NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004 as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as open-end management investment companies. Except as noted below, the Funds are series of JPM I or JPM II.
JPMorgan Growth Advantage Fund is a series of J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company which was organized as a Massachusetts business trust on September 23, 1997.
JPMorgan Mid Cap Value Fund is a series of J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”), an open-end management investment company which was organized as a Maryland corporation on August 19, 1997.
Prior to February 19, 2005, the Capital Growth Fund was a separate series of J.P. Morgan Mutual Fund Group and the Mid Cap Equity Fund was a separate series of J.P. Morgan Mutual Fund Select Group. Effective after the close of business on February 18, 2005, each series was reorganized and redomiciled as a separate series of JPM I.
Prior to February 19, 2005, the Diversified Mid Cap Growth Fund, Diversified Mid Cap Value Fund and Multi-Cap Market Neutral Fund were separate series of One Group Mutual Funds. Effective after the close of business on February 18, 2005, each series was reorganized and redomiciled as a separate series of JPM II.
Value Advantage Fund commenced operations March 1, 2005 as a series of JPM I.
The following are the funds (collectively, the “Funds”) covered by this report:
|
|
|
| Classes Offered
|
|---|
| Capital Growth Fund | | | | Class A, Class B, Class C and Select Class |
| Diversified Mid Cap Growth Fund | | | | Class A, Class B, Class C, Select Class and Ultra |
| Diversified Mid Cap Value Fund | | | | Class A, Class B, Class C, Select Class and Ultra |
| Growth Advantage Fund | | | | Class A, Class B, Class C and Select Class |
| Mid Cap Equity Fund | | | | Select Class |
| Mid Cap Value Fund | | | | Class A, Class B, Class C, Select Class and Institutional Class |
| Multi-Cap Market Neutral Fund | | | | Class A, Class B, Class C and Select Class |
| Value Advantage Fund | | | | Class A, Class C, Select Class and Institutional Class |
Capital Growth Fund, Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Value Fund and Value Advantage Fund changed their fiscal year end from December 31 to June 30.
Effective March 31, 2005, the Mid Cap Value Fund and effective August 15, 2005, the Mid Cap Equity Fund and Diversified Mid Cap Value Fund each have been publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in their prospectus.
Class C and Select Class Shares commenced operations on May 1, 2006 for the Growth Advantage Fund.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge. Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Select Class, Institutional Class and Ultra Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares for which front-end sales charges have been waived may be subject to contingent deferred sales charges as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Listed securities are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quoted by the NASDAQ Stock Market shall generally be the NASDAQ Official Closing Price. Unlisted securities are valued at the last sale price provided by an independent pricing agent or principal market maker. Listed securities for which the latest sales prices are not available are valued at the mean of the latest bid and ask price as of the closing of the primary exchange where such securities are normally traded. Corporate debt securities, debt securities issued by the U.S. Treasury or a U.S. government agency (other than short-term investments maturing in 61 days or less), and municipal securities are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the
92 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments maturing in 61 days or less are valued at amortized cost, which approximates market value. Futures, options and other derivatives are valued on the basis of available market quotations. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, the Funds apply fair value pricing on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s adviser determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value.
B. Restricted and Illiquid Securities — The Funds may 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. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business without a loss, and includes repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the market value and percentage of net assets of restricted and illiquid securities as of June 30, 2006 (amounts in thousands):
|
|
|
| Amount
|
| Percentage
|
|---|
| Mid Cap Value Fund | | | | $ | 728,020 | | | | 10.0 | % |
| Value Advantage Fund | | | | | 6,212 | | | | 3.7 | |
C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions with institutions that meet the advisor’s credit guidelines. Each repurchase agreement is valued at amortized cost. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited.
D. Futures Contracts — The Funds may enter into futures contracts for the delayed delivery of securities at a fixed price at some future date or for the change in the value of a specified financial index over a predetermined time period. Upon entering into a futures contract, the Funds are required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount. This is known as the initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Funds each day, depending on the daily fluctuations in fair value of the position. Variation margin is recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the Funds realize a gain or loss.
Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade.
As of June 30, 2006, the Funds do not have any outstanding futures contracts.
E. Short Sales — The Multi-Cap Market Neutral Fund may engage in short sales (selling securities it does not own) as part of its normal investment activities. These short sales are collateralized by cash deposits and securities with the applicable counterparty broker. The collateral required is determined daily by reference to the market value of the short positions. Such collateral for Multi-Cap Market Neutral Fund (or the Funds) is held by one broker. The Fund is subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Dividend expense on short sales is treated as an expense on the Statement of Operations. Liabilities for securities sold short are reported at market value in the financial statements. Short sale transactions result in off-balance sheet risk because the ultimate obligation may exceed the related amount shown in the accompanying statement of assets and liabilities. The Fund will incur a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will realize a gain if the price of the security declines between those dates.
F. Securities Lending — To generate additional income, each Fund, except for Multi-Cap Market Neutral Fund and Value Advantage Fund, may lend up to 33-1/3% of its assets pursuant to agreements (“borrower agreements”) requiring that the loan be continuously secured by cash or securities issued by the U.S. government or its agencies or its instrumentalities (“U.S. government securities”). JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the funds, serves as lending agent pursuant to a Securities Lending Agreement approved by the Board of Trustees (the “Securities Lending Agreement”).
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 93
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006 (continued)
Under the Securities Lending Agreement, JPMCB acting as agent for the Funds, loans securities to approved borrowers pursuant to approved borrower agreements in exchange for collateral equal to at least 100% of the market value of the loaned securities plus accrued interest. During the term of the loan, the Funds receive payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities Lending Agreement. For loans secured by cash, the Funds retain the interest on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. For loans secured by U.S. government securities, the borrower pays a borrower fee to the lending agent on behalf of the Funds. The net income earned on the securities lending (after payment of rebates and the lending agent’s fee) is included in the Statement of Operations as Income from securities lending (net). Information on the investment of cash collateral is shown in the Schedule of Portfolio Investments.
Under the Securities Lending Agreement, JPMCB is entitled to a fee equal to (i) 0.06% calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each loan of U.S. securities outstanding during a given month; and (ii) 0.1142% calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each loan of non-U.S. securities outstanding during a given month. For the period ended June 30, 2006, JPMCB voluntarily reduced its fees to: (i) 0.05% for each loan of U.S. Securities and (ii) 0.10% for each loan of the non-U.S. Securities, respectively.
