rev., FRDO, 1.35%, 09/01/04 2,900 5,000 Austin, Texas, Electric Utilities System, Ser. 2003-0032, Class A, Rev., FRDO, MBIA, 1.38%, 09/02/04 5,000 9,230 Austin, Texas, Ser. A-26, Rev., FRDO, MBIA, 1.30%, 11/10/04 9,230 995 Bexar County Health Facilities Development Corp., FLOATS, Ser. PT-444, Rev., FRDO, 1.36%, 09/02/04 995 9,100 Bexar County Housing Finance Authority, Multi-Family Housing, Altamonte Apartment Projects, Rev., FRDO, 1.30%, 09/01/04 9,100 11,375 Bexar County Housing Finance Authority, Multi-Family Housing, Fountainhead Apartments, Rev., FRDO, 1.32%, 09/01/04 11,375 2,600 Bowie County Industrial Development Corp., IDR, Texarkana Newspapers, Inc., Rev., FRDO, 1.30%, 09/01/04 2,600 6,600 Brazos River Authority, FLOATS, Ser. PT-679, Rev., FRDO, MBIA, 1.36%, 09/07/04 6,600 4,600 Brazos River Authority, PCR, Ser. D-1, Rev., FRDO, 1.40%, 09/01/04 4,600 4,200 Brazos River Habor Navigation District, Brazoria County Environmental, Merey Sweeny LP Project, Ser. A, Rev., FRDO, 1.29%, 09/01/04 4,200 2,800 Brownsville, Texas, Utilities Systems, Sub Lien, Ser. B, Rev., FRDO, MBIA, 1.32%, 09/01/04 2,800 20,700 Calhoun County, IDA, Formosa Plastics Corp. Project, Rev., FRDO, 1.35%, 09/01/04 20,700 8,719 Collin County Housing Finance Corp., Multi-Family Housing, Preston Bend Apartments Project, Rev., FRDO, 1.32%, 09/01/04 8,719 20,605 Crawford Education Facilities Corp., Higher Education, Southwestern University Project, Ser. B, Rev., FRDO, 1.28%, 09/02/04 20,605 5,000 Dallas-Fort Worth International Airport Facilities Improvement Corp., Flight Safety Project, Rev., FRDO, 1.37%, 09/02/04 5,000 4,995 Dallas-Fort Worth International Airport Facilities Improvement Corp., FLOATS, Ser. PT-805, Rev., FRDO, FSA, 1.65%, 09/02/04 4,995 200 Dallas-Fort Worth Regional Airport, Municipal Securities Trust Receipts, Ser. SGA-49, FRDO, MBIA, 1.38%, 09/02/04 200
See notes to financial statements. 82
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 5,000 Eagle Tax Exempt Trust, Weekly Option Mode, Class A, #, 1.38%, 09/02/04 $ 5,000 10,475 Eagle Tax Exempt Trust, Weekly Option Mode, Round Rock, Texas, COP, Ser. 2001-4304, Class A, 1.38%, 09/02/04 10,475 2,420 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.38%, 09/02/04 2,420 10,000 Garland, Texas, 1.00%, 10/12/04 10,000 5,000 Greater East Texas Higher Education Authority, Ser. B, Rev., FRDO, 1.36%, 09/02/04 5,000 13,250 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 1.35%, 09/02/04 13,250 25,000 Greater Texas Student Loan Corp., Ser. A, Rev., FRDO, 1.36%, 09/02/04 25,000 4,000 Gulf Coast IDA, Tax Exempt Facilties, BP Global Power Corp. Project, Rev., FRDO, 1.29%, 09/01/04 4,000 4,500 Gulf Coast Waste Disposal Authority, Amoco Oil Co. Project, Rev., FRDO, 1.29%, 09/01/04 4,500 3,100 Gulf Coast Waste Disposal Authority, Environmental Facilities, BP Amoco Chemicals Project, Ser. B, Rev., FRDO, 1.39%, 09/02/04 3,100 4,900 Gulf Coast Waste Disposal Authority, Environmental Facilities, ExxonMobil Project, Ser. B, Rev., FRDO, 1.27%, 09/01/04 4,900 5,000 Harlandale Independent School District, Municipal Securities Trust Receipts, Ser. SGA-100, GO, FRDO, 1.40%, 09/01/04 5,000 19,328 Harris County, 1.32%, 09/21/04 19,328 30,370 Harris County, 1.32%, 09/21/04 30,370 25,000 Harris County Industrial Development Corp., Solid Waste Disposal, Deer Park Refining, Ser. A, Rev., FRDO, 1.40%, 09/01/04 25,000 2,905 Harris County, Ser. RR-II-R-1029, Rev., FRDO, FSA, 1.37%, 09/02/04 2,905 6,400 Hays Memorial Health Facilities Development Corp., Central Texas Medical Center Project, Ser. A, Rev., FRDO, 1.32%, 09/02/04 6,400 29,245 Houston Higher Education Finance Corp., Floating Rate Receipts, Ser. SG-139, Rev., FRDO, 1.36%, 09/02/04 29,245 1,060 Houston Housing Finance Corp., Single Family Mortgage, FLOATS, Ser. PT-1, Rev., FRDO, FSA, 1.36%, 09/02/04 1,060 55,000 Houston Independent School District, School House, GO, FRDO, 1.62%, 06/09/05 54,972 10,000 Houston, Texas, 1.18%, 11/10/04 10,000 6,400 Houston, Texas, 1.20%, 11/01/04 6,400 20,000 Houston, Texas, Airport, 1.13%, 10/14/04 20,000
See notes to financial statements. 83
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 17,500 Houston, Texas, Airport Systems, Floating Rate Receipts, Ser. SG-149, Rev., FRDO, FSA, 1.38%, 9/2/04 $ 17,500 17,705 Houston, Texas, Floating Rate Certificates, COP, Ser. 523, FRDO, MBIA, 1.36%, 09/02/04 17,705 4,335 Houston, Texas, FLOATS, Ser. PT-781, GO, FRDO, FSA, 1.36%, 09/02/04 4,335 3,000 Houston, Texas, Rev., FRDO, 1.38%, 09/02/04 3,000 9,740 Houston, Texas, Ser. 29, GO, FRDO, MBIA, 1.36%, 09/02/04 9,740 5,465 Houston, Texas, Water & Sewer System, Ser. 60, Rev., FRDO, FGIC, 1.36%, 09/02/04 5,465 11,270 Hurst-Euless-Bedford Independent School District, Floating Rate Receipts, Ser. SG-98, GO, FRDO, 1.36%, 09/02/04 11,270 39,000 Katy Independent School District, CSH Building, Ser. C, GO, FRDO, 1.31%, 09/02/04 39,000 6,500 Keller Independent School District, Municipal Securities Trust Receipts, Ser. SGA-111, GO, FRDO, 1.30%, 09/01/04 6,500 8,000 Lamar Consolidated Independent School District, School House, GO, FRDO, 1.75%, 09/09/04 8,000 19,425 Lower Colorado River Authority, FLOATS, Ser. PA-590, Rev., FRDO, FSA, #, 1.38%, 09/02/04 19,425 16,550 Lower Colorado River Authority, FLOATS, Ser. PT-2270, Rev., FRDO, 1.36%, 09/02/04 16,550 9,840 Lower Colorado River Authority, Transmission Contract, Ser. 51, Rev., FRDO, FSA, 1.36%, 9/2/04 9,840 2,500 Lower Neches Valley Authority Industrial Development Corp., Exempt Facilities, ExxonMobil Project, Ser. A-2, Rev., FRDO, 1.22%, 09/01/04 2,500 3,400 Lower Neches Valley Authority Industrial Development Corp., Onyx Environmental Services, Rev., FRDO, 1.37%, 09/02/04 3,400 5,455 Mansfield Independent School District, Municipal Securities Trust Receipts, Ser. SGA-129, GO, FRDO, 1.40%, 09/01/04 5,455 5,290 Mission Consolidated Independent School District, Municipal Securities Trust Receipts, Ser. SGA-105, GO, FRDO, 1.36%, 09/01/04 5,290 17,050 New Caney Independent School District, Floating Rate Certificates, Ser. SG-142, GO, FRDO, 1.36%, 09/02/04 17,050 7,875 North Central Texas Health Facility Development Corp., FLOATS, Ser. PT-1411, Rev., FRDO, AMBAC, 1.36%, 09/02/04 7,875
See notes to financial statements. 84
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, 1.36%, 09/02/04 $ 20,000 16,840 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.35%, 09/01/04 16,840 40,000 North Texas Higher Education Authority, Student Loan, Ser. A, Rev., FRDO, 1.35%, 09/01/04 40,000 20,000 North Texas Tollway Authority, Floating Rate Receipts, Ser. SG-168, Rev., FRDO, AMBAC, 1.36%, 09/02/04 20,000 3,300 Panhandle-Plains Higher Education Authority, Inc., Student Loan, Ser. B, Rev., FRDO, MBIA, 1.32%, 09/01/04 3,300 15,000 Panhandle-Plains Higher Educational Authority, Inc. Student Loan, Ser. A, Rev., MBIA, 1.32%, 09/01/04 15,000 19,300 Pasadena Independent School District, Ser. A, GO, FRDO, 1.31%, 09/02/04 19,300 11,735 Pharr San Juan Alamo Independent School District, Municipal Securities Trust Receipts, Ser. SGA-101, GO, FRDO, 1.36%, 09/01/04 11,735 12,035 Richardson, Texas, Refinancing & Improvement, GO, FRDO, 1.70%, 06/15/05 12,035 8,170 San Angelo Independent School District, GO, FRDO, 1.31%, 09/02/04 8,170 10,680 San Antonio, Texas, Electric & Gas, FLOATS, Ser. PT-1498, Rev., FRDO, 1.37%, 09/02/04 10,680 11,190 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, (p), 1.36%, 09/02/04 11,190 9,540 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-105, (p), 1.36%, 09/02/04 9,540 11,000 San Antonio, Texas, Electric & Gas, Junior Lien, Rev., FRDO, 1.32%, 09/01/04 11,000 10,315 San Antonio, Texas, Electric & Gas, Municipal Securities Trust Receipts, Ser. SGA-48, Rev., FRDO, #, 1.36%, 09/01/04 10,315 42,500 San Antonio, Texas, Water, 1.10%, 10/07/04 42,500 6,435 San Antonio, Texas, Water, FLOATS, Ser. SG-159, Rev., Adj., FSA, 1.36%, 09/02/04 6,435 10,430 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-41, Rev., FRDO, MBIA, 1.36%, 09/01/04 10,430 5,000 San Antonio, Texas, Water, Municipal Securities Trust Receipts, Ser. SGA-42, Rev., FRDO, MBIA, 1.40%, 09/01/04 5,000 9,000 Schertz-Seguin Local Government Corp., Texas Contract, Floating Rate Certificates, Ser. SG-151, Rev., FRDO, FSA, 1.34%, 09/01/04 9,000
See notes to financial statements. 85
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 12,990 Southeast Texas Housing Finance Corp., Single Family Mortgage, Ser. 938, Rev., FRDO, 1.41%, 09/02/04 $ 12,990 2,425 Tarrant County Housing Finance Corp., FLOATS, Ser. PT-2044, Rev., 1.46%, 09/02/04 2,425 8,580 Tarrant County Housing Finance Corp., Multi-Family Housing, Remington Project, Rev., FRDO, 1.33%, 09/01/04 8,580 5,000 Texas Department of Housing & Community Affairs, Multi-Family Housing, Post Oak East Apartments, Ser. A, Rev., FRDO, 1.39%, 09/02/04 5,000 10,250 Texas Department of Housing & Community Affairs, Multi-Family Housing, Reading, Rev., FRDO, 1.38%, 09/02/04 10,250 30,000 Texas Municipal Power Agency, 1.27%, 10/19/04 30,000 13,200 Texas Municipal Power Agency, 1.30%, 10/12/04 13,200 20,000 Texas Municipal Power Agency, Floating Rate Trust Receipts, Ser. L-36-J, Regulation D, Rev., FRDO, FGIC, 1.27%, 10/20/04 20,000 20,700 Texas Public Finance Authority, 1.11%, 10/12/04 20,700 15,000 Texas Public Finance Authority, 1.12%, 10/12/04 15,000 20,000 Texas Public Finance Authority, 1.15%, 10/07/04 20,000 2,500 Texas State Affordable Housing Corp., Multi-Family Housing, Ser. 780, Rev., FRDO, MBIA, 1.35%, 09/02/04 2,500 1,100 Texas State Department of Housing & Community Affairs, Multi-Family Housing, Timber Point Apartments, Ser. A-1, Rev., FRDO, 1.38%, 09/01/04 1,100 32,720 Texas State Turnpike Authority, Central Texas Turnpike Authority, First Tier, Ser. B, Rev., FRDO, AMBAC, 1.27%, 09/01/04 32,720 7,325 Texas State Turnpike Authority, Dallas North Thruway, Floating Rate Receipts, Ser. SG-70, 1.36%, 09/02/04 7,325 9,970 Texas State, Floating Rate Certificates, Ser. SG-152, GO, FRDO, 1.34%, 09/01/04 9,970 35,000 Texas State, Floating Rate Trust Receipts, Ser. L-60-J, Regulation D, FRDO, 1.30%, 09/02/04 35,000 228,835 Texas State, TRAN, 3.00%, 08/31/05 231,990 4,010 Texas State, Veteran's Housing Assistance, Ser. A-1, GO, FRDO, 1.34%, 09/01/04 4,010 32,545 Texas State, Veteran's Housing Assistance Fund I, GO, FRDO, 1.27%, 09/01/04 32,545 5,590 Trinity River Authority, Ser. RR-II-R-2006, Rev., FRDO, MBIA, 1.70%, 08/04/05 5,590 25,000 University of Texas, 0.98%, 10/06/04 25,000 9,055 University of Texas, FLOATS, Ser. PA-1194, Rev., FRDO, 1.34%, 09/02/04 9,055
See notes to financial statements. 86
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED TEXAS -- CONTINUED $ 5,285 University of Texas, Ser. 2003-19, Rev., FRDO, 1.34%, 09/02/04 $ 5,285 6,000 West Harris County Regional Water Authority, Municipal Securities Trust Receipts, Ser. SGA-148, Rev., FRDO, #, MBIA, 1.36%, 09/01/04 6,000 3,600 West Side Calhoun County Naval District, Sewer & Solid Waste Disposal, BP Chemicals, Inc. Project, Rev., FRDO, 1.39%, 09/02/04 3,600 ------------------ 1,625,899 UTAH -- 1.8% 14,000 Intermountain Power Agency, 1.09%, 09/08/04 14,000 21,750 Intermountain Power Agency, 1.10%, 10/07/04 21,750 23,900 Intermountain Power Agency, 1.11%, 10/12/04 23,900 10,000 Intermountain Power Agency, 1.13%, 10/06/04 10,000 9,995 Intermountain Power Agency, Power Supply, FLOATS, Ser. PT-383, Rev., FRDO, MBIA, 1.35%, 09/02/04 9,995 22,975 Intermountain Power Agency, Power Supply, Ser. L-42-J, Regulation D, Rev., FRDO, MBIA, 1.27%, 1/20/04 22,975 18,000 Murray, Utah, Murray City Hospital, IHC Health Services, Inc., Ser. D, Rev., FRDO, 1.33%, 09/02/04 18,000 5,290 Salt Lake City Municipal Building Authority, FLOATS, Ser. PT-1744, Rev., FRDO, AMBAC, 1.36%, 09/02/04 5,290 4,000 Salt Lake City, Utah, Rowland Hall St. Marks School Project, Rev., FRDO, 1.31%, 09/02/04 4,000 7,645 Salt Lake County, FLOATS, Ser. PT-420, GO, FRDO, 1.36%, 09/03/04 7,645 28,560 University of Utah, Floating Rate Trust Receipts, Ser. N-15, Regulation D, Rev., FRDO, MBIA, 1.39%, 09/01/04 28,560 10,000 Utah County, Utah Hospital, IHC Health Services, Inc., Ser. C, Rev., FRDO, 1.30%, 09/02/04 10,000 12,500 Utah Housing Corp., Single Family Mortgage, Ser. E, Class I, Rev., FRDO, 1.45%, 03/01/05 12,500 12,575 Utah Housing Corp., Single Family Mortgage, Ser. E-2, Class I, Rev., FRDO, 1.34%, 09/01/04 12,575 10,000 Utah Housing Corp., Single Family Mortgage, Ser. F, Class I, Rev., FRDO, 1.34%, 09/01/04 10,000 7,000 Utah Housing Corp., Single-Family Mortgage, Ser. E-1, Class I, Rev., FRDO, 1.34%, 09/01/04 7,000 4,900 Utah Housing Finance Agency, Single Family Mortgage, Ser. C-1, Class I, Rev., FRDO, 1.34%, 09/01/04 4,900 6,510 Utah Housing Finance Agency, Single Family Mortgage, Ser. D-1, Rev., FRDO, 1.34%, 09/01/04 6,510
See notes to financial statements. 87
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED UTAH -- CONTINUED $ 4,105 Utah Housing Finance Agency, Single Family Mortgage, Ser. E-1, Rev., FRDO, 1.34%, 09/01/04 $ 4,105 4,935 Utah Housing Finance Agency, Single Family Mortgage, Ser. F-2, Class I, Rev., FRDO, 1.37%, 09/01/04 4,935 11,200 Utah State Board of Regents, Student Loan Weekly Amount, Ser. Q, Rev., FRDO, AMBAC, 1.35%, 09/01/04 11,200 13,700 Utah State Board of Regents, Student Loan, Ser. C, Rev., FRDO, 1.35%, 09/01/04 13,700 ------------------ 263,540 VERMONT -- 0.2% 5,900 Vermont Educational & Health Buildings Financing Agency, Hospital, VHA New England, Ser. D, Rev., FRDO, AMBAC, 1.32%, 09/08/04 5,900 8,300 Vermont Educational & Health Buildings Financing Agency, Hospitals, VHA New England Project, Ser. G, Rev., FRDO, AMBAC, 1.31%, 09/01/04 8,300 10,600 Vermont State, IDA, 1.80%, 10/05/04 10,600 5,000 Vermont Student Assistance Corp., Student Loans, Rev., FRDO, 1.15%, 09/01/04 5,000 ------------------ 29,800 VIRGINIA -- 1.1% 8,965 Alexandria IDA, Pooled Loan Program, Ser. A, Rev., FRDO, 1.32%, 09/02/04 8,965 2,280 Alexandria Redevelopment & Housing Authority, Residential Care Facility, Multi-Mode, First Mortgage, Goodwin House, Ser. B, Rev., FRDO, 1.23%, 09/01/04 2,280 8,000 Chesapeake Hospital Authority, Hospital Facilities, Chesapeake General Hospital, Ser. A, Rev. FRDO, 1.32%, 09/01/04 8,000 19,245 Fairfax County Economic Development Authority, Flint Hill School Project, Rev., FRDO, 1.33%, 09/02/04 19,245 8,000 James City & County IDA, Multi-Family Housing, Chambrel Project, Rev., FRDO, 1.33%, 09/02/04 8,000 29,435 Loudoun County IDA, Howard Hughes Medical Center, Ser. E, Rev., FRDO, 1.27%, 09/01/04 29,435 12,290 Richmond IDA, Educational Facilities, Church Schools, Rev., FRDO, 1.26%, 09/01/04 12,290 11,160 Roanoke IDA, Carilion Health Systems, Ser. C, Rev., FRDO, 1.23%, 09/03/04 11,160 6,795 Roanoke IDA, Carilion Health Systems, Ser. D, Rev., FRDO, 1.36%, 09/02/04 6,795 23,590 Virginia Commonwealth Transportation Board, Floating Rate Receipts, Ser. SG-137, Rev., FRDO, 1.30%, 09/01/04 23,590
See notes to financial statements. 88
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED VIRGINIA -- CONTINUED $ 8,885 Virginia Public School Authority, FLOATS, Ser. PT-431, Rev., FRDO, 1.34%, 09/07/04 $ 8,885 4,975 Virginia Public School Authority, Ser. RR-II-R-4050, Rev., FRDO, 1.38%, 09/02/04 4,975 5,415 Virginia Resources Authority, Infrastructure, Ser. RR-II-R-249, Rev., FRDO, 1.38%, 09/02/04 5,415 10,600 Virginia State, EAGLE, Ser. 20045001, Class A, Rev., FRDO, 1.46%, 09/02/04 10,600 ------------------ 159,635 WASHINGTON -- 3.0% 17,676 ABN AMRO Munitops Certificate Trust, Ser. 1998-16, FRDO, MBIA, 1.37%, 09/01/04 17,676 5,000 ABN AMRO Munitops Certificate Trust, Ser. 2001-1, GO, FRDO, MBIA, 1.39%, 09/01/04 5,000 8,960 Broadway Office Properties, FLOATS, Ser. PT-1586, Rev., FRDO, MBIA, 1.20%, 09/02/04 8,960 7,285 Central Washington University, FLOATS, Ser. PT-2251, Rev., FRDO, FGIC, 1.36%, 09/02/04 7,285 1,500 Clark County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-118, Rev., FRDO, FSA, 1.35%, 09/01/04 1,500 6,995 Energy Northwest, Electric, FLOATS, Ser. PT-734, Rev., FRDO, MBIA, 1.36%, 09/02/04 6,995 11,100 King County, FLOATS, Ser. PT-2170, GO, FRDO, AMBAC, 1.36%, 09/02/04 11,100 5,325 King County, Ser. RR-II-R-1028, GO, FRDO, FSA, 1.37%, 09/02/04 5,325 8,720 King County, Sewer, Ser. 2003-30, Rev., FRDO, FSA, 1.36%, 09/02/04 8,720 6,235 Port of Seattle, FLOATS, Ser. PT-2171, Rev., FRDO, FGIC, 1.41%, 09/02/04 6,235 4,430 Port of Seattle, FLOATS, Ser. PT-728, Rev., FRDO, FGIC, 1.41%, 09/02/04 4,430 5,345 Port of Seattle, Ser. 47, GO, FRDO, 1.41%, 09/02/04 5,345 11,000 Port of Tacoma, Washington, 0.98%, 09/08/04 11,000 1,090 Seattle Housing Authority, Low Income Housing Assistance, Bayview Manor Project, Ser. B, Rev., 1.38%, 09/02/04 1,090 19,885 Seattle, Washington, Drain & Wastewater Utilities, Municipal Securities Trust Receipts, Ser. SG-135, Rev., FRDO, MBIA, 1.36%, 09/02/04 19,885 11,915 Seattle, Washington, Municipal Light & Power, FLOATS, Ser. PT-1421, Rev., FRDO, FSA, 1.36%, 09/02/04 11,915 11,490 Seattle, Washington, Municipal Light & Power, Ser. 2003-36, Rev., FRDO, FSA, 1.36%, 09/02/04 11,490 4,000 Seattle, Washington, Municipal Securities Trust Receipts, Ser. SGA-142, GO, FRDO, 1.40%, 09/01/04 4,000
See notes to financial statements. 89
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 5,000 Seattle, Washington, Ser. D, GO, FRDO, 1.65%, 09/01/04 $ 5,000 9,200 Seattle, Washington, Water Systems, Rev., FRDO, 1.21%, 09/01/04 9,200 9,925 Skagit County, Public Hospital District, Ser. ROCS-RR-II-R-2126, 1.38%, 09/02/04 9,925 16,600 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A, Rev., FRDO, FSA, 1.30%, 09/01/04 16,600 9,200 Snohomish County Public Utility District No. 1, Generation Systems, Ser. A-2, Rev., FRDO, FSA, 1.29%, 09/01/04 9,200 8,500 Snohomish County Public Utility District No. 1, Municipal Securities Trust Receipts, Ser. SGA-124, Rev., FRDO, FSA, 1.35%, 09/03/04 8,500 11,295 Tacoma, Washington, Electric Systems, FLOATS, Ser. PT-1404, Rev., FRDO, AMBAC, 1.36%, 9/2/04 11,295 10,545 Tacoma, Washington, Electric Systems, FLOATS, Ser. PT-2244, Rev., FRDO, FGIC, 1.36%, 09/02/04 10,545 18,125 Washington Public Power Supply System, Nuclear Project No. 2, Ser. 31, Rev., FRDO, 1.36%, 09/02/04 18,125 15,625 Washington State Higher Education Facilities Authority, Seattle Pacific University Project, Ser. A, Rev., FRDO, 1.32%, 09/02/04 15,625 2,545 Washington State Housing Finance Commission, Multi-Family Housing, Granite Falls Assisted Project, Ser. A, Rev., FRDO, 1.41%, 09/02/04 2,545 1,030 Washington State Housing Finance Commission, Non-Profit Housing, Golden Sands Project, Rev., FRDO, 1.28%, 09/01/04 1,030 4,400 Washington State Housing Finance Commission, Nonprofit Housing, Franke Tobey Jones Project, Rev., FRDO, 1.28%, 09/01/04 4,400 6,560 Washington State Housing Finance Commission, Nonprofit Housing, Rockwood Retirement Communities, Rev., FRDO, 1.28%, 09/01/04 6,560 300 Washington State Housing Finance Commission, Nonprofit Housing, Rockwood Retirement Program, Ser. A, Rev., FRDO, 1.28%, 09/01/04 300 2,515 Washington State Housing Finance Commission, Nonprofit Housing, YMCA Snohomish County Project, Rev., FRDO, 1.28%, 09/01/04 2,515 2,860 Washington State Housing Finance Commission, Spokane Community College Foundation, Ser. A, Rev., FRDO, 1.33%, 09/02/04 2,860 6,080 Washington State Public Power Supply System Project No. 2, Electric, Ser. 2A-2, Rev., FRDO, MBIA, 1.27%, 09/01/04 6,080
See notes to financial statements. 90
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 13,985 Washington State Public Power Supply System, Project No. 2, Electric, Ser. 2A-1, Rev., FRDO, MBIA, 1.27%, 09/01/04 $ 13,985 14,640 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 1.25%, 09/01/04 14,640 13,710 Washington State, Rev., FRDO, 1.38%, 09/02/04 13,710 8,055 Washington State, Ser. 2003-27, GO, FRDO, 1.36%, 09/02/04 8,055 12,870 Washington State, Ser. 43, GO, FRDO, MBIA, 1.36%, 09/02/04 12,870 20,000 Washington State, Ser. VR-96-B, GO, FRDO, GO, 1.22%, 09/01/04 20,000 59,600 Washington State, Ser. VR-96A, GO, FRDO, 1.23%, 09/01/04 59,600 ------------------ 431,116 WEST VIRGINIA -- 0.7% 3,000 Municipal Securities Trust Certificates, Ser. 9026, Class A, Rev., FRDO, MBIA, #, 1.37%, 09/01/04 3,000 3,585 West Virginia Economic Development Authority, IDR, Gemark Services West VA/M & M, Rev., FRDO, 1.43%, 09/02/04 3,585 5,765 West Virginia State Building Commission, FLOATS, Ser. PA-520, 1.37%, 09/02/04 5,765 5,700 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. D, Rev., FRDO, AMBAC, 1.32%, 09/08/04 5,700 5,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. E, Rev., FRDO, AMBAC, 1.32%, 9/8/04 5,000 9,200 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. G, Rev., FRDO, AMBAC, Var, 12/1/25, 1.34%, 09/01/04 9,200 7,100 West Virginia State Hospital Finance Authority, Mid-Atlantic/Capital, Ser. H, Rev., FRDO, AMBAC, 1.34%, 09/01/04 7,100 4,000 West Virginia State Hospital Finance Authority, VHA Mid-Atlantic, Ser. C, Rev., FRDO, AMBAC, 1.32%, 9/8/04 4,000 57,000 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 1.28%, 09/01/04 57,000 ------------------ 100,350 WISCONSIN -- 0.8% 7,000 Dane County, Ser. RR-II-R-2003, GO, FRDO, 1.70%, 08/04/05 7,000 5,815 Dane County, Ser. RR-II-R-4504, GO, FRDO, 1.38%, 09/02/04 5,815
See notes to financial statements. 91
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WISCONSIN -- CONTINUED $ 1,260 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-4904, FRDO, #, 1.42%, 09/02/04 $ 1,260 140 Wisconsin Housing & Economic Development Authority, Home Ownership, Floating Rate Trust Receipts, Ser. 18, Rev., FRDO, 1.42%, 09/01/04 140 4,000 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. A, Rev., FRDO, 1.36%, 09/01/04 4,000 8,035 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. A, Rev., FRDO, 1.38%, 09/01/04 8,035 7,090 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. C, Rev., FRDO, 1.34%, 09/01/04 7,090 11,350 Wisconsin Housing & Economic Development Authority, Home Ownership, Ser. E, Rev., FRDO, 1.33%, 09/01/04 11,350 3,920 Wisconsin Housing & Economic Development Authority, Ser. D, Rev., FRDO, MBIA, 1.32%, 09/01/04 3,920 3,495 Wisconsin Housing & Economic Development Authority, Ser. E, Rev., FRDO, MBIA, 1.32%, 09/01/04 3,495 5,390 Wisconsin Housing & Economic Development Authority, Ser. F, Rev., FRDO, MBIA, 1.32%, 09/01/04 5,390 4,285 Wisconsin Housing & Economic Development Authority, Ser. G, Rev., FRDO, MBIA, 1.32%, 09/01/04 4,285 5,315 Wisconsin Housing & Economic Development Authority, Ser. I, Rev., FRDO, MBIA, 1.36%, 09/01/04 5,315 5,560 Wisconsin Housing & Economic Development Authority, Single-Family Housing, FLOATS, Ser. PT-598, Rev., FRDO, 1.42%, 09/02/04 5,560 8,580 Wisconsin State Health & Educational Facilities Authority, FLOATS, Ser. PT-858, Rev., FRDO, MBIA, 1.30%, 09/02/04 8,580 5,200 Wisconsin State Health & Educational Facilities Authority, Lakeland College, Rev., FRDO, 1.26%, 09/03/04 5,200 10,500 Wisconsin State Health & Educational Facilities Authority, University of Wisconsin Medical Foundation, Rev., FRDO, 1.30%, 09/01/04 10,500 25,000 Wisconsin State Health & Educational Facilities Authority, Wheaton Franciscan Services, Rev., FRDO, 1.30%, 09/02/04 25,000 ------------------ 121,935
See notes to financial statements. 92
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED WYOMING -- 1.0% $ 30,000 Campbell County, IDR, Two Elk Power Generation Station Project, Rev., FRDO, 1.40%, 12/02/04 $ 30,000 400 Kemmerer, Wyoming, PCR, Exxon Project, Rev., FRDO, 1.21%, 09/01/04 400 17,000 Lincoln County, PCR, Exxon Project, Rev., FRDO, 1.27%, 09/02/04 17,000 4,900 Sublette County, PCR, Exxon Project, Ser. A, Rev., FRDO, 1.27%, 09/01/04 4,900 1,400 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.27%, 09/01/04 1,400 900 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.35%, 09/03/04 900 800 Uinta County, PCR, Chevron USA, Inc. Project, Rev., FRDO, 1.35%, 09/03/04 800 12,525 Wyoming Community Development Authority, Housing, FLOATS, Ser. PT-195, Rev., 1.62%, 9/2/04 12,525 7,900 Wyoming Community Development Authority, Housing, Ser. 7, Rev., FRDO, 1.34%, 09/02/04 7,900 5,000 Wyoming Community Development Authority, Housing, Ser. 8, Rev., FRDO, 1.34%, 09/02/04 5,000 5,215 Wyoming Community Development Authority, Housing, Ser. II-R-141, Rev., FRDO, 1.41%, 9/2/04 5,215 3,900 Wyoming Community Development Authority, Ser. 3, Rev., FRDO, 1.34%, 09/07/04 3,900 5,000 Wyoming Community Development Authority, Ser. 4, Rev., FRDO, 1.34%, 09/07/04 5,000 7,245 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.30%, 09/02/04 7,245 36,900 Wyoming Community Development Authority, Single Family Mortgage, Ser. A, Rev., FRDO, 1.30%, 09/02/04 36,900 ------------------ 139,085 - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 14,465,831 (Cost $14,465,831) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 93 JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% STATE AND MUNICIPAL OBLIGATIONS -- 100.0% CALIFORNIA -- 91.1% $ 1,500 ABAG Finance Authority for Nonprofit Corporations, Point Loma Nazarene University, Rev., FRDO, 1.41%, 09/02/04 $ 1,500 1,000 ABN AMRO Munitops Certificate Trust, Ser. 2002-9, GO, FRDO, MBIA, 1.35%, 11/17/04 1,000 1,500 ABN AMRO Munitops Certificate Trust, Ser. 2003-1, GO, FRDO, AMBAC, 1.35%, 09/01/04 1,500 1,000 Alameda County IDA, Scientific Technology Project, Ser. A, Rev., FRDO, 1.45%, 09/01/04 1,000 2,700 Albany Unified School District, GO, 3.00%, 06/30/05 2,730 1,000 Alvord Unified School District, Food Services Bridge Funding Program, COP, FRDO, FSA, 1.30%, 09/02/04 1,000 800 Anaheim Union High School District, School Facilities Bridge Funding Project, COP, FRDO, FSA, 1.30%, 09/02/04 800 2,300 Anaheim, California, 1993 Projects, COP, FRDO, AMBAC, 1.27%, 09/01/04 2,300 4,035 Auburn Union School District, COP, FRDO, FSA, 1.32%, 09/02/04 4,035 1,050 California Communities Housing Finance Agency, Subordinated, Ser. B, Rev., FRDO, 1.42%, 09/02/04 1,050 95 California Economic Development Financing Authority, IDR, Standard Abrasives Manufacturing Project, Rev., FRDO, 1.40%, 09/01/04 95 1,000 California Educational Facilities Authority, Loyola Marymount University, Ser. B, Rev., FRDO, MBIA, 1.32%, 09/02/04 1,000 150 California Educational Facilities Authority, Stanford University, FLOATS, Ser. PA-542, Rev., FRDO, 1.33%, 09/01/04 150 400 California Educational Facilities Authority, Stanford University, Ser. L-4, Rev., 1.25%, 09/03/04 400 400 California Educational Facilities Authority, University of San Francisco, Rev., FRDO, 1.30%, 09/01/04 400 100 California Health Facilities Financing Authority, Ser. B, Rev., FRDO, AMBAC, 1.34%, 09/01/04 100 100 California Housing Finance Agency, Home Mortgage, Ser. J, Rev., FRDO, MBIA, 1.32%, 09/01/04 100 100 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.33%, 09/01/04 100 585 California Housing Finance Agency, Home Mortgage, Ser. M, Rev., FRDO, 1.34%, 09/01/04 585 900 California Housing Finance Agency, Ser. D, Rev., FRDO, FSA, 1.38%, 09/01/04 900 1,000 California Infrastructure & Economic Development Bank, IDR, Adams Rite Manufacturing Co. Project, Ser. A, Rev., FRDO, 1.40%, 09/01/04 1,000
See notes to financial statements. 94
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 795 California PCFA, Authorized Exempt Facilities, ExxonMobil Project, Rev., FRDO, 1.19%, 09/01/04 $ 795 400 California PCFA, PCR, ExxonMobil Project, Rev., FRDO, 1.14%, 09/01/04 400 1,000 California PCFA, PCR, Sierra Pacific Industries Project, Rev., FRDO, 1.29%, 09/01/04 1,000 2,000 California Salvation Army, 1.02%, 11/17/04 + 2,000 495 California School Facilities Financing Corp., Capital Improvement Financing Project, COP, Ser. B, FRDO, 1.33%, 09/01/04 495 300 California State Department of Water Resources, Power Supply Systems, Ser. B-5, Rev., FRDO, 1.32%, 09/01/04 300 1,000 California State Department of Water Resources, Power Supply, EAGLE, Ser. 2002-6017, Class A, Rev., FRDO, AMBAC, 1.35%, 09/02/04 1,000 900 California State Department of Water Resources, Power Supply, Ser. B-2, Rev., FRDO, 1.40%, 09/01/04 900 2,400 California State Department of Water Resources, Power Supply, Ser. B-4, Rev., FRDO, 1.34%, 09/01/04 2,400 480 California State Department of Water Resources, Power Supply, Ser. B-6, Rev., FRDO, 1.33%, 09/01/04 480 1,250 California State Department of Water Resources, Power Supply, Ser. C-12, Rev., FRDO, 1.30%, 09/02/04 1,250 700 California State Department of Water Resources, Power Supply, Ser. C-13, Rev., FRDO, FSA, 1.30%, 09/02/04 700 300 California State Economic Recovery, Ser. C-6, Rev., FRDO, 1.34%, 09/01/04 300 200 California State Economic Recovery, Ser. C-7, Rev., FRDO, 1.34%, 09/01/04 200 615 California State Municipal Securities Trust Certificates, Ser. 1998-47, Class A, Rev., FRDO, AMBAC, #, 1.37%, 09/01/04 615 500 California State University Channel Islands Financing Authority, Rental Housing, Rev., FRDO, 1.60%, 08/01/05 500 2,000 California State, Economic Recovery, FLOATS, Ser. 927, GO, FRDO, MBIA, 1.33%, 09/02/04 2,000 300 California State, Municipal Securities Trust Receipts, Ser. SGA-40, GO, FRDO, FGIC, 1.37%, 09/01/04 300 300 California State, Municipal Securities Trust Receipts, Ser. SGA-55, GO, FRDO, FGIC, 1.37%, 09/01/04 300 3,420 California Statewide Communities Development Authority, Multi-Family Housing, Breezewood Apartments, Ser. F-1, Rev. FRDO, 1.39%, 09/02/04 3,420
See notes to financial statements. 95
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 2,000 California Statewide Communities Development Authority, Cathedral High School Project, Rev., FRDO, 1.33%, 09/01/04 $ 2,000 300 California Statewide Communities Development Authority, COP, FLOATS, Ser. 909, FRDO, MBIA, 1.32%, 09/02/04 300 700 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.36%, 09/01/04 700 3,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. A, Rev., FRDO, 1.25%, 01/04/05 3,000 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.36%, 09/01/04 1,000 1,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. B, Rev., FRDO, 1.75%, 07/05/05 1,000 4,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. C, Adj., Rev., 3.70%, 06/01/05 4,063 1,000 California Statewide Communities Development Authority, Multi-Family Housing, Canyon Springs Apartments, Ser. KK, Rev., FRDO, 1.30%, 09/02/04 1,000 2,200 Charter Mac Floater Certificate Trust I, Ser. CAL-1, MBIA, 1.43%, 09/01/04 2,200 1,800 Charter Mac Floater Certificate Trust I, Ser. CAL-2, Rev., FRDO, MBIA, 1.43%, 09/02/04 1,800 800 Colton Redevelopment Agency, Multi-Family Housing, 1985 Issue A, Rev., FRDO, 1.32%, 09/17/04 800 2,400 East Bay Municipal Utility District, Water Systems, Sub Ser. A, Rev., FRDO, FSA, 1.27%, 09/01/04 2,400 25 East Bay Municipal Utility District, Water Systems, Sub Ser. B, Rev., FRDO, FSA, 1.31%, 09/01/04 25 1,600 Elsinore Valley Municipal Water District, COP, Ser. A, FRDO, FGIC, 1.32%, 09/01/04 1,600 2,400 Fremont, California, Multi-Family Housing, Creekside Village Apartments, Ser. D, Rev., FRDO, 1.27%, 09/02/04 2,400 4,500 Garden Grove, California, Multi-Family Housing, Malabar Apartments, Ser. A, Rev., FRDO, 1.30%, 09/02/04 4,500 2,592 Glendale, California, Hospital, FLOATS, Ser. 590, Rev., FRDO, MBIA, 1.35%, 09/02/04 2,592 2,000 Hayward, California, Multi-Family Housing, Shorewoood, Ser. A, Rev., FRDO, 1.37%, 09/02/04 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
See notes to financial statements. 96
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 200 Irvine Unified School District, Community Facilities, Ser. 03-1, Special Tax, FRDO, 1.33%, 09/01/04 $ 200 37 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 00-18, Ser. A, Special Assessment, FRDO, 1.33%, 09/01/04 37 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 03-19, Ser. A, Special Assessment, FRDO, 1.33%, 09/01/04 100 200 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 87-8, Special Assessment, FRDO, 1.33%, 09/01/04 200 100 Irvine, California, Improvement Bond Act of 1915, Assessment District No. 94-15, Special Assessment, Rev., FRDO, 1.33%, 09/01/04 100 800 Kern County, Kern Public Facilities Project, Ser. A, COP, FRDO, 1.32%, 09/01/04 800 2,400 Las Virgenes Unified School District, COP, FRDO, FSA, 1.30%, 09/02/04 2,400 200 Lodi, California, Electric Systems, COP, Ser. A, FRDO, MBIA, 1.27%, 09/01/04 200 700 Los Angeles Community Redevelopment Agency, Multi-Family Housing, Security Building Project, Ser. A, Rev., FRDO, 1.35%, 09/02/04 700 300 Los Angeles County Housing Authority, Multi-Family Housing, Malibu Meadows II, Ser. C, Rev., FRDO, 1.34%, 09/02/04 300 2,100 Los Angeles County Housing Authority, Multi-Family Housing, Sand Canyon, Ser. F, Rev., FRDO, 1.31%, 09/02/04 2,100 100 Los Angeles County Metropolitan Transportation Authority, Proposition C, Second Ser., Ser. A, Rev., FRDO, MBIA, 1.30%, 09/02/04 100 2,700 Los Angeles County, Pension Obligation, Ser. C, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,700 100 Los Angeles Department of Water & Power, Waterworks, Sub Ser. B-4, Rev., FRDO, 1.32%, 09/02/04 100 3,000 Los Angeles Unified School District, FLOATS, Ser. PA-1115, GO, FRDO, FSA, 1.33%, 09/16/04 3,000 1,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-2, Rev., FRDO, 1.32%, 09/01/04 1,000 4,000 Metropolitan Water District of Southern California, Waterworks, Ser. B-4, Rev. FRDO, 1.27%, 09/01/04 4,000 200 Metropolitan Water District of Southern California, Waterworks, Ser. C-1, Rev., FRDO, 1.32%, 09/02/04 200 700 Metropolitan Water District of Southern California, Waterworks, Ser. C-2, Rev., FRDO, 1.29%, 09/01/04 700
See notes to financial statements. 97
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 1,000 Monrovia Unified School District, Municipal Securities Trust Receipts, Ser. SGA-70, GO, FRDO, MBIA, 1.37%, 09/01/04 $ 1,000 1,900 Newport Beach, California, Hoagan Memorial Hospital, Ser. C, Rev., FRDO, 1.37%, 09/01/04 1,900 3,000 Oceanside, California, Multi-Family Housing, Lakeridge Apartments Project, Rev., FRDO, 1.30%, 09/01/04 3,000 300 Ontario Redevelopment Agency, Multi-Family Housing, Seasons at Gateway, Sub Ser. B, Rev., FRDO, 1.33%, 09/01/04 300 100 Orange County Sanitation District, COP, Ser. A, FRDO, 1.33%, 09/01/04 100 3,000 Orange County, Apartment Development, Bluffs Apartments, Ser C, Rev., FRDO, 1.34%, 09/02/04 3,000 1,500 Orange County, Apartment Development, Riverbend Apartments, Ser. B, Rev., FRDO, 1.34%, 09/02/04 1,500 949 Orange County, Apartment Development Corp., Multi-Family Housing, Niguel Summit 2, Ser. B, Rev., FRDO, 1.32%, 09/07/04 949 1,000 Orange County, Apartment Development Corp., Multi-Family Housing, Pointe Niguel Project, Ser. C, Rev., FRDO, 1.27%, 09/02/04 1,000 800 Orange County, Apartment Development Corp., Wood Canyon Villas, Issue E, Rev., FRDO, 1.30%, 09/02/04 800 150 Orange County, Improvement Bond Act of 1915, Assessment District No. 1, Ser. A, Special Assessment, FRDO, 1.33%, 09/01/04 150 1,920 Pasadena, California, Rose Bowl Improvements Project, COP, FRDO, 1.32%, 09/01/04 1,920 1,000 Pleasant Hill Redevelopment Agency, Multi-Family Housing, Chateau III, Ser. A, Rev., FRDO, 1.42%, 09/02/04 1,000 4,000 Port of Oakland, Trust Receipts, Ser. 5, Class F, Rev., FRDO, FGIC, 1.32%, 09/02/04 4,000 1,500 Riverside County Asset Leasing Corp., Southwest Justice Center, Ser. B, Rev., FRDO, MBIA, 1.27%, 09/15/04 1,500 1,200 Riverside Unified School District, School Facility Bridge Program, COP, FRDO, FSA, 1.30%, 09/02/04 1,200 2,100 Sacramento County Housing Authority, Multi-Family Housing, Ashford, Ser. D, Rev., FRDO, 1.34%, 09/02/04 2,100 1,000 San Diego County & School District, Ser. A, GO, TRAN, 3.25%, 07/25/05 1,015 700 San Diego Housing Authority, Multi-Family Housing, Nobel Courts, Ser. L, Rev., FRDO, 1.30%, 09/02/04 700
See notes to financial statements. 98