Risks of delay in recovery of securities or even loss of rights in the securities may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the collateral received. JPMCB will indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security when due. Such indemnification does not extend to losses associated with declines in the value of cash collateral investments. Loans are subject to termination by the Funds or the borrower at any time, and are, therefore, not considered to be illiquid investments.
As of June 30, 2006, the following Funds had securities with the following market values on loan, received the following collateral and for the period then ended, paid the following amounts to related party affiliates (amounts in thousands):
|
|
|
| Lending
Agent
Fees Paid
|
| Market
Value of
Collateral
|
| Market Value
of Loaned
Securities
|
|---|
| Capital Growth Fund | | | | $ | 20 | | | $ | 139,085 | | | $ | 138,399 | |
| Diversified Mid Cap Growth Fund | | | | | 122 | | | | 204,004 | | | | 202,798 | |
| Diversified Mid Cap Value Fund | | | | | 78 | | | | 77,943 | | | | 76,640 | |
| Growth Advantage Fund | | | | | 2 | | | | 10,226 | | | | 10,180 | |
| Mid Cap Equity Fund | | | | | 5 | | | | 16,127 | | | | 16,231 | |
| Mid Cap Value Fund | | | | | 123 | | | | 535,672 | | | | 530,170 | |
As of December 31, 2005, the following Funds had securities with the following market values on loan, received the following collateral and for the period then ended, these Funds paid the following amounts to related party affiliates (amounts in thousands):
|
|
|
| Lending
Agent
Fees Paid
|
| Market
Value of
Collateral
|
| Market Value
of Loaned
Securities
|
|---|
| Capital Growth Fund | | | | $ | 27 | | | $ | 77,753 | | | $ | 75,732 | |
| Growth Advantage Fund | | | | | 3 | | | | 9,062 | | | | 8,800 | |
| Mid Cap Equity Fund | | | | | 8 | | | | 18,220 | | | | 17,762 | |
| Mid Cap Value Fund | | | | | 161 | | | | 417,693 | | | | 407,858 | |
As of June 30, 2005, the following Funds had securities with the following market values on loan and for the period then ended, these Funds paid the following amounts to related party affiliates (amounts in thousands):
|
|
|
| Sub-Custody
Fees Paid
|
| Lending
Agent
Fees Paid
|
| Market
Value of
Collateral
| Market Value
of Loaned
Securities
|
|
|---|
| Diversified Mid Cap Growth Fund | | | | | 77 | | | | 55 | | | | 198,236 | | 193,582 | |
| Diversified Mid Cap Value Fund | | | | | 35 | | | | 48 | | | | 157,673 | | 155,505 | |
G. 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 a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend.
94 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
H. Allocation of Income and Expenses — 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. Expenses directly attributable to a Fund are charged directly to that Fund while the expenses attributable to more than one Fund of the Trusts are allocated among the respective Funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary.
J. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
K. Distributions to Shareholders — Dividends from net investment income are generally declared and paid annually. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
|
|
|
| Paid-in-capital
|
| Accumulated
Undistributed/
(Overdistributed) Net
Investment Income
|
| Accumulated Net
Realized Gain
(Loss) on
Investments
|
|---|
| Capital Growth Fund | | | | $ | 13 | | | $ | (13 | ) | | $ | — | |
| Diversified Mid Cap Growth Fund | | | | | (38 | ) | | | 6,208 | | | | (6,170 | ) |
| Diversified Mid Cap Value Fund | | | | | 2,589 | | | | 153 | | | | (2,742 | ) |
| Growth Advantage Fund | | | | | (127 | ) | | | 127 | | | | — | |
| Mid Cap Equity Fund | | | | | 5 | | | | (1 | ) | | | (4 | ) |
| Mid Cap Value Fund | | | | | (661 | ) | | | 134 | | | | 527 | |
| Multi-Cap Market Neutral Fund | | | | | 20 | | | | 690 | | | | (710 | ) |
| Value Advantage Fund | | | | | 14 | | | | (208 | ) | | | 194 | |
The reclassifications for the Funds relate primarily to the differences in character for tax purposes of distributions received from investments in real estate investment trusts, deferred compensation, tax net operating losses, reclassification of distributions, investments in partnerships and equalization (for Diversified Mid Cap Value Fund).
L. New Accounting Pronouncement — In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation establishes for all entities, including pass-through entities such as the Funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Interpretation is effective for fiscal years beginning after December 15, 2006, and is to be applied to all open tax years as of the date of effectiveness. Management has recently begun to evaluate the application of the Interpretation to the Funds, and is not in a position at this time to estimate the significance of its impact, if any, on the Funds’ financial statements.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to separate Amended and Restated Investment Advisory Agreements, J.P. Morgan Investment Management Inc. (“JPMIM”) acts as the investment advisor to the Capital Growth Fund, Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Value Fund and Value Advantage Fund and JPMorgan Investment Advisors Inc. (“JPMIA”, and together with JPMIM, each an “Advisor”) acts as the investment advisor to the Diversified Mid Cap Growth Fund, Diversified Mid Cap Value Fund and Multi-Cap Market Neutral Fund. JPMIM is a wholly-owned subsidiary of J.P. Morgan Asset Management Holdings, Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIA is an
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 95
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006 (continued)
indirect, wholly-owned subsidiary of JPMCB, which is a wholly-owned subsidiary of JPMorgan. The Advisors supervise the investments of each respective Fund and for such services are paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
| Capital Growth Fund | | 0.40 | % |
| Diversified Mid Cap Growth Fund | | 0.65 | |
| Diversified Mid Cap Value Fund | | 0.65 | |
| Growth Advantage Fund | | 0.65 | |
| Mid Cap Equity Fund | | 0.65 | |
| Mid Cap Value Fund* | | 0.65 | |
| Multi-Cap Market Neutral Fund | | 1.25 | |
| Value Advantage Fund | | 0.65 | |
| * | | Prior to February 19, 2005, the Fund’s investment advisory fee rate was 0.70%. |
The Advisors waived and/or reimbursed Investment Advisory fees as outlined in Note 3.F.
The Funds may invest in one or more money market funds advised by the Advisors or their affiliates. Advisory, administrative and shareholder servicing fees are waived and/or reimbursed from the Funds in an amount sufficient to offset any doubling up of these fees related to each Fund’s investment in an affiliated money market fund to the extent required by law.
The amounts of these waivers/reimbursements from the money market funds for the period ended June 30, 2006 were as follows (in thousands):
| Capital Growth Fund | | $ 19 | |
| Diversified Mid Cap Growth Fund | | 17 | |
| Diversified Mid Cap Value Fund | | 13 | |
| Growth Advantage Fund | | 1 | |
| Mid Cap Equity Fund | | 9 | |
| Mid Cap Value Fund | | 221 | |
| Multi-Cap Market Neutral Fund | | — | |
| Value Advantage Fund | | 7 | |
The amounts of these waivers/reimbursements from the money market funds for the period ended December 31, 2005 were as follows (in thousands):
| Capital Growth Fund | | $ 23 | |
| Growth Advantage Fund | | 1 | |
| Mid Cap Equity Fund | | 12 | |
| Mid Cap Value Fund | | 420 | |
| Value Advantage Fund | | 5 | |
The amounts of these waivers/reimbursements from the money market funds for the period ended June 30, 2005 were as follows (in thousands):
| Diversified Mid Cap Growth Fund | | $ 49 | |
| Diversified Mid Cap Value Fund | | 80 | |
| Multi-Cap Market Neutral Fund | | 293 | |
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, 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 0.15% of the first $25 billion of the average daily net assets of all funds in the JPMorgan Fund Complex (excluding funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds.
Prior to February 19, 2005, JPMCB served as the Administrator to the Funds in JPM I, JPMMFIT and JPMFMFG and was subject to the same fee agreement as above.
Prior to February 19, 2005, the Administrator received a fee for services provided to the Funds in JPM II at an annual rate of 0.20% of the first $1.5 billion of JPM II average daily net assets (excluding the Investor Funds and the Institutional Money Market Funds); 0.18% on the next $0.5 billion of JPM II average daily net assets (excluding the Investor Funds and the Institutional Money Market Funds); and 0.16% of JPM II average daily net assets (excluding the Investor Funds and the Institutional Money Market Funds) over $2 billion.
The Administrator waived Administration fees and/or reimbursed expenses as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator. Prior to July 1,
96 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
2005, BISYS Fund Services, L.P. (“BISYS”) served as the Funds’ Sub-administrator. For its services as Sub-administrator, BISYS received a portion of the fees paid to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Trustees have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
|
|
|
| Class A
|
| Class B
|
| Class C
|
|---|
| Capital Growth Fund | | | | | 0.25 | % | | | 0.75 | % | | | 0.75 | % |
| Diversified Mid Cap Growth Fund | | | | | 0.25 | | | | 0.75 | | | | 0.75 | |
| Diversified Mid Cap Value Fund | | | | | 0.25 | | | | 0.75 | | | | 0.75 | |
| Growth Advantage Fund | | �� | | | 0.25 | | | | 0.75 | | | | 0.75 | |
| Mid Cap Value Fund | | | | | 0.25 | | | | 0.75 | | | | 0.75 | |
| Multi-Cap Market Neutral Fund | | | | | 0.25 | | | | 0.75 | | | | 0.75 | |
| Value Advantage Fund | | | | | 0.25 | | | | n/a | | | | 0.75 | |
Prior to February 19, 2005, J.P. Morgan Fund Distributors, Inc., a wholly-owned subsidiary of the BISYS Group, Inc., served as the exclusive underwriter for the Funds in JPM I, JPMMFIT and JPMFMFG.
Prior to February 19, 2005, the Funds in JPM II paid the Distributor a fee pursuant to prior distribution plans of 0.25% of the average daily net assets of Class A Shares and 1.00% of the average daily net assets of Class B and Class C Shares.
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A shares and the contingent deferred sales charges (“CDSC”) from redemptions of Class B and Class C shares and certain Class A shares for which front-end sales charges have been waived. For the period ended June 30, 2006, the Distributor received the following amounts (in thousands):
|
|
|
| Front-end
Sales Charge
|
| CDSC
|
|---|
| Capital Growth Fund | | | | $ | 226 | | | $ | 18 | |
| Diversified Mid Cap Growth Fund | | | | | 610 | | | | 240 | |
| Diversified Mid Cap Value Fund | | | | | 776 | | | | 138 | |
| Growth Advantage Fund | | | | | 11 | | | | 1 | |
| Mid Cap Value Fund | | | | | 783 | | | | 299 | |
| Multi-Cap Market Neutral Fund | | | | | 1,039 | | | | 177 | |
| Value Advantage Fund | | | | | 603 | | | | 24 | |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, effective February 19, 2005, the Distributor 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:
|
|
|
| Class A
|
| Class B
|
| Class C
|
| Select Class
|
| Institutional Class
|
| Ultra
|
|---|
| Capital Growth Fund | | | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | 0.25 | % | | | n/a | | | | n/a | |
| Diversified Mid Cap Growth Fund | | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | |
| Diversified Mid Cap Value Fund | | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | |
| Growth Advantage Fund | | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | |
| Mid Cap Equity Fund | | | | | n/a | | | | n/a | | | | n/a | | | | 0.25 | | | | n/a | | | | n/a | |
| Mid Cap Value Fund | | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.10 | | | | n/a | |
| Multi-Cap Market Neutral Fund | | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | 0.25 | | | | n/a | | | | n/a | |
| Value Advantage Fund | | | | | 0.25 | | | | n/a | | | | 0.25 | | | | 0.25 | | | | 0.10 | | | | n/a | |
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
Prior to February 19, 2005, JPMCB served as the shareholder servicing agent for the Funds in JPM I, JPMMFIT and JPMFMFG. JPMCB was subject to the fee rates disclosed above.
The Distributor waived and/or reimbursed Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in custodian and accounting fees in the Statement of Operations. The
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 97
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006 (continued)
custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations.
Prior to February 19, 2005, the Administrator was responsible for providing fund accounting services under the Management and Administration Agreement for funds in JPM II. Effective February 19, 2005, fund accounting fees are charged as an additional direct fee to the Funds.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in interest expense in the Statement of Operations.