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED CALIFORNIA -- CONTINUED $ 400 San Diego Housing Authority, Multi-Family Housing, Paseo, Ser. A, Rev., FRDO, 1.30%, 09/02/04 $ 400 1,000 San Diego, California, 1.30%, 12/09/04 1,000 2,000 San Diego, California, Water, 1.25%, 11/10/04 2,000 370 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SG-110, Rev., FRDO, FGIC, 1.33%, 09/01/04 370 1,000 San Francisco City & County Airports Commission, International Airport, Municipal Securities Trust Receipts, Ser. SGA-50, Rev., FRDO, MBIA, 1.40%, 09/01/04 1,000 300 San Jacinto Unified School District, School Facilities Bridge Funding Program, COP, FRDO, FSA, 1.30%, 09/02/04 300 990 San Jose, California, Airport, Ser. II-R-2004, Rev., FRDO, FSA, 1.35%, 09/02/04 990 700 San Jose, California, Multi-Family Housing, Villa Monterey Apartments, Ser. F, Rev., FRDO, 1.35%, 09/02/04 700 500 Santa Ana Housing Authority, Multi-Family Housing, Vintage Apartments, Ser. A, Rev., FRDO, 1.35%, 09/02/04 500 453 Santa Ana Unified School District, COP, FRDO, 1.32%, 09/01/04 453 1,000 Santa Cruz County Board of Education, GO, TRAN, 2.50%, 06/30/05 1,007 1,000 Santa Cruz County, Ser. A, GO, TRAN, 3.00%, 07/06/05 1,011 1,990 Southern California Home Financing Authority, Single Family Housing, Ser. A, Rev., FRDO, 1.34%, 09/01/04 1,990 1,000 Southern California Home Financing Authority, Single Family Mortgage, Ser. B, Rev., FRDO, 1.45%, 09/16/04 1,000 3,100 Southern California Public Power Authority, Transmission Project, Southern California Power, Ser. A, Rev., FRDO, FSA, 1.32%, 09/01/04 3,100 600 Three Valleys Municipal Water District, Miramar Water Treatment, COP, FRDO, 1.29%, 09/01/04 600 425 Upland Community Redevelopment Agency, Multi-Family Housing, Northwoods Project, Ser. 168-A, Rev., FRDO, 1.27%, 09/02/04 425 1,000 Visalia Unified School District, GO, TRAN, 2.00%, 09/04/04 1,000 ------------------ 140,397
See notes to financial statements. 99
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PUERTO RICO -- 8.9% $ 2,000 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, (p), 1.35%, 09/02/04 $ 2,000 1,000 Puerto Rico Commonwealth, 1.10%, 09/08/04 1,000 2,100 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 1.32%, 09/01/04 2,100 1,235 Puerto Rico Commonwealth, FLOATS, Ser. PT-1226, 1.31%, 09/02/04 1,235 1,700 Puerto Rico Electric Power Authority, Municipal Securities Trust Receipts, Ser. SGA-43, Rev., FRDO, MBIA, 1.35%, 09/01/04 1,700 2,000 Puerto Rico Electric Power Authority, Rev., FRDO, 1.35%, 09/02/04 2,000 448 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 1.32%, 09/02/04 448 1,800 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.35%, 09/02/04 1,800 170 Puerto Rico Highway & Transportation Authority, Trust Receipts, Ser. B, Class F, Rev., FRDO, MBIA, 1.32%, 09/02/04 170 1,300 TICS/TOCS Trust, Commonwealth of Puerto Rico, Ser. 2001-2, GO, FRDO, FSA, 1.34%, 09/02/04 1,300 ------------------ 13,753 - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 154,150 (Cost $154,150) * - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 100 JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND Portfolio of Investments As of August 31, 2004 (Amounts in thousands)
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- 100.0% STATE AND MUNICIPAL OBLIGATIONS -- 100.0% NEW YORK -- 96.3% $ 8,985 ABN AMRO Munitops Certificate Trust, Ser. 2004-33, Rev., FRDO, AMBAC, 1.35%, 09/01/04 $ 8,985 12,000 ABN AMRO Munitops Certificates Trust, Ser. 1999-13, FRDO, FGIC, 1.34%, 09/01/04 12,000 385 Albany IDA, IDR, Newkirk Productions, Inc. Project, Ser. A, Rev., FRDO, 1.37%, 09/09/04 385 2,300 Allegany County, IDA, Environmental Facilities, Atlantic Richfield Project, Rev., FRDO, 1.37%, 09/01/04 2,300 1,000 Babylon IDA, IDR, Edwin Berger/Lambro Industries, Rev., FRDO, 1.35%, 09/01/04 1,000 7,000 Board of Cooperative Educational Services of Second Supervisory District, Westchester, GO, RAN, 2.00%, 09/30/04 7,005 7,950 Board of Cooperative Educational Services Sole Supervisory District Oswego County, Rev., RAN, 2.00%, 12/30/04 7,971 5,000 Board of Cooperative Educational Services Sole Supervisory District, Oswego County, St Lawrence, GO, 2.88%, 06/24/05 5,044 5,000 Brookhaven-Comsewogue Union Free School District, GO, BAN, 3.00%, 07/20/05 5,061 15,000 Chautauqua County, GO, TAN, 2.00%, 01/20/05 15,046 9,898 Corning City School District, GO, BAN, 2.65%, 06/30/05 9,979 10,000 Cornwall Central School District, GO, BAN, 1.75%, 10/15/04 10,008 6,700 Dutchess County IDA, Civic Facilities, Marist College, Ser. A, Rev., FRDO, 1.33%, 09/02/04 6,700 1,600 Dutchess County IDA, Civic Facilities, Marist College, Ser. A, Rev., FRDO, 1.33%, 09/02/04 1,600 4,000 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 2002-6003, Class A, COP, Rev., FRDO, FSA, #, 1.34%, 09/02/04 4,000 3,300 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.34%, 09/02/04 3,300 5,990 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 3C-7, Class A, FRDO, #, 1.34%, 09/02/04 5,990 12,085 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3203, Class A, FRDO, #, 1.34%, 09/02/04 12,085 8,805 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 94-3205, Class A, FRDO, #, 1.34%, 09/02/04 8,805 12,155 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96-3207, Class A, FRDO, #, 1.34%, 09/02/04 12,155 14,850 Eagle Tax Exempt Trust, Weekly Option Mode, Ser. 96C-3208, Class A, FRDO, #, 1.34%, 09/02/04 14,850
See notes to financial statements. 101
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 8,135 Eagle Tax Exempt Trust, Weekly Partner Certificate, Class A, Rev., FRDO, AMBAC, #, 1.34%, 09/02/04 $ 8,135 2,700 Erie County Water Authority, Ser. A, Rev., FRDO, AMBAC, 1.27%, 09/01/04 2,700 1,400 Erie County Water Authority, Ser. B, Rev., FRDO, AMBAC, 1.27%, 09/01/04 1,400 2,700 Franklin County IDA, Civic Facilities, Trudeau Institute, Inc. Project, Rev., FRDO, 1.32%, 09/01/04 2,700 530 Glens Falls IDA, IDR, Broad Street Center Project, Rev., FRDO, 1.37%, 09/01/04 530 3,540 Great Neck North Water Authority, Water System, Ser. A, Rev., FRDO, FGIC, 1.32%, 09/01/04 3,540 14,000 Guilderland Central School District, GO, BAN, 2.50%, 05/26/05 14,095 1,000 Guilderland IDA, IDR, Northeastern Industrial Park, Ser. A, Rev., FRDO, 1.32%, 09/01/04 1,000 20,004 Haverstraw-Stony Point Central School District, GO, BAN, 2.00%, 01/21/05 20,062 2,000 Islip IDA, Brentwood Distribution Co. Facility, Rev., FRDO, 1.35%, 09/09/04 2,000 5,000 Johnson City Central School District, GO, BAN, 2.75%, 06/17/05 5,040 5,000 Johnson City Central School District, GO, BAN, 3.00%, 06/17/05 5,049 8,780 Long Island Power Authority, Electric Systems, Floating Rate Receipts, Ser. SG-125, 1.35%, 09/02/04 8,780 12,710 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-1051, Rev., FRDO, FSA, 1.34%, 09/02/04 12,710 4,360 Long Island Power Authority, Electric Systems, FLOATS, Ser. PA-841, Rev., FRDO, FSA, 1.35%, 09/02/04 4,360 2,695 Long Island Power Authority, Electric Systems, FLOATS, Ser. PT-386, Rev., 1.34%, 09/02/04 2,695 2,662 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-A, Rev., FRDO, MBIA, 1.27%, 09/01/04 2,662 2,000 Long Island Power Authority, Electric Systems, Ser. 7, Sub Ser. 7-B, Rev., FRDO, MBIA, 1.32%, 09/01/04 2,000 300 Long Island Power Authority, Electric Systems, Ser. D, Rev., FRDO, FSA, 1.33%, 09/01/04 300 3,500 Long Island Power Authority, Electric Systems, Ser. G, Rev, FRDO, FSA, 1.28%, 09/01/04 3,500 3,600 Long Island Power Authority, Electric Systems, Sub Ser. 3-B, Rev., FRDO, 1.30%, 09/01/04 3,600 15,100 Metropolitan Transportation Authority, 1.00%, 10/12/04 15,100 15,000 Metropolitan Transportation Authority, 1.00%, 10/14/04 15,000
See notes to financial statements. 102
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 10,000 Metropolitan Transportation Authority, 1.10%, 10/08/04 $ 10,000 10,800 Metropolitan Transportation Authority, 1.15%, 10/07/04 10,800 7,660 Metropolitan Transportation Authority, Dedicated Tax Fund, FLOATS, Ser. PT-2290, Rev., FRDO, FSA, 1.35%, 11/15/04 7,660 290 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 1.33%, 09/02/04 290 3,300 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6021, Class A, Rev., FRDO, MBIA, 1.34%, 09/02/04 3,300 5,000 Metropolitan Transportation Authority, EAGLE, Ser. 2002-6028, Class A, Rev., FRDO, MBIA, 1.34%, 09/02/04 5,000 5,970 Metropolitan Transportation Authority, FLOATS, Ser. PT-1547, Rev., FRDO, FGIC, 1.35%, 09/03/04 5,970 9,920 Metropolitan Transportation Authority, Ser. 848-D, Rev., FRDO, FGIC, 1.34%, 09/02/04 9,920 14,905 Metropolitan Transportation Authority, Ser. B-16, Rev., FRDO, FGIC-MBIA, 1.37%, 09/01/04 14,905 600 Metropolitan Transportation Authority, Ser. D-2, Rev., FRDO, FSA, 1.33%, 09/02/04 600 4,200 Metropolitan Transportation Authority, Ser. G-1, Rev., FRDO, AMBAC, 1.29%, 09/02/04 4,200 1,700 Metropolitan Transportation Authority, Ser. G-2, Rev., FRDO, AMBAC, 1.29%, 09/02/04 1,700 9,995 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1042R, Rev., FRDO, MBIA, 1.35%, 09/01/04 9,995 5,405 Metropolitan Transportation Authority, Service Contract, FLOATS, Ser. PA-1105, Rev., FRDO, 1.35%, 09/01/04 5,405 7,000 Metropolitan Transportation Authority, Sub Ser. A-2, GO, FRDO, 1.33%, 09/02/04 7,000 15,000 Monroe County, GO, RAN, 2.50%, 04/15/05 15,095 4,000 Monroe Woodbury Central School District, GO, TAN, 2.75%, 10/22/04 4,006 10,000 Municipal Securities Trust Certificates, Ser. 2001-116, Class A, Rev., FRDO, #, 1.37%, 09/01/04 10,000 9,990 Municipal Securities Trust Certificates, Ser. 9059, Class A, Rev., FRDO, FSA, #, 1.38%, 09/01/04 9,990 1,820 Nassau County Interim Finance Authority, FLOATS, Ser. PA-901, Rev., FRDO, AMBAC, 1.35%, 09/03/04 1,820 1,250 Nassau County Interim Finance Authority, Municipal Securities Trust Receipts, Special Tax, Ser. SGA-108, FRDO, 1.37%, 09/01/04 1,250 6,190 Nassau County Interim Finance Authority, Sales Tax Secured, Ser. A, Rev., FRDO, FSA, 1.33%, 09/01/04 6,190
See notes to financial statements. 103
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 5,000 Nassau County, Ser. B, GO, TAN, 2.00%, 10/15/04 $ 5,005 1,800 New York City Housing Development Corp., Multi-Family Housing, 2 Gold Street, Ser. A, Rev., FRDO, 1.33%, 09/01/04 1,800 5,400 New York City Housing Development Corp., Multi-Family Housing, 55 Pierrepont Development, Ser. A, Rev., FRDO, 1.33%, 09/01/04 5,400 10,000 New York City Housing Development Corp., Multi-Family Housing, 90 West Street, Ser. A, Rev., FRDO, 1.33%, 09/01/04 10,000 2,500 New York City, New York, Housing Development Corp., Multi-Family Housing, Carnegie Park, Ser. A, Rev., FRDO, 1.32%, 09/01/04 2,500 3,400 New York City Housing Development Corp., Multi-Family Rental Housing, 100 Jane Street Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 3,400 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, Columbus Green, Ser. A, Rev., FRDO, 1.32%, 09/01/04 3,300 200 New York City Housing Development Corp., Multi-Family Rental Housing, Lyric Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 200 10,900 New York City Housing Development Corp., Multi-Family Rental Housing, Ser. A, Rev., FRDO, 1.35%, 09/01/04 10,900 300 New York City Housing Development Corp., Multi-Family Rental Housing, Tribeca Tower, Ser. A, Rev., FRDO, 1.35%, 09/01/04 300 3,300 New York City Housing Development Corp., Multi-Family Rental Housing, West 43rd Street Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 3,300 2,400 New York City Housing Development Corp., Multi-Family Rental Housing, West 89th Street Development, Ser. A, Rev., FRDO, 1.35%, 09/01/04 2,400 3,000 New York City IDA, Ahava Food Corp. Project, Rev., FRDO, 1.35%, 09/02/04 3,000 2,000 New York City IDA, Civic Facilities, Abraham Joshua Heschel Project, Rev., FRDO, 1.35%, 09/09/04 2,000 3,200 New York City IDA, Civic Facilities, Allen-Stevenson School, Rev., FRDO, 1.30%, 09/02/04 3,200 9,725 New York City IDA, Civic Facilities, Columbia Grammar & Prep School, Rev., FRDO, 1.30%, 09/02/04 9,725 1,600 New York City IDA, Civic Facilities, Hewitt School Project, Rev., FRDO, 1.30%, 09/02/04 1,600 4,610 New York City IDA, Civic Facilities, Jamaica First Packaging LLC Project, Rev., FRDO, 1.33%, 09/02/04 4,610
See notes to financial statements. 104
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 580 New York City IDA, Civic Facilities, Municipal Securities Trust Receipts, Ser. SGA-110, Rev., FRDO, 1.37%, 09/01/04 $ 580 5,400 New York City IDA, Special Facilities, Korean Airlines Co., Ser. C, Rev., FRDO, 1.31%, 09/01/04 5,400 20,000 New York City Municipal Water Finance Authority, 1.18%, 11/04/04 20,000 15,000 New York City Municipal Water Finance Authority, 1.18%, 11/04/04 15,000 8,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-1, Rev., FRDO, 1.30%, 09/02/04 8,000 4,500 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. F, Sub Ser. F-2, Rev., FRDO, 1.26%, 09/01/04 4,500 3,700 New York City Municipal Water Finance Authority, Water & Sewer Systems, Fiscal Year 2003, Sub Ser. C-3, Rev., FRDO, 1.33%, 09/01/04 3,700 2,900 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1076, Rev., FRDO, 1.37%, 09/02/04 2,900 5,100 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-1085, Rev., FRDO, FGIC, 1.35%, 09/07/04 5,100 8,410 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-447, Rev., FRDO, FGIC, 1.34%, 09/07/04 8,410 6,495 New York City Municipal Water Finance Authority, Water & Sewer Systems, FLOATS, Ser. PA-900, Rev., FRDO, 1.37%, 09/02/04 6,495 2,390 New York City Municipal Water Finance Authority, Water & Sewer Systems, Municipal Securities Trust Receipts, Ser. SGB-25, Rev., FRDO, MBIA, 1.34%, 09/02/04 2,390 1,250 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. A, Rev., FRDO, FGIC, 1.30%, 09/01/04 1,250 3,000 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.32%, 09/01/04 3,000 1,500 New York City Municipal Water Finance Authority, Water & Sewer Systems, Ser. C, Rev., FRDO, FGIC, 1.32%, 09/01/04 1,500 4,900 New York City Transit Authority, Metropolitan Transportation Authority, Floating Rate Trust Receipts, Triborough, COP, Ser. PMD-10, FRDO, AMBAC, 1.42%, 09/02/04 4,900
See notes to financial statements. 105
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 20,000 New York City Transitional Finance Authority, Floating Rate Receipts, Ser. L-21, Regulation D, Rev., FRDO, 1.37%, 09/01/04 $ 20,000 600 New York City Transitional Finance Authority, Future Tax Secured, Ser. A-2, Rev., FRDO, 1.33%, 09/01/04 600 15,600 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., FRDO, 1.30%, 09/01/04 15,600 1,000 New York City Transitional Finance Authority, Future Tax Secured, Sub Ser. C-5, Rev., FRDO, 1.36%, 09/01/04 1,000 5,200 New York City Transitional Finance Authority, New York City Recovery, Ser. 1, Sub Ser. 1-A, Rev., FRDO, 1.33%, 09/01/04 5,200 2,900 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-C, Rev., FRDO, 1.30%, 09/02/04 2,900 2,200 New York City Transitional Finance Authority, Recovery, Ser. 3, Sub Ser. 3-D, Rev., FRDO, 1.30%, 09/02/04 2,200 2,010 New York City Transitional Finance Authority, Ser. 2003-1, FRDO, FGIC, 1.35%, 09/02/04 2,010 2,480 New York City Transitional Finance Authority, Ser. 2003-7, Rev., FRDO, 1.35%, 09/02/04 2,480 10,000 New York City Transitional Finance Authority, Ser. 48, Rev., FRDO, 1.35%, 09/02/04 10,000 22,170 New York City Transitional Finance Authority, Ser. A-40, Rev., FRDO, MBIA-IBC, 1.37%, 09/01/04 22,170 4,975 New York City Transitional Finance Authority, Ser. RR-II-R-4052, Rev., FRDO, 1.34%, 09/02/04 4,975 10,700 New York City Transitional Finance Authority, Sub Ser. 2-A, Rev., FRDO, 1.30%, 09/01/04 10,700 1,900 New York City Trust for Cultural Resources, Alvin Ailey Dance Foundation, Rev., FRDO, 1.25%, 09/01/04 1,900 10,210 New York City Trust for Cultural Resources, Floating Certificates, Ser. 162, Rev., FRDO, AMBAC, 1.34%, 09/02/04 10,210 1,500 New York City Trust for Cultural Resources, Municipal Securities Trust Receipts, Ser. SGA-91, Rev., FRDO, AMBAC, 1.34%, 09/01/04 1,500 14,500 New York City, New York, 1.20%, 11/08/04 14,500 8,375 New York City, New York, FLOATS, Ser. PT-1670, GO, FRDO, AMBAC, 1.34%, 09/02/04 8,375 9,245 New York City, New York, FLOATS, Ser. PT-405, 1.35%, 09/02/04 9,245 1,300 New York City, New York, Municipal Securities Trust Receipts, Ser. SG-109, 1.35%, 09/02/04 1,300
See notes to financial statements. 106
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 1,000 New York City, New York, Municipal Securities Trust Receipts, Ser. SGA-51, FRDO, AMBAC, 1.37%, 09/01/04 $ 1,000 60 New York City, New York, Municipal Securities Trust Receipts, Ser. SGB-33, GO, FRDO, FSA, 1.34%, 09/02/04 60 500 New York City, New York, Municipal Water Finance Authority, Water & Sewer Systems, Ser. G, Rev., FRDO, FGIC, 1.33%, 09/01/04 500 1,000 New York City, New York, Ser B-2, Sub Ser. B-5, GO, FRDO, MBIA, 1.34%, 09/01/04 1,000 9,635 New York City, New York, Ser. A-36, GO, FRDO, AMBAC, 1.75%, 06/08/05 9,635 1,800 New York City, New York, Ser. B, Sub Ser. B-4, GO, FRDO, MBIA, 1.32%, 09/01/04 1,800 3,100 New York City, New York, Ser. B, Sub Ser. B-6, GO, FRDO, MBIA, 1.34%, 09/01/04 3,100 3,000 New York City, New York, Ser. F-2, GO, FRDO, 1.32%, 09/01/04 3,000 2,800 New York City, New York, Ser. F-4, GO, FRDO, 1.33%, 09/01/04 2,800 2,100 New York City, New York, Ser. H, Sub Ser. -H2, GO, FRDO, MBIA, 1.35%, 09/01/04 2,100 100 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 1.33%, 09/01/04 100 100 New York City, New York, Ser. H, Sub Ser. -H3, GO, FRDO, FSA, 1.33%, 09/01/04 100 2,800 New York City, New York, Ser. H, Sub Ser. -H6, GO, FRDO, MBIA, 1.27%, 09/01/04 2,800 2,800 New York City, New York, Ser. H, Sub Ser. -H6, GO, FRDO, MBIA, 1.27%, 09/01/04 2,800 700 New York City, New York, Ser. H, Sub Ser. -H6, GO, FRDO, MBIA, 1.27%, 09/01/04 700 3,000 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.30%, 09/01/04 3,000 2,100 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.30%, 09/01/04 2,100 3,500 New York City, New York, Sub Ser. A-4, GO, FRDO, 1.32%, 09/01/04 3,500 2,200 New York City, New York, Sub Ser. A-5, GO, FRDO, 1.32%, 09/01/04 2,200 650 New York City, New York, Sub Ser. A-6, GO, FRDO, 1.28%, 09/01/04 650 7,800 New York City, New York, Sub Ser. A-6, GO, FRDO, 1.32%, 09/01/04 7,800 10,660 New York City, New York, Sub Ser. A-6, GO, FRDO, FSA, 1.30%, 09/01/04 10,660 5,000 New York City, New York, Sub Ser. C-2, GO, FRDO, 1.33%, 09/01/04 5,000
See notes to financial statements. 107
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 4,200 New York City, New York, Sub Ser. C-4, GO, FRDO, 1.32%, 09/01/04 $ 4,200 3,000 New York City, New York, Sub Ser. C-5, GO, FRDO, 1.30%, 09/01/04 3,000 5,300 New York City, New York, Sub Ser. G-3, GO, FRDO, 1.32%, 09/01/04 5,300 8,905 New York City, New York, Sub Ser. -h1, GO, FRDO, 1.30%, 09/01/04 8,905 1,500 New York City, New York, Sub Ser. -h2, GO, FRDO, 1.30%, 09/01/04 1,500 13,000 New York City, New York, Sub Ser. -h3, GO, FRDO, 1.34%, 09/01/04 13,000 3,000 New York City, New York, Sub Ser. -h4, GO, FRDO, 1.33%, 09/01/04 3,000 1,100 New York City, New York, Sub. Ser. E-3, GO, FRDO, 1.33%, 09/01/04 1,100 1,500 New York City, New York, Sub. Ser. E-4, GO, FRDO, 1.33%, 09/01/04 1,500 120 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-100, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 120 1,195 New York Local Government Assistance Corp., Floating Rate Receipts, Ser. SG-99, Rev., FRDO, AMBAC, 1.34%, 09/01/04 1,195 600 New York Local Government Assistance Corp., Municipal Securities Trust Receipts, Ser. SGA-59, Rev., FRDO, 1.34%, 09/01/04 600 900 New York Local Government Assistance Corp., Ser. A, Rev., FRDO, 1.32%, 09/01/04 900 14,800 New York Local Government Assistance Corp., Ser. B, Rev., FRDO, 1.32%, 09/01/04 14,800 1,250 New York Local Government Assistance Corp., Ser. C, Rev., FRDO, 1.32%, 09/01/04 1,250 4,700 New York Local Government Assistance Corp., Ser. D, Rev., FRDO, 1.32%, 09/01/04 4,700 7,600 New York Local Government Assistance Corp., Ser. G, Rev., FRDO, 1.27%, 09/01/04 7,600 7,900 New York Local Government Assistance Corp., Sub Lien, Ser. A-6V, Rev., FRDO, FSA, 1.32%, 09/01/04 7,900 2,855 New York Mortgage Agency, FLOATS, Ser. PT-1190, Rev., FRDO, 1.37%, 09/02/04 2,855 8,000 New York State, 1.02%, 10/08/04 + 8,000 3,660 New York State Dorm Authority, Beverwyck, Inc., Rev., FRDO, 1.35%, 09/01/04 3,660 4,415 New York State Dorm Authority, FLOATS, Ser. PA-409, Rev., FRDO, AMBAC, 1.34%, 09/02/04 4,415 2,670 New York State Dorm Authority, FLOATS, Ser. PA-419, Rev., FRDO, 1.34%, 09/02/04 2,670
See notes to financial statements. 108
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 3,545 New York State Dorm Authority, FLOATS, Ser. PA-449, Rev., 1.34%, 09/02/04 $ 3,545 9,340 New York State Dorm Authority, FLOATS, Ser. PA-541, Rev., 1.34%, 09/02/04 9,340 800 New York State Dorm Authority, FLOATS, Ser. PA-784, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 800 860 New York State Dorm Authority, FLOATS, Ser. PT-130, Rev., 1.34%, 09/02/04 860 5,820 New York State Dorm Authority, FLOATS, Ser. PT-1447, Rev., FRDO, MBIA, 1.34%, 09/07/04 5,820 4,165 New York State Dorm Authority, FLOATS, Ser. PT-1621, Rev., FRDO, MBIA, 1.34%, 09/07/04 4,165 4,870 New York State Dorm Authority, FLOATS, Ser. PT-1742, Rev., FRDO, MBIA, 1.34%, 09/07/04 4,870 8,140 New York State Dorm Authority, FLOATS, Ser. PT-407, Rev., FRDO, AMBAC, 1.35%, 09/01/04 8,140 3,400 New York State Dorm Authority, Mental Health Services, Sub Ser. D-2E, Rev., FRDO, 1.33%, 09/02/04 3,400 4,000 New York State Dorm Authority, Municipal Securities Trust Receipts, Ser. SGA-132, Rev., FRDO, 1.37%, 09/01/04 4,000 430 New York State Dorm Authority, New York Public Library, Ser. A, Rev., FRDO, MBIA, 1.32%, 09/01/04 430 2,375 New York State Dorm Authority, Oxford University Press, Inc., Rev., FRDO, 1.36%, 09/01/04 2,375 6,645 New York State Dormitory Authority, FLOATS, Ser. PA-199, Rev., FRDO, MBIA-IBC, 1.34%, 09/02/04 6,645 25,000 New York State Eagle Trust, FRDO, 1.34%, 09/02/04 25,000 5,600 New York State Energy Research & Development Authority, PCR, Orange & Rockland Project, Ser. A, Rev., FRDO, FGIC, 1.27%, 09/01/04 5,600 16,385 New York State Environmental Facilities Corp., PCR, FLOATS, Ser. PA-1261, Rev., FRDO, MBIA, 1.65%, 09/07/04 16,385 3,900 New York State Housing Finance Agency, 10 Liberty Street, Rev., FRDO, 1.32%, 09/01/04 3,900 17,600 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.31%, 09/01/04 17,600 9,150 New York State Housing Finance Agency, 101 West End, Rev., FRDO, 1.31%, 09/01/04 9,150 3,400 New York State Housing Finance Agency, 150 East 44th Street Housing, Ser. A, Rev., FRDO, 1.31%, 09/01/04 3,400 3,000 New York State Housing Finance Agency, 150 East 44th Street, Ser. A, Rev., FRDO, 1.31%, 09/01/04 3,000 4,400 New York State Housing Finance Agency, 345 East 94th Street Housing, Ser. A, Rev., FRDO, 1.31%, 09/01/04 4,400
See notes to financial statements. 109
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, 1.35%, 09/01/04 $ 6,800 5,000 New York State Housing Finance Agency, 360 West 43rd Street, Rev., FRDO, 1.37%, 09/01/04 5,000 3,000 New York State Housing Finance Agency, 360 West 43rd Street, Ser. A, Rev., FRDO, 1.37%, 09/01/04 3,000 10,000 New York State Housing Finance Agency, Avalon Chrystie Place I Housing, Ser. A, Rev., FRDO, 1.33%, 09/01/04 10,000 10,300 New York State Housing Finance Agency, Bennington Hills Housing, Ser. A, Rev., FRDO, 1.37%, 09/01/04 10,300 8,100 New York State Housing Finance Agency, East 84th Street, Ser. A, Rev., FRDO, 1.35%, 09/01/04 8,100 8,535 New York State Housing Finance Agency, FLOATS, Ser. PA-423, Rev., 1.34%, 09/02/04 8,535 5,395 New York State Housing Finance Agency, FLOATS, Ser. PA-805, Rev., FRDO, FSA, 1.34%, 09/02/04 5,395 3,600 New York State Housing Finance Agency, Lakeview Homes, Ser. II-A, Rev., FRDO, 1.38%, 09/01/04 3,600 4,600 New York State Housing Finance Agency, Multi-Family Housing, Secured Mortgage, Ser. A, Rev., FRDO, 1.35%, 09/01/04 4,600 200 New York State Housing Finance Agency, Multi-Family Housing, Ser. A, Rev., FRDO, 1.35%, 09/01/04 200 3,400 New York State Housing Finance Agency, Normandie Court I Project, Rev., FRDO, 1.34%, 09/01/04 3,400 10,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.32%, 09/01/04 10,000 10,000 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.35%, 09/01/04 10,000 1,100 New York State Housing Finance Agency, Ser. A, Rev., FRDO, 1.37%, 09/01/04 1,100 9,500 New York State Housing Finance Agency, Ser. I, Rev., FRDO, 1.33%, 09/01/04 9,500 11,000 New York State Housing Finance Agency, Service Contract, Ser. E, Rev., FRDO, 1.32%, 09/01/04 11,000 10,500 New York State Housing Finance Agency, Tallyrand Crescent, Rev., FRDO, 1.30%, 09/01/04 10,500 4,200 New York State Housing Finance Agency, Union Square South Housing, Rev., FRDO, 1.35%, 09/01/04 4,200 15,000 New York State Housing Finance Agency, West 23rd Street, Ser. A, Rev., FRDO, 1.31%, 09/01/04 15,000 8,400 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-113, Rev., FRDO, 1.34%, 09/02/04 8,400
See notes to financial statements. 110
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, 1.37%, 09/02/04 $ 5,625 3,125 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-72, Rev., #, 1.37%, 09/02/04 3,125 8,140 New York State Medical Care Facilities Finance Agency, FLOATS, Ser. PA-82, Rev., 1.37%, 09/02/04 8,140 11,125 New York State Medical Care Facilities Finance Agency, New York Hospital, Ser. A, Rev., AMBAC, (p), 6.50%, 02/15/05 11,601 13,100 New York State Thruway Authority, Floating Rate Receipts, Ser. SG-121, Rev., FRDO, 1.37%, 09/02/04 13,100 13,675 New York State Thruway Authority, Floating Rate Trust Receipts, Ser. SG-119, Rev., FRDO, 1.33%, 09/01/04 13,675 1,685 New York State Thruway Authority, Municipal Securities Trust Receipts, Ser. SGA-66, Rev., FRDO, 1.37%, 09/01/04 1,685 9,100 New York State Urban Development Corp., Floating Rate Trust Receipts, Ser. SG-163, Rev., 1.34%, 09/02/04 9,100 4,115 New York State Urban Development Corp., FLOATS, Ser. PT-1669, Rev., FRDO, FGIC, 1.34%, 09/02/04 4,115 2,000 New York State, Housing Finance Agency, Saxony Housing, 240 E. 39th St. Housing, Rev., FRDO, 1.36%, 09/01/04 2,000 2,200 New York State, Local Government Assistance Corp., Ser. F, Rev., FRDO, 1.32%, 09/01/04 2,200 24,675 New York State, Power Authority, General Purpose, GO, FRDO, 0.95%, 09/01/04 24,675 9,500 New York State, Ser. A, GO, FRDO, 1.05%, 10/07/04 9,500 4,995 Niagara Falls Bridge Commission, Tolls, FLOATS, Ser. PA-530, 1.34%, 09/02/04 4,995 5,000 Niagara Falls City School District, Ser. B, GO, RAN, 2.50%, 10/08/04 5,004 6,820 Oneida County IDA, Champion Home, Rev., FRDO, 1.34%, 09/02/04 6,820 2,995 Oneida County IDA, Rev., FRDO, 1.48%, 09/02/04 2,995 16,400 Oneida Indian Nation, Rev., FRDO, 1.28%, 09/01/04 16,400 5,050 Onondaga County IDA, IDR, Albany Molecular Research Project, Rev., FRDO, 1.37%, 09/01/04 5,050 14,250 Onondaga County IDA, Solid Waste Disposal Facilities, Solvay Paperboard Project, Ser. A, Rev., FRDO, 1.43%, 09/02/04 14,250 9,550 Onondaga County IDA, Solid Waste Disposal Facility, Solvay Paperboard Project, Rev., FRDO, 1.43%, 09/02/04 9,550
See notes to financial statements. 111
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 18,050 Onondaga County IDA, Solid Waste Disposal Facility, Solvay Paperboard Project, Rev., FRDO, 1.43%, 09/02/04 $ 18,050 6,843 Oswego City School District, GO, BAN, 2.75%, 08/11/05 6,916 8,500 Oyster Bay, New York, Ser. A, GO, BAN, 2.00%, 01/21/05 8,528 4,000 Oyster Bay, New York, Ser. A, GO, TAN, 2.00%, 01/21/05 4,011 4,000 Plainedge Union Free School District, GO, TAN, 3.00%, 06/30/05 4,046 4,500 Port Authority of New York & New Jersey, FLOATS, Ser. PA-1205, Rev., FRDO, 1.37%, 09/02/04 4,500 8,085 Port Authority of New York & New Jersey, FLOATS, Ser. PT-2263, Rev., FRDO, FGIC, 1.34%, 09/01/04 8,085 12,655 Port Authority of New York & New Jersey, Trust Receipts, Ser. 10, Class F, Rev., FRDO, FSA, 1.32%, 09/02/04 12,655 1,050 Port Jervis IDA, The Future Home Tech, Inc., Rev., FRDO, 1.43%, 09/01/04 1,050 6,360 Poughkeepsie IDA, Senior Living Facility, Manor at Woodside Project, Rev., FRDO, 1.38%, 09/02/04 6,360 8,000 Rochester, New York, Ser. II, GO, BAN, 2.00%, 10/22/04 8,010 525 Rockland County IDA, IDR, X Products Corp. Project, Rev., FRDO, 1.38%, 09/02/04 525 1,555 Rockland County IDA, Shock Tech, Inc. Project, Rev., FRDO, 1.48%, 09/01/04 1,555 5,000 Rome City School District, GO, BAN, 2.88%, 06/24/05 5,044 10,000 Rome City School District, GO, RAN, 2.88%, 06/24/05 10,087 4,690 Roosevelt Union Free School District, RAN, 2.63%, 06/23/05 4,725 13,620 Sidney Central School District, GO, BAN, 2.00%, 10/01/04 13,630 3,430 Suffolk County IDA, Civic Facilities, Guide Dog Foundation, Inc., Rev., FRDO, 1.33%, 09/02/04 3,430 300 Suffolk County Water Authority, Rev., BAN, FRDO, 1.30%, 09/01/04 300 5,000 Suffolk County Water Authority, Rev., BAN, FRDO, 1.30%, 09/01/04 5,000 25,000 Suffolk County, GO, TAN, 2.00%, 09/08/04 25,004 3,325 Syracuse, New York, Ser. A, GO, RAN, 2.10%, 10/29/04 3,330 1,875 Syracuse, New York, Ser. B, GO, BAN, 2.25%, 05/27/05 1,882 10,425 Tobacco Settlement Financing Authority, Ser. RR-II-R-1066, Rev., FRDO, AMBAC, 1.36%, 09/02/04 10,425
See notes to financial statements. 112
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED NEW YORK -- CONTINUED $ 7,495 Tobacco Settlement Financing Authority, Ser. TOCS-2003, Rev., FRDO, 1.51%, 09/02/04 $ 7,495 7,400 Tompkins-Seneca-Tioga Board of Cooperative Educational Services, Sole Supervisory, GO, RAN, 2.63%, 06/30/05 7,461 2,500 Triborough Bridge & Tunnel Authority, EAGLE Ser. 2003-2004, Class A, Rev., FRDO, FGIC, 1.34%, 09/02/04 2,500 6,000 Triborough Bridge & Tunnel Authority, FLOATER, Ser. M1J, Regulation D, Rev., FRDO, MBIA-IBC, 1.37%, 09/01/04 6,000 7,675 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1080, Rev., FRDO, 1.37%, 09/02/04 7,675 360 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-1090, Rev., FRDO, MBIA-IBC, 1.34%, 09/01/04 360 3,930 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-200, Rev., FRDO, (p), 1.37%, 09/02/04 3,930 4,995 Triborough Bridge & Tunnel Authority, FLOATS, Ser. PA-665, Rev., 1.37%, 09/02/04 4,995 100 Triborough Bridge & Tunnel Authority, General Purpose, Ser. B, Rev., FRDO, AMBAC, 1.29%, 09/01/04 100 1,690 Triborough Bridge & Tunnel Authority, Special Obligation, Ser. B, Rev., FRDO, FSA, 1.33%, 09/01/04 1,690 5,000 Utica City School District, GO, BAN, 2.00%, 09/24/04 5,002 10,000 Utica City School District, Ser. A, GO, RAN, 3.50%, 06/24/05 10,111 9,870 Walton Central School District, Ser. A, GO, BAN, 2.75%, 06/16/05 9,950 10,000 Waterloo Central School District, GO, BAN, 2.63%, 06/20/05 10,075 10,387 Watertown, New York, GO, BAN, 2.25%, 01/27/05 10,421 4,590 Westchester County IDA, Civic Facilities, Community Housing Innovations, Inc., Rev., FRDO, 1.32%, 09/02/04 4,590 2,630 Westchester County IDA, Civic Facilities, The Masters School, Rev., FRDO, 1.30%, 09/02/04 2,630 3,400 Williamson, New York, GO, BAN, 2.00%, 09/17/04 3,401 ------------------ 1,648,122 PUERTO RICO -- 3.7% 10,045 Municipal Securities Trust Certificates, Ser. 7005, Class A, Special Obligation, FRDO, (p), 1.35%, 09/02/04 10,045 7,163 Puerto Rico Commonwealth, 1.10%, 09/01/04 7,163 4,700 Puerto Rico Commonwealth, 1.15%, 10/13/04 4,700 10,697 Puerto Rico Commonwealth, 1.23%, 10/19/04 10,697 6,000 Puerto Rico Commonwealth, Floating Rate Trust Receipts, Ser. M-4J, GO, FRDO, FSA, 1.32%, 09/01/04 6,000
See notes to financial statements. 113
PRINCIPAL AMOUNT ISSUER VALUE - ------------------------------------------------------------------------------------------------------------- MONEY MARKET INSTRUMENTS -- CONTINUED PUERTO RICO -- CONTINUED $ 360 Puerto Rico Commonwealth, FLOATS, Ser. PA-625, GO, FRDO, AMBAC, 1.31%, 09/02/04 $ 360 150 Puerto Rico Commonwealth, Trust Receipts, Ser. 3, Class F, GO, FRDO, MBIA, 1.32%, 09/02/04 150 1,294 Puerto Rico Highway & Transportation Authority, FLOATS, Ser. 815-D, Rev., FRDO, MBIA, 1.32%, 09/02/04 1,294 895 Puerto Rico Highway & Transportation Authority, Ser. II-R-66, Rev., FRDO, MBIA-IBC, 1.35%, 09/02/04 895 21,330 Puerto Rico Infrastructure Financing Authority, Ser. 2, Special Obligation, FRDO, 1.34%, 09/02/04 21,330 ------------------ 62,634 - ------------------------------------------------------------------------------------------------------------- Total Investments -- 100.0% $ 1,710,756 (Cost $1,710,756)* - -------------------------------------------------------------------------------------------------------------
See notes to financial statements. 114 JPMORGAN FUNDS Abbreviations: * -- The cost of securities is substantially the same for federal income tax purposes. ^ -- Amount rounds to less than 0.1% # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. + -- All or a portion of this security is segregated with the custodian for TBA, when issued, delayed delivery securities, and reverse repurchase agreements. (i) -- Security is illiquid and may be difficult to sell. (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the earlier of the reset date and the date of the prerefunded call. Adj. -- Adjustable. Maturity date shown is actual maturity date. The interest rate shown is the rate in effect at August 31, 2004. ACES -- Auction Rate Securities. AMBAC American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Note. COP -- Certificates of Participation. DN -- Discount Note: The rate shown is the effective yield at the date of purchase. EAGLE -- Earnings of accrual generated on local tax-exempt securities. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at August 31, 2004. FRN -- Floating Rate Note. The maturity date shown is the actual maturity date. The rate shown is the rate in effect at August 31, 2004. FSA -- Financial Security 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 Investors Assurance Corporation. 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. TAN -- Tax Anticipation Note. TAW -- Tax Anticipation Warrant. TRAN -- Tax & Revenue Anticipation Note. USD -- United States Dollar. See notes to financial statements. 115 JPMORGAN FUNDS Statement of Assets and Liabilities As of August 31, 2004 (Amounts in thousands, except per share amounts)
PRIME MONEY MARKET FUND - -------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 43,939,081 Repurchase agreements, at value 5,038,707 - -------------------------------------------------------------------------------------- Total investment securities, at value 48,977,788 - -------------------------------------------------------------------------------------- Cash 1 Receivables: Fund shares sold 1,503 Interest 76,636 - -------------------------------------------------------------------------------------- Total Assets 49,055,928 - -------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 21,883 Accrued liabilities: Investment advisory fees 4,031 Administration fees 3,144 Shareholder servicing fees 3,088 Distribution fees 99 Custodian fees 434 Trustees' fees -- deferred compensation plan 982 Other 1,427 - -------------------------------------------------------------------------------------- Total Liabilities 35,088 - -------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 49,020,841 Accumulated net realized gain (loss) on investments (1) - -------------------------------------------------------------------------------------- Total Net Assets $ 49,020,840 - -------------------------------------------------------------------------------------- Morgan $ 3,919,246 Premier $ 5,887,641 Agency $ 11,669,540 Class B $ 8,247 Class C $ 661 Institutional $ 26,513,965 Reserve $ 269,516 Select $ 667,459 Cash Management $ 84,565 - -------------------------------------------------------------------------------------- Total $ 49,020,840 - -------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 3,919,166 Premier 5,887,645 Agency 11,669,427 Class B 8,256 Class C 661 Institutional 26,514,862 Reserve 269,525 Select 667,371 Cash Management 84,569 Net asset value, offering and redemption price per share (all classes)* $ 1.00 - -------------------------------------------------------------------------------------- Cost of investments $ 48,977,788 ======================================================================================
* Redemption price for Class B and Class C may be reduced by contingent deferred sales charge. See notes to financial statements. 116
LIQUID ASSETS U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 2,402,388 $ 6,683,554 Repurchase agreements, at value 227,424 2,473,679 - ---------------------------------------------------------------------------------------------------------- Total investment securities, at value 2,629,812 9,157,233 - ---------------------------------------------------------------------------------------------------------- Cash --^ 1 Receivables: Fund shares sold 305 2 Interest 7,101 13,459 - ---------------------------------------------------------------------------------------------------------- Total Assets 2,637,218 9,170,695 - ---------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 528 3,240 Accrued liabilities: Investment advisory fees 230 757 Administration fees 46 227 Shareholder servicing fees 51 1,184 Distribution fees -- 81 Custodian fees 29 81 Trustees' fees -- deferred compensation plan 10 429 Other 145 357 - ---------------------------------------------------------------------------------------------------------- Total Liabilities 1,039 6,356 - ---------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 2,636,133 9,164,294 Accumulated net realized gain (loss) on investments 46 45 - ---------------------------------------------------------------------------------------------------------- Total Net Assets $ 2,636,179 $ 9,164,339 - ---------------------------------------------------------------------------------------------------------- Morgan $ 20,692 $ 2,615,486 Premier $ 53,109 $ 537,458 Agency $ 336,624 $ 3,790,487 Institutional $ 2,225,754 $ 2,220,908 - ---------------------------------------------------------------------------------------------------------- Total $ 2,636,179 $ 9,164,339 - ---------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 20,691 2,615,543 Premier 53,109 537,448 Agency 336,621 3,790,455 Institutional 2,225,713 2,220,892 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------- Cost of investments $ 2,629,812 $ 9,157,233 ==========================================================================================================