F. Waivers and Reimbursements — Each Fund’s Advisor, Administrator and Distributor have contractually agreed to waive fees or reimburse the Funds to the extent that total annual operating expenses (excluding dividend expense on short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
|
|
|
| Class A
|
| Class B
|
| Class C
|
| Select Class
|
| Institutional Class
|
| Ultra Class
|
|---|
| Capital Growth Fund | | | | | 1.35 | % | | | 1.85 | % | | | 1.85 | % | | | 0.93 | % | | | n/a | | | | n/a | |
| Diversified Mid Cap Growth Fund | | | | | 1.24 | | | | 1.99 | | | | 1.99 | | | | 0.99 | | | | n/a | | | | 0.89 | % |
| Diversified Mid Cap Value Fund | | | | | 1.24 | | | | 1.99 | | | | 1.99 | | | | 0.99 | | | | n/a | | | | 0.84 | |
| Growth Advantage Fund | | | | | 1.35 | | | | 2.05 | | | | 2.05 | | | | 1.10 | | | | n/a | | | | n/a | |
| Mid Cap Equity Fund | | | | | n/a | | | | n/a | | | | n/a | | | | 1.00 | | | | n/a | | | | n/a | |
| Mid Cap Value Fund | | | | | 1.25 | | | | 2.00 | | | | 2.00 | | | | 1.00 | | | | 0.75 | % | | | n/a | |
| Multi-Cap Market Neutral Fund | | | | | 1.75 | | | | 2.50 | | | | 2.50 | | | | 1.50 | | | | n/a | | | | n/a | |
| Value Advantage Fund | | | | | 1.25 | | | | n/a | | | | 1.75 | | | | 1.00 | | | | 0.75 | | | | n/a | |
The contractual expense limitation agreements were in effect for the period ended June 30, 2006. Except for the Diversified Mid Cap Growth Fund, Diversified Mid Cap Value Fund and Multi-Cap Market Neutral Fund, the expense limitation percentages in the table above are in place until at least April 30, 2007. For the Diversified Mid Cap Growth Fund, Diversified Mid Cap Value Fund and Multi-Cap Market Neutral Fund, the expense limitation percentages in the table above are in place until at least October 31, 2006.
For the period ended June 30, 2006, the Funds’ service providers waived fees and contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| | | | Contractual Waivers
| |
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Total
|
|---|
| Diversified Mid Cap Growth Fund | | | | $ | — | | | $ | 327 | | | $ | 2,057 | | | $ | 2,384 | |
| Diversified Mid Cap Value Fund | | | | | — | | | | 173 | | | | 1,046 | | | | 1,219 | |
| Growth Advantage Fund | | | | | 106 | | | | 10 | | | | 65 | | | | 181 | |
| Mid Cap Equity Fund | | | | | — | | | | — | | | | 115 | | | | 115 | |
| Mid Cap Value Fund | | | | | 4,013 | | | | 437 | | | | 989 | | | | 5,439 | |
| Multi-Cap Market Neutral Fund | | | | | 2,473 | | | | 344 | | | | 3,462 | | | | 6,279 | |
| Value Advantage Fund | | | | | 272 | | | | 8 | | | | — | | | | 280 | |
| | | | Voluntary Waivers
| |
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Total
|
|---|
| Capital Growth Fund | | | | $ | 96 | | | $ | — | | | $ | — | | | $ | 96 | |
| Diversified Mid Cap Growth Fund | | | | | — | | | | 52 | | | | — | | | | 52 | |
| Diversified Mid Cap Value Fund | | | | | — | | | | 17 | | | | 46 | | | | 63 | |
| Mid Cap Equity Fund | | | | | — | | | | 27 | | | | 119 | | | | 146 | |
| Mid Cap Value Fund | | | | | 682 | | | | 74 | | | | — | | | | 756 | |
For the period ended December 31, 2005, the Funds’ service providers waived fees and contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| | | | Contractual Waivers
|
|
| |
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Total
| Contractual
Reimbursements
|
|
|---|
| Capital Growth Fund | | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | $ 1 | |
| Growth Advantage Fund | | | | | 79 | | | | 28 | | | | 101 | | | | 208 | | — | |
| Mid Cap Equity Fund | | | | | — | | | | 3 | | | | 193 | | | | 196 | | — | |
| Mid Cap Value Fund | | | | | 5,781 | | | | 575 | | | | 2,003 | | | | 8,359 | | 18 | |
| Value Advantage Fund | | | | | 123 | | | | 17 | | | | — | | | | 140 | | 97 | |
98 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
| | | | Voluntary Waivers
|
|
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Total
|
|---|
| Mid Cap Equity Fund | | | | $ | — | | | $ | 52 | | | $ | 196 | | | $ | 248 | |
| Mid Cap Value Fund | | | | | 1,022 | | | | 119 | | | | — | | | | 1,141 | |
For the period ended June 30, 2005, the Funds’ service providers waived fees and contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| | | | Contractual Waivers
| |
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Distribution
|
| Total
|
|---|
| Diversified Mid Cap Growth Fund | | | | | 247 | | | | 123 | | | | 769 | | | | 320 | | | | 1,459 | |
| Diversified Mid Cap Value Fund | | | | | 227 | | | | 17 | | | | 299 | | | | 148 | | | | 691 | |
| Multi-Cap Market Neutral Fund | | | | | 2,253 | | | | 140 | | | | 981 | | | | 87 | | | | 3,461 | |
| | | | Voluntary Waivers
| |
|---|
|
|
|
| Investment
Advisory
|
| Administration
|
| Shareholder
Servicing
|
| Total
|
|---|
| Diversified Mid Cap Value Fund | | | | | 64 | | | | 31 | | | | — | | | | 95 | |
| Multi-Cap Market Neutral Fund | | | | | 64 | | | | 31 | | | | — | | | | 95 | |
G. Other —Certain officers of the Trust are affiliated with the Advisor, the Administrator, the Sub-Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. The Funds, along with other affiliated funds, make reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Officers’ Fees in the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various JPMorgan Funds until distribution in accordance with the Plan.
During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker/dealers. For the period ended June 30, 2006 the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisor.
The SEC has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions.
4. Investment Transactions
During the period ended June 30, 2006 purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
|
|
|
| Purchases
(excluding U.S.
Government)
|
| Sales
(excluding U.S.