^Amount rounds to less than one thousand. See notes to financial statements. 117
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ----------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 987,551 $ 2,954,848 Repurchase agreements, at value 3,040,556 -- - ----------------------------------------------------------------------------------------------------------- Total investment securities, at value 4,028,107 2,954,848 - ----------------------------------------------------------------------------------------------------------- Cash --^ 20 Receivables: Interest 4,499 4,859 Expense reimbursements 2 -- - ----------------------------------------------------------------------------------------------------------- Total Assets 4,032,608 2,959,727 - ----------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 1,681 1,772 Accrued liabilities: Investment advisory fees 336 248 Administration fees 245 99 Shareholder servicing fees 560 313 Distribution fees 67 8 Custodian fees 52 36 Trustees' fees -- deferred compensation plan 163 75 Other 244 177 - ----------------------------------------------------------------------------------------------------------- Total Liabilities 3,348 2,728 - ----------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 4,029,220 2,957,036 Accumulated undistributed (overdistributed) net investment income (46) (24) Accumulated net realized gain (loss) on investments 86 (13) - ----------------------------------------------------------------------------------------------------------- Total Net Assets $ 4,029,260 $ 2,956,999 - ----------------------------------------------------------------------------------------------------------- Morgan $ 783,044 $ 238,643 Premier $ 1,113,625 $ 1,057,504 Agency $ 1,037,159 $ 389,465 Institutional $ 895,495 $ 1,271,387 Reserve $ 199,937 $ -- - ----------------------------------------------------------------------------------------------------------- Total $ 4,029,260 $ 2,956,999 - ----------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 783,098 238,650 Premier 1,113,692 1,057,992 Agency 1,037,012 389,456 Institutional 895,518 1,271,413 Reserve 199,952 -- Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------- Cost of investments $ 4,028,107 $ 2,954,848 ===========================================================================================================
^ Amount rounds to less than one thousand. See notes to financial statements. 118
100% U.S. TREASURY SECURITIES TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 5,191,964 $ 14,465,831 Cash 1 -- Receivables: Fund shares sold 4 10 Interest 6,462 28,938 Expense reimbursements 2 -- - ---------------------------------------------------------------------------------------------------------- Total Assets 5,198,433 14,494,779 - ---------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian -- 310 Dividends 1,851 5,859 Investment securities purchased -- 21,508 Accrued liabilities: Investment advisory fees 436 1,223 Administration fees 379 1,052 Shareholder servicing fees 715 1,090 Distribution fees 25 13 Custodian fees 46 132 Trustees' fees -- deferred compensation plan 236 131 Other 458 434 - ---------------------------------------------------------------------------------------------------------- Total Liabilities 4,146 31,752 - ---------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,194,281 14,464,454 Accumulated undistributed (overdistributed) net investment income -- (3,704) Accumulated net realized gain (loss) on investments 6 2,277 - ---------------------------------------------------------------------------------------------------------- Total Net Assets $ 5,194,287 $ 14,463,027 - ---------------------------------------------------------------------------------------------------------- Morgan $ 1,868,692 $ 566,501 Premier $ 564,734 $ 4,038,922 Agency $ 784,065 $ 1,173,270 Institutional $ 1,976,796 $ 8,684,334 - ---------------------------------------------------------------------------------------------------------- Total $ 5,194,287 $ 14,463,027 - ---------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 1,868,889 567,251 Premier 564,729 4,039,341 Agency 783,923 1,173,582 Institutional 1,976,812 8,684,090 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ---------------------------------------------------------------------------------------------------------- Cost of investments $ 5,191,964 $ 14,465,831 ==========================================================================================================
See notes to financial statements. 119
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 154,150 $ 1,710,756 Cash 26 7 Receivables: Interest 331 5,482 - ------------------------------------------------------------------------------------------------------- Total Assets 154,507 1,716,245 - ------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 70 309 Investment securities purchased -- 20,075 Accrued liabilities: Investment advisory fees 13 145 Administration fees 4 136 Shareholder servicing fees 29 506 Distribution fees -- 29 Custodian fees 7 24 Trustees' fees -- deferred compensation plan 5 93 Other 53 271 - ------------------------------------------------------------------------------------------------------- Total Liabilities 181 21,588 - ------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 154,370 1,694,103 Accumulated undistributed (overdistributed) net investment income (49) 158 Accumulated net realized gain (loss) on investments 5 396 - ------------------------------------------------------------------------------------------------------- Total Net Assets $ 154,326 $ 1,694,657 - ------------------------------------------------------------------------------------------------------- Morgan $ 154,326 $ 1,540,274 Reserve $ -- $ 154,383 - ------------------------------------------------------------------------------------------------------- Total $ 154,326 $ 1,694,657 - ------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Morgan 154,386 1,539,850 Reserve -- 154,356 Net asset value, offering and redemption price per share (all classes) $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------- Cost of investments $ 154,150 $ 1,710,756 =======================================================================================================
See notes to financial statements. 120 Statement of Operations For the year ended August 31, 2004 (Amounts in thousands)
PRIME MONEY MARKET FUND - -------------------------------------------------------------------------------------- INTEREST INCOME: $ 568,501 - -------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 48,047 Administration fees 48,047 Shareholder servicing fees 69,020 Distribution fees 1,321 Custodian and accounting fees 3,045 Interest expense 8 Printing and postage 219 Professional fees 895 Registration fees 921 Transfer agent fees 3,420 Trustees' fees 881 Other 1,537 - -------------------------------------------------------------------------------------- Total expenses 177,361 - -------------------------------------------------------------------------------------- Less amounts waived 39,156 Less earnings credits 2 - -------------------------------------------------------------------------------------- Net expenses 138,203 - -------------------------------------------------------------------------------------- Net investment income 430,298 - -------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions (2) - -------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 430,296 - --------------------------------------------------------------------------------------
See notes to financial statements. 121
LIQUID ASSETS U.S. GOVERNMENT MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 37,158 $ 106,015 - ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 3,119 9,263 Administration fees 3,119 9,263 Shareholder servicing fees 3,235 17,283 Distribution fees 21 3,481 Custodian and accounting fees 249 576 Interest expense 2 --^ Printing and postage 18 56 Professional fees 103 171 Registration fees 61 1,113 Transfer agent fees 150 596 Trustees' fees 47 170 Other 73 243 - ---------------------------------------------------------------------------------------------------------- Total expenses 10,197 42,215 - ---------------------------------------------------------------------------------------------------------- Less amounts waived 5,109 8,759 Less earnings credits 1 --^ - ---------------------------------------------------------------------------------------------------------- Net expenses 5,087 33,456 - ---------------------------------------------------------------------------------------------------------- Net investment income 32,071 72,559 - ---------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 67 34 - ---------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 32,138 $ 72,593 - ----------------------------------------------------------------------------------------------------------
^Amount rounds to less than one thousand. See notes to financial statements. 122
TREASURY PLUS FEDERAL MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 42,522 $ 38,339 - ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 3,966 3,483 Administration fees 3,966 3,483 Shareholder servicing fees 8,069 6,147 Distribution fees 1,412 299 Custodian and accounting fees 296 226 Interest expense --^ --^ Printing and postage 20 13 Professional fees 110 112 Registration fees 500 220 Transfer agent fees 289 473 Trustees' fees 73 64 Other 136 136 - ---------------------------------------------------------------------------------------------------------- Total expenses 18,837 14,656 - ---------------------------------------------------------------------------------------------------------- Less amounts waived 3,111 2,788 Less expense reimbursements 12 -- Less earnings credits --^ --^ - ---------------------------------------------------------------------------------------------------------- Net expenses 15,714 11,868 - ---------------------------------------------------------------------------------------------------------- Net investment income 26,808 26,471 - ---------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 341 (13) - ---------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 27,149 $ 26,458 - ----------------------------------------------------------------------------------------------------------
^Amount rounds to less than one thousand. See notes to financial statements. 123
100% U.S. TREASURY SECURITIES TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 52,276 $ 132,412 - ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 5,085 12,355 Administration fees 5,085 12,355 Shareholder servicing fees 11,638 19,243 Distribution fees 2,273 608 Custodian and accounting fees 353 765 Interest expense --^ 8 Printing and postage 29 33 Professional fees 103 268 Registration fees -- 9 Transfer agent fees 713 321 Trustees' fees 93 225 Other 86 359 - ---------------------------------------------------------------------------------------------------------- Total expenses 25,458 46,549 - ---------------------------------------------------------------------------------------------------------- Less amounts waived 4,499 9,984 Less expense reimbursements 23 -- Less earnings credits --^ 19 - ---------------------------------------------------------------------------------------------------------- Net expenses 20,936 36,546 - ---------------------------------------------------------------------------------------------------------- Net investment income 31,340 95,866 - ---------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on investment transactions 360 2,276 - ---------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 31,700 $ 98,142 - ----------------------------------------------------------------------------------------------------------
^Amount rounds to less than one thousand. See notes to financial statements. 124
CALIFORNIA NEW YORK TAX FREE TAX FREE MONEY MARKET MONEY MARKET FUND FUND - ---------------------------------------------------------------------------------------------------------- INTEREST INCOME: $ 1,664 $ 19,032 - ---------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 157 1,780 Administration fees 157 1,780 Shareholder servicing fees 549 6,230 Distribution fees 157 2,122 Custodian and accounting fees 25 127 Interest expense --^ 1 Printing and postage --^ 19 Professional fees 54 86 Registration fees 100 -- Transfer agent fees 46 487 Trustees' fees 3 33 Other 7 55 - ---------------------------------------------------------------------------------------------------------- Total expenses 1,255 12,720 - ---------------------------------------------------------------------------------------------------------- Less amounts waived 392 1,871 Less earnings credits 1 5 - ---------------------------------------------------------------------------------------------------------- Net expenses 862 10,844 - ---------------------------------------------------------------------------------------------------------- Net investment income 802 8,188 - ---------------------------------------------------------------------------------------------------------- REALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain on investment transactions 5 396 - ---------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 807 $ 8,584 - ----------------------------------------------------------------------------------------------------------
^Amount rounds to less than one thousand. See notes to financial statements. 125 Statement of Changes in Net Assets For the periods indicated (Amounts in thousands)
PRIME MONEY MARKET FUND ---------------------------------- YEAR ENDED 8/31/04 8/31/03 - ----------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 430,298 $ 602,371 Net realized gain (loss) on investments (2) 9 - ----------------------------------------------------------------------------------------------------------- Increase in net assets from operations 430,296 602,380 - ----------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (428,985) (603,707) Net realized gain on investment transactions -- (147) - ----------------------------------------------------------------------------------------------------------- Total distributions to shareholders (428,985) (603,854) - ----------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS (428,700) 519,344 - ----------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (427,389) 517,870 NET ASSETS: Beginning of period 49,448,229 48,930,359 - ----------------------------------------------------------------------------------------------------------- End of period $ 49,020,840 $ 49,448,229 - ----------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (1,313) - -----------------------------------------------------------------------------------------------------------
See notes to financial statements. 126
LIQUID ASSETS U.S. GOVERNMENT MONEY MARKET FUND MONEY MARKET FUND ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 32,071 $ 28,307 $ 72,559 $ 95,487 Net realized gain (loss) on investments 67 73 34 281 - ---------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 32,138 28,380 72,593 95,768 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (32,062) (28,315) (72,399) (95,524) Net realized gain on investment transactions (88) (6) (267) (3) - ---------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (32,150) (28,321) (72,666) (95,527) - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 64,734 1,356,372 (317,753) 115,592 - ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 64,722 1,356,431 (317,826) 115,833 NET ASSETS: Beginning of period 2,571,457 1,215,026 9,482,165 9,366,332 - ---------------------------------------------------------------------------------------------------------------------------------- End of period $ 2,636,179 $ 2,571,457 $ 9,164,339 $ 9,482,165 - ---------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (9) $ -- $ (160) - ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 127
TREASURY PLUS FEDERAL MONEY MARKET FUND MONEY MARKET FUND ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 26,808 $ 37,997 $ 26,471 $ 44,931 Net realized gain (loss) on investments 341 15 (13) 24 - ---------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 27,149 38,012 26,458 44,955 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (26,808) (38,099) (26,314) (44,861) Net realized gain on investment transactions -- -- -- (66) - ---------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (26,808) (38,099) (26,314) (44,927) - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 240,344 (215,318) (613,702) (761,408) - ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 240,685 (215,405) (613,558) (761,380) NET ASSETS: Beginning of period 3,788,575 4,003,980 3,570,557 4,331,937 - ---------------------------------------------------------------------------------------------------------------------------------- End of period $ 4,029,260 $ 3,788,575 $ 2,956,999 $ 3,570,557 - ---------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (46) $ (46) $ (24) $ (186) - ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 128
100% U.S. TREASURY SECURITIES TAX FREE MONEY MARKET FUND MONEY MARKET FUND ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 31,340 $ 48,374 $ 95,866 $ 93,998 Net realized gain (loss) on investments 360 231 2,276 858 - ---------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 31,700 48,605 98,142 94,856 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (31,304) (48,312) (95,834) (94,379) Net realized gain on investment transactions (536) (60) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (31,840) (48,372) (95,834) (94,379) - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 226,764 (268,077) 3,319,798 2,189,669 - ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 226,624 (267,844) 3,322,106 2,190,146 NET ASSETS: Beginning of period 4,967,663 5,235,507 11,140,921 8,950,775 - ---------------------------------------------------------------------------------------------------------------------------------- End of period $ 5,194,287 $ 4,967,663 $ 14,463,027 $ 11,140,921 - ---------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ -- $ (36) $ (3,704) $ (3,818) - ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 129
CALIFORNIA TAX FREE NEW YORK TAX FREE MONEY MARKET FUND MONEY MARKET FUND ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED 8/31/04 8/31/03 8/31/04 8/31/03 - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income $ 802 $ 1,118 $ 8,188 $ 14,980 Net realized gain (loss) on investments 5 5 396 417 - ---------------------------------------------------------------------------------------------------------------------------------- Increase in net assets from operations 807 1,123 8,584 15,397 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (802) (1,133) (8,188) (14,748) Net realized gain (loss) on investment transactions -- -- -- (386) - ---------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (802) (1,133) (8,188) (15,134) - ---------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS 5,174 (13,914) (143,137) (465,972) - ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 5,179 (13,924) (142,741) (465,709) NET ASSETS: Beginning of period 149,147 163,071 1,837,398 2,303,107 - ---------------------------------------------------------------------------------------------------------------------------------- End of period $ 154,326 $ 149,147 $ 1,694,657 $ 1,837,398 - ---------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME $ (49) $ (49) $ 158 $ (260) - ----------------------------------------------------------------------------------------------------------------------------------
See notes to financial statements. 130 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan 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. 131 On August 19, 2004, the Board of Trustees of the Trust approved management's proposal to merge the Target Funds listed below with and into the Acquiring Funds listed below:
TARGET FUND ACQUIRING FUND JPMorgan Liquid Assets Money Market Fund merges with and into One Group Prime Money Market Fund One Group Institutional Prime Money Market Fund merges with and into JPMorgan Prime Money Market Fund One Group U.S. Government Securities Money Market Fund and JPMorgan US Government merges with and into One Group Government Money Market Fund Money Market Fund JPMorgan Treasury Plus Money Market Fund merges with and into One Group U.S. Treasury Securities Money Market Fund One Group Treasury Only Money Market Fund merges with and into JPMorgan 100% US Treasury Securities Money Market Fund
Each proposed merger is contingent upon, among other things, approval by the Target Fund's shareholders and regulatory review and receipt of an opinion of counsel to the effect that the merger will qualify as a tax-free reorganization for Federal income tax purposes. If approved, the merger is expected to occur on February 18, 2005, or such later date as the parties to each such merger transaction may agree. 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. 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 132 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 the 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 Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of their distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. G. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature, (i.e., that they result from other than timing of recognition --"temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. 133 The following amounts were reclassified within the capital accounts at August 31, 2004 (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FED $ -- $ 5 $ (5) TF (2) 82 (80) CTF --^ --^ -- NYTF -- 418 (418)
^ amount rounds to less than one thousand. The reclassifications for FED and NYTF relate primarily to the character for tax purposes of dividends paid. The reclassifications for TF relate primarily to the character for tax purposes of non-deductible excise tax and dividends paid. The reclassifications for CTF relate primarily to the character for tax purposes of non-deductible excise tax. 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" or the "Advisor"), acts as the investment advisor to the Funds. JPMIM is a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JPMorgan Chase & Co. 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. As approved by the Board of Trustees on August 19, 2004, effective February 19, 2005, the Investment Advisory Fee will be reduced to an annual rate of 0.08% 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 provide that each Fund shall pay distribution fees, including payments to the 134 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 is entitled to receive the contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees as outlined in Note 3.F. On August 19, 2004, the Board of Trustees approved management's proposal to enter into a Distribution Agreement with One Group Dealer Services, Inc., an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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
* As approved by the Board of Trustees on August 19, 2004, effective February 19, 2005, Shareholder Servicing Fees will be increased to 0.15% for the Agency Class shares and to 0.30% for the Cash Management, Premier and Reserve Class shares respectively. 135 On August 19, 2004, the Board of Trustees approved management's proposal to replace JPMCB with One Group Dealer Services, Inc. as Shareholder Servicing Agent. The foregoing change in the service provider is expected to occur effective February 19, 2005. 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. JPMCB waived fees as outlined in Note 3.F. 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, Advisor and Distributor have 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%. 136 The contractual expense limitation agreements were in effect for the year ended August 31, 2004 for the Funds. The expense limitation percentages in the table above are due to expire on December 31, 2006 except for USG and USTS which are due to expire on February 19, 2006. On August 19, 2004, the Board of Trustees approved management's proposal to enter into an Administration Agreement with One Group Administrative Services, Inc., ("OGA") an indirect wholly-owned subsidiary of JPMorgan Chase & Co. The foregoing change in the service provider is expected to occur effective February 19, 2005. The Administrative fees charged to the Funds will be subject to the same fee structure as those paid to the current Administrator. JPMCB will begin to provide sub-administrative services to the Funds in 2005. For such services, JPMCB will receive a portion of the fees payable to OGA as Administrator. The Administrator waived fees and/or reimbursed expenses as outlined in Note 3.F. F. WAIVERS AND REIMBURSEMENTS -- For the year ended August 31, 2004, the Funds' service providers waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). Neither the Funds' service providers nor the Administrator expect the Fund to repay any such waived fees and reimbursed expenses in future years.
VOLUNTARY WAIVERS --------------------------------------------- SHAREHOLDER FUND ADMINISTRATION SERVICING TOTAL PRM $ 1,922 $ 2,827 $ 4,749 LA 1,556 -- 1,556 USTS 27 -- 27 - --------------------------------------------------------------- Total $ 3,505 $ 2,827 $ 6,332
CONTRACTUAL WAIVERS ------------------------------------------------------------------------ INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISOR ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS PRM $ -- $ 5,879 $ 28,528 $ -- $ 34,407 $ -- LA -- 939 2,594 20 3,553 -- USG -- 4,808 2,003 1,948 8,759 -- TP -- 1,293 1,231 587 3,111 12 FED -- 846 1,756 186 2,788 -- USTS -- 634 1,865 1,973 4,472 23 TF -- 1,767 7,751 466 9,984 -- CTF -- 110 126 156 392 -- NYTF -- 125 -- 1,746 1,871 -- - ----------------------------------------------------------------------------------------------------------- Total $ -- $ 16,401 $ 45,854 $ 7,082 $ 69,337 $ 35
G. OTHER -- Certain officers of the Trust are officers of JPMorgan 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 affiliated with the Advisor. 137 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 and tax exempt securities subject to certain conditions. 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended August 31, 2004 are as follows (amounts in thousands):
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT PRM Morgan $ 14,809 $ -- $ 2,883 Premier 14,518 -- 131 Agency 11,811 -- 88 Class B 22 65 6 Class C 1 4 --^ Institutional 25,075 -- 126 Reserve 722 722 26 Select 1,797 -- 129 Cash Management 265 530 31 - ----------------------------------------------------------------------------- $ 69,020 $ 1,321 $ 3,420 - ----------------------------------------------------------------------------- LA Morgan $ 69 $ 21 $ 51 Premier 111 -- 28 Agency 362 -- 29 Institutional 2,693 -- 42 - ----------------------------------------------------------------------------- $ 3,235 $ 21 $ 150 - ----------------------------------------------------------------------------- USG Morgan $ 9,792 $ 2,798 $ 453 Premier 1,708 683 61 Agency 3,852 -- 45 Institutional 1,931 -- 37 - ----------------------------------------------------------------------------- $ 17,283 $ 3,481 $ 596 - ----------------------------------------------------------------------------- TP Morgan $ 2,895 $ 827 $ 124 Premier 2,807 -- 52 Agency 1,157 -- 43 Institutional 625 -- 37 Reserve 585 585 33 - ----------------------------------------------------------------------------- $ 8,069 $ 1,412 $ 289 - ----------------------------------------------------------------------------- FED Morgan $ 1,045 $ 299 $ 342 Premier 3,195 -- 65 Agency 355 -- 33 Institutional 1,552 -- 33 - ----------------------------------------------------------------------------- $ 6,147 $ 299 $ 473 - -----------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 138
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT USTS Morgan $ 7,955 $ 2,273 $ 607 Premier 1,451 -- 31 Agency 837 -- 52 Institutional 1,395 -- 23 - ----------------------------------------------------------------------------- $ 11,638 $ 2,273 $ 713 - ----------------------------------------------------------------------------- TF Morgan $ 2,128 $ 608 $ 108 Premier 8,945 -- 102 Agency 851 -- 35 Institutional 7,319 -- 76 - ----------------------------------------------------------------------------- $ 19,243 $ 608 $ 321 - ----------------------------------------------------------------------------- CTF Morgan $ 549 $ 157 $ 46 - ----------------------------------------------------------------------------- NYTF Morgan $ 5,631 $ 1,609 $ 471 Reserve 599 513 16 - ----------------------------------------------------------------------------- $ 6,230 $ 2,122 $ 487 - -----------------------------------------------------------------------------
5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended August 31, 2004 and for the year ended August 31, 2003, respectively, are as follows (amounts in thousands):
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN PRM Morgan $ 24,826 $ -- $ 52,751 $ 13 Premier 42,429 -- 57,405 15 Agency 108,701 -- 156,314 34 Class B 10 -- 33 --^ Class C --^ -- 2 --^ Institutional 246,122 -- 322,886 80 Reserve 1,380 -- 3,076 1 Select 5,302 -- 9,496 2 Cash Management 215 -- 1,744 2 - ------------------------------------------------------------------------------------------------- $ 428,985 $ -- $ 603,707 $ 147
^ Amount rounds to less than one thousand. 139
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN LA Morgan $ 128 $ --^ $ 167 $ --^ Premier 351 2 551 --^ Agency 3,525 13 2,856 1 Institutional 28,058 73 24,741 5 - ------------------------------------------------------------------------------------------------- $ 32,062 $ 88 $ 28,315 $ 6 - ------------------------------------------------------------------------------------------------- USG Morgan $ 15,493 $ 80 $ 26,848 $ 1 Premier 4,751 19 9,729 1 Agency 33,951 105 44,401 1 Institutional 18,204 63 14,546 -- - ------------------------------------------------------------------------------------------------- $ 72,399 $ 267 $ 95,524 $ 3 - ------------------------------------------------------------------------------------------------- TP Morgan $ 3,993 $ -- $ 6,988 $ -- Premier 6,977 -- 9,186 -- Agency 9,423 -- 13,515 -- Institutional 5,560 -- 6,795 -- Reserve 855 -- 1,615 -- - ------------------------------------------------------------------------------------------------- $ 26,808 $ -- $ 38,099 $ -- - ------------------------------------------------------------------------------------------------- FED Morgan $ 1,183 $ -- $ 2,728 $ 6 Premier 8,278 -- 13,807 23 Agency 3,007 -- 4,738 6 Institutional 13,846 -- 23,588 31 - ------------------------------------------------------------------------------------------------- $ 26,314 $ -- $ 44,861 $ 66 - ------------------------------------------------------------------------------------------------- USTS Morgan $ 9,828 $ 240 $ 24,263 $ 34 Premier 3,307 62 4,451 7 Agency 6,476 92 10,629 9 Institutional 11,693 142 8,969 10 - ------------------------------------------------------------------------------------------------- $ 31,304 $ 536 $ 48,312 $ 60 - ------------------------------------------------------------------------------------------------- TF Morgan $ 2,913 $ -- $ 4,971 $ -- Premier 22,205 -- 28,176 -- Agency 6,935 -- 9,026 -- Institutional 63,781 -- 52,206 -- - ------------------------------------------------------------------------------------------------- $ 95,834 $ -- $ 94,379 $ -- - ------------------------------------------------------------------------------------------------- CTF Morgan $ 802 $ -- $ 1,133 $ -- - ------------------------------------------------------------------------------------------------- NYTF Morgan $ 7,711 $ -- $ 13,831 $ 355 Reserve 477 -- 917 31 - ------------------------------------------------------------------------------------------------- $ 8,188 $ -- $ 14,748 $ 386 - -------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 140 6. FEDERAL INCOME TAX MATTERS The tax character of distributions paid during the periods ended August 31, 2004, and August 31, 2003, were as follows (amounts in thousands):
YEAR ENDED 8/31/04 YEAR ENDED 8/31/03 ----------------------------------------------------- ------------------------------------------------------ TAX EXEMPT ORDINARY LONG-TERM TOTAL TAX EXEMPT ORDINARY LONG-TERM TOTAL INCOME INCOME CAPITAL GAIN DISTRIBUTION INCOME INCOME CAPITAL GAIN DISTRIBUTIONS PRM $ -- $ 428,985 $ -- $ 428,985 $ -- $ 603,854 $ -- $ 603,854 LA -- 32,150 -- 32,150 -- 28,321 -- 28,321 USG -- 72,655 11 72,666 -- 95,527 -- 95,527 TP -- 26,808 -- 26,808 -- 38,099 -- 38,099 FED -- 26,314 -- 26,314 -- 44,927 -- 44,927 USTS -- 31,840 --^ 31,840 -- 48,372 -- 48,372 TF 95,737 17 80 95,834 93,988 272 119 94,379 CTF 802 -- -- 802 1,115 18 -- 1,133 NYTF 7,770 389 29 8,188 14,676 458 -- 15,134
^ Amount rounds to less than one thousand. At August 31, 2004, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
PRM LA USG Current distributable ordinary income $ 22,838 $ 585 $ 3,709 Plus/Less: cumulative timing differences (22,837) (539) (3,664) ---------- ---------- ---------- Undistributed ordinary income or overdistribution of ordinary income $ 1 $ 46 $ 45 ========== ========== ========== Current distributable long-term capital gain or tax basis capital loss carryover (2) -- -- Plus/Less: cumulative timing differences -- -- -- ---------- ---------- ---------- Undistributed long-term gains/ accumulated capital loss (2) -- -- ========== ========== ========== Unrealized appreciation (depreciation) $ -- $ -- $ -- ========== ========== ==========
TP FED USTS Current distributable ordinary income $ 1,881 $ 1,823 $ 2,090 Plus/Less: cumulative timing differences (1,841) (1,860) (2,084) ---------- ---------- ---------- Undistributed ordinary income or overdistribution of ordinary income $ 40 $ (37) $ 6 ========== ========== ========== Current distributable long-term capital gain or tax basis capital loss carryover -- -- -- Plus/Less: cumulative timing differences -- -- -- ---------- ---------- ---------- Undistributed long-term gains/ accumulated capital loss -- -- -- ========== ========== ========== Unrealized appreciation (depreciation) $ -- $ -- $ -- ========== ========== ==========
141
TF CTF NYTF Current distributable tax exempt income $ 2,277 $ 25 $ 557 Current distributable ordinary income 1,795 6 349 Plus/Less: cumulative timing differences (5,980) (75) (401) ---------- ---------- ---------- Undistributed ordinary income or overdistribution of ordinary income $ (1,908) $ (44) $ 505 ========== ========== ========== Current distributable long-term capital gain or tax basis capital loss carryover 481 -- 49 Plus/Less: cumulative timing differences -- -- -- ---------- ---------- ---------- Undistributed long-term gains/ accumulated capital loss 481 -- 49 ========== ========== ========== Unrealized appreciation (depreciation) $ -- $ -- $ -- ========== ========== ==========
For PRM, LA, USG, TP, USTS, TF, CTF and NYTF, the cumulative timing differences primarily consist of dividends payable and deferred compensation. For FED, the cumulative timing difference consists of dividends payable, deferred compensation and post October loss deferral. At August 31, 2004, the following Fund has capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amount in thousands).