Government)
|
| Securities
Sold Short
| Covers on
Securities
Sold Short
|
|
|---|
| Capital Growth Fund | | | | $ | 545,110 | | | $ | 522,124 | | | $ | — | | $ | — | |
| Diversified Mid Cap Growth Fund | | | | | 1,845,677 | | | | 2,332,652 | | | | — | | | — | |
| Diversified Mid Cap Value Fund | | | | | 598,228 | | | | 1,039,735 | | | | — | | | — | |
| Growth Advantage Fund | | | | | 67,740 | | | | 52,759 | | | | — | | | — | |
| Mid Cap Equity Fund | | | | | 132,380 | | | | 116,053 | | | | — | | | — | |
| Mid Cap Value Fund | | | | | 1,477,103 | | | | 1,414,841 | | | | — | | | — | |
| Multi-Cap Market Neutral Fund | | | | | 2,045,605 | | | | 1,841,680 | | | | 2,137,118 | | | 1,919,995 | |
| Value Advantage Fund | | | | | 120,676 | | | | 70,170 | | | | — | | | — | |
During the period ended June 30, 2006, there were no purchases or sales of U.S. Government securities.
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 99
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006 (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2006 were as follows (amounts in thousands):
|
|
|
| Aggregate
Cost
|
| Gross
Unrealized
Appreciation
|
| Gross
Unrealized
Depreciation
|
| Net Unrealized
Appreciation
(Depreciation)
|
|---|
| Capital Growth Fund | | | | $ | 859,395 | | | $ | 139,849 | | | $ | (17,644 | ) | | $ | 122,205 | |
| Diversified Mid Cap Growth Fund | | | | | 1,428,291 | | | | 257,618 | | | | (31,695 | ) | | | 225,923 | |
| Diversified Mid Cap Value Fund | | | | | 841,414 | | | | 190,471 | | | | (17,498 | ) | | | 172,973 | |
| Growth Advantage Fund | | | | | 75,895 | | | | 9,577 | | | | (1,580 | ) | | | 7,997 | |
| Mid Cap Equity Fund | | | | | 263,418 | | | | 55,986 | | | | (4,459 | ) | | | 51,527 | |
| Mid Cap Value Fund | | | | | 6,910,196 | | | | 1,050,698 | | | | (138,452 | ) | | | 912,246 | |
| Multi-Cap Market Neutral Fund | | | | | 1,708,236 | | | | 185,099 | | | | (68,394 | ) | | | 116,705 | |
| Value Advantage Fund | | | | | 158,082 | | | | 10,205 | | | | (3,065 | ) | | | 7,140 | |
For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, return of capital from investments in real estate investment trusts, investments in partnerships, mark-to-market of constructive sales (for Multi-Cap Market Neutral Fund) and tax basis of corporate action (for Diversified Mid Cap Growth Fund).
The tax character of distributions paid during the period ended June 30, 2006 was as follows (amounts in thousands):
| | | | Total Distributions Paid From
| |
|---|
|
|
|
| Ordinary
Income
|
| Net Long-Term
Capital Gains
|
| Total
Distributions
Paid
|
|---|
| Diversified Mid Cap Growth Fund | | | | $ | — | | | $ | 130,943 | | | $ | 130,943 | |
| Diversified Mid Cap Value Fund | | | | | 39,572 | | | | 272,077 | | | | 311,649 | |
| Mid Cap Equity Fund | | | | | 1,227 | | | | — | | | | 1,227 | |
| Multi-Cap Market Neutral Fund | | | | | 26,515 | | | | 48,186 | | | | 74,701 | |
The tax character of distributions paid during the fiscal year ended December 31, 2005 was as follows (amounts in thousands):
| | | | Total Distributions Paid From
| |
| |
|---|
|
|
|
| Ordinary Income
|
| Net Long-Term
Capital Gains
|
| Total
Distributions
Paid
|
|---|
| Capital Growth Fund | | | | $ | 5,585 | | | $ | 51,737 | | | $ | 57,322 | |
| Mid Cap Equity Fund | | | | | 7,528 | | | | 20,249 | | | | 27,777 | |
| Mid Cap Value Fund | | | | | 136,842 | | | | 82,699 | | | | 219,541 | |
| Value Advantage Fund | | | | | 1,391 | | | | 6 | | | | 1,397 | |
The tax character of distributions paid during the fiscal year ended June 30, 2005 was as follows (amounts in thousands):
| | | | Total Distributions Paid From
| |
| |
|---|
|
|
|
| Ordinary Income
|
| Net Long-Term
Capital Gains
|
| Total
Distributions
Paid
|
|---|
| Diversified Mid Cap Value Fund | | | | $ | 14,187 | | | $ | 54,582 | | | $ | 68,769 | |
| Multi-Cap Market Neutral Fund | | | | | 13,377 | | | | 869 | | | | 14,246 | |
100 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
At June 30, 2006, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
|
|
|
| Current
Distributable
Ordinary
Income
|
| Current
Distributable
Long-Term
Capital Gain or
(Tax Basis
Capital Loss
Carryover)
|
| Unrealized
Appreciation
(Depreciation)
|
|---|
| Capital Growth Fund | | | | | 10,715 | | | | 32,736 | | | | 122,205 | |
| Diversified Mid Cap Growth Fund | | | | | 30,720 | | | | 162,296 | | | | 225,923 | |
| Diversified Mid Cap Value Fund | | | | | 5,214 | | | | 107,429 | | | | 172,973 | |
| Growth Advantage | | | | | — | | | | (242,897 | ) | | | 7,997 | |
| Mid Cap Equity Fund | | | | | 4,766 | | | | 11,013 | | | | 51,527 | |
| Mid Cap Value Fund | | | | | 151,927 | | | | 145,809 | | | | 912,246 | |
| Multi-Cap Market Neutral Fund | | | | | 24,284 | | | | — | | | | 70,738 | |
| Value Advantage Fund | | | | | 4,398 | | | | — | | | | 7,140 | |
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, deferred compensation, distributions payable, return of capital from investments in real estate investment trusts, investments in partnerships, mark-to-market of constructive sales (for Multi-Cap Market Neutral Fund) and tax basis of corporate action (for Diversified Mid Cap Growth Fund).
As of June 30, 2006, the following Funds had net capital loss carryforwards, which are available to offset future realized gains (amounts
in thousands):
| | | | Expires
| |
|---|
|
|
|
| 2009
|
| 2010
|
| 2011
|
| Total
|
|---|
| Capital Growth Fund | | | | $ | — | | | $ | 507 | * | | $ | — | | | $ | 507 | |
| Growth Advantage Fund | | | | | 212,006 | | | | 28,364 | | | | 2,527 | | | | 242,897 | |
| * | | Subject to limitation under Code sections 381–384. |
During the period ended June 30, 2006, Capital Growth Fund and Growth Advantage Fund utilized capital loss carryforwards of $56 and $2,147, respectively (amounts in thousands).
Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the period ended June 30, 2006, the Multi-Cap Market Neutral Fund deferred to July 1, 2006 post October capital losses of $7,464 (amount in thousands).
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the Investment Company Act of 1940).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the JPMorgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a
rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 21, 2006.
The outstanding borrowings from another fund or from the unsecured uncommitted credit facility and average borrowings for the period ended June 30, 2006 were as follows (amounts in thousands):
|
|
|
| Outstanding
Balance at
June 30, 2006
|
| Average
Borrowings
|
| Number of
Days
Used
|
| Interest
Paid
|
|---|
| Capital Growth Fund | | | | $ | — | | | $ | 1,104 | | | | 3 | | | $ | — | (b) |
| Diversified Mid Cap Growth Fund | | | | | — | | | | 2,296 | | | | 18 | | | | 5 | |
| Diversified Mid Cap Value Fund | | | | | — | | | | 2,322 | | | | 2 | | | | 1 | |
| (b) | | Amount rounds to less than $1,000. |
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 101
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2006 (continued)
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured uncommitted credit facility is included in Interest Expense in the Statement of Operations.
7. Concentrations and Indemnifications
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.
From time to time, the Funds’ investment advisor or an affiliate may exercise discretion on behalf of certain of its clients with respect to the purchase or sale of a significant portion of the Funds’ outstanding shares. Investment activities on behalf of these shareholders could impact the Funds.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan Chase, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”), now known as JPMorgan Investment Advisers, Inc., entered into agreements with the Securities and Exchange Commission (the “SEC”) and the New York Attorney General (“NYAG”) in resolution of investigations conducted by the SEC and the NYAG into market timing of certain mutual funds advised by BOIA, possible late trading of certain of these funds and related matters. In its settlement with the SEC, BOIA consented to the entry of an order by the SEC (the “SEC Order”) instituting and settling administrative and cease-and-desist proceedings against it. Under the terms of the SEC Order and the NYAG settlement agreement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which will be distributed pursuant to a distribution plan to certain current and former shareholders of funds identified in the distribution plan. Pursuant to the settlement agreement with the NYAG, BOIA reduced its management fee for certain funds it managed in the aggregate amount of approximately $8 million annually over a five-year period commencing September, 2004.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland for coordinated or consolidated pretrial proceedings by the orders of the Judicial Panel on Multidistrict Litigation, a federal judicial body that assists in the administration of such actions. The plaintiffs filed consolidated amended complaints, naming as defendants, among others, BOIA, Bank One Corporation and JPMorgan (the former and current corporate parent of BOIA), the Distributor, One Group Services Company (the “Funds’ former distributor”), Banc One High Yield Partners, LLC (now known as JPMorgan High Yield Partners LLC) (the sub-advisor to JPMorgan High Yield Bond Fund and JPMorgan Core Plus Bond Fund), certain officers of JPM II and BOIA, certain current and former Trustees and One Group Mutual Fund, the predecessor to JPM II. These complaints alleged, among other things, that various defendants (i) violated various antifraud and other provisions of federal securities laws, (ii) breached their fiduciary duties, (iii) unjustly enriched themselves, (iv) breached fund-related contracts, and (v) conspired to commit unlawful acts.
In addition, on August 30, 2005, the commissioner of the West Virginia Securities Division entered a Summary Cease and Desist Order and Notice of Right of Hearing with respect to JPMorgan Investment Advisors Inc. and JPMorgan Chase & Co. The order focuses on conduct characterized as market timing and violations of West Virginia securities laws. The order generally relates to the same facts that were the subject of the SEC Order and NYAG settlement discussed above.
As of June 14, 2006, all claims against One Group Mutual Fund and current and former trustees have been dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates have also been dismissed, and a settlement in principle has been reached for the purpose of resolving all remaining claims in the litigation in Maryland. The settlement is subject to court approval.
JPM II will be reimbursed for all costs associated with these matters to ensure that JPM II incurs no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
102 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
Report of Independent Registered Public Accounting Firm
To the Trustees and Shareholders of
J.P. Morgan Mutual Fund Investment Trust, J.P. Morgan Fleming Mutual Fund Group, Inc.,
JPMorgan Trust I and JPMorgan Trust II:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Funds indicated in Note 1 of the financial statements (hereafter collectively referred to as the “Funds”) at June 30, 2006, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with 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 June 30, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 25, 2006
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 103
TRUSTEES
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth);
Positions With
the Funds
|
|
|
| Principal Occupations
During Past 5 Years
|
| Number of
Funds in Fund
Complex Overseen
by Trustee (1)
|
| Other Directorships Held
Outside Fund Complex
|
|---|
Independent Trustees |
| William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | | | | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | | 120 | | None. |
| |
| Roland R. Eppley, Jr. (1932); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1989. | | | | Retired; President and Chief Executive Officer, Eastern States Bankcard (1971–1988). | | 120 | | None. |
| |
| John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | | | | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | | 120 | | Director, Cardinal Health, Inc (CAH) (1994–present); Chairman, The Columbus Association for the Performing Arts (CAPA) (2003–present). |
| |
| Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | | | | Chancellor of the City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | | 120 | | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust)
(2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). |
| |
| Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | | | | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | | 120 | | None. |
| |
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | | | | Self-employed business consultant (2002–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | | 120 | | None. |
| |
| Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | | | | Vice President of Administration and Planning, Northwestern University (1985–present). | | 120 | | Trustee, Mather LifeWays (1994–present); Trustee, Carleton College (2003–present). |
| |
| William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | | | | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | | 120 | | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). |
104 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
Name (Year of Birth);
Positions With
the Funds
|
|
|
| Principal Occupations
During Past 5 Years
|
| Number of
Funds in Fund
Complex Overseen
by Trustee (1)
|
| Other Directorships Held
Outside Fund Complex
|
|---|
Independent Trustees |
| Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | | | | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | | 120 | | Director, American University in Cairo. |
| |
| Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | | | | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | | 120 | | Trustee, Morgan Stanley Funds (198 portfolios) (1995–present). |
| |
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | | | | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | | 120 | | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). |
| |
| James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | | | | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | | 120 | | None. |
Interested Trustee |
| Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | | | | Retired; Chief Executive Officer of Chase Mutual Funds (investment company) (1989–1998); President & Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | | 120 | | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
| (1) | | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex which the Board of Trustees currently oversees includes eight registered investment companies (120 funds). |
| * | | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 245 Park Avenue, New York, NY 10167.