EXPIRATION AMOUNT DATE PRM $ 2 August 31, 2012
During the year ended August 31, 2004, TP utilized capital loss carryforwards of $255 (amounts in thousands). Capital losses incurred after October 31, within a Fund's fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. FED has incurred a post-October realized loss of $15 (amount in thousands). 7. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. As of August 31, 2004, LA and PRM invested 30.6% and 28.6%, respectively, of total investments in securities issued by institutions in the financial services industry including banks, broker dealers and insurance companies. General economic conditions, as well as exposure to credit losses arising from possible financial difficulties of borrowers, play an important role in the operation of the financial services industry. 142 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. 8. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the holding company changed to JPMorgan Chase & Co. Effective November 15, 2004, the bank name will be JPMorgan Chase Bank, National Association. 143 9. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands): PRIME MONEY MARKET FUND
MORGAN PREMIER ----------------------------- ----------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 28,531,137 28,531,134 $ 36,616,558 36,616,555 Shares issued in reinvestment of distributions 18,542 18,542 7,332 7,332 Shares redeemed (29,257,061) (29,257,061) (36,148,850) (36,148,850) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (707,382) (707,385) $ 475,040 475,037 =================================================================================================== 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 - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 70,493,500 70,493,494 $ 9,570 9,570 Shares issued in reinvestment of distributions 75,149 75,149 9 9 Shares redeemed (71,547,879) (71,547,879) (11,427) (11,427) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (979,230) (979,236) $ (1,848) (1,848) =================================================================================================== 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 - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 1,951 1,951 $ 274,336,135 274,336,125 Shares issued in reinvestment of distributions --^ --^ 106,287 106,287 Shares redeemed (1,853) (1,853) (273,004,211) (273,004,210) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 98 98 $ 1,438,211 1,438,202 =================================================================================================== YEAR ENDED AUGUST 31, 2003 - --------------------------------------------------------------------------------------------------- Shares sold $ 2,217 2,217 $ 269,286,703 269,286,690 Shares issued in reinvestment of distributions 1 1 139,752 139,752 Shares redeemed (2,283) (2,283) (266,231,348) (266,231,355) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (65) (65) $ 3,195,107 $ 3,195,087 =================================================================================================== YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- RESERVE SELECT ----------------------------- ----------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------- Shares sold $ 16,684,083 16,684,083 $ 2,353,476 2,353,476 Shares issued in reinvestment of distributions 742 741 5,145 5,145 Shares redeemed (16,770,737) (16,770,738) (2,466,820) (2,466,820) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (85,912) (85,914) $ (108,199) (108,199) =================================================================================================== 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. 144
CASH MANAGEMENT ----------------------------- AMOUNT SHARES - ------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ------------------------------------------------------------------- Shares sold $ 757,843 757,843 Shares issued in reinvestment of distributions 158 159 Shares redeemed (1,217,479) (1,217,479) - ------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (459,478) (459,477) =================================================================== 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 ===================================================================
145 LIQUID ASSETS MONEY MARKET FUND
MORGAN PREMIER ----------------------------- ----------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 54,967 54,967 $ 192,493 192,493 Shares issued in reinvestment of distributions 115 115 255 255 Shares redeemed (52,795) (52,795) (175,654) (175,654) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 2,287 2,287 $ 17,094 17,094 =================================================================================================== 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 - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 5,908,900 5,908,900 $ 22,251,745 22,251,745 Shares issued in reinvestment of distributions 3,126 3,126 18,788 18,788 Shares redeemed (5,859,477) (5,859,477) (22,277,729) (22,277,729) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 52,549 52,549 $ (7,196) (7,196) =================================================================================================== 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 ===================================================================================================
146 U.S. GOVERNMENT MONEY MARKET FUND
MORGAN PREMIER ---------------------------------- ---------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 190,224,000 190,224,000 $ 3,584,774 3,584,773 Shares issued in reinvestment of distributions 5,395 5,395 3,129 3,129 Shares redeemed (190,689,901) (190,689,901) (4,164,187) (4,164,187) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (460,506) (460,506) $ (576,284) (576,285) ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 30,651,499 30,651,499 $ 13,445,196 13,445,196 Shares issued in reinvestment of distributions 23,123 23,123 11,170 11,171 Shares redeemed (30,649,260) (30,649,260) (12,762,691) (12,762,691) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 25,362 25,362 $ 693,675 693,676 ================================================================================================================= 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 =================================================================================================================
147 TREASURY PLUS MONEY MARKET FUND
MORGAN PREMIER ---------------------------------- ---------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 5,485,663 5,485,663 $ 5,948,494 5,948,494 Shares issued in reinvestment of distributions 1,717 1,717 977 977 Shares redeemed (5,486,589) (5,486,589) (6,063,925) (6,063,925) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 791 791 $ (114,454) (114,454) ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 10,248,048 10,248,048 $ 6,307,872 6,307,872 Shares issued in reinvestment of distributions 6,948 6,948 2,725 2,725 Shares redeemed (10,464,771) (10,464,771) (5,712,549) (5,712,550) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (209,775) (209,775) $ 598,048 598,047 ================================================================================================================= 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 - --------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------- Shares sold $ 5,896,152 5,896,152 Shares issued in reinvestment of distributions 709 709 Shares redeemed (5,931,127) (5,931,127) - --------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (34,266) (34,266) =========================================================================== 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) ===========================================================================
148 FEDERAL MONEY MARKET FUND
MORGAN PREMIER ---------------------------------- ---------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 8,145,328 8,145,329 $ 6,145,699 6,145,699 Shares issued in reinvestment of distributions 772 772 1,151 1,151 Shares redeemed (8,218,459) (8,218,459) (6,303,804) (6,303,805) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (72,359) (72,358) $ (156,954) (156,955) ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 1,760,008 1,760,008 $ 6,212,013 6,212,013 Shares issued in reinvestment of distributions 680 680 6,531 6,531 Shares redeemed (1,704,720) (1,704,720) (6,658,901) (6,658,902) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 55,968 55,968 $ (440,357) (440,358) ================================================================================================================= 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) =================================================================================================================
149 100% U.S. TREASURY SECURITIES MONEY MARKET FUND
MORGAN PREMIER ---------------------------------- ---------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 7,912,375 7,912,375 $ 2,052,207 2,052,207 Shares issued in reinvestment of distributions 5,966 5,966 1,002 1,002 Shares redeemed (8,584,650) (8,584,650) (1,977,362) (1,977,362) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (666,309) (666,309) $ 75,847 75,847 ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 7,572,496 7,572,496 $ 9,026,083 9,026,083 Shares issued in reinvestment of distributions 5,231 5,231 5,270 5,270 Shares redeemed (7,611,019) (7,611,019) (8,180,835) (8,180,835) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (33,292) (33,292) $ 850,518 850,518 ================================================================================================================= 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 =================================================================================================================
150 TAX FREE MONEY MARKET FUND
MORGAN PREMIER ---------------------------------- ---------------------------------- AMOUNT SHARES AMOUNT SHARES - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 1,537,763 1,537,762 $ 14,291,488 14,291,489 Shares issued in reinvestment of distributions 1,329 1,329 1,919 1,919 Shares redeemed (1,627,755) (1,627,755) (13,684,608) (13,684,608) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (88,663) (88,664) $ 608,799 608,800 ================================================================================================================= 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 - ----------------------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - ----------------------------------------------------------------------------------------------------------------- Shares sold $ 3,960,294 3,960,294 $ 46,856,063 46,856,075 Shares issued in reinvestment of distributions 3,502 3,502 32,994 32,994 Shares redeemed (3,515,553) (3,515,553) (44,537,638) (44,537,638) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 448,243 448,243 $ 2,351,419 2,351,431 ================================================================================================================= 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 =================================================================================================================
151 CALIFORNIA TAX FREE MONEY MARKET FUND
MORGAN ---------------------------------- AMOUNT SHARES - --------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------- Shares sold $ 533,074 533,074 Shares issued in reinvestment of distributions 162 162 Shares redeemed (528,062) (528,062) - --------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 5,174 5,174 =========================================================================== 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) ===========================================================================
152 NEW YORK TAX FREE MONEY MARKET FUND
MORGAN RESERVE --------------------------- -------------------------- AMOUNT SHARES AMOUNT SHARES - --------------------------------------------------------------------------------------------------- YEAR ENDED AUGUST 31, 2004 - --------------------------------------------------------------------------------------------------- Shares sold $ 8,660,663 8,660,663 $ 369,428 369,429 Shares issued in reinvestment of distributions 5,180 5,180 474 475 Shares redeemed (8,788,513) (8,788,514) (390,369) (390,369) - --------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (122,670) (122,671) $ (20,467) (20,465) =================================================================================================== 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) ===================================================================================================
153 JPMORGAN FUNDS Financial Highlights
PRIME MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.59% 0.87% 1.71% 5.10% 5.65% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 3,919 $ 4,627 $ 7,552 $ 10,367 $ 1,475 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.59% 0.59% 0.58% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.59% 0.90% 1.72% 4.82% 5.53% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.63% 0.62% 0.61% 0.61% 0.61% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.55% 0.87% 1.69% 4.80% 5.51% - ----------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ------------------------------------------------------------------ PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.73% 1.01% 1.85% 5.25% 5.81% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 5,887 $ 5,412 $ 5,182 $ 2,153 $ 1,841 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.45% 0.45% 0.44% 0.45% 0.45% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.73% 1.00% 1.80% 4.96% 5.67% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.47% 0.46% 0.47% 0.49% 0.49% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.71% 0.99% 1.77% 4.92% 5.63% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 154
PRIME MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) 0.93% 1.20% 2.05% 5.45% 6.01% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 11,670 $ 12,648 $ 12,562 $ 16,676 $ 9,430 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.26% 0.26% 0.25% 0.26% 0.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.92% 1.20% 2.08% 5.15% 5.86% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.32% 0.31% 0.32% 0.33% 0.33% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.86% 1.15% 2.01% 5.08% 5.79% - ----------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ------------------------------------------------------------------ CLASS B ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ --+ 0.01 0.04 0.05 Less dividends from net investment income --+ --+ 0.01 0.04 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) 0.12% 0.25% 1.05% 4.43% 4.97% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 8 $ 10 $ 13 $ 18 $ 11 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 1.06% 1.21% 1.23% 1.24% 1.25% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.12% 0.27% 1.10% 4.17% 4.87% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.27% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits (0.10%) 0.21% 1.07% 4.15% 4.85% - -----------------------------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. + Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any deferred sales load. See notes to financial statements. 155
PRIME MONEY MARKET FUND ------------------------------------------------------------------ CLASS C ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ --+ 0.01 0.04 0.05 Less dividends from net investment income --+ --+ 0.01 0.04 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (1) 0.12% 0.25% 1.05% 4.43% 4.95% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1 $ 1 $ 1 $ --* $ --* - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 1.07% 1.21% 1.23% 1.24% 1.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.13% 0.25% 1.16% 4.17% 4.86% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 1.28% 1.27% 1.26% 1.26% 1.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits (0.08%) 0.19% 1.13% 4.15% 4.86% - -----------------------------------------------------------------------------------------------------------------------
+ Amount rounds to less than $.005. (1) Total Return figures do not include the effect of any deferred sales load. * Amount rounds to less than one million. See notes to financial statements. 156
PRIME MONEY MARKET FUND -------------------------------------- INSTITUTIONAL -------------------------------------- YEAR YEAR 9/10/01** ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 Less dividends from net investment income 0.01 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.99% 1.27% 2.02% =========================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 26,514 $ 25,075 $ 21,881 - ------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.19% - ------------------------------------------------------------------------------------------- Net investment income 0.99% 1.24% 2.06% - ------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.32% 0.31% 0.32% - ------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.87% 1.13% 1.93% - ------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND ------------------------------------------------------------------ RESERVE ------------------------------------------------------------------ YEAR YEAR YEAR YEAR 7/31/00** ENDED ENDED ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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) 0.48% 0.76% 1.60% 4.88% 0.50% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 270 $ 355 $ 393 $ 10 $ --* - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.70% 0.70% 0.68% 0.79% 0.79% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.48% 0.76% 1.41% 4.62% 5.33% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.73% 0.71% 0.72% 2.17% 1.45% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.45% 0.75% 1.37% 3.24% 4.67% - -----------------------------------------------------------------------------------------------------------------------
** Commencement of offering of class of shares. + Amount rounds to less than $.005. * Amount rounds to less than one million. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 157
PRIME MONEY MARKET FUND -------------------------------------------------------------------------------- SELECT CASH MANAGEMENT -------------------------------------- -------------------------------------- YEAR YEAR 9/10/01** YEAR YEAR 9/10/01** ENDED ENDED THROUGH ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02 - ----------------------------------------------------------------------------------------------------------------------------------- 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 0.02 --+ 0.01 0.01 Less dividends from net investment income 0.01 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) 0.74% 1.02% 1.78% 0.21% 0.50% 1.25% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 667 $ 776 $ 1,064 $ 85 $ 544 $ 282 - ----------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.44% 0.44% 0.42% 0.96% 0.95% 0.96% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.74% 1.03% 1.83% 0.21% 0.48% 1.17% - ----------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.48% 0.47% 0.46% 0.99% 0.96% 0.99% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.70% 1.00% 1.79% 0.18% 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. 158
LIQUID ASSETS MONEY MARKET FUND -------------------------------------------------------------------------------- MORGAN PREMIER -------------------------------------- -------------------------------------- YEAR YEAR 4/01/02** YEAR YEAR 4/01/02** ENDED ENDED THROUGH ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02 - ----------------------------------------------------------------------------------------------------------------------------------- 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 0.01 0.01 Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.66% 0.95% 0.64% 0.80% 1.09% 0.70% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 20 $ 18 $ 17 $ 53 $ 36 $ 26 - ----------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.54% 0.54% 0.45% 0.40% 0.40% 0.31% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.65% 0.95% 1.51% 0.79% 1.08% 1.65% - ----------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and earnings credits 0.93% 0.87% 0.83% 0.53% 0.51% 0.63% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and earnings credits 0.26% 0.62% 1.13% 0.66% 0.97% 1.33% - -----------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. See notes to financial statements. 159
LIQUID ASSETS MONEY MARKET FUND -------------------------------------------------------------------------------- AGENCY INSTITUTIONAL -------------------------------------- -------------------------------------- YEAR YEAR 4/01/02** YEAR YEAR 4/01/02** ENDED ENDED THROUGH ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02 - ----------------------------------------------------------------------------------------------------------------------------------- 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 0.01 0.01 Less dividends from net investment income 0.01 0.01 0.01 0.01 0.01 0.01 ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.99% 1.29% 0.78% 1.05% 1.35% 0.81% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 337 $ 284 $ 53 $ 2,226 $ 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 0.98% 1.16% 1.82% 1.04% 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 0.86% 1.04% 1.51% 0.87% 1.09% 1.55% - -----------------------------------------------------------------------------------------------------------------------------------
** Commencement of operations. See notes to financial statements. 160
U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.56% 0.84% 1.65% 4.93% 5.48% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 2,616 $ 3,077 $ 3,375 $ 4,150 $ 3,398 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.56% 0.84% 1.67% 4.80% 5.35% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.68% 0.69% 0.69% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.46% 0.74% 1.58% 4.70% 5.25% - ----------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------------ PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.70% 0.98% 1.79% 5.08% 5.62% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 537 $ 1,113 $ 1,047 $ 1,251 $ 1,134 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.70% 0.96% 1.79% 4.95% 5.50% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.58% 0.57% 0.57% 0.59% 0.58% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.57% 0.84% 1.67% 4.81% 5.37% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 161
U.S. GOVERNMENT MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.89% 1.17% 1.98% 5.28% 5.83% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 3,790 $ 3,766 $ 4,497 $ 3,769 $ 2,639 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.88% 1.17% 1.98% 5.09% 5.66% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.33% 0.32% 0.32% 0.33% 0.33% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.81% 1.11% 1.92% 5.02% 5.59% - ----------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND -------------------------------------- INSTITUTIONAL -------------------------------------- YEAR YEAR 9/10/01** ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 Less dividends from net investment income 0.01 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.95% 1.23% 1.96% =========================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 2,221 $ 1,526 $ 447 - ------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% - ------------------------------------------------------------------------------------------- Net investment income 0.95% 1.13% 1.89% - ------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.33% 0.32% 0.32% - ------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.82% 1.01% 1.77% - -------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 162
TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 0.05 0.05 Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.48% 0.79% 1.59% 4.77% 5.29% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 783 $ 782 $ 1,103 $ 1,567 $ 1,367 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.48% 0.82% 1.57% 4.70% 5.14% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.70% 0.70% 0.72% 0.71% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.38% 0.71% 1.46% 4.57% 5.02% - ----------------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------------ PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.62% 0.94% 1.73% 4.91% 5.44% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,114 $ 1,228 $ 818 $ 326 $ 228 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.45% 0.45% 0.45% 0.45% 0.45% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.62% 0.91% 1.68% 4.84% 5.28% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.48% 0.49% 0.49% 0.52% 0.51% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.59% 0.87% 1.64% 4.77% 5.22% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. See notes to financial statements. 163
TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ---------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.83% 1.14% 1.93% 5.12% 5.65% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,037 $ 1,247 $ 1,416 $ 944 $ 904 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.81% 1.14% 1.88% 5.04% 5.48% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.33% 0.34% 0.34% 0.36% 0.36% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.73% 1.05% 1.79% 4.93% 5.37% - ----------------------------------------------------------------------------------------------------------------------- TREASURY PLUS MONEY MARKET FUND ------------------------------------------------------------------------------- INSTITUTIONAL RESERVE -------------------------------------- ------------------------------------- YEAR YEAR 9/10/01** YEAR YEAR 9/10/01** ENDED ENDED THROUGH ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/04 8/31/03 8/31/02 - ----------------------------------------------------------------------------------------------------------------------------------- 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 0.02 --+ 0.01 0.01 Less dividends from net investment income 0.01 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) 0.88% 1.19% 1.90% 0.37% 0.68% 1.40% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 895 $ 298 $ 432 $ 200 $ 234 $ 235 - ----------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% 0.70% 0.70% 0.70% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income 0.89% 1.18% 1.87% 0.37% 0.68% 1.35% - ----------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.33% 0.34% 0.34% 0.74% 0.75% 0.74% - ----------------------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.76% 1.04% 1.73% 0.33% 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. 164
FEDERAL MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.01 0.05 0.05 Less dividends from net investment income --+ 0.01 0.01 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.41% 0.70% 1.51% 4.84% 5.29% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 239 $ 311 $ 452 $ 658 $ 576 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.70% 0.70% 0.70% 0.70% 0.70% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.40% 0.72% 1.53% 4.57% 5.17% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.79% 0.79% 0.72% 0.74% 0.75% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.31% 0.63% 1.51% 4.53% 5.12% - ----------------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND ------------------------------------------------------------------ PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.66% 0.95% 1.77% 5.07% 5.50% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,058 $ 1,214 $ 1,404 $ 276 $ 279 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.45% 0.45% 0.45% 0.49% 0.50% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.65% 0.96% 1.73% 4.78% 5.35% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.48% 0.47% 0.47% 0.49% 0.50% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.62% 0.94% 1.71% 4.78% 5.35% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. See notes to financial statements. 165
FEDERAL MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.06 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.06 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.85% 1.14% 1.96% 5.30% 5.75% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 389 $ 334 $ 523 $ 1,169 $ 287 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.85% 1.20% 2.02% 5.01% 5.61% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.33% 0.33% 0.32% 0.34% 0.34% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.78% 1.13% 1.96% 4.93% 5.53% - ----------------------------------------------------------------------------------------------------------------------- FEDERAL MONEY MARKET FUND -------------------------------------- INSTITUTIONAL -------------------------------------- YEAR YEAR 9/10/01** ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 Less dividends from net investment income 0.01 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.91% 1.20% 1.93% =========================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,271 $ 1,712 $ 1,953 - ------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% - ------------------------------------------------------------------------------------------- Net investment income 0.90% 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 0.78% 1.08% 1.85% - -------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 166