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 105
OFFICERS
(Unaudited)
Name (Year of Birth),
Positions Held with
the Trust
|
|
|
| Principal Occupations During Past 5 Years
|
|---|
George C.W. Gatch (1962),
President since 2005 | | | | Managing Director, JPMorgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of JPMorgan Funds. Mr. Gatch has been an employee since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing and sales. |
| |
Robert L. Young (1963),
Senior Vice President since 2005* | | | | Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. |
| |
Patricia A. Maleski (1960),
Vice President and Chief
Administrative Officer since 2005 | | | | Managing Director, JPMorgan Funds Management, Inc.; previously, Treasurer, JPMorgan Funds and Head of Funds Administration and Board Liaison. Ms. Maleski was Vice President of Finance for the Pierpont Group, Inc. from 1996–2001, an independent company owned by the Board of Directors/Trustees of the JPMorgan Funds, prior to joining J.P. Morgan Chase & Co. in 2001. |
| |
Stephanie J. Dorsey (1969),
Treasurer since 2005* | | | | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co., (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. |
| |
Stephen M. Ungerman (1953),
Senior Vice President and Chief
Compliance Officer since 2005
| | | | Senior Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman held a number of positions in Prudential Financial’s asset management business prior to 2000. |
| |
Paul L. Gulinello (1950), AML
Compliance Officer since 2005 | | | | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. |
| |
Stephen M. Benham (1959),
Secretary since 2005 | | | | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2004; Vice President (Legal Advisory) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004; attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. |
| |
Elizabeth A. Davin (1964),
Assistant Secretary since 2005* | | | | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. |
| |
Jessica K. Ditullio (1962),
Assistant Secretary since 2005* | | | | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
| |
Nancy E. Fields (1949),
Assistant Secretary since 2005* | | | | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; From 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services, Inc.) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). |
| |
Michael C. Raczynski (1975),
Assistant Secretary since 2006 | | | | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2006; Associate, Stroock & Stroock & Lavan LLP from 2001 to 2006. |
| |
Ellen W. O’Brien (1957),
Assistant Secretary since 2005** | | | | Assistant Vice President, JPMorgan Investor Services, Co., responsible for Blue Sky registration. Ms. O’Brien has served in this capacity since joining the firm in 1991. |
106 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
Name (Year of Birth),
Positions Held with
the Trust
|
|
|
| Principal Occupations During Past 5 Years
|
|---|
Suzanne E. Cioffi (1967),
Assistant Treasurer since 2005 | | | | Vice President, JPMorgan Funds Management, Inc., responsible for mutual fund financial reporting. Ms. Cioffi has overseen various fund accounting, custody and administration conversion projects during the past five years. |
| |
Arthur A. Jensen (1966),
Assistant Treasurer since 2005* | | | | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005; Mr. Jensen was Section Manager at Northern Trust Company and Accounting Supervisor at Allstate Insurance Company prior to 2001. |
The contact address for each of the officers, unless otherwise noted, is 245 Park Avenue, New York, NY 10167.
| * | | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
| ** | | The contact address for the officer is 73 Tremont Street, Floor 1, Boston MA 02108. |
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 107
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment at Beginning of Period
June 30, 2006
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, January 1, 2006, and continued to hold your shares at the end of the reporting period, June 30, 2006.
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.
|
|
|
| Beginning
Account Value,
January 1, 2006
|
| Ending
Account Value,
June 30, 2006
|
| Expenses Paid
During Period
January 1 to
June 30, 2006
|
| Annualized
Expense Ratio
|
|---|
Capital Growth Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | $ | 1,000.00 | | | $ | 1,039.60 | | | $ | 5.77 | | | | 1.14 | % |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.14 | | | | 5.71 | | | | 1.14 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,037.10 | | | | 8.28 | | | | 1.64 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,016.66 | | | | 8.20 | | | | 1.64 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,037.10 | | | | 8.28 | | | | 1.64 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,016.66 | | | | 8.20 | | | | 1.64 | |
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,040.90 | | | | 4.50 | | | | 0.89 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,020.38 | | | | 4.46 | | | | 0.89 | |
Diversified Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,044.10 | | | | 6.28 | | | | 1.24 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.65 | | | | 6.21 | | | | 1.24 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,040.50 | | | | 9.51 | | | | 1.88 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,015.47 | | | | 9.39 | | | | 1.88 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,140.60 | | | | 9.51 | | | | 1.88 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,015.47 | | | | 9.39 | | | | 1.88 | |
108 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
|
|
|
| Beginning
Account Value,
January 1, 2006
|
| Ending
Account Value,
June 30, 2006
|
| Expenses Paid
During Period
January 1 to
June 30, 2006
|
| Annualized
Expense Ratio
|
|---|
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | $ | 1,000.00 | | | $ | 1,045.40 | | | $ | 5.02 | | | | 0.99 | % |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.89 | | | | 4.96 | | | | 0.99 | |
Ultra Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,045.70 | | | | 4.46 | | | | 0.88 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,020.43 | | | | 4.41 | | | | 0.88 | |
Diversified Mid Cap Value Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,053.00 | | | | 6.31 | | | | 1.24 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.65 | | | | 6.21 | | | | 1.24 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,050.30 | | | | 9.35 | | | | 1.84 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,015.67 | | | | 9.20 | | | | 1.84 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,050.30 | | | | 9.35 | | | | 1.84 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,015.67 | | | | 9.20 | | | | 1.84 | |
Select Class | | | | | | | | | | | | | | | | | �� | |
| Actual* | | | | | 1,000.00 | | | | 1,054.50 | | | | 5.04 | | | | 0.99 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.89 | | | | 4.96 | | | | 0.99 | |
Ultra Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,055.40 | | | | 4.28 | | | | 0.84 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,020.63 | | | | 4.21 | | | | 0.84 | |
Growth Advantage Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,044.10 | | | | 6.84 | | | | 1.35 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.10 | | | | 6.76 | | | | 1.35 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,041.10 | | | | 10.37 | | | | 2.05 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,014.63 | | | | 10.24 | | | | 2.05 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual** | | | | | 1,000.00 | | | | 932.40 | | | | 3.26 | | | | 2.05 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,014.63 | | | | 10.24 | | | | 2.05 | |
Select Class | | | | | | | | | | | | | | | | | | |
| Actual** | | | | | 1,000.00 | | | | 933.90 | | | | 1.75 | | | | 1.10 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.34 | | | | 5.51 | | | | 1.10 | |
Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | |
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,054.20 | | | | 4.58 | | | | 0.90 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,020.33 | | | | 4.51 | | | | 0.90 | |
Mid Cap Value Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,062.30 | | | | 6.39 | | | | 1.25 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.60 | | | | 6.26 | | | | 1.25 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,059.50 | | | | 8.94 | | | | 1.75 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,016.12 | | | | 8.75 | | | | 1.75 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,059.40 | | | | 8.94 | | | | 1.75 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,016.12 | | | | 8.75 | | | | 1.75 | |
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 109
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment at Beginning of Period
June 30, 2006
|
|
|
| Beginning
Account Value,
January 1, 2006
|
| Ending
Account Value,
June 30, 2006
|
| Expenses Paid
During Period
January 1 to
June 30, 2006
|
| Annualized
Expense Ratio
|
|---|
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | $ | 1,000.00 | | | $ | 1,063.10 | | | $ | 5.12 | | | | 1.00 | % |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.84 | | | | 5.01 | | | | 1.00 | |
Institutional Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,064.50 | | | | 3.84 | | | | 0.75 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,021.08 | | | | 3.76 | | | | 0.75 | |
Multi Cap Market Neutral Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,042.70 | | | | 7.60 | | | | 1.50 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,017.36 | | | | 7.50 | | | | 1.50 | |
Class B | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,038.50 | | | | 11.37 | | | | 2.25 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,013.64 | | | | 11.23 | | | | 2.25 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,038.50 | | | | 11.37 | | | | 2.25 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,013.64 | | | | 11.23 | | | | 2.25 | |
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,044.50 | | | | 6.34 | | | | 1.25 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.60 | | | | 6.26 | | | | 1.25 | |
Value Advantage Fund | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,081.20 | | | | 6.45 | | | | 1.25 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,018.60 | | | | 6.26 | | | | 1.25 | |
Class C | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,078.20 | | | | 9.02 | | | | 1.75 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,016.12 | | | | 8.75 | | | | 1.75 | |
Select Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,082.30 | | | | 5.16 | | | | 1.00 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,019.84 | | | | 5.01 | | | | 1.00 | |
Institutional Class | | | | | | | | | | | | | | | | | | |
| Actual* | | | | | 1,000.00 | | | | 1,084.00 | | | | 3.88 | | | | 0.75 | |
| Hypothetical* | | | | | 1,000.00 | | | | 1,021.08 | | | | 3.76 | | | | 0.75 | |
| * | | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| ** | | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 61/365 (to reflect the one-half year period). |
110 JPMORGAN MID CAP/MULTI-CAP FUNDS JUNE 30, 2006
TAX LETTER
(Unaudited)
Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the fiscal year ended June 30, 2006. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2006. The information necessary to complete your income tax returns for the calendar year ending December 31, 2006 will be received under separate cover.
Funds with Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividend received deduction for corporate shareholders for the fiscal year ended June 30, 2006:
|
|
|
| Dividend
Received
Deduction
|
|---|
| Diversified Mid Cap Value Fund | | | | | 70.98 | % |
| Mid Cap Equity Fund | | | | | 13.13 | % |
| Multi-Cap Market Neutral Fund | | | | | 52.78 | % |
Funds with Long Term Capital Gain Designation
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended June 30, 2006 (amounts in thousands):
|
|
|
| Long-Term
Capital Gain
Distribution
|
|---|
| Diversified Mid Cap Growth Fund | | | | $ | 130,943 | |
| Diversified Mid Cap Value Fund | | | | $ | 274,690 | |
| Multi-Cap Market Neutral Fund | | | | $ | 48,186 | |
Funds with Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2006, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
|
|
|
| Qualified
Dividend
Income
|
|---|
| Diversified Mid Cap Value Fund | | | | $ | 9,937 | |
| Mid Cap Equity Fund | | | | $ | 1,166 | |
Funds with Short Term Capital Gain Designation
For the fiscal year ended June 30, 2006, the Funds designate the following amounts of ordinary distributions paid during the Fund’s fiscal year that are from qualified short-term capital gain (amounts in thousands):
|
|
|
| Qualified
Short-Term
Gain
|
|---|
| Diversified Mid Cap Value Fund | | | | $ | 16,242 | |
JUNE 30, 2006 JPMORGAN MID CAP/MULTI-CAP FUNDS 111
THIS PAGE IS INTENTIONALLY LEFT BLANK
JPMorgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various 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.
Contact JPMorgan Funds Distribution Services at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Each Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the JPMorgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each 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 1-800-480-4111 and on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Advisor. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. 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 Chase & Co., 2006 All rights reserved. June 2006. | | AN-MC-606 |
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 must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its 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, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the 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 third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
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.
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 Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(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 not an “interested person” of the Registrant and is also “independent” as defined by the Securities and Exchange Commission for purposes of 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) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2005 – $41,852 | |
2006 – $34,895 * |
* For the six months ending June 30, 2006, the new fiscal year end of the Fund.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES (On a calendar year basis) |
2004 – | $9,397,000 | |
2005 – $10,110,000 | |
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent public registered accounting firm 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 Registrant's financial statements.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES | |
2005 – $14,100 |
2006 – | $7,500 |
| | |
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2005 and 2006.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES | |
2005 – Not applicable |
2006 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee will pre-approve the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have
been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee will annually review and pre-approve the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee will add to, or subtract from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2005 – 100.00%
2006 – 100.00%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent public registered accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $25.5 million in 2004 and $19.1 million in 2005.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm 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.
Included in Item 1.
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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE 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 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Not applicable.
ITEM 11. 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 second fiscal quarter of the period covered by this 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 last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
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.
J.P. Morgan Fleming Mutual Fund Group, Inc.
George C.W. Gatch
President and Principal Executive Officer
September 7, 2006
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.
George C.W. Gatch
President and Principal Executive Officer
September 7, 2006
Arthur A. Jensen
Assistant Treasurer and Principal Financial Officer
September 7, 2006