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.02 0.05 0.05 Less dividends from net investment income --+ 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.45% 0.75% 1.55% 4.75% 5.02% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,869 $ 2,535 $ 3,526 $ 4,027 $ 3,535 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.43% 0.77% 1.53% 4.59% 4.92% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.69% 0.69% 0.69% 0.71% 0.71% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.33% 0.67% 1.43% 4.47% 4.80% - ----------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------------ PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.58% 0.88% 1.68% 4.84% 5.12% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 565 $ 489 $ 353 $ 133 $ 116 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.46% 0.46% 0.46% 0.48% 0.49% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.57% 0.85% 1.52% 4.70% 5.02% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.48% 0.52% 0.53% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.56% 0.84% 1.50% 4.66% 4.98% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. + Amount rounds to less than $0.005. See notes to financial statements. 167
100% U.S. TREASURY SECURITIES MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.05 0.05 Less dividends from net investment income 0.01 0.01 0.02 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.79% 1.09% 1.89% 5.11% 5.38% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 784 $ 818 $ 1,090 $ 1,170 $ 872 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.25% 0.25% 0.25% 0.25% 0.25% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.78% 1.11% 1.86% 4.93% 5.26% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers and reimbursements 0.32% 0.32% 0.32% 0.35% 0.34% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers and reimbursements 0.71% 1.04% 1.79% 4.83% 5.17% - ----------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ----------------------------------------------- INSTITUTIONAL -------------------------------------- YEAR YEAR 9/10/01** ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------ Income from investment operations: Net investment income 0.01 0.01 0.02 Less dividends from net investment income 0.01 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------ TOTAL RETURN (b) 0.84% 1.14% 1.85% ================================================================================================ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,976 $ 1,126 $ 267 - ------------------------------------------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.20% 0.20% 0.20% - ------------------------------------------------------------------------------------------------ Net investment income 0.84% 1.08% 1.67% - ------------------------------------------------------------------------------------------------ Expenses without waivers and reimbursements 0.31% 0.32% 0.33% - ------------------------------------------------------------------------------------------------ Net investment income without waivers and reimbursements 0.73% 0.96% 1.54% - ------------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. (b) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 168
TAX FREE MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.01 0.03 0.03 Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.48% 0.69% 1.21% 3.13% 3.37% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 567 $ 655 $ 903 $ 907 $ 895 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.48% 0.72% 1.14% 3.09% 3.33% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.68% 0.69% 0.69% 0.72% 0.75% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.39% 0.62% 1.04% 2.96% 3.17% - ----------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND ----------------------------------------------------------------- PREMIER ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.01 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.01 0.03 0.03 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.62% 0.83% 1.35% 3.21% 3.41% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 4,039 $ 3,429 $ 3,066 $ 116 $ 120 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.45% 0.45% 0.45% 0.51% 0.55% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.62% 0.82% 1.25% 3.17% 3.40% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.47% 0.47% 0.48% 0.53% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.60% 0.80% 1.22% 3.15% 3.26% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 169
TAX FREE MONEY MARKET FUND ------------------------------------------------------------------ AGENCY@ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 0.03 0.04 Less dividends from net investment income 0.01 0.01 0.02 0.03 0.04 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.81% 1.02% 1.54% 3.47% 3.71% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,173 $ 725 $ 1,091 $ 921 $ 640 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.26% 0.26% 0.26% 0.26% 0.26% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.82% 1.05% 1.45% 3.42% 3.67% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.32% 0.33% 0.33% 0.36% 0.39% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.76% 0.98% 1.38% 3.32% 3.54% - ----------------------------------------------------------------------------------------------------------------------- TAX FREE MONEY MARKET FUND -------------------------------------- INSTITUTIONAL -------------------------------------- YEAR YEAR 9/10/01** ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 - ------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.02 Less dividends from net investment income 0.01 0.01 0.02 ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------- TOTAL RETURN 0.87% 1.09% 1.54% =========================================================================================== RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 8,684 $ 6,332 $ 3,891 - ------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.20% 0.20% 0.20% - ------------------------------------------------------------------------------------------- Net investment income 0.87% 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 0.76% 0.93% 1.33% - -------------------------------------------------------------------------------------------
@ Formerly Institutional Shares. ** Commencement of offering of class of shares. See notes to financial statements. 170
CALIFORNIA TAX FREE MONEY MARKET FUND ------------------------------------------------------------------ MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income 0.01 0.01 0.01 0.03 0.03 Less dividends from net investment income 0.01 0.01 0.01 0.03 0.03 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN 0.51% 0.72% 1.13% 2.70% 3.00% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 154 $ 149 $ 163 $ 83 $ 78 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: Net expenses 0.55% 0.55% 0.55% 0.55% 0.55% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.51% 0.72% 1.05% 2.68% 3.03% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.80% 0.73% 0.76% 0.83% 0.90% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.26% 0.54% 0.84% 2.40% 2.68% - -----------------------------------------------------------------------------------------------------------------------
^ Formerly Vista Shares. See notes to financial statements. 171
NEW YORK TAX FREE MONEY MARKET FUND ----------------------------------------------------------------- MORGAN^ ------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income --+ 0.01 0.01 0.03 0.03 Less dividends from net investment income --+ 0.01 0.01 0.03 0.03 ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (b) 0.48% 0.72% 1.20% 2.98% 3.27% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 1,540 $ 1,662 $ 2,123 $ 2,439 $ 1,831 - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.59% 0.59% 0.59% 0.59% 0.59% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.48% 0.72% 1.17% 2.88% 3.24% - ----------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 0.70% 0.69% 0.69% 0.71% 0.70% - ----------------------------------------------------------------------------------------------------------------------- Net investment income without waivers, reimbursements and earnings credits 0.37% 0.62% 1.07% 2.76% 3.13% - ----------------------------------------------------------------------------------------------------------------------- NEW YORK TAX FREE MONEY MARKET FUND ------------------------------------------------------------------ RESERVE ------------------------------------------------------------------ YEAR YEAR YEAR YEAR 7/31/00** ENDED ENDED ENDED ENDED THROUGH PER SHARE OPERATING PERFORMANCE: 8/31/04 8/31/03 8/31/02 8/31/01 8/31/00 - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 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) 0.28% 0.52% 1.00% 2.77% 0.28% ======================================================================================================================= RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (millions) $ 155 $ 175 $ 180 $ --* $ --* - ----------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # Net expenses 0.79% 0.79% 0.79% 0.90% 0.79% - ----------------------------------------------------------------------------------------------------------------------- Net investment income 0.28% 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 0.19% 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. 172 JPMORGAN FUNDS Report of Independent Registered Public Accounting Firm To the Trustees and Shareholders of J.P. Morgan Mutual Fund Trust: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Prime Money Market Fund, JPMorgan Liquid Assets Money Market Fund, JPMorgan U.S. Government Money Market Fund, JPMorgan Treasury Plus Money Market Fund, JPMorgan Federal Money Market Fund, JPMorgan 100% U.S. Treasury Securities Money Market Fund, JPMorgan Tax Free Money Market Fund, JPMorgan California Tax Free Money Market Fund and JPMorgan New York Tax Free Money Market Fund (separate portfolios of J.P. Morgan Mutual Fund Trust, hereafter referred to as the "Funds") at August 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York October 19, 2004 173 JPMORGAN FUNDS SCHEDULE OF SHAREHOLDER EXPENSES Hypothetical $1,000 Investment at Beginning of Period August 31, 2004 (Unaudited) As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees: and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, March 1, 2004, and continued to hold your shares at the end of the reporting period, August 31, 2004. ACTUAL EXPENSES For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. 174
EXPENSES PAID BEGINNING ENDING DURING PERIOD ANNUALIZED ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO - --------------------------------------------------------------------------------------------------------------------------- PRIME MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% PREMIER Actual period return $ 1,000 $ 1,004 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,005 $ 1.31 0.26% Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26% CLASS B Actual period return $ 1,000 $ 1,001 $ 5.47 1.09% Hypothetical $ 1,000 $ 1,020 $ 5.52 1.09% CLASS C Actual period return $ 1,000 $ 1,001 $ 5.53 1.10% Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20% RESERVE Actual period return $ 1,000 $ 1,003 $ 3.52 0.70% Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70% SELECT Actual period return $ 1,000 $ 1,004 $ 2.22 0.44% Hypothetical $ 1,000 $ 1,023 $ 2.24 0.44% CASH MANAGEMENT Actual period return $ 1,000 $ 1,001 $ 4.88 0.97% Hypothetical $ 1,000 $ 1,023 $ 4.93 0.97% LIQUID ASSETS MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,004 $ 2.72 0.54% Hypothetical $ 1,000 $ 1,022 $ 2.75 0.54% PREMIER Actual period return $ 1,000 $ 1,004 $ 2.02 0.40% Hypothetical $ 1,000 $ 1,023 $ 2.03 0.40% AGENCY Actual period return $ 1,000 $ 1,005 $ 1.06 0.21% Hypothetical $ 1,000 $ 1,024 $ 1.07 0.21% INSTITUTIONAL Actual period return $ 1,000 $ 1,006 $ 0.76 0.15% Hypothetical $ 1,000 $ 1,024 $ 0.76 0.15%
175
EXPENSES PAID BEGINNING ENDING DURING PERIOD ANNUALIZED ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO - --------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% PREMIER Actual period return $ 1,000 $ 1,004 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,005 $ 1.31 0.26% Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20% TREASURY PLUS MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% PREMIER Actual period return $ 1,000 $ 1,003 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,004 $ 1.26 0.25% Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20% RESERVE Actual period return $ 1,000 $ 1,002 $ 3.52 0.70% Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70% FEDERAL MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,002 $ 3.52 0.70% Hypothetical $ 1,000 $ 1,021 $ 3.56 0.70% PREMIER Actual period return $ 1,000 $ 1,004 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,005 $ 1.31 0.26% Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20%
176
EXPENSES PAID BEGINNING ENDING DURING PERIOD ANNUALIZED ACCOUNT VALUE, ACCOUNT VALUE, MARCH 1 TO EXPENSE MARCH 1, 2004 AUGUST 31, 2004 AUGUST 31, 2004* RATIO - --------------------------------------------------------------------------------------------------------------------------- 100% U.S. TREASURY SECURITIES MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% PREMIER Actual period return $ 1,000 $ 1,003 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,004 $ 1.26 0.25% Hypothetical $ 1,000 $ 1,024 $ 1.27 0.25% INSTITUTIONAL Actual period return $ 1,000 $ 1,004 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20% TAX FREE MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% PREMIER Actual period return $ 1,000 $ 1,003 $ 2.27 0.45% Hypothetical $ 1,000 $ 1,023 $ 2.29 0.45% AGENCY Actual period return $ 1,000 $ 1,004 $ 1.31 0.26% Hypothetical $ 1,000 $ 1,024 $ 1.32 0.26% INSTITUTIONAL Actual period return $ 1,000 $ 1,005 $ 1.01 0.20% Hypothetical $ 1,000 $ 1,024 $ 1.02 0.20% CALIFORNIA TAX FREE MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.77 0.55% Hypothetical $ 1,000 $ 1,022 $ 2.80 0.55% NEW YORK TAX FREE MONEY MARKET FUND MORGAN Actual period return $ 1,000 $ 1,003 $ 2.97 0.59% Hypothetical $ 1,000 $ 1,022 $ 3.00 0.59% RESERVE Actual period return $ 1,000 $ 1,002 $ 3.97 0.79% Hypothetical $ 1,000 $ 1,021 $ 4.01 0.79%
* Expenses are equal to the Class' annualized expense ratio in the table above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). 177 JPMORGAN FUNDS Trustee and Officer Information (unaudited) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Since 1994 Retired; Vice 70 None 522 Fifth Avenue, President and New York, NY 10036; Treasurer of 1941 Ingersoll-Rand Company (manufacturer of industrial equipment) (1972 - 2000) Roland R. Eppley, Jr.; Trustee Since 1994 Retired 70 Director, Janel Hydro, 522 Fifth Avenue, Inc. (Automotive) New York, NY 10036; (1993 - present) 1932 Ann Maynard Gray; Trustee Since 2001 Vice President of 70 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Corporation (1997 - New York, NY 10036; Inc. (1986 - 1998) Present) Director of 1945* Elan Corporation, Plc (pharmaceuticals) (2001 - Present); Director of The Phoenix Companies (wealth management services) (2002 - Present) Matthew Healey; Trustee Since 2001 Retired; Chief Executive 70 None 522 Fifth Avenue, Officer of certain New York, NY 10036; J.P. Morgan Fund 1937 Trusts (1982 - 2001) Fergus Reid, III; Trustee and Since 1994 Chairman of Lumelite 70 Trustee of Morgan 522 Fifth Avenue, Chairman of Corporation (plastics Stanley Funds (209 New York, NY 10036; the Board of manufacturing) portfolios) (1995 - 1932 Trustees (2003 - present) Present) Chairman and CEO of Lumelite Corporation (1985 - 2002) James J. Schonbachler; Trustee Since 2001 Retired; Managing 70 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1943 (financial services) (1968 - 1998) Robert J. Higgins; Trustee Since 2002 Director of 70 Director of Providian 522 Fifth Avenue, Administration of Financial Corp.(banking) New York, NY 10036; the State of Rhode (2002 - Present) 1945 Island (2003 - Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971 - 2002)
* Dana Maynard Gray, the daughter of Ann Maynard Gray, became employed with JPMorgan Securities, Inc., as an Associate Analyst, on May 3, 2004. 178
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND DATE OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 70 Director of National 522 Fifth Avenue, City University of Financial Partners New York, NY 10036; New York, since (financial services 1941 September 1, 1999; distributor) (2003 - President, Adelphi present); Trustee of University (New York) Bronx Lebanon Hospital (1998 - 1999). Center (1992 - present); Director of New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000 - present); Director of Lincoln Center Institute for the Arts in Education (1999 - present). William G. Morton, Jr.; Trustee Since 2003 Chairman Emeritus 70 Director of Radio Shack 522 Fifth Avenue, (2001 - 2002), and Corporation (electronics) New York, NY 10036; Chairman and Chief (1987 - present); 1937 Executive Officer, Director of The Boston Stock Exchange Griswold Company (1985 - 2001). (securities brokerage) (2002 - 2004), Director of The National Football Foundation and College Hall of Fame (1994 - present); Trustee of the Berklee College of Music (1998 - present); Trustee of the Stratton Mountain School (2001 - present). INTERESTED TRUSTEE(S) Leonard M. Spalding Jr.* Trustee Since 1998 Retired; Chief 70 None 522 Fifth Avenue, Executive Officer of New York, NY 10036; Chase Mutual 1935 Funds (investment company) (1989 - 1998); President and Chief Executive Officer of Vista Capital Management (investment management) (1990 - 1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990 - 1998).
(1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 13 investment companies. * Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of JPMorgan Chase & Co. stock. 179
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ George C.W. Gatch; President Since 2001 Managing Director, JPMIM; Head of J.P.Morgan 522 Fifth Avenue, Fleming's U.S. Mutual Funds and Financial New York, NY 10036; Intermediaries Business ("FFI"); he has held 1962 numerous positions throughout the firm in business management, marketing and sales. Robert L. Young; Senior Vice President Since 2004 Mr. Young joined Banc One Investment Advisors 522 Fifth Avenue, Corporation in 1996 and in 1999 he became New York, NY 10036; Vice President and Treasurer of One Group 1963 Administrative Services, Inc. and One Group Dealer Services, Inc. and in 2001, Mr. Young became COO of the One Group Mutual Funds. Patricia A. Maleski; Vice President and Chief Since 2003 Vice President, JPMIM, head of FFI and U.S. 522 Fifth Avenue, Administrative Officer Institutional Funds Administration and Board New York, NY 10036; Liaison. Prior to joining JPMorgan in 2001, she 1960 was the Vice President of Finance for the Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, 522 Fifth Avenue, Assistant Secretary JPMIM, since September 2002; Mr. Chan was an New York, NY 10036; associate at the law firm of Shearman and 1965 Sterling from May 2001 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Stephanie J. Dorsey Treasurer Since 2004 Director of Mutual Fund Administration, One 522 Fifth Avenue, Group Administrative Services, since New York, NY 10036; January 2004; Ms. Dorsey worked for Bank One 1969 Corporation from January 2003 to January 2004; Prior to joining Bank One Corporation, she held various positions at PricewaterhouseCoopers LLP from September 1992. Jessica K. Ditullio Assistant Secretary Since 2004 From August 1990 to present, she held various 522 Fifth Avenue, attorney positions for Bank One Corporation New York, NY 10036; (now known as JPMorgan Chase & Co.) 1963 Nancy E. Fields Assistant Secretary Since 2004 From October 1999 to present, Director, Mutual 522 Fifth Avenue, Fund Administration, One Group Administrative New York, NY 10036; Services, Inc. and Senior Project Manager, 1949 Mutual Funds, One Group Dealer Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund 3435 Stelzer Rd. Services, Inc.; formerly, Supervisor of the Blue Columbus, OH 43219 Sky Department of Alliance Capital 1967 Management, L.P. Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS 3435 Stelzer Rd. Fund Services, Inc. Columbus, OH 43219 1963 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS 3435 Stelzer Rd. Fund Services, Inc. since June 2001; formerly Columbus, OH 43219 Section Manager of Northern Trust Company 1966 and Accounting Supervisor at Allstate Insurance Company. Christopher D. Walsh Assistant Treasurer Since 2004 Vice President, JPMIM; Mr. Walsh manages all 522 Fifth Avenue, aspects of institutional and retail mutual fund New York, NY 10036; administration and vendor relationships within 1965 the mutual funds, commingled/Erisa funds, 3C-7 funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments.
180
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------------ Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, JPMIM; Manager of the 522 Fifth Avenue, Budgeting and Expense Group of Funds New York, NY 10036; Administration Group. 1954 Mary D. Squires Assistant Treasurer Since 2001 Vice President, JPMIM; Ms. Squires has held 522 Fifth Avenue, numerous financial and operations positions New York, NY 10036; supporting the J.P. Morgan Chase organization 1955 complex. Stephen M. Ungerman Chief Compliance Since 2004 Vice President, JPMIM; Fund Administration - 522 Fifth Avenue, Officer Pooled Vehicles; prior to joining JPMorgan New York, NY 10036; Chase in 2000, he held a number of positions in 1953 Prudential Financial's asset management business, including Assistant General Counsel, Tax Director and Co-head of Fund Administration; Mr. Ungerman also served as Assistant Treasurer for all mutual funds managed by Prudential.
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 181 TAX LETTER (UNAUDITED) JPMORGAN PRIME MONEY MARKET FUND ("PRM") JPMORGAN LIQUID ASSETS MONEY MARKET FUND ("LA") JPMORGAN U.S. GOVERNMENT MONEY MARKET FUND ("USG") JPMORGAN TREASURY PLUS MONEY MARKET FUND ("TP") JPMORGAN FEDERAL MONEY MARKET FUND ("FED") JPMORGAN 100% U.S. TREASURY SECURITIES MONEY MARKET FUND ("USTS") JPMORGAN TAX FREE MONEY MARKET FUND ("TF") JPMORGAN CALIFORNIA TAX FREE MONEY MARKET FUND ("CTF") JPMORGAN NEW YORK TAX FREE MONEY MARKET FUND ("NYTF") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended August 31, 2004. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2004. The information necessary to complete your income tax returns for the calendar year ending December 31, 2004 will be received under separate cover. The following schedule presents the source and percentage of income from government obligations for the fiscal year ended August 31, 2004.
PRM LA USG TP FED USTS - ---------------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Obligations -- -- -- 40.45% 3.35% 99.83% Federal Farm Credit Bank -- -- 4.25% -- 36.36% -- Federal Home Loan Bank 0.53% 0.86% 11.37% -- 30.23% -- Student Loan Marketing Association -- -- 0.56% -- 12.09% -- Tennessee Valley Authority -- -- -- -- 2.06% -- Federal Home Loan Mortgage 2.61% 1.61% 17.33% -- -- -- Federal National Mortgage Association 2.10% 1.21% 27.09% -- -- -- Federal Financing Bank -- -- -- -- 0.02% --
Also, for the fiscal year ended August 31, 2004: - - The dividends paid from net investment income are 99.89%, 100.00% and 94.89% exempt from Federal income tax for TF, CTF and NYTF, respectively. - - The Long-Term Capital gain designation are $10,973, $21, $80,403 and $28,702 for USG, USTS, TF and NYTF - - For shareholders who are subject to the Alternative Minimum Tax, the percentage of income from private activity bonds issued after August 7, 1986, which may be considered a tax preference item, was 13.22%, 20.89% and 10.89% for TF, CTF and NYTF, respectively. 182 THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK JPMORGAN 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 Intrepid 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. ANNUAL REPORT JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. INVESTORS SHOULD CAREFULLY READ THE FUNDS' PROSPECTUS WHICH INCLUDES INFORMATION ON THE FUNDS' 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'S PROSPECTUS PLEASE CALL 800 348-4782. PLEASE READ CAREFULLY BEFORE INVESTING OR SENDING MONEY. Not later than 60 days after the end of each fiscal quarter the Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, the Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov. Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional Information. 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 www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to JPMIM. A copy of the Fund's voting record for the 12-month period ended June 30, 2004 is available on the SEC's website at www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal. JPMorgan Funds Fulfillment Center 6112 W. 73rd Street Bedford Park, IL 60638 (C) J.P. Morgan Chase & Co., 2004 All Rights Reserved. October 2004 AN-MMKT-804 ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. (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. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $392,968 in 2003 and $378,482 in 2004. (b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant during the Reporting Periods. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor 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 investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit Committee were $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by the Auditor were not required to be pre-approved). (c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $63,900 in 2003 and $65,700 in 2004. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns. There were no fees billed for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee for the period May 6, 2003 through December 31, 2003. (d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant, or services provided to Service Affiliates which were required to be pre-approved on or after May 6, 2003 until December 31, 2003, other than the services reported above. (e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to pre-approving any services to be provided by the Auditor to the Registrant, the Audit Committee considers and approves any non-audit services to be provided to the Service Affiliates by the Auditor and the fees to be charged for such non-audit services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. The Chairman of the Audit Committee has been given the authority to pre-approve permissible non-audit services. (g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $46.4 million in 2002 and $28.3 million in 2003. (h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required. 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. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. NOT APPLICABLE. 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. THE COMMITTEE SHALL REVIEW NOMINEES RECOMMENDED TO THE BOARD BY SHAREHOLDERS AND SHALL EVALUATE SUCH NOMINEES IN THE SAME MANNER AS IT EVALUATES NOMINEES IDENTIFIED BY THE COMMITTEE. 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 - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(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/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date November 5, 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/ Stephanie J. Dorsey ------------------------------------------------------- Stephanie J. Dorsey, Treasurer Date November 5, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date November 9, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 a2145855zex-99_cert.txt EX 99.CERT Exhibit 99.CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of J.P. Morgan Mutual Fund Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change 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 has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. /s/ George C.W. Gatch - -------------------------- George C.W. Gatch President November 9, 2004 - ---------------- Date CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, Stephanie J. Dorsey, certify that: 1. I have reviewed this report on Form N-CSR of J.P. Morgan Mutual Fund Trust (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the Registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and c) Disclosed in this report any change 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 has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. /s/ Stephanie J. Dorsey - -------------------------- Stephanie J. Dorsey Treasurer November 5, 2004 - ---------------- Date EX-99.906CERT 3 a2145855zex-99_906cert.txt EX 99.906CERT Exhibit 99.906CERT CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof the J.P. Morgan Mutual Fund Trust (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant. /s/ George C.W. Gatch - -------------------------- George C.W. Gatch President November 9, 2004 - ---------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof the J.P. Morgan Mutual Fund Trust (the "Registrant"). I, Stephanie J. Dorsey, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. /s/ Stephanie J. Dorsey - -------------------------- Stephanie J. Dorsey Treasurer November 5, 2004 - ---------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----